10-K – 2026-02-23 – agnc-20251231.htm

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 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 Fannie Mae and Freddie Mac, or by a U.S. Government agency, such as Ginnie Mae. We may also invest in Agency multifamily MBS that are similarly guaranteed by a GSE and in other assets related to the housing, mortgage or real estate markets that are not guaranteed by a GSE or U.S. Government agency.
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
Market Trends
Agency RMBS outperformed domestic fixed income alternatives in 2025, and this favorable asset class performance, coupled with AGNC's active portfolio management strategies, drove AGNC's best-in-class economic return for the year. 1 In 2025, the Bloomberg US Mortgage Backed Securities Index (the "Agency MBS Index"), which represents the entire Agency RMBS market, generated a total return of 8.6% for the year, its best annual performance since 2002. Also notable, given the similar credit profile, the Agency MBS Index outperformed the Bloomberg US Treasury Index by 2.3 percentage points, or 36%.
A number of factors that materialized over the course of the year catalyzed the strong performance of Agency RMBS, including:
• The Federal Reserve (the "Fed") shifted monetary policy toward lower short-term interest rates and greater accommodation, which contributed to the positive performance of all domestic fixed income asset classes.
• Greater fiscal policy clarity and the stable supply outlook for U.S. Treasury securities contributed to reduced interest rate volatility.
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• Improved conditions in short-term funding markets, particularly late in the year, benefited Agency RMBS, as the Fed announced an expansion of its balance sheet through reserve management purchases of short-term Treasury bills, as well as other actions that improved the functionality and accessibility of its Standing Repo Program.
• The Administration articulated a framework for GSE reform that focused on reducing Agency mortgage spreads, maintaining mortgage market stability, and improving housing affordability.
Collectively, these factors—along with sizable Agency MBS purchases by the GSEs later in the year—led to lower Agency RMBS spread volatility, tighter mortgage spreads to benchmark rates, and the outperformance of Agency RMBS relative to other fixed income asset classes.
As we enter 2026, many of these favorable dynamics remain in place, and the Administration's focus on housing affordability and maintaining mortgage market stability provide a favorable backdrop for mortgage spreads. Looking ahead, the supply and demand outlook for Agency RMBS appears well balanced. At current interest rate levels, the net supply of new Agency RMBS in 2026 is expected to be approximately $200 billion, which, when coupled with $200 billion of anticipated runoff of the Fed's Agency RMBS holdings, yields approximately $400 billion of total net supply to be absorbed by the market in 2026, an amount comparable to the prior two years. Offsetting this supply, demand for Agency RMBS should remain robust, assuming conditions remain generally consistent with current expectations. GSE purchases have the potential to account for approximately half of the projected 2026 supply, and banks, money managers, foreign investors, and REITs are expected to continue to be active purchasers of Agency RMBS.
Taken together, this favorable fundamental and technical backdrop for Agency RMBS is supportive of our positive outlook.
Portfolio and Summary Financial Highlights
For 2025, AGNC generated total comprehensive income of $1.74 per diluted common share and an economic return of 22.7% on tangible common equity, comprised of $1.44 in dividends declared and a $0.47 increase in tangible net book value per common share. This compares to total comprehensive income of $0.84 per diluted common share and an economic return of 13.2% for 2024, comprised of $1.44 in dividends and a $0.29 decline in tangible net book value per common share.
Net spread and dollar roll income (a non-GAAP measure) per diluted common share decreased to $1.50 in 2025 from $1.88 in 2024. The decline was primarily driven by lower swap income resulting from the maturity of legacy interest rate swaps with low fixed pay rates, as well as a timing mismatch between the issuance and deployment of $345 million and $2.0 billion of new preferred and common equity capital, respectively, during the year.
Another driver of net spread and dollar roll income in 2025 was the level of unhedged short-term debt in our funding mix. As of December 31, 2025, our hedge ratio was 77%, reflecting the level of interest rate swap and U.S. Treasury hedges (excluding option based-hedges) relative to total funding liabilities, compared to 88% as of December 31, 2024. Our average hedge ratio for 2025 (excluding option based-hedges) was approximately 82%, compared to 93% for 2024. This decline reflects the shift toward a more accommodative monetary policy environment and moderately reduced our net spread and dollar roll income in the near term, while positioning AGNC's earnings profile to benefit from rate cuts as they occur.
Our investment portfolio totaled $94.8 billion as of December 31, 2025, an increase of $21.5 billion for the year, including a $6.1 billion increase in our TBA position to $13.0 billion. As of December 31, 2025, 30-year fixed-rate Agency RMBS and TBAs represented 95% of our investment portfolio, largely unchanged from December 31, 2024.
The weighted average coupon of our portfolio, excluding TBAs, increased to 5.19% as of December 31, 2025, compared to 5.03% as of December 31, 2024. Including TBAs, the weighted average coupon of our fixed-rate portfolio increased to 5.12%, compared to 5.02% as of December 31, 2024. At the same time, the portion of our fixed-rate investment portfolio, including TBAs, with favorable prepayment attributes 2 increased to 76% as of December 31, 2025, compared to 74% as of December 31, 2024.
The average projected life Constant Prepayment Rate ("CPR") for our portfolio increased to 9.6% as of December 31, 2025, from 7.7% as of December 31, 2024, largely reflecting a 70 basis point decline in the average 30-year mortgage rate, which was 6.16% at year end. Actual CPRs averaged 8.4% for the year, compared to 7.5% for the prior year.
As of December 31, 2025, our "at risk" leverage was 7.2x tangible equity, unchanged from December 31, 2024. Average leverage for the year was 7.4x, compared to 7.2x for the prior year. We ended the year with a large liquidity position of $7.6 billion in unencumbered cash and Agency RMBS, representing 64% of tangible equity, compared to $6.1 billion and 66%, respectively, as of December 31, 2024.
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Lastly, given the convexity profile of our assets and the significant decline in interest rate volatility, we increased our receiver swaption position by $6.9 billion during the year to provide additional protection in a declining rate environment. Our duration gap, which measures the estimated difference between the interest rate sensitivity of our assets and liabilities including hedges, extended slightly to 0.4 years as of year end, compared to 0.3 years as of December 31, 2024.
Looking ahead, in addition to the favorable fundamental and technical backdrop for Agency RMBS, we expect net spread and dollar roll income to benefit from several factors, including lower funding costs resulting from the September, October and December 2025 rate cuts totaling 75 basis points, potential future rate cuts, greater stability in funding markets, and a shift in our hedge mix toward a greater share of swap-based hedges in the fourth quarter of 2025. Notwithstanding these favorable factors, higher hedging costs due to the maturity of legacy lower pay-rate swaps, as well as reduced mortgage spreads, if they materialize in 2026, could offset some or all of these benefits.
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 7A. Quantitative and Qualitative Disclosures about Market Risk in this form 10-K .
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1. Economic return represents the sum of the change in tangible net book value per common share and dividends declared per share of common stock during the period over beginning tangible net book value per common share. Peer group includes Annaly Capital Management, Inc. ("NLY"), ARMOUR Residential REIT, Inc. ("ARR"), Dynex Capital, Inc. ("DX"), Invesco Mortgage Capital Inc. ("IVR"), Orchid Island Capital, Inc. ("ORC"), and Two Harbors Investment Corp. ("TWO")
2. Agency RMBS with favorable prepayment attributes include: (i) specified pools backed by lower balance loans with original loan balances of up to $200K, HARP pools (defined as pools that were issued between May 2009 and December 2018 and backed by 100% refinance loans with original LTVs ≥ 80%), and pools backed by loans 100% originated in New York and Puerto Rico and (ii) other pools backed by loans with credit, loan balances, geographies, occupancy types, and other characteristics that exhibit favorable prepayment behavior.

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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
Dec. 31, 2024 Mar. 31, 2025 June 30, 2025 Sept. 30, 2025 Dec. 31, 2025 Dec. 31, 2025
vs
Dec. 31, 2024

Target Federal Funds Rate:
Target Federal Funds Rate - Upper Band
4.50% 4.50% 4.50% 4.25% 3.75% -75  bps
SOFR:
SOFR Rate 4.49% 4.41% 4.45% 4.24% 3.87% -62  bps
SOFR Interest Rate Swap Rate:
2-Year Swap
4.08% 3.72% 3.49% 3.40% 3.31% -77  bps
5-Year Swap
4.04% 3.65% 3.43% 3.39% 3.46% -58  bps
10-Year Swap
4.07% 3.76% 3.69% 3.66% 3.80% -27  bps
30-Year Swap
3.93% 3.79% 3.90% 3.93% 4.17% +24  bps
U.S. Treasury Security Rate:
2-Year U.S. Treasury
4.24% 3.89% 3.72% 3.61% 3.48% -76  bps
5-Year U.S. Treasury
4.38% 3.95% 3.80% 3.74% 3.73% -65  bps
10-Year U.S. Treasury
4.57% 4.21% 4.23% 4.15% 4.17% -40  bps
30-Year U.S. Treasury
4.78% 4.57% 4.78% 4.73% 4.85% +7  bps
30-Year Fixed Rate Agency Price:
2.5%
$81.38 $83.05 $82.98 $84.25 $84.63 +$3.25
3.0%
$84.88 $86.58 $86.55 $87.85 $88.50 +$3.62
3.5%
$88.38 $90.11 $90.07 $91.40 $92.53 +$4.15
4.0%
$91.32 $93.10 $93.02 $94.27 $94.95 +$3.63
4.5% $93.98 $95.55 $95.67 $97.02 $97.70 +$3.72
5.0% $96.44 $97.89 $98.03 $99.19 $99.83 +$3.39
5.5% $98.61 $99.79 $99.99 $100.84 $101.45 +$2.84
6.0% $100.45 $101.49 $101.63 $102.16 $102.69 +$2.24
6.5% $102.10 $103.08 $103.22 $103.34 $103.94 +$1.84
15-Year Fixed Rate Agency Price:
1.5% $85.80 $87.69 $88.84 $89.48 $90.39 +$4.59
2.0% $88.34 $90.30 $91.38 $91.97 $92.52 +$4.18
2.5%
$90.83 $92.44 $93.38 $94.05 $94.55 +$3.72
3.0%
$93.12 $94.55 $95.34 $95.83 $96.23 +$3.11
3.5%
$94.56 $96.16 $96.53 $96.89 $97.23 +$2.67
4.0%
$96.01 $97.37 $97.81 $98.36 $98.67 +$2.66
________________________________
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 Dec. 31, 2024 Mar. 31, 2025 June 30, 2025 Sept. 30, 2025 Dec. 31, 2025 Dec. 31, 2025
vs
Dec. 31, 2024

Mortgage Rate: 1

30-Year Agency Current Coupon Yield to 5-Year U.S. Treasury Spread 145 156 168 146 131 -14
30-Year Agency Current Coupon Yield to 10-Year U.S. Treasury Spread 126 130 125 105 87 -39
30-Year Agency Current Coupon Yield to 5/10-Year U.S. Treasury Spread 135 143 146 126 110 -25
30-Year Agency Current Coupon Yield to 5/10-Year Swap Spread 177 181 192 168 141 -36
30-Year Agency Current Coupon Yield to 3/5/10-Year U.S. Treasury Spread 142 150 157 137 123 -19
30-Year Agency Current Coupon Yield to 3/5/10-Year Swap Spread 177 183 197 174 151 -26
30-Year Agency Current Coupon Yield 5.83% 5.51% 5.48% 5.20% 5.04% -79  bps
30-Year Mortgage Rate 6.86% 6.60% 6.67% 6.32% 6.16% -70  bps
Credit Spread (in bps): 2

CRT M2 137 163 155 151 150 +13
CMBS AAA 72 94 86 77 78 +6
CDX IG 50 61 51 52 50 —
CDX HY 310 373 316 318 314 +4
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1. 30-Year Current Coupon Yield represents the yield on new production Agency RMBS. 30-Year Current Coupon Yields are sourced from Bloomberg and 30-Year Mortgage Rates are sourced from Clear Blue.
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 December 31, 2025 and 2024, our investment portfolio totaled $94.8 billion and $73.3 billion, respectively, consisting of: $81.1 billion and $65.5 billion Agency RMBS, at fair value, respectively; $13.0 billion and $6.9 billion net TBA securities, at fair value, respectively; $0.6 billion and $0.9 billion CRT, non-Agency RMBS and CMBS, at fair value, respectively; and other mortgage credit investments of $70 million and $64 million, respectively, which we account for under the equity method of accounting. The following table is a summary of our investment securities (including TBA securities) as of December 31, 2025 and 2024 (dollars in millions):

December 31, 2025 December 31, 2024
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 $ 251  $ 248  4.47  % —  % $ 97  $ 90  2.68  % —  %
15-year TBA securities 151  151  5.29  % —  % —  —  —  % —  %
Total ≤ 15-year
402  399  4.78  % —  % 97  90  2.68  % —  %
20-year RMBS
238  227  3.76  % —  % 578  506  3.12  % 1  %
30-year:

30-year RMBS 77,154  77,008  5.19  % 81  % 66,464  63,453  5.01  % 87  %
30-year TBA securities, net 2
12,766  12,837  4.72  % 14  % 6,887  6,861  5.37  % 9  %
Total 30-year
89,920  89,845  5.12  % 95  % 73,351  70,314  5.04  % 96  %
Total fixed rate Agency RMBS and TBA securities 90,560  90,471  5.12  % 96  % 74,026  70,910  5.02  % 97  %
Adjustable rate Agency RMBS 858  867  4.87  % 1  % 796  790  4.85  % 1  %
Multifamily 2,521  2,539  4.36  % 3  % 485  476  4.62  % 1  %
CMO Agency RMBS:
CMO 85  83  3.27  % —  % 102  96  3.34  % —  %
Interest-only strips 100  96  0.52  % —  % 35  30  2.08  % —  %
Principal-only strips 22  20  —  % —  % 25  23  —  % —  %
Total CMO Agency RMBS 3
207  199  3.27  % —  % 162  149  3.34  % —  %
Total Agency RMBS and TBA securities 3
94,146  94,076  5.09  % 99  % 75,469  72,325  5.02  % 99  %
Non-Agency RMBS 1,3
16  15  5.12  % —  % 17  15  5.29  % —  %
CMBS 3
11  10  6.00  % —  % 264  236  6.59  % —  %
CRT 561  606  10.00  % 1  % 583  633  10.44  % 1  %
Total investment securities 3
$ 94,734  $ 94,707  5.12  % 100  % $ 76,333  $ 73,209  5.06  % 100  %

________________________________
1. Table excludes other mortgage credit investments of $70 million and $64 million as of December 31, 2025 and 2024, 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-K
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 December 31, 2025 and 2024, our TBA securities had a net carrying value of $71 million and $(26) million, respectively, reported in derivative assets/(liabilities) on our accompanying consolidated balance sheets. The net carrying value represents the difference between the fair value of the underlying security in the TBA contract and the price to be paid or received for the underlying security.
As of December 31, 2025 and 2024, the weighted average yield on our investment securities (excluding TBA and forward settling securities) was 4.93% and 4.77%, respectively.
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The following tables summarize certain characteristics of our fixed rate Agency RMBS portfolio, inclusive of TBA securities, as of December 31, 2025 and 2024 (dollars in millions):

  December 31, 2025
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% $ 29  $ 30  $ 27  100% 2.00% 102.3% 1.34% 60 10%
2.5% 7  7  7  100% 2.50% 99.6% 2.79% 154 20%
3.0% 20  20  20  100% 3.00% 100.7% 2.37% 148 18%
3.5% 5  5  5  100% 3.50% 100.9% 2.62% 148 19%
4.0% 1  1  1  23% 4.00% 100.5% 2.08% 170 68%
≥ 4.5% 333  339  339  8% 5.20% 101.5% 4.66% 2 16%

Total ≤ 15-year 395  402  399  21% 4.78% 101.4% 3.98% 29 16%
20-year:
2.5% 23  24  21  —% 2.50% 104.0% 1.75% 69 6%
3.0% 21  22  20  97% 3.00% 103.3% 2.29% 77 8%
3.5% 78  79  77  77% 3.50% 101.5% 2.97% 147 10%
4.0% 49  51  49  92% 4.00% 103.4% 3.09% 103 9%
≥ 4.5% 59  62  60  96% 4.66% 104.5% 3.42% 97 11%
Total 20-year: 230  238  227  80% 3.76% 103.1% 2.93% 110 9%
30-year:
≤ 3.0% 2,031  1,994  1,761  73% 2.57% 98.2% 2.80% 54 7%
3.5% 3,966  4,055  3,746  73% 3.50% 103.6% 2.89% 120 7%
4.0% 4,856  5,127  4,712  90% 4.00% 105.6% 3.06% 105 7%
4.5% 11,943  11,923  11,744  28% 4.50% 102.1% 4.11% 55 8%
5.0% 24,827  24,616  24,919  22% 5.00% 99.1% 5.13% 20 7%
5.5% 22,593  22,719  23,136  41% 5.50% 100.6% 5.40% 19 9%
6.0% 14,462  14,743  15,005  39% 6.00% 101.9% 5.59% 18 12%
≥ 6.5% 4,589  4,743  4,822  36% 6.51% 103.5% 5.43% 15 20%
Total 30-year 89,267  89,920  89,845  38% 5.12% 101.2% 4.91% 33 10%
Total fixed rate $ 89,892  $ 90,560  $ 90,471  38% 5.12% 101.2% 4.91% 34 10%

________________________________
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 December 31, 2025, lower balance specified pools had a weighted average original loan balance of $181,000 and $142,000 for 15-year and 30-year securities, respectively, and HARP pools had a weighted average original LTV of 128% and 142% for 15-year and 30-year securities, respectively.
2. Portfolio yield incorporates a projected life CPR based on forward rate assumptions as of December 31, 2025.

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  December 31, 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% $ 34  $ 35  $ 30  100% 2.00% 102.6% 1.34% 48 8%
≤ 2.5% 12  12  12  100% 2.50% 99.4% 2.80% 142 15%
3.0% 34  35  33  100% 3.00% 100.9% 2.38% 136 15%
3.5% 9  9  9  100% 3.50% 101.2% 2.61% 137 15%
4.0% 5  5  5  9% 4.00% 101.2% 1.96% 164 34%
4.5% 1  1  1  100% 4.50% 101.0% 2.71% 165 28%

Total ≤ 15-year 95  97  90  95% 2.68% 101.4% 2.05% 107 14%
20-year:

2.5% 307  321  267  —% 2.50% 104.5% 1.74% 54 5%
3.0% 23  24  21  97% 3.00% 103.5% 2.29% 65 7%
3.5% 98  99  93  78% 3.50% 101.7% 2.97% 136 9%
4.0% 58  60  56  92% 4.00% 103.7% 3.09% 93 9%
≥ 4.5% 71  74  69  97% 4.64% 104.8% 3.42% 87 10%
Total 20-year: 557  578  506  42% 3.12% 103.9% 2.33% 77 7%
30-year:
≤ 3.0% 3,734  3,726  3,052  66% 2.41% 97.9% 2.73% 43 6%
3.5% 4,910  5,114  4,439  86% 3.50% 104.1% 2.84% 109 6%
4.0% 5,980  6,302  5,567  90% 4.00% 105.7% 3.10% 92 7%
4.5% 8,206  8,273  7,786  45% 4.50% 103.4% 3.92% 55 8%
5.0% 12,013  11,898  11,663  32% 5.00% 99.6% 5.03% 20 7%
5.5% 19,627  19,758  19,502  31% 5.50% 100.4% 5.44% 15 7%
6.0% 13,334  13,517  13,512  38% 6.00% 101.6% 5.72% 16 9%
≥ 6.5% 4,641  4,763  4,793  37% 6.51% 102.7% 5.97% 15 11%
Total 30-year 72,445  73,351  70,314  44% 5.04% 101.5% 4.74% 36 8%
Total fixed rate $ 73,097  $ 74,026  $ 70,910  44% 5.02% 101.5% 4.71% 36 8%

________________________________
1. See Note 1 of the preceding table for specified pool composition. As of December 31, 2024, lower balance specified pools had a weighted average original loan balance of $188,000 and $148,000 for 15-year and 30-year securities, respectively, and HARP pools had a weighted average original LTV of 128% and 141% for 15-year and 30-year securities, respectively.
2. Portfolio yield incorporates a projected life CPR based on forward rate assumptions as of December 31, 2024.
For additional details regarding our CRT and non-Agency securities, including credit ratings, as of December 31, 2025 and 2024, please refer to Note 3 of our Consolidated Financial Statements included under Item 8 of this Form 10-K.

SUMMARY OF CRITICAL ACCOUNTING ESTIMATES
Our critical accounting estimates involve estimates that require management to make judgments that are subjective in nature. We rely on our experience and analysis of historical and current market data to arrive at what we believe to be reasonable estimates. Under different conditions, we could report materially different amounts based on such estimates. For additional information regarding our significant accounting policies please refer to Note 2 of our Consolidated Financial Statements included under Item 8 of this Form 10-K.
Interest Income
The effective yield on our Agency RMBS and non-Agency securities of high credit quality is highly impacted by our estimate of future prepayments. We accrue interest income based on the outstanding principal amount and contractual terms of these securities, and we amortize or accrete premiums and discounts associated with our purchase of these securities into interest income over their projected lives, incorporating scheduled contractual payments and estimated prepayments, using the effective interest method. The weighted average cost basis of our securities as of December 31, 2025 was 101.2% of par value and may vary materially across different securities; therefore, changes in our actual or projected prepayments can significantly alter the effective yield on our assets.
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Future prepayment rates are difficult to predict, and we rely on a third-party service provider and our experience and analysis of historical and current market data to arrive at what we believe to be reasonable estimates. Our third-party service provider estimates prepayment rates over the remaining life of our securities using models that incorporate the forward yield curve, current mortgage rates, mortgage rates on the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, interest rate volatility and other factors. We review the estimated prepayment rates for reasonableness, giving consideration to historical prepayment rates, current market conditions and other factors we believe are likely to impact the rate of prepayments on our portfolio, and based on our judgment we may adjust the third-party estimates.
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 prepayment estimates and (ii) actual prepayments to date and current estimates of future prepayments. When the actual and estimated future prepayment experience differs from our prior estimates, we are required to record a current-period adjustment to the amortization or accretion of premiums and discounts for the cumulative difference in the effective yield from inception through the reporting date. We commonly refer to this adjustment as "catch-up" premium amortization cost/benefit.
The most significant factor impacting prepayment rates on our securities is changes to long-term interest rates. Prepayment rates generally increase when interest rates fall and decrease when interest rates rise. Item 7A. Quantitative and Qualitative Disclosures About Market Risk in this Form 10-K includes the estimated weighted average projected CPR of our investments and the corresponding weighted average yield on our investments should interest rates instantaneously go up or down by 25, 50, and 75 basis points. However, there are a variety of other factors that may impact the rate of prepayments on our securities. Consequently, our actual experience and future estimates of prepayments could differ materially from our estimates.
At the time we purchase CRT and non-Agency securities that are not of high credit quality, we determine an effective interest rate based on our estimate of the timing and amount of cash flows and our cost basis. On at least a quarterly basis, we review the estimated cash flows and make appropriate adjustments based on input and analysis received from external sources, internal models, our judgment about interest rates, prepayment rates, including collateral call provisions, timing and amount of estimated credit losses, and other factors. Any resulting changes in effective yield are recognized prospectively based on the current amortized cost of the investment as adjusted for credit impairment, if any.

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" 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 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, with respect to "net spread and dollar roll income available to common stockholders" and its components, "economic interest income" and "economic interest expense," we believe the inclusion of TBA dollar roll income is meaningful because TBAs, which are accounted for under GAAP as derivative instruments with gains and losses recognized in other gain
34

(loss) in our consolidated statement of comprehensive income, are economically equivalent to holding and financing generic Agency RMBS using short-term repurchase agreements. Similarly, we believe that the inclusion of periodic interest rate swap settlements is meaningful because interest rate swaps are the primary instruments we use to economically hedge against fluctuations in our borrowing costs, and their inclusion is more indicative of our total cost of funds than interest expense alone. Additionally, we believe the exclusion of "catch-up" premium amortization adjustments is meaningful because it excludes the cumulative effect from prior reporting periods due to current changes in future prepayment expectations and, therefore, is more indicative of the current earnings potential of our investment portfolio.
However, because such measures are incomplete measures of our financial performance and involve differences from results computed in accordance with GAAP, they should be considered as supplementary to, and not as a substitute for, results computed in accordance with GAAP. 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.

Selected Financial Data

The following selected financial data is derived from our annual financial statements for the three years ended December 31, 2025. The selected financial data should be read in conjunction with the more detailed information contained in Item 8. Financial Statements and in this Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations (in millions, except per share amounts):

December 31,

Balance Sheet Data 2025
2024
2023

Investment securities, at fair value of $81,719, $66,348 and 54,824, respectively, and other mortgage credit investments
$ 81,789  $ 66,412  $ 54,868 
Total assets $ 115,077  $ 88,015  $ 71,596 
Repurchase agreements and other debt $ 85,342  $ 60,862  $ 50,506 
Total liabilities $ 102,684  $ 78,253  $ 63,339 
Total stockholders' equity $ 12,393  $ 9,762  $ 8,257 
Net book value per common share 1
$ 9.35  $ 9.00  $ 9.46 
Tangible net book value per common share 2
$ 8.88  $ 8.41  $ 8.70 

Fiscal Year

Statement of Comprehensive Income Data
2025 2024 2023
Interest income $ 3,523  $ 2,949  $ 2,041 
Interest expense 2,848  2,931  2,287 
Net interest income (expense) 675  18  (246)
Other gain, net 1,122  955  497 
Operating expenses 127  110  96 
Net income 1,670  863  155 
Dividends on preferred stock 161  132  123 

Net income available to common stockholders $ 1,509  $ 731  $ 32 

Net income $ 1,670  $ 863  $ 155 
Other comprehensive income (loss), net 268  (74) 155 
Comprehensive income 1,938  789  310 
Dividends on preferred stock 161  132  123 

Comprehensive income available to common stockholders $ 1,777  $ 657  $ 187 

Weighted average number of common shares outstanding - basic 1,020.0  783.4  618.4 
Weighted average number of common shares outstanding - diluted 1,023.7  786.0  619.6 
Net income per common share - basic $ 1.48  $ 0.93  $ 0.05 
Net income per common share - diluted $ 1.47  $ 0.93  $ 0.05 
Comprehensive income per common share - basic $ 1.74  $ 0.84  $ 0.30 
Comprehensive income per common share - diluted $ 1.74  $ 0.84  $ 0.30 
Dividends declared per common share $ 1.44  $ 1.44  $ 1.44 

35

Fiscal Year

Other Data (Unaudited) * 2025 2024 2023
Average investment securities - at par $ 71,766  $ 61,613  $ 50,878 
Average investment securities - at cost $ 72,737  $ 62,698  $ 52,262 
Net TBA portfolio - at par (as of period end) 3
$ 13,180  $ 6,955  $ 5,331 
Net TBA portfolio - at cost (as of period end) 3
$ 12,917  $ 6,887  $ 5,288 
Net TBA portfolio - at market value (as of period end) 3
$ 12,988  $ 6,861  $ 5,354 
Net TBA portfolio - at carrying value (as of period end) 3,4
$ 71  $ (26) $ 66 
Average net TBA dollar roll position - at cost $ 10,853  $ 5,389  $ 10,000 
Average total assets - at fair value $ 100,770  $ 79,058  $ 63,409 
Average repurchase agreements and other debt outstanding 5
$ 64,472  $ 54,658  $ 44,027 
Average stockholders' equity 6
$ 10,663  $ 8,885  $ 7,817 
Average tangible net book value "at risk" leverage 7
7.4:1 7.2:1 7.4:1
Tangible net book value "at risk" leverage (as of period end) 8
7.2:1 7.2:1 7.0:1
Economic return on tangible common equity 9
22.7  % 13.2  % 3.0  %
Expenses % of average total assets
0.13  % 0.14  % 0.15  %
Expenses % of average assets, including average net TBA position
0.11  % 0.13  % 0.13  %
Expenses % of average stockholders' equity
1.19  % 1.24  % 1.23  %

________________________________
* 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. Includes net TBA dollar roll position and, if applicable, forward settling securities.
4. The carrying value of our net TBA position represents the difference between the market value and the cost basis of the TBA contract as of period-end and is reported in derivative assets/(liabilities), at fair value on our accompanying consolidated balances sheets.
5. 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.
6. Average stockholders' equity calculated as average month-ended stockholders' equity during the period.
7. 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.
8. 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.
9. 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.
36

Economic Interest Income and Asset Yields
The following table summarizes our economic interest income (a non-GAAP measure) for fiscal years 2025, 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):

Fiscal Year

2025 2024 2023
Amount Yield Amount Yield Amount Yield
Interest income:
Cash/coupon interest income
$ 3,700  5.15  % $ 3,072  4.99  % $ 2,242  4.41  %
Net premium amortization benefit (cost) (177) (0.31) % (123) (0.29) % (201) (0.50) %
Interest income (GAAP measure) 3,523  4.84  % 2,949  4.70  % 2,041  3.91  %
Estimated "catch-up" premium amortization cost (benefit) due to change in CPR forecast 12  0.02  % (51) (0.08) % (5) (0.01) %
Interest income, excluding "catch-up" premium amortization 3,535  4.86  % 2,898  4.62  % 2,036  3.90  %
TBA dollar roll income - implied interest income 1,2
562  5.17  % 300  5.55  % 524  5.24  %
Economic interest income (non-GAAP measure) 3
$ 4,097  4.90  % $ 3,198  4.70  % $ 2,560  4.11  %

Weighted average actual portfolio CPR for investment securities held during the period 8.4  % 7.5  % 6.3  %
Weighted average projected CPR for the remaining life of investment securities held as of period end 9.6  % 7.7  % 11.4  %
30-year fixed rate mortgage rate as of period end 4
6.16  % 6.86  % 6.56  %
10-year U.S. Treasury rate as of period end 4
4.17  % 4.57  % 3.88  %

________________________________
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 fiscal years 2025 and 2024 compared to the prior year period (in millions):

Impact of Changes in the Principal Elements Impacting Economic Interest Income

Due to Change in Average
Fiscal Year 2025 vs 2024
Total Increase /
(Decrease) Portfolio
Size Asset
Yield
Interest Income (GAAP measure) $ 574  $ 472  $ 102 
Estimated "catch-up" premium amortization due to change in CPR forecast 63  —  63 
Interest income, excluding "catch-up" premium amortization 637  472  165 
TBA dollar roll income - implied interest income 262  304  (42)
Economic interest income, excluding "catch-up" amortization (non-GAAP measure) $ 899  $ 776  $ 123 

Due to Change in Average
Fiscal Year 2024 vs 2023
Total Increase /
(Decrease) Portfolio
Size Asset
Yield
Interest Income (GAAP measure) $ 908  $ 408  $ 500 
Estimated "catch-up" premium amortization due to change in CPR forecast (46) —  (46)
Interest income, excluding "catch-up" premium amortization 862  408  454 
TBA dollar roll income - implied interest income (224) (242) 18 
Economic interest income, excluding "catch-up" amortization (non-GAAP measure) $ 638  $ 166  $ 472 

37

Our average investment portfolio (at cost), inclusive of TBAs, increased 23% and 9% for fiscal years 2025 and 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 20 and 59 basis points for fiscal years 2025 and 2024, respectively, largely as a result of shifting our asset portfolio from 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-K 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
December 31, 2025 $ 69,943  $ 74,195  $ 73,002  $ 13,764  $ 12,917  7.4:1 7.2:1
September 30, 2025 $ 66,654  $ 70,066  $ 69,057  $ 10,163  $ 13,805  7.5:1 7.6:1
June 30, 2025 $ 59,469  $ 66,790  $ 66,052  $ 11,996  $ 8,162  7.5:1 7.6:1
March 31, 2025 $ 61,707  $ 63,789  $ 63,312  $ 7,428  $ 7,429  7.3:1 7.5:1
December 31, 2024 $ 59,690  $ 63,759  $ 59,426  $ 5,936  $ 6,887  7.2:1 7.2:1
September 30, 2024 $ 59,322  $ 64,585  $ 63,468  $ 2,650  $ 4,067  7.2:1 7.2:1
June 30, 2024 $ 50,784  $ 55,507  $ 54,682  $ 6,805  $ 5,318  7.2:1 7.4:1
March 31, 2024 $ 48,730  $ 49,894  $ 48,216  $ 6,190  $ 8,405  7.0:1 7.1:1
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.
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 fiscal years 2025, 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:
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Fiscal Year

2025 2024 2023
Economic Interest Expense and Aggregate Cost of Funds 1
Amount Cost of Funds Amount Cost of Funds Amount Cost of Funds
Investment securities repurchase agreement and other debt - interest expense (GAAP measure) $ 2,848  4.36  % $ 2,931  5.27  % $ 2,287  5.12  %
TBA dollar roll income - implied interest expense 2,3
465  4.22  % 279  5.07  % 493  4.86  %
Economic interest expense - before interest rate swap periodic income, net 4
3,313  4.34  % 3,210  5.25  % 2,780  5.07  %
Interest rate swap periodic income, net 2,5
(1,037) (1.36) % (1,815) (2.97) % (2,202) (4.02) %
Total economic interest expense (non-GAAP measure) $ 2,276  2.98  % $ 1,395  2.28  % $ 578  1.05  %

 ________________________________
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 fiscal years 2025 and 2024 compared to the prior year period (in millions):

Impact of Changes in the Principal Elements of Economic Interest Expense

Due to Change in Average
Fiscal Year 2025 vs 2024
Total Increase / (Decrease) Borrowing / Swap Balance Borrowing / Swap Rate
Investment securities repurchase agreement and other debt interest expense $ (83) $ 526  $ (609)
TBA dollar roll income - implied interest expense 186  283  (97)
Interest rate swap periodic income/cost 778  (233) 1,011 
Total change in economic interest expense $ 881  $ 576  $ 305 

Due to Change in Average
Fiscal Year 2024 vs 2023
Total Increase / (Decrease) Borrowing / Swap Balance Borrowing / Swap Rate
Investment securities repurchase agreement and other debt interest expense $ 644  $ 552  $ 92 
TBA dollar roll income - implied interest benefit/expense (214) (227) 13 
Interest rate swap periodic income/cost 387  171  216 
Total change in economic interest benefit/expense $ 817  $ 496  $ 321 

Our average mortgage borrowings, inclusive of TBAs, increased 25% and 11% for fiscal years 2025 and 2024, respectively, consistent with the increase to our average investment portfolio. The average interest rate on our mortgage borrowings, excluding the impact of interest rate swap periodic income, decreased 91 and increased 18 basis points for fiscal years 2025 and 2024, respectively, due to changes in short-term interest rates.
Interest rate swap periodic income declined for fiscal years 2025 and 2024, primarily due to higher pay rates on our pay-fixed swaps, largely reflecting the maturity of lower-cost legacy swaps, and lower receive rates. The ratio of interest rate swaps outstanding to mortgage borrowings also declined, reflecting a reduction in the Company's total hedge ratio and shifts in hedge composition. The following table summarizes our interest rate swaps outstanding during fiscal years 2025, 2024 and 2023 (dollars in millions). Amounts exclude forward starting swaps not yet in effect.
39

Fiscal Year

Average Ratio of Interest Rate Swaps (Excluding Forward Starting Swaps) to Mortgage Borrowings Outstanding 2025 2024 2023
Average investment securities repo and other debt outstanding $ 64,472  $ 54,658  $ 44,027 
Average net TBA dollar roll position outstanding - at cost $ 10,853  $ 5,389  $ 10,000 
Average mortgage borrowings outstanding
$ 75,325  $ 60,047  $ 54,027 
Average notional amount of interest rate swaps outstanding (excluding forward starting swaps), net $ 48,921  $ 43,351  $ 47,012 
Ratio of average interest rate swaps to mortgage borrowings outstanding
65  % 72  % 87  %

Average interest rate swap pay-fixed rate (excluding forward starting swaps) 2.16  % 1.16  % 0.55  %
Average interest rate swap receive-floating rate
(4.34) % (5.25) % (5.17) %
Average interest rate swap net pay/(receive) rate
(2.18) % (4.09) % (4.62) %

For fiscal years 2025, 2024 and 2023, we had an average forward starting net pay-fixed rate swap balance of $469 million, $672 million and $43 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 fiscal years 2025, 2024 and 2023:

Fiscal Year

Investment and TBA Securities - Net Interest Spread 2025 2024 2023
Average asset yield 4.90  % 4.70  % 4.11  %
Average aggregate cost of funds (2.98) % (2.28) % (1.05) %
Average net interest spread 1.92  % 2.42  % 3.06  %

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 fiscal years 2025, 2024 and 2023 (dollars in millions):

Fiscal Year

2025 2024 2023
Comprehensive income available to common stockholders
$ 1,777  $ 657  $ 187 
Adjustments to exclude realized and unrealized (gains) losses reported through net income:
Realized loss on sale of investment securities, net
529  188  1,567 
Unrealized (gain) loss on investment securities measured at fair value through net income, net
(2,733) 885  (1,678)
(Gain) loss on derivative instruments and other securities, net
1,082  (2,028) (386)

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
(268) 74  (155)
Other adjustments:
Estimated "catch-up" premium amortization cost (benefit) due to change in CPR forecast 1
12  (51) (5)
TBA dollar roll income, net 2
97  21  31 
Interest rate swap periodic income, net 2
1,037  1,815  2,202 
Other interest income (expense), net 2,3
2  (87) (146)
Net spread and dollar roll income available to common stockholders (non-GAAP measure) 1,535  1,474  1,617 

Weighted average number of common shares outstanding - basic 1,020.0  783.4  618.4 
Weighted average number of common shares outstanding - diluted 1,023.7  786.0  619.6 
Net spread and dollar roll income per common share - basic $ 1.50  $ 1.88  $ 2.61 
Net spread and dollar roll income per common share - diluted $ 1.50  $ 1.88  $ 2.61 

________________________________
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.
40

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).

Gain (Loss) on Investment Securities, Net
The following table is a summary of our net gain (loss) on investment securities for fiscal years 2025, 2024 and 2023 (in millions):  

Fiscal Year

Gain (Loss) on Investment Securities, Net 1
2025 2024 2023
Loss on sale of investment securities, net $ (529) $ (188) $ (1,567)
Unrealized gain (loss) on investment securities measured at fair value through net income, net 2
2,733  (885) 1,678 
Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income, net
268  (74) 155 
Total gain (loss) on investment securities, net
$ 2,472  $ (1,147) $ 266 

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

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 fiscal years 2025, 2024 and 2023 (in millions):

Fiscal Year

  2025 2024 2023
TBA securities, dollar roll income $ 97  $ 21  $ 31 
TBA securities, mark-to-market gain (loss) 221  (144) 18 

Interest rate swaps, periodic income 1,037  1,815  2,202 
Interest rate swaps, mark-to-market gain (loss) (1,555) (804) (1,532)
Credit default swaps - buy protection —  (7) (13)
Payer swaptions (29) 54  (21)
Receiver swaptions (47) (3) — 
U.S. Treasury securities (705) 759  (84)
U.S. Treasury futures contracts (120) 409  (42)
SOFR futures contracts - long position 20  13  (10)
Other interest income (expense)
2  (87) (146)
Other gain (loss) (3) 2  (17)
Total gain (loss) on derivative instruments and other securities, net $ (1,082) $ 2,028  $ 386 

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-K.
41

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 and Item 7A. Quantitative and Qualitative Disclosures of Market Risks in this Form 10-K. 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 ten times the amount of our tangible stockholders' equity, measured as the sum of our total mortgage borrowings and net payable / (receivable) for unsettled investment securities, divided by the sum of our total stockholders' equity adjusted to exclude goodwill. Our tangible net book value "at risk" leverage ratio was 7.2x as of December 31, 2025 and 2024. The following table includes a summary of our mortgage borrowings outstanding as of December 31, 2025 and 2024 (dollars in millions). For additional details of our mortgage borrowings refer to Notes 2, 4 and 5 to our Consolidated Financial Statements in this Form 10-K.

December 31, 2025 December 31, 2024
Mortgage Borrowings Amount % Amount %
Investment securities repurchase agreements 1,2
$ 72,946  85  % $ 59,362  90  %
Debt of consolidated variable interest entities, at fair value 56  —  % 64  —  %
Total debt 73,002  85  % 59,426  90  %
TBA and forward settling non-Agency securities, at cost 12,917  15  % 6,887  10  %
Total mortgage borrowings $ 85,919  100  % $ 66,313  100  %

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1. Includes Agency RMBS, CRT and non-Agency MBS repurchase agreements. E xcludes U.S. Treasury repurchase agreements totaling $12.3 billion and $1.4 billion as of December 31, 2025 and 2024, respectively.
2. As of December 31, 2025 and 2024, 44% and 47%, respectively, of our total repurchase agreements, including 51% and 49% or our investment securities repurchase agreements, respectively, were funded through the Fixed Income Clearing Corporation's GCF Repo service.
We primarily finance our assets through collateralized borrowings structured as repurchase agreements ("repo"). We enter into these agreements on a bilateral basis with financial institutions and independent dealers, as well as through tri-party and centrally cleared repo platforms—such as the FICC's GCF Repo service—accessed through our wholly owned, registered broker-dealer subsidiary, Bethesda Securities, LLC. We manage our repo funding through counterparty diversification, maintaining a suitable maturity profile, interest rate hedging, and other strategies. In addition to repo, we also utilize TBA dollar roll transactions to synthetically finance Agency RMBS.
The terms of bilateral repurchase agreements are established on a transaction-by-transaction basis at the time each borrowing is initiated or renewed and are governed by the provisions of a Master Repurchase Agreement. For GCF Repo transactions, the terms and conditions are set by the FICC's clearing rules and applicable operating procedures. Each of our repurchase agreements requires that borrowed amounts be subject to collateralization requirements, and interest rates are generally fixed and reflect prevailing market rates for the specified borrowing term and collateral type. Our repurchase agreement counterparties are not obligated to renew or enter into new borrowings upon the maturity of existing agreements.
TBA dollar roll transactions enhance our funding diversification, expand our available pool of assets, and improve our liquidity position by typically requiring less collateral than Agency RMBS financed with repo. These transactions may also benefit from lower implied costs, or "specialness." However, if rolling TBA contracts into future months becomes uneconomical, we may need to take physical delivery of the underlying securities and fund those securities with other sources, potentially reducing our liquidity position.
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Collateral Requirements and Unencumbered Assets
Borrowing capacity under our repurchase agreements is influenced by counterparty margin requirements, collateral values, interest rates, risk limits, and counterparties' willingness and ability to lend. These factors may change over time in response to interest rate movements, overall market liquidity, shifts in credit quality and changes in bank regulatory requirements. Centrally cleared repo capacity also depends on Bethesda Securities continued compliance with regulatory and FICC membership requirements and maintaining its risk exposure within limits established by the FICC.
Haircuts for bilateral repurchase agreements are determined on a transaction-specific basis. A haircut is a discount applied to the market value of pledged collateral to protect the counterparty against potential declines in its value and potential costs of selling collateral after a default. When collateral values decline, counterparties typically issue a margin call requiring us to post additional collateral to restore the required collateralization level. Conversely, if the value of pledged securities rises, we may request the return of excess collateral. Collateral values are determined by our counterparties, who are required to act in good faith.
For centrally cleared GCF repo transactions, margin requirements are set by the FICC. These include an initial margin requirement, calculated daily using a Value-at-Risk ("VaR") model, which evaluates Bethesda Securities' net exposure to the FICC, taking into account the offsetting risk sensitivities of positions such as repos and reverse repos. Initial margin is designed to protect the FICC against potential future exposure from a member default and may also be used to cover losses arising from the default of other clearing members, subject to assessments from the loss mutualization waterfall and applicable caps and withdrawal provisions set pursuant to FICC rules. The FICC also imposes daily variation margin, based on amounts borrowed plus accrued interest, adjusted for fluctuations in collateral value, and is intended to cover the current exposure associated with the repo transaction.
Margin thresholds may increase during periods of elevated market volatility, which could adversely affect our liquidity position. In addition, repo counterparties typically reduce the collateral values assigned to Agency RMBS each month to reflect principal repayments. Bilateral repo counterparties make this adjustment upon the publication of the pay-down factor by Fannie Mae, Freddie Mac or Ginnie Mae on the fifth business day following month-end, even though principal payments are generally not received until the 25 th calendar day following month-end. The FICC assesses margin on the last business day of each month—prior to the factor release—using internally projected pay-down rates and subsequently adjusts collateral requirements to reflect the actual factor data when released.
The timing difference between margin calls related to principal pay-downs and our receipt of the corresponding cash flows temporarily reduces our available liquidity each month. We manage this liquidity risk by monitoring factors that influence prepayment activity and through disciplined asset selection. As of December 31, 2025, approximately 14% of our investment portfolio consisted of TBA securities, which are not subject to monthly principal pay-downs. The remainder of our portfolio, primarily consisting of Agency RMBS, had an average one-year CPR forecast of 12%.
Collateral requirements under our derivative agreements are typically subject to initial and variation margin requirements, similar to those for centrally cleared repo transactions, and may be adjusted based on changes in the value of the derivative agreements, collateral values, market volatility, and other factors. Collateral requirements for our TBA contracts are governed by the Mortgage-Backed Securities Division ("MBSD") of the FICC. Collateral levels for interest rate swap agreements are established by the central clearing exchange and the associated futures commission merchants ("FCMs"), which may impose margin requirements in excess of those required by the clearing exchange. Collateral requirements for non-centrally cleared derivatives are set by the counterparty financial institution.
Haircut levels and initial or additional minimum margin requirements reduce the amount of our unencumbered assets and limit our borrowing capacity. Margin calls for repo and TBA transactions are typically due on the same business day, while margin calls for interest rate swaps and other derivative transactions are typically due on the next business day, subject to notice provisions. During fiscal year 2025, haircuts and initial margin requirements on our repo funding arrangements remained stable. As of December 31, 2025, the weighted average haircut and initial margin on our repurchase agreements were approximately 3.1% of the value of our collateral, compared to 3.2% as of December 31, 2024. We were in compliance with all margin requirements as of December 31, 2025.
To mitigate the risk of margin calls, we seek to maintain excess liquidity by holding unencumbered liquid assets that can be used to satisfy collateral requirements, collateralize additional borrowings or be sold for cash. As of December 31, 2025, our unencumbered assets totaled approximately $7.7 billion, or 65% of tangible equity, consisting of $7.6 billion of cash and unencumbered Agency RMBS and $0.1 billion of unencumbered credit assets. This compares to $6.2 billion of unencumbered assets, or 67% of tangible equity, as of December 31, 2024, consisting of $6.1 billion of cash and unencumbered Agency RMBS and $0.1 billion of unencumbered credit assets.
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For additional details regarding assets pledged under our repo and derivative agreements refer to Note 6 to our Consolidated Financial Statements in this Form 10-K.
Counterparty Risk
Collateral requirements imposed by counterparties subject us to the risk that pledged assets may not be returned to us as and when required. We attempt to manage this risk by actively monitoring our collateral positions and limiting our counterparties to registered clearinghouses and regulated financial institutions, including banks and broker-dealers (both bank affiliated and independent) with acceptable credit ratings. We also diversify our funding sources across multiple counterparties and geographic region.
As of December 31, 2025, our maximum amount at risk (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables) with any of our repurchase agreement counterparties, excluding the FICC, was less than 2% of our tangible stockholders' equity, with our top five repo counterparties, excluding the FICC, representing less than 5% of our tangible stockholders' equity. As of December 31, 2025, less than 10% of our tangible stockholders' equity was at risk with the FICC. Excluding central clearing exchanges, as of December 31, 2025, 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
Equity capital markets serve as a source of capital to grow our business and to meet potential liquidity needs. The availability of equity capital is dependent on market conditions and investor demand for our common and preferred stock. 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. As of December 31, 2025, $1.0 billion remained authorized to repurchase shares of our common stock through December 31, 2026. Please refer to Note 9 of our Consolidated Financial Statements in this Form 10-K for further details regarding our recent equity capital transactions.
OFF-BALANCE SHEET ARRANGEMENTS
As of December 31, 2025, we did not maintain relationships with unconsolidated entities or financial partnerships, such as entities often referred to as structured finance, or special purpose or variable interest entities, established to facilitate off-balance sheet arrangements or other contractually narrow or limited purposes. Additionally, as of December 31, 2025, we had not guaranteed obligations of unconsolidated entities or entered into a commitment or intent to provide funding to such entities.

FORWARD-LOOKING STATEMENTS
The statements contained in this Annual 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 Annual Report, but they involve a number of risks and uncertainties. Actual results may differ materially from those anticipated in
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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:
• 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 our financing and hedge positions;
• 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;
• fluctuations in the yield curve;
• 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;
• changes in U.S. monetary policy or interest rates, including actions taken by the Federal Reserve to adjust the size or composition of its U.S. Treasury and Agency RMBS bond portfolio or to influence funding markets;
• changes in U.S. government entity purchases or dispositions of Agency RMBS or other actions that directly or indirectly increase demand or supply of Agency RMBS or affect prepayment speeds;
• the direct or indirect effects of actions by the federal, state, or local governments that affect the economy, the housing sector or financial markets, including actions relating to fiscal policy;
• 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 the GSE's, the primary or secondary mortgage markets in which we participate or U.S. housing finance activity, including actions that would end or alter the conservatorships of Fannie Mae or Freddie Mac or their quasi-governmental status; and
• legislative or regulatory actions that affect our status as a REIT or our exemption from the Investment Company Act of 1940.
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 this document. 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 7A. 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
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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 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 judgment 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 0.4 years as of December 31, 2025, compared to 0.3 years as of December 31, 2024.
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 December 31, 2025 and 2024 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 December 31, 2025 and 2024.
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

December 31, 2025 December 31, 2024
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 -0.2% -2.4% -0.1% -0.9%
-50 Basis Points 0.0% -0.3% 0.0% +0.2%
-25 Basis Points +0.1% +0.5% +0.1% +0.5%
+25 Basis Points -0.2% -1.6% -0.1% -1.1%
+50 Basis Points -0.4% -4.3% -0.3% -2.8%
+75 Basis Points -0.8% -7.7% -0.5% -4.8%

________________________________
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.
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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 a current period 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 mortgages at a slower pace than originally anticipated, adversely impacting our net interest spread, and thus our net interest income.
As of December 31, 2025 and 2024, our investment securities (excluding TBAs) had a weighted average projected CPR of 9.6% and 7.7%, respectively, and a weighted average yield of 4.93% and 4.77%, 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

December 31, 2025 December 31, 2024
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 16.6% 4.79% 11.7% 4.70%
-50 Basis Points 13.6% 4.84% 9.8% 4.73%
-25 Basis Points 11.3% 4.89% 8.5% 4.76%
  Actual as of Period End 9.6% 4.93% 7.7% 4.77%
+25 Basis Points 8.3% 4.96% 7.3% 4.78%
+50 Basis Points 7.5% 4.98% 6.9% 4.79%
+75 Basis Points 7.0% 5.00% 6.7% 4.80%

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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 December 31, 2025 and 2024 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 5.0 and 5.1 as of December 31, 2025 and 2024, respectively, based on interest rates and prices as of such dates;
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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

December 31, 2025 December 31, 2024
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 +2.5% +24.0% +2.5% +24.5%
-25 Basis Points +1.2% +12.0% +1.3% +12.3%
-10 Basis Points +0.5% +4.8% +0.5% +4.9%
+10 Basis Points -0.5% -4.8% -0.5% -4.9%
+25 Basis Points -1.2% -12.0% -1.3% -12.3%
+50 Basis Points -2.5% -24.0% -2.5% -24.5%

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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. These factors can change over time in response to interest rate movements, overall market liquidity, shifts in credit quality and changes in bank regulatory requirements. Borrowings under centrally cleared repo also depend on Bethesda Securities' remaining compliant with regulatory and FICC membership requirements and maintaining its risk exposure within limits established by the FICC.
As of December 31, 2025, 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-K 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 bilateral counterparties have the option to increase our haircuts (margin requirements) on the assets we pledge against our funding liabilities, and our central clearing counterparties may adjust their risk models impacting the amount of initial margin we are required to post, thereby reducing the amount that can be borrowed against our assets even if they agree to renew or roll our funding liabilities. Significantly higher haircuts or initial margin requirements 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 regulated 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 December 31, 2025, our maximum amount at risk with any counterparty related to our
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repurchase agreements and derivative agreements was less than 2% and less than 1%, respectively, of tangible stockholders' equity.

Item 8. Financial Statements
Our management is responsible for the accompanying consolidated financial statements and the related financial information. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States and necessarily include certain amounts that are based on estimates and informed judgments. Our management also prepared the related financial information included in this Annual Report on Form 10-K and is responsible for its accuracy and consistency with the consolidated financial statements.
 
The consolidated financial statements as of December 31, 2025 and 2024 and for fiscal years 2025, 2024 and 2023 have been audited by Ernst & Young LLP, an independent registered public accounting firm, who conducted their audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). The independent registered public accounting firm's responsibility is to express an opinion on these consolidated financial statements based on their audits. For further information refer to the Ernst & Young LLP (PCAOB ID: 42 ) audit opinion included in this Item 8 of our Annual Report.
 
Management's Report on Internal Control over Financial Reporting
 
Our management is responsible for establishing and maintaining adequate internal control over financial reporting as defined in Rule 13a-15(f) under the Securities Exchange Act of 1934. Our internal control over financial reporting is designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of consolidated financial statements for external purposes in accordance with generally accepted accounting principles. Our internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of our assets; (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures are being made only in accordance with authorizations of our management and Board of Directors; and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of our assets that could have a material effect on the consolidated financial statements.
 
Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.
 
Management assessed the effectiveness of our internal control over financial reporting as of December 31, 2025, utilizing the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in its Internal Control-Integrated Framework (2013 framework). Based on this assessment and those criteria, management determined that our internal control over financial reporting was effective as of December 31, 2025. The effectiveness of our internal control over financial reporting as of December 31, 2025 has been audited by Ernst & Young LLP, our independent registered public accounting firm, as stated in their attestation report included in this Form 10-K.

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Report of Independent Registered Public Accounting Firm

To the Stockholders and the Board of Directors of AGNC Investment Corp.

Opinion on Internal Control over Financial Reporting

We have audited AGNC Investment Corp.'s internal control over financial reporting as of December 31, 2025, based on criteria established in Internal Control Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (2013 framework) (the COSO criteria). In our opinion, AGNC Investment Corp. (the Company) maintained, in all material respects, effective internal control over financial reporting as of December 31, 2025, based on the COSO criteria .

We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (PCAOB), the consolidated balance sheets of the Company as of December 31, 2025 and 2024, the related consolidated statements of comprehensive income, stockholders' equity, and cash flows for each of the three years in the period ended December 31, 2025, and the related notes, and our report dated February 23, 2026 expressed an unqualified opinion thereon.

Basis for Opinion

The Company's management is responsible for maintaining effective internal control over financial reporting, and for its assessment of the effectiveness of internal control over financial reporting included in the accompanying Management's Report on Internal Control over Financial Reporting. Our responsibility is to express an opinion on the Company's internal control over financial reporting based on our audit. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether effective internal control over financial reporting was maintained in all material respects.

Our audit included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, testing and evaluating the design and operating effectiveness of internal control based on the assessed risk, and performing such other procedures as we considered necessary in the circumstances. We believe that our audit provides a reasonable basis for our opinion.

Definition and Limitations of Internal Control Over Financial Reporting

A company's internal control over financial reporting is a process designed 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. A company's internal control over financial reporting includes those policies and procedures that (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company's assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

                                            /s/ Ernst & Young LLP

Tysons, Virginia
February 23, 2026    
50

Report of Independent Registered Public Accounting Firm

To the Stockholders and the Board of Directors of AGNC Investment Corp.

Opinion on the Financial Statements

We have audited the accompanying consolidated balance sheets of AGNC Investment Corp. (the Company) as of December 31, 2025 and 2024, the related consolidated statements of comprehensive income, stockholders' equity, and cash flows for each of the three years in the period ended December 31, 2025, and the related notes (collectively referred to as the "consolidated financial statements"). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of the Company at December 31, 2025 and 2024, and the results of its operations and its cash flows for each of the three years in the period ended December 31, 2025, in conformity with U.S. generally accepted accounting principles.

We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (PCAOB), the Company's internal control over financial reporting as of December 31, 2025, based on criteria established in Internal Control-Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (2013 framework) and our report dated February 23, 2026 expressed an unqualified opinion thereon.

Basis for Opinion

These financial statements are the responsibility of the Company's management. Our responsibility is to express an opinion on the Company's financial statements based on our audits. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

Critical Audit Matter

The critical audit matter communicated below is a matter arising from the current period audit of the financial statements that was communicated or required to be communicated to the audit committee and that: (1) relates to accounts or disclosures that are material to the financial statements and (2) involved our especially challenging, subjective or complex judgments. The communication of the critical audit matter does not alter in any way our opinion on the consolidated financial statements, taken as a whole, and we are not, by communicating the critical audit matter below, providing a separate opinion on the critical audit matter or on the accounts or disclosures to which it relates.

51

Agency securities and non-agency securities of high credit quality net premium amortization
Description
of the Matter As of December 31, 2025, the Company's investment securities had a net unamortized premium balance of $986 million, including interest and principal-only securities, and it recorded $177 million of net premium amortization for the year then ended. As explained in Note 2 to the financial statements, premiums or discounts associated with the purchase of Agency residential mortgage-backed securities ("Agency RMBS") and non-Agency mortgage-backed securities 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. The effective yield on the Company's Agency RMBS and non-Agency mortgage-backed securities of high credit quality is highly impacted by the Company’s estimate of future prepayments. The Company estimates long-term prepayment speeds of such securities using a third-party service provider and market data. The third-party service provider estimates long-term prepayment speeds using a prepayment model that incorporates the forward yield curve, 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.

Auditing the Company's estimation of long-term prepayment speeds used for the amortization of premiums and accretion of discounts is subjective due to the significant judgments and estimates required by management and the third-party service provider, as inputs into prepayment models are prone to fluctuation based on changing macroeconomic conditions.

How We Addressed the Matter in Our Audit We obtained an understanding, evaluated the design and tested the operating effectiveness of internal controls over the estimation of long-term prepayment speeds, including management's review of the estimated prepayment speeds provided by the third-party service provider.

Our audit procedures included, among others, performing comparative analyses between the Company's long-term prepayment speed estimates and long-term prepayment speed estimates data from independent third-party sources, reconciling the Company's estimates of long-term prepayment speeds to source prepayment speeds data provided by management's third-party service provider, evaluating the competency and objectivity of management’s third-party service provider, and identifying potential sources of contrary information, with the assistance of an internal valuation specialist.

    
                                            /s/ Ernst & Young LLP

We have served as the Company's auditor since 2008.

Tysons, Virginia                            
February 23, 2026

52

AGNC INVESTMENT CORP.
CONSOLIDATED BALANCE SHEETS
(in millions, except per share data)

December 31,
  2025 2024

Assets:
Agency securities, at fair value (including pledged securities of $ 74,149 and $ 59,952 , respectively)
$ 81,003   $ 65,367  
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities) 85   97  
Credit risk transfer securities, at fair value (including pledged securities of $ 558 and $ 590 , respectively)
606   633  
Non-Agency securities, at fair value, and other mortgage credit investments (including pledged securities of $ 13 and $ 206 , respectively)
95   315  
U.S. Treasury securities, at fair value (including pledged securities of $ 13,056 and $ 1,565 , respectively)
13,477   1,575  
Cash and cash equivalents 450   505  
Restricted cash 1,292   1,266  
Derivative assets, at fair value 169   205  
Receivable for investment securities sold (including pledged securities of $ 149 and $0, respectively)
152   —  
Receivable under reverse repurchase agreements 16,615   17,137  
Goodwill 526   526  
Other assets 607   389  
Total assets $ 115,077   $ 88,015  
Liabilities:
Repurchase agreements $ 85,286   $ 60,798  
Debt of consolidated variable interest entities, at fair value 56   64  
Payable for investment securities purchased 193   74  
Derivative liabilities, at fair value 6   94  
Dividends payable 182   143  
Obligation to return securities borrowed under reverse repurchase agreements, at fair value 16,452   16,676  
Other liabilities 509   404  
Total liabilities 102,684   78,253  
Stockholders' equity:
Preferred Stock - aggregate liquidation preference of $ 2,033 and $ 1,688 , respectively
1,968   1,634  
Common stock - $ 0.01 par value; 2,250 and 1,500 shares authorized, respectively; 1,107.6 and 897.4 shares issued and outstanding, respectively
11   9  
Additional paid-in capital 19,261   17,264  
Retained deficit ( 8,524 ) ( 8,554 )
Accumulated other comprehensive loss ( 323 ) ( 591 )
Total stockholders' equity 12,393   9,762  
Total liabilities and stockholders' equity $ 115,077   $ 88,015  

See accompanying notes to consolidated financial statements.
53

AGNC INVESTMENT CORP.
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
(in millions, except per share data)
 

Year Ended December 31,
  2025 2024 2023
Interest income:
Interest income $ 3,523   $ 2,949   $ 2,041  
Interest expense 2,848   2,931   2,287  
Net interest income (expense) 675   18   ( 246 )
Other gain (loss), net:
Loss on sale of investment securities, net ( 529 ) ( 188 ) ( 1,567 )
Unrealized gain (loss) on investment securities measured at fair value through net income, net 2,733   ( 885 ) 1,678  
Gain (loss) on derivative instruments and other investments, net ( 1,082 ) 2,028   386  
Total other gain, net: 1,122   955   497  
Expenses:
Compensation and benefits 87   74   62  
Other operating expense 40   36   34  
Total operating expense 127   110   96  
Net income 1,670   863   155  
Dividends on preferred stock 161   132   123  

Net income available to common stockholders $ 1,509   $ 731   $ 32  

Net income $ 1,670   $ 863   $ 155  
Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net 268   ( 74 ) 155  
Comprehensive income 1,938   789   310  
Dividends on preferred stock
161   132   123  

Comprehensive income available to common stockholders $ 1,777   $ 657   $ 187  

Weighted average number of common shares outstanding - basic
1,020.0   783.4   618.4  
Weighted average number of common shares outstanding - diluted
1,023.7   786.0   619.6  
Net income per common share - basic $ 1.48   $ 0.93   $ 0.05  
Net income per common share - diluted $ 1.47   $ 0.93   $ 0.05  

See accompanying notes to consolidated financial statements.
54

AGNC INVESTMENT CORP.
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY
(in millions)

Preferred Stock Common Stock Additional
Paid-in
Capital Retained
Deficit Accumulated
Other
Comprehensive
Income (Loss) Total
Shares Amount

Balance, December 31, 2022 $ 1,634   574.6   $ 6   $ 14,186   $ ( 7,284 ) $ ( 672 ) $ 7,870  
Net income
—  —  —  —  155   —  155  
Other comprehensive income:

Unrealized gain on available-for-sale securities, net
—  —  —  —  —  155   155  
Stock-based compensation, net —  0.9   —  11   —  —  11  

Issuance of common stock —  118.8   1   1,084   —  —  1,085  

Preferred dividends declared —  —  —  —  ( 123 ) —  ( 123 )
Common dividends declared —  —  —  —  ( 896 ) —  ( 896 )

Balance, December 31, 2023 $ 1,634   694.3   $ 7   $ 15,281   $ ( 8,148 ) $ ( 517 ) $ 8,257  
Net income —  —  —  —  863   —  863  
Other comprehensive loss:
Unrealized loss on available-for-sale securities, net —  —  —  —  —  ( 74 ) ( 74 )
Stock-based compensation, net —  1.0   —  18   —  —  18  

Issuance of common stock —  202.1   2   1,965   —  —  1,967  

Preferred dividends declared —  —  —  —  ( 132 ) —  ( 132 )
Common dividends declared —  —  —  —  ( 1,137 ) —  ( 1,137 )

Balance, December 31, 2024 $ 1,634   897.4   $ 9   $ 17,264   $ ( 8,554 ) $ ( 591 ) $ 9,762  
Net income —  —  —  —  1,670   —  1,670  
Other comprehensive income:
Unrealized gain on available-for-sale securities, net —  —  —  —  —  268   268  
Stock-based compensation, net —  2.0   —  26   —  —  26  
Issuance of preferred stock 334   —  —  —  —  —  334  
Issuance of common stock —  208.2   2   1,971   —  —  1,973  

Preferred dividends declared —  —  —  —  ( 161 ) —  ( 161 )
Common dividends declared —  —  —  —  ( 1,479 ) —  ( 1,479 )
Balance, December 31, 2025 $ 1,968   1,107.6   $ 11   $ 19,261   $ ( 8,524 ) $ ( 323 ) $ 12,393  

See accompanying notes to consolidated financial statements.
55

AGNC INVESTMENT CORP.
CONSOLIDATED STATEMENTS OF CASH FLOWS
(in millions)  

Year Ended December 31,

  2025 2024 2023
Operating activities:
Net income $ 1,670   $ 863   $ 155  
Adjustments to reconcile net income to net cash provided by operating activities:
Amortization of premiums and discounts on mortgage-backed securities, net 177   123   201  
Stock-based compensation, net 26   18   11  
Loss on sale of investment securities, net 529   188   1,567  
Unrealized (gain) loss on investment securities measured at fair value through net income, net ( 2,733 ) 885   ( 1,678 )
(Gain) loss on derivative instruments and other securities, net 1,082   ( 2,028 ) ( 386 )
(Increase) decrease in other assets ( 151 ) 738   ( 892 )
Increase (decrease) in other liabilities 53   ( 701 ) 904  
Net cash provided by (used in) operating activities 653   86   ( 118 )
Investing activities:
Purchases of Agency mortgage-backed securities ( 45,583 ) ( 41,762 ) ( 32,216 )
Purchases of credit risk transfer and non-Agency securities and other mortgage credit investments ( 69 ) ( 251 ) ( 364 )
Proceeds from sale of Agency mortgage-backed securities 24,756   22,825   13,608  
Proceeds from sale of credit risk transfer and non-Agency securities 270   286   732  
Principal collections on Agency mortgage-backed securities 7,480   5,832   4,327  
Principal collections on credit risk transfer and non-Agency securities 31   121   68  
Payments on U.S. Treasury securities ( 52,439 ) ( 18,831 ) ( 30,535 )
Proceeds from U.S. Treasury securities 38,688   24,601   33,229  
Net proceeds from (payments on) reverse repurchase agreements 1,407   ( 4,793 ) ( 4,510 )
Net proceeds from (payments on) derivative instruments ( 405 ) 803   989  
Net cash used in investing activities ( 25,864 ) ( 11,169 ) ( 14,672 )
Financing activities:
Proceeds from repurchase arrangements 7,175,107   5,600,336   3,282,218  
Payments on repurchase agreements ( 7,150,619 ) ( 5,589,964 ) ( 3,268,054 )
Payments on debt of consolidated variable interest entities ( 12 ) ( 15 ) ( 17 )
Net proceeds from preferred stock issuance 334   —   —  

Net proceeds from common stock issuances 1,973   1,967   1,085  

Cash dividends paid ( 1,601 ) ( 1,241 ) ( 1,005 )
Net cash provided by financing activities 25,182   11,083   14,227  
Net change in cash, cash equivalents and restricted cash ( 29 ) —   ( 563 )
Cash, cash equivalents and restricted cash at beginning of period 1,771   1,771   2,334  
Cash, cash equivalents and restricted cash at end of period $ 1,742   $ 1,771   $ 1,771  

Reconciliation of cash, cash equivalents and restricted cash end of period:
Cash and cash equivalents $ 450   $ 505   $ 518  
Restricted cash 1,292   1,266   1,253  
Total cash, cash equivalents and restricted cash, end of period $ 1,742   $ 1,771   $ 1,771  

Supplemental disclosure to cash flow information:
Interest paid $ 2,793   $ 2,899   $ 2,246  

See accompanying notes to consolidated financial statements.
56

AGNC INVESTMENT CORP.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

Note 1. Organization
AGNC Investment Corp. (referred throughout this report as the "Company," "we," "us" and "our") was organized in Delaware on January 7, 2008 and commenced operations on May 20, 2008 following the completion of our initial public offering. Our common stock is traded on The Nasdaq Global Select Market under the symbol "AGNC."
We are a leading provider of private capital to the U.S. housing market, enhancing liquidity in the residential real estate mortgage markets and, in turn, facilitating home ownership in the U.S. We invest primarily in Agency residential mortgage-backed securities ("Agency RMBS") for which the principal and interest payments are guaranteed by a U.S. Government-sponsored enterprise ("GSE") or a U.S. Government agency. We also invest in Agency multifamily mortgage-backed securities ("Agency multifamily MBS") that are similarly guaranteed by the GSEs and in other types of mortgage and mortgage-related securities, such as credit risk transfer ("CRT") securities and non-Agency residential and commercial mortgage-backed securities ("non-Agency RMBS" and "CMBS," respectively), where repayment of principal and interest is not guaranteed by a GSE or U.S. Government agency, and other assets related to the housing, mortgage or real estate markets. We fund our investments primarily through collateralized borrowings structured as repurchase agreements.
We operate to qualify to be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Internal Revenue Code"). As a REIT, we are required to distribute annually 90 % of our taxable income, and we will generally not be subject to U.S. federal or state corporate income tax to the extent that we distribute our annual taxable income to our stockholders on a timely basis. It is our intention to distribute 100 % of our taxable income within the time limits prescribed by the Internal Revenue Code, which may extend into the subsequent tax year.
We are internally managed with the principal objective of generating favorable long-term stockholder returns with a substantial yield component. We generate income from the interest earned on our investments, net of associated borrowing and hedging costs, and net realized gains and losses on our investment and hedging activities.

Note 2. Summary of Significant Accounting Policies
Basis of Presentation and Consolidation
Our consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States ("GAAP"). Our consolidated financial statements include the accounts of all subsidiaries and variable interest entities for which we are the primary beneficiary. Significant intercompany accounts and transactions have been eliminated.
Use of Estimates
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements and revenues and expenses during the period reported. Actual results could differ from those estimates.
Investment Securities
Agency RMBS consist of residential mortgage pass-through securities and collateralized mortgage obligations ("CMOs") guaranteed by the Federal National Mortgage Association ("Fannie Mae"), Federal Home Loan Mortgage Corporation ("Freddie Mac," and together with Fannie Mae, the "GSEs") or the Government National Mortgage Association ("Ginnie Mae").
Agency multifamily MBS consist of securities backed by one or more mortgage loans secured by one or more multifamily properties that are similarly guaranteed by a GSE. Our investments in Agency multifamily MBS primarily consist of securities issued under Fannie Mae's Delegated Underwriting and Servicing ("DUS") program, which are generally backed by a single mortgage loan secured by a single property and include lender risk-sharing.
CRT securities are risk sharing instruments issued by the GSEs, and similarly structured transactions issued by third-party market participants, that synthetically transfer a portion of the risk associated with credit losses within pools of conventional residential and multifamily mortgage loans from the GSEs and/or third parties to private investors. Unlike Agency RMBS and Agency multifamily MBS, full repayment of the original principal balance of CRT securities is not guaranteed by a GSE or U.S. Government agency; rather, "credit risk transfer" is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool of loans exceed certain thresholds. By reducing the principal amount that they are obligated to repay to holders of CRT securities, the GSEs and/or other third parties offset credit losses on the related loans.
57

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 December 31, 2025 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 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.
58

Repurchase Agreements  
We finance the acquisition of securities for our investment portfolio primarily through repurchase agreements with our lending counterparties. Repurchase arrangements involve the sale and a simultaneous agreement to repurchase the securities at a future date. We maintain a beneficial interest in the specific securities pledged during the term of each repurchase arrangement and we receive the related principal and interest payments. Pursuant to ASC Topic 860, Transfers and Servicing , we account for repurchase agreements as collateralized financing transactions, which are carried at their contractual amounts (cost), plus accrued interest. Our repurchase agreements typically have maturities of less than one year.
Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements
We borrow securities to cover short sales of U.S. Treasury securities through reverse repurchase transactions (see Derivative Instruments below). We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. We may also enter into reverse repurchase agreements to earn a yield on excess cash balances. The securities received as collateral in connection with our reverse repurchase agreements mitigate our credit risk exposure to counterparties. Our reverse repurchase agreements typically have maturities of 30 days or less.
Derivative Instruments
We use a variety of derivative instruments to hedge a portion of our exposure to market risks, including interest rate, prepayment, extension and liquidity risks. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The primary instruments that we use are interest rate swaps, options to enter into interest rate swaps ("swaptions"), U.S. Treasury securities and U.S. Treasury futures contracts. We also use forward contracts in the Agency RMBS "to-be-announced" market, or TBA securities, to invest in and finance Agency securities and to periodically reduce our exposure to Agency RMBS.
We account for derivative instruments in accordance with ASC Topic 815, Derivatives and Hedging ("ASC 815"). ASC 815 requires an entity to recognize all derivatives as either assets or liabilities in our accompanying consolidated balance sheets and to measure those instruments at fair value. None of our derivative instruments have been designated as hedging instruments for accounting purposes under the provisions of ASC 815, consequently changes in the fair value of our derivative instruments are reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.
Our derivative agreements generally contain provisions that allow for netting or setting off derivative assets and liabilities with the counterparty; however, we report related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. Changes in fair value of derivative instruments and periodic settlements related to our derivative instruments are recorded in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Net cash receipts from and payments on our derivative instruments are classified in our consolidated statements of cash flows according to the underlying nature or purpose of the derivative transaction, generally in the investing section.
Interest rate swap agreements
We use interest rate swaps to economically hedge the variable cash flows associated with our borrowings made under repurchase agreements. Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate ("payer swaps") based on a short-term benchmark rate, such as the Secured Overnight Financing Rate ("SOFR") and Overnight Index Swap Rate ("OIS"). Our interest rate swaps typically have terms from one to 10 years. Our interest rate swaps are centrally cleared through a registered commodities exchange. The clearing exchange requires that we post an "initial margin" amount determined by the exchange. The initial margin amount is intended to be set at a level sufficient to protect the exchange from the interest rate swap's maximum estimated single-day price movement and is subject to adjustment based on changes in market volatility and other factors. We also exchange daily settlements of "variation margin" based upon changes in fair value, as measured by the exchange. Pursuant to rules governing central clearing activities, we recognize variation margin settlements as a direct reduction of the carrying value of the interest rate swap asset or liability.
Interest rate swaptions
We purchase interest rate swaptions to help mitigate the potential impact of larger, more rapid changes in interest rates on the performance of our investment portfolio. Interest rate swaptions provide us the option to enter into an interest rate swap
59

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-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
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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.
Consolidated Variable Interest Entities
ASC Topic 810, Consolidation ("ASC 810"), requires an enterprise to consolidate a variable interest entity ("VIE") if it is deemed the primary beneficiary of the VIE. As of December 31, 2025 and 2024, our consolidated financial statements reflect the consolidation of certain VIEs for which we have determined we are the primary beneficiary. The consolidated VIEs consist of CMO trusts backed by fixed or adjustable-rate Agency RMBS. Fannie Mae or Freddie Mac guarantees the payment of interest and principal and acts as the trustee and administrator of their respective securitization trusts. Accordingly, we are not required to provide the beneficial interest holders of the CMO securities any financial or other support. Our maximum exposure to loss related to our involvement with the CMO trusts is the fair value of the CMO securities and interest and principal-only securities held by us, less principal amounts guaranteed by Fannie Mae and Freddie Mac.
Cash and Cash Equivalents  
Cash and cash equivalents include cash held in bank accounts and cash held in money market funds on an overnight basis.
Restricted Cash
Restricted cash includes cash pledged as collateral for clearing and executing trades, repurchase agreements, and interest rate swaps and other derivative instruments.
Goodwill
Goodwill is the cost of an acquisition in excess of the fair value of identified assets acquired and liabilities assumed and is recognized as an asset on our consolidated balance sheets. As of December 31, 2025 and 2024, we had $ 526 million of
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goodwill related to our acquisition of AGNC Management, LLC, our former manager, on July 1, 2016. Goodwill is not subject to amortization but must be tested for impairment at least annually and at interim periods when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative analysis requires that we compare the carrying value of the identified reporting unit comprising the goodwill to the reporting unit's fair value. If the reporting unit's carrying value is greater than its fair value, an impairment charge is recognized to the extent the carrying amount of the reporting unit exceeds its fair value. During the three fiscal years ended December 31, 2025, we did not recognize a goodwill impairment charge.
Stock-Based Compensation
Under our Amended and Restated AGNC Investment Corp. 2016 Equity and Incentive Compensation Plan (the "2016 Equity Plan" or "the Plan"), we may grant equity-based compensation to our officers and other employees and non-employee directors for the purpose of providing incentives and rewards for service or performance. Stock-based awards issued under the Plan include time-based and performance-based restricted stock unit awards ("RSU" and "PSU" awards, respectively), but may include other forms of equity-based compensation. RSU and PSU awards are an agreement to issue an equivalent number of shares of our common stock, plus any equivalent shares for dividends declared on our common stock, at the time the award vests, or later if distribution of such shares has been deferred beyond the vesting date. RSU awards vest over a specified service period. PSU awards vest over a specified service period subject to achieving long-term performance criteria.
We measure and recognize compensation expense for all stock-based payment awards made to employees and non-employee directors based on their fair values. We value RSU and PSU awards based on the fair value of our common stock on the date of grant. Compensation expense is recognized over each award's respective service period. For PSU awards, we estimate the probability that the performance criteria will be achieved and recognize expense only for those awards expected to vest. We reevaluate our estimates each reporting period and recognize a cumulative effect adjustment to expense if our estimates change from the prior period. We do not estimate forfeiture rates; rather, we adjust for forfeitures in the periods in which they occur.
Shares underlying RSU and PSU awards are issued when the awards vest, or later if distribution of such shares has been deferred beyond the vest date. Shares issued are net of shares withheld to cover minimum statutory tax withholding obligations. The fair value of shares withheld for tax withholdings is recorded as a reduction to additional paid-in capital.
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 December 31, 2025 and 2024, our investment portfolio consisted of $81.7 billion and $66.3 billion investment securities, at fair value, respectively, $ 13.0 billion and $ 6.9 billion net TBA securities, at fair value, respectively, and other mortgage credit investments of $ 70 million and $ 64 million, respectively, which we account for under the equity method of accounting. Our TBA position is reported at its net carrying value totaling $ 71 million and $( 26 ) million as of December 31, 2025 and 2024, 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 December 31, 2025 and 2024, our investment securities had a net unamortized premium balance of $ 1.0 billion and $ 1.0 billion, respectively.
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The following tables summarize our investment securities as of December 31, 2025 and 2024, excluding TBA securities and other mortgage credit investments (dollars in millions). Details of our TBA securities are included in Note 5.

  December 31, 2025 December 31, 2024
Investment Securities Amortized
Cost Fair Value Amortized
Cost Fair Value
Agency RMBS:
Fixed rate $ 77,643   $ 77,483   $ 67,139   $ 64,049  
Adjustable rate 858   867   796   790  
CMO 85   83   102   96  
Interest-only and principal-only strips 122   116   60   53  
Multifamily 2,521   2,539   485   476  
Total Agency RMBS 81,229   81,088   68,582   65,464  
Non-Agency RMBS 1
16   15   17   15  
CMBS 11   10   264   236  
CRT securities 561   606   583   633  
Total investment securities $ 81,817   $ 81,719   $ 69,446   $ 66,348  

  December 31, 2025
December 31, 2024

Non-Agency 1
Non-Agency 1

Investment Securities Agency RMBS RMBS CMBS CRT Total Agency RMBS RMBS CMBS CRT Total
Available-for-sale securities:
Par value 2
$ 3,517   $ —  $ —  $ —  $ 3,517   $ 4,447   $ —  $ —  $ —  $ 4,447  
Unamortized discount
—   —  —  —  —   ( 1 ) —  —  —  ( 1 )
Unamortized premium
210   —  —  —  210   265   —  —  —  265  
Amortized cost
3,727   —  —  —  3,727   4,711   —  —  —  4,711  
Gross unrealized gains
—   —  —  —  —   —   —  —  —  —  
Gross unrealized losses
( 323 ) —  —  —  ( 323 ) ( 591 ) —  —  —  ( 591 )
Total available-for-sale securities, at fair value 3,404   —  —  —  3,404   4,120   —  —  —  4,120  
Securities remeasured at fair value through earnings:
Par value 2
76,729   18   11   555   77,313   63,119   19   270   576   63,984  
Unamortized discount
( 521 ) ( 3 ) —   ( 10 ) ( 534 ) ( 374 ) ( 3 ) ( 8 ) ( 11 ) ( 396 )
Unamortized premium
1,294   1   —   16   1,311   1,126   1   2   18   1,147  
Amortized cost
77,502   16   11   561   78,090   63,871   17   264   583   64,735  
Gross unrealized gains
1,129   1   —   45   1,175   93   —   4   50   147  
Gross unrealized losses
( 947 ) ( 2 ) ( 1 ) —   ( 950 ) ( 2,620 ) ( 2 ) ( 32 ) —   ( 2,654 )
Total securities remeasured at fair value through earnings 77,684   15   10   606   78,315   61,344   15   236   633   62,228  
Total securities, at fair value $ 81,088   $ 15   $ 10   $ 606   $ 81,719   $ 65,464   $ 15   $ 236   $ 633   $ 66,348  

 ________________________________
1. Non-Agency amounts exclude other mortgage credit investments of $ 70 million and $ 64 million as of December 31, 2025 and 2024, respectively.
2. Par value excludes interest-only securities. As of December 31, 2025 and 2024, Agency RMBS interest-only securities had a par value of $ 4,475 million and $ 307 million, respectively, and non-Agency interest-only securities had a par value of $ 16 million and $ 93 million, respectively.

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The following table presents the Company's Agency RMBS portfolio by issuing GSE or U.S. Government agency at fair value as of December 31, 2025 and 2024 (in millions):

December 31,
Investment Type  2025
 2024

Fannie Mae $ 43,148   $ 35,220  
Freddie Mac 37,670   30,216  
Ginnie Mae 270   28  
Total $ 81,088   $ 65,464  

As of December 31, 2025 and 2024, our investments in CRT and non-Agency securities had the following credit ratings (in millions):

  December 31, 2025 December 31, 2024
CRT and Non-Agency Security Credit Ratings 1
CRT RMBS 2
CMBS CRT RMBS 2
CMBS
AAA $ —   $ 1   $ —   $ —   $ 1   $ 16  
AA 13   —   —   8   —   35  
A —   —   —   —   —   31  
BBB —   2   5   6   1   22  
BB 46   —   —   87   1   51  
B 11   —   5   27   —   43  
Not Rated 536   12   —   505   12   38  
Total $ 606   $ 15   $ 10   $ 633   $ 15   $ 236  

 ________________________________
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 $ 70 million and $ 64 million as of December 31, 2025 and 2024, respectively.

Our CRT securities primarily reference the performance of single-family and multifamily mortgage loans underlying Agency RMBS and CMBS issued by Fannie Mae or Freddie Mac, which are subject to the respective agency's underwriting standards. The remainder of our CRT holdings reference single-family loans originated and issued by third-party market participants and may not be subject to the same standards.
The actual maturities of our investment securities are generally shorter than their stated contractual maturities. The actual maturities of our Agency and high credit quality non-Agency RMBS are primarily affected by principal prepayments and to a lesser degree the contractual lives of the underlying mortgages and periodic contractual principal repayments. The actual maturities of our credit-oriented investments are primarily impacted by their contractual lives and default and loss recovery rates. As of December 31, 2025 and 2024, 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 9.6 % and 7.7 %, 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 December 31, 2025 and 2024 according to their estimated weighted average life classification (dollars in millions):

  December 31, 2025 December 31, 2024
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 $ 4,670   $ 4,630   6.59 % 5.50 % $ 539   $ 530   7.37 % 8.06 %
> 3 years and ≤ 5 years 19,068   18,755   5.85 % 5.50 % 2,026   2,066   5.96 % 5.48 %
> 5 years and ≤10 years 55,562   56,048   4.86 % 4.68 % 56,551   59,479   4.97 % 4.66 %
> 10 years 2,419   2,384   4.93 % 5.11 % 7,232   7,371   5.14 % 5.24 %
Total
$ 81,719   $ 81,817   5.19 % 4.93 % $ 66,348   $ 69,446   5.03 % 4.77 %

 ________________________________
1. Table excludes other mortgage credit investments of $ 70 million and $ 64 million as of December 31, 2025 and 2024, 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 December 31, 2025 and 2024 (in millions):
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  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
December 31, 2025
$ —   $ —   $ 3,391   $ ( 323 ) $ 3,391   $ ( 323 )
December 31, 2024
$ —   $ —   $ 4,104   $ ( 591 ) $ 4,104   $ ( 591 )

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 fiscal years 2025, 2024 and 2023 by investment classification of accounting (in millions):

Fiscal Year 2025 Fiscal Year 2024 Fiscal Year 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 Available-for-Sale
Securities 2,3
Fair Value Option Securities Total
Investment securities sold, at cost $ ( 411 ) $ ( 25,296 ) $ ( 25,707 ) $ —   $ ( 23,299 ) $ ( 23,299 ) $ ( 524 ) $ ( 15,263 ) $ ( 15,787 )
Proceeds from investment securities sold 1
370   24,808   25,178   —   23,111   23,111   461   13,759   14,220  
Net gain (loss) on sale of investment securities $ ( 41 ) $ ( 488 ) $ ( 529 ) $ —   $ ( 188 ) $ ( 188 ) $ ( 63 ) $ ( 1,504 ) $ ( 1,567 )

Gross gain on sale of investment securities $ —   $ 132   $ 132   $ —   $ 164   $ 164   $ —   $ 19   $ 19  
Gross loss on sale of investment securities ( 41 ) ( 620 ) ( 661 ) —   ( 352 ) ( 352 ) ( 63 ) ( 1,523 ) ( 1,586 )
Net gain (loss) on sale of investment securities $ ( 41 ) $ ( 488 ) $ ( 529 ) $ —   $ ( 188 ) $ ( 188 ) $ ( 63 ) $ ( 1,504 ) $ ( 1,567 )

 ________________________________
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 fiscal years 2025, 2024 and 2023, we received principal repayments on available-for-sale securities of $ 534 million , $ 588 million and $704 million, respectively.

Note 4. Repurchase Agreements and Reverse Repurchase Agreements
Repurchase Agreements
We pledge our securities as collateral under our borrowings structured as repurchase agreements with financial institutions. Amounts available to be borrowed are dependent upon the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, type of security, and liquidity conditions within the banking, mortgage finance and real estate industries. If the fair value of our pledged securities declines, lenders will typically require us to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as "margin calls." Similarly, if the fair value of our pledged securities increases, lenders may release collateral back to us. As of December 31, 2025, we had met all margin call requirements. For additional information regarding our pledged assets, please refer to Note 6.
As of December 31, 2025 and 2024, we had $ 85.3 billion and $ 60.8 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 December 31, 2025 and 2024 (dollars in millions):
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  December 31, 2025 December 31, 2024
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 $ 69,997   3.98   % 11   $ 55,580   4.77   % 10  
> 1 to ≤ 3 months 2,949   4.01   % 49   3,782   4.68   % 39  

Investment Securities Repo 72,946   3.98   % 12   59,362   4.76   % 11  
U.S. Treasury Repo:
≤ 1 month 12,340   3.90   % 2   1,436   4.68   % 2  
Total $ 85,286   3.97   % 11   $ 60,798   4.76   % 11  

As of December 31, 2025 and 2024, $ 27.5 billion and $ 25.4 billion, respectively, of our investment securities repurchase agreements and $ 10.9 billion and $ 1.4 billion, respectively, of our U.S. Treasury repurchase agreements had an overnight maturity of one business day and none of our repurchase agreements were due on demand. As of December 31, 2025, we had $ 24.7 billion of forward commitments to enter into repurchase agreements with a weighted average forward start date of 2 days and a weighted average interest rate of 3.81 %. As of December 31, 2024, we had $ 17.3 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 2 days and a weighted average interest rate of 4.61 %. As of December 31, 2025 and 2024, 57 % and 50 %, respectively, of our repurchase agreement funding was sourced through our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC ("BES"). Amounts sourced through BES include funding from the General Collateral Finance Repo service ("GCF Repo") offered by the Fixed Income Clearing Corporation ("FICC"), which totaled 44 % and 47 % of our repurchase agreement funding outstanding as of December 31, 2025 and 2024, respectively.
Reverse Repurchase Agreements
As of December 31, 2025 and 2024, we had $16.6 billion and $17.1 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 $16.5 billion and $16.7 billion, respectively. As of December 31, 2025 and 2024, $ 5.2 billion and $ 3.9 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 December 31, 2025 and 2024 (in millions):

December 31,
Derivative and Other Hedging Instruments Balance Sheet Location 2025
2024

Interest rate swaps 1
Derivative assets, at fair value $ 57   $ 22  
Swaptions Derivative assets, at fair value 24   39  
TBA and forward settling non-Agency securities Derivative assets, at fair value 77   61  
U.S. Treasury futures - long Derivative assets, at fair value 3   —  
U.S. Treasury futures - short Derivative assets, at fair value 8   83  
SOFR futures contracts - long Derivative assets, at fair value —   —  
Total derivative assets, at fair value
$ 169   $ 205  

Interest rate swaps 1
Derivative liabilities, at fair value $ —   $ —  
TBA and forward settling non-Agency securities Derivative liabilities, at fair value ( 6 ) ( 87 )

SOFR futures contracts - long Derivative liabilities, at fair value —   ( 7 )

Total derivative liabilities, at fair value
$ ( 6 ) $ ( 94 )

U.S. Treasury securities - long U.S. Treasury securities, at fair value $ 13,477   $ 1,575  
U.S. Treasury securities - short Obligation to return securities borrowed under reverse repurchase agreements, at fair value ( 16,452 ) ( 16,676 )
Total U.S. Treasury securities, net at fair value
$ ( 2,975 ) $ ( 15,101 )
________________________________
1. As of December 31, 2025 and 2024, 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 $ 1.3 billion and $ 2.3 billion, respectively.
The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of December 31, 2025 and 2024 (dollars in millions):

Pay Fixed / Receive Variable Interest Rate Swaps December 31, 2025
December 31, 2024
Years to Maturity Notional
Amount Average
Fixed Pay 
Rate Average
Variable Receive
Rate 1
Average
Maturity
(Years) Notional
Amount Average
Fixed Pay 
Rate Average
Variable Receive
Rate 1
Average
Maturity
(Years)
≤ 1 year $ 7,300   0.20 % 3.80 % 0.5 $ 8,500   0.14 % 4.42 % 0.5
> 1 to ≤ 3 years 20,421   2.38 % 3.86 % 2.1 10,550   0.22 % 4.45 % 1.8
> 3 to ≤ 5 years 8,970   2.26 % 3.85 % 4.5 3,800   0.25 % 4.49 % 3.9
> 5 to ≤ 7 years 13,980   3.43 % 3.87 % 6.8 4,150   2.14 % 4.46 % 5.7
> 7 to ≤ 10 years 13,961   3.43 % 3.87 % 8.6 12,646   3.52 % 4.49 % 8.8

Total $ 64,632   2.57 % 3.86 % 4.7 $ 39,646   1.46 % 4.46 % 4.4

________________________________
1. As of December 31, 2025, 95 % and 5 % of notional amount receive index references SOFR and OIS, respectively. As of 2024, 82 % and 18 % of notional amount receive index references SOFR and OIS, respectively.

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

December 31, 2025 ≤ 1 year $ —   $ —   — $ —   — % 0.0

December 31, 2024 ≤ 1 year $ 23   $ 38   5 $ 2,000   4.16 % 10.0

________________________________
1. Receive index references SOFR.

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

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

December 31, 2024 ≤ 1 year $ 3   $ 1   11 $ 150   2.98 % 5.0

________________________________
1. Pay index references SOFR.

U.S. Treasury Securities 1
December 31, 2025 December 31, 2024
Years to Maturity Face Amount Long/(Short) Cost Basis Fair Value Face Amount Long/(Short) Cost Basis Fair Value
≤ 5 years $ 12,470   $ 12,465   $ 12,467   $ 956   $ 961   $ 956  
> 5 year ≤ 7 years ( 838 ) ( 834 ) ( 774 ) ( 2,722 ) ( 2,685 ) ( 2,302 )
> 7 year ≤ 10 years ( 12,390 ) ( 12,334 ) ( 12,493 ) ( 12,659 ) ( 12,329 ) ( 11,999 )
> 10 years ( 2,162 ) ( 2,210 ) ( 2,175 ) ( 1,782 ) ( 1,829 ) ( 1,756 )
Total U.S. Treasury securities, net $ ( 2,920 ) $ ( 2,913 ) $ ( 2,975 ) $ ( 16,207 ) $ ( 15,882 ) $ ( 15,101 )

________________________________
1. As of December 31, 2025 and 2024, short U.S. Treasury securities totaling $( 16.5 ) billion and $( 16.7 ) billion, at fair value, respectively, had a weighted average yield of 4.21 % and 3.85 %, respectively. As of December 31, 2025 and 2024, long U.S. Treasury securities totaling $ 13.5 billion and $ 1.6 billion, at fair value, respectively, had a weighted average yield of 3.67 % and 4.27 %, respectively.

 U.S. Treasury Futures 1
December 31, 2025 December 31, 2024
Years to Maturity Notional 
Amount
Long (Short) Cost
Basis Fair
Value Net Carrying Value 2
Notional 
Amount
Long (Short) Cost
Basis Fair
Value Net Carrying Value 2

> 5 year ≤ 7 years $ 4,606   $ 5,175   $ 5,178   $ 3   $ ( 1,582 ) $ ( 1,734 ) $ ( 1,721 ) $ 13  
> 7 year ≤ 10 years —   —   —   —   ( 500 ) ( 566 ) ( 557 ) 9  
> 10 years ( 3,210 ) ( 3,718 ) ( 3,710 ) 8   ( 2,291 ) ( 2,669 ) ( 2,608 ) 61  
Total U.S. Treasury futures, net $ 1,396   $ 1,457   $ 1,468   $ 11   $ ( 4,373 ) $ ( 4,969 ) $ ( 4,886 ) $ 83  

________________________________
1. As of December 31, 2025 and 2024, short U.S. Treasury futures totaling $( 3.7 ) billion and $( 4.9 ) billion, at fair value, respectively. As of December 31, 2025, long U.S. Treasury futures totaling $ 5.2 billion, at fair value.
2. Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying U.S. Treasury security) of the U.S. Treasury futures contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.

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  December 31, 2025 December 31, 2024
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:

≥ 4.5% $ 148   $ 151   $ 151   $ —   $ —   $ —   $ —   $ —  

Total 15-Year TBA securities 148   151   151   —   —   —   —   —  
30-Year TBA securities:
≤ 3.0% —   —   —   —   ( 586 ) ( 504 ) ( 497 ) 7  
3.5% 452   415   417   2   —   2   —   ( 2 )
4.0% —   —   —   —   122   112   111   ( 1 )
4.5% 5,317   5,156   5,193   37   2,342   2,210   2,204   ( 6 )
5.0% 5,679   5,643   5,666   23   2,780   2,703   2,700   ( 3 )
5.5% 1,842   1,851   1,857   6   ( 235 ) ( 180 ) ( 210 ) ( 30 )
6.0% 1,745   1,780   1,786   6   2,033   2,036   2,044   8  
≥ 6.5% ( 2,003 ) ( 2,079 ) ( 2,082 ) ( 3 ) 499   508   509   1  
Total 30-Year TBA securities, net 13,032   12,766   12,837   71   6,955   6,887   6,861   ( 26 )
Total TBA securities, net $ 13,180   $ 12,917   $ 12,988   $ 71   $ 6,955   $ 6,887   $ 6,861   $ ( 26 )

________________________________
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 December 31, 2024, we held SOFR futures contracts with a long notional position of $ 1.2 billion, measured on a two-year swap equivalent basis, with a net carrying value of $( 7 ) million.
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 fiscal years 2025, 2024 and 2023 (in millions):

69

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

Fiscal Year 2025:
TBA securities, net $ 6,955   167,650   ( 161,425 ) $ 13,180   $ 318  

Interest rate swaps - payer $ 39,646   54,746   ( 29,760 ) $ 64,632   ( 518 )

Payer swaptions $ 2,000   1,500   ( 3,500 ) $ —   ( 29 )
Receiver swaptions $ ( 150 ) ( 7,000 ) 150   $ ( 7,000 ) ( 47 )
U.S. Treasury securities - short position $ ( 17,792 ) ( 18,461 ) 19,875   $ ( 16,378 ) ( 786 )
U.S. Treasury securities - long position $ 1,585   31,831   ( 19,958 ) $ 13,458   81  
U.S. Treasury futures contracts - short position $ ( 4,373 ) ( 12,270 ) 13,433   $ ( 3,210 ) ( 110 )
U.S. Treasury futures contracts - long position $ —   5,956   ( 1,350 ) $ 4,606   ( 10 )
$ ( 1,101 )

Fiscal Year 2024:
TBA securities, net $ 5,332   123,959   ( 122,336 ) $ 6,955   $ ( 123 )

Interest rate swaps - payer $ 44,476   12,095   ( 16,925 ) $ 39,646   1,020  
Interest rate swaps - receiver $ ( 1,000 ) —   1,000   $ —   ( 9 )
Credit default swaps - buy protection $ ( 96 ) ( 192 ) 288   $ —   ( 7 )
Payer swaptions $ 1,250   2,500   ( 1,750 ) $ 2,000   54  
Receiver swaptions $ ( 150 ) —   —   $ ( 150 ) ( 3 )
U.S. Treasury securities - short position $ ( 11,347 ) ( 16,948 ) 10,503   $ ( 17,792 ) 844  
U.S. Treasury securities - long position $ 1,492   7,780   ( 7,687 ) $ 1,585   ( 85 )
U.S. Treasury futures contracts - short position $ ( 6,429 ) ( 12,473 ) 14,529   $ ( 4,373 ) 387  
U.S. Treasury futures contracts - long position $ —   750   ( 750 ) $ —   22  
$ 2,100  

Fiscal Year 2023:

TBA securities, net $ 19,050   164,465   ( 178,183 ) $ 5,332   $ 49  

Interest rate swaps - payer $ 47,825   5,746   ( 9,095 ) $ 44,476   666  
Interest rate swaps - receiver $ —   ( 1,000 ) —   $ ( 1,000 ) 4  
Credit default swaps - buy protection $ ( 215 ) ( 1,322 ) 1,441   $ ( 96 ) ( 13 )
Payer swaptions $ 3,050   —   ( 1,800 ) $ 1,250   ( 21 )
Receiver swaptions $ —   ( 150 ) —   $ ( 150 ) —  
U.S. Treasury securities - short position $ ( 7,373 ) ( 20,143 ) 16,169   $ ( 11,347 ) ( 54 )
U.S. Treasury securities - long position $ 357   14,272   ( 13,137 ) $ 1,492   ( 30 )
U.S. Treasury futures contracts - short position $ ( 9,213 ) ( 31,465 ) 34,249   $ ( 6,429 ) ( 42 )

$ 559  

________________________________
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 December 31, 2024 and 2023, we held SOFR futures contracts with a long notional position of $ 1.2 billion and $ 0.9 billion, respectively, measured on a two-year swap equivalent basis. For fiscal years 2025, 2024 and 2023, we recognized a gain (loss) of $ 20 million, $ 13 million and $( 10 ) 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 based on our counterparties' collateral requirements and their determination of the fair value of the securities pledged, which fluctuates with changes in interest rates, credit spreads, liquidity, and overall market conditions.
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Bilateral funding agreements typically include a "haircut," or discount applied to the market value of pledged collateral, which reflects the risk characteristics of the underlying securities. Haircuts are determined on a transaction-specific basis and are not contractually fixed under the applicable Master Repurchase Agreement.
Margin requirements for centrally cleared repurchase agreements executed through the Fixed Income Clearing Corporation ("FICC") are determined in accordance with the FICC's clearing rules. These include an initial margin requirement, calculated daily using a Value-at-Risk ("VaR") model, which takes into account any offsetting risk sensitivities of positions such as repos and reverse repos and is intended to protect the FICC against potential future exposure from a member default. The FICC also imposes variation margin based on amounts borrowed plus accrued interest, adjusted daily for fluctuations in collateral value, which is intended to cover our current repo exposure. Initial margin posted to the FICC may also be mutualized, meaning it can be used to absorb losses from the default of another clearing member, subject to applicable caps and withdrawal provisions.
We are also required to post collateral under our derivative agreements. These agreements typically require the posting of initial margin at inception and the daily exchange of variation margin as market values change. Initial margin for derivatives is generally based on counterparty risk models, including VaR-based approaches, and is intended to cover potential future exposure in the event of a default. Variation margin reflects current exposure and serves to settle gains and losses on a daily basis.
Our funding and derivative agreements expose us to credit risk in the event a counterparty fails to perform its obligations. We seek to mitigate this risk by actively monitoring our collateral positions and limiting our counterparties to registered clearinghouses and regulated financial institutions, including banks and broker-dealers (both bank affiliated and independent) with acceptable credit ratings. In the event of a counterparty default, we may experience delays or losses in recovering pledged collateral or receiving payments due. We believe the credit risk associated with centrally cleared transactions is limited by the clearinghouses' daily margin practices, mutualized loss protections, designations as systemically important financial market utilities, and other risk management safeguards.
As of December 31, 2025, our maximum amount at risk with any counterparty related to our repurchase agreements (i.e., the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables), excluding the FICC, was less than 2 % of our tangible stockholders' equity. As of December 31, 2025, less than 10 % of our tangible stockholders' equity was at risk with the FICC.
Assets Pledged to Counterparties
The following tables summarize our assets pledged as collateral under our funding, derivative and brokerage and clearing agreements by type, including securities pledged related to securities sold but not yet settled, as of December 31, 2025 and 2024 (in millions):

December 31, 2025
Assets Pledged to Counterparties 1
Repurchase Agreements 2
Debt of
Consolidated
VIEs Derivative Agreements and Other Total
Agency RMBS - fair value $ 74,213   $ 85   $ 115   $ 74,413  
CRT - fair value
558   —  —  558  
Non-Agency - fair value
13   —  —  13  
U.S. Treasury securities - fair value
12,636   —  440   13,076  
Accrued interest on pledged securities
430   —   4   434  
Restricted cash 44   —  1,248   1,292  
Total $ 87,894   $ 85   $ 1,807   $ 89,786  

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December 31, 2024
Assets Pledged to Counterparties 1
Repurchase Agreements 2
Debt of
Consolidated
VIEs Derivative Agreements and Other Total
Agency RMBS - fair value $ 59,958   $ 97   $ 27   $ 60,082  
CRT - fair value
590   —  —  590  
Non-Agency - fair value
206   —  —  206  
U.S. Treasury securities - fair value
1,414   —  151   1,565  
Accrued interest on pledged securities
279   —   1   280  
Restricted cash 386   —  880 1,266  
Total $ 62,833   $ 97   $ 1,059   $ 63,989  

________________________________
1. Includes repledged assets received as collateral from counterparties and securities sold but not yet settled.
2. Includes $ 30 million and $ 33 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2025 and 2024, 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 December 31, 2025 and 2024 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 4 .

  December 31, 2025 December 31, 2024
Securities Pledged by Remaining Maturity of Repurchase Agreements 1
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 $ 83,600   $ 83,502   $ 415   $ 58,180   $ 60,506   $ 266  
  > 1 and ≤ 2 months 3,324   3,435   13   3,842   4,227   13  
  > 2 and ≤ 3 months 496   503   2   146   149   —  
  > 3 months —   —   —   —   —   —  
Total $ 87,420   $ 87,440   $ 430   $ 62,168   $ 64,882   $ 279  

________________________________
1. Includes $ 30 million and $ 33 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2025 and 2024, respectively.
Assets Pledged from Counterparties
As of December 31, 2025 and 2024, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions).

December 31, 2025 December 31, 2024
Assets Pledged to AGNC Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total
Agency securities - fair value $ —  $ —  $ 33   $ 33   $ —  $ —  $ 17   $ 17  
U.S. Treasury securities - fair value 16,429   —   10   16,439   16,885   —   —   16,885  
Cash
—   100   19   119   —   28   38   66  
Total $ 16,429   $ 100   $ 62   $ 16,591   $ 16,885   $ 28   $ 55   $ 16,968  

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 December 31, 2025 and 2024 (in millions):
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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

December 31, 2025
Interest rate swap and swaption agreements, at fair value 1
$ 81   $ —  $ 81   $ —   $ ( 24 ) $ 57  
TBA securities, at fair value 1
77   —  77   ( 6 ) ( 71 ) —  
Receivable under reverse repurchase agreements 16,615   —   16,615   ( 12,503 ) ( 4,112 ) —  
Total $ 16,773   $ —   $ 16,773   $ ( 12,509 ) $ ( 4,207 ) $ 57  

December 31, 2024
Interest rate swap and swaption agreements, at fair value 1
$ 61   $ —  $ 61   $ —   $ ( 28 ) $ 33  
TBA securities, at fair value 1
61   —  61   ( 61 ) —   —  
Receivable under reverse repurchase agreements 17,137   —  17,137   ( 11,680 ) ( 5,457 ) —  
Total $ 17,259   $ —  $ 17,259   $ ( 11,741 ) $ ( 5,485 ) $ 33  

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

December 31, 2025
Interest rate swap agreements, at fair value 1
$ —   $ —  $ —   $ —   $ —   $ —  
TBA securities, at fair value 1
6   —  6   ( 6 ) —   —  
Repurchase agreements 85,286   —   85,286   ( 12,503 ) ( 72,783 ) —  
Total $ 85,292   $ —   $ 85,292   $ ( 12,509 ) $ ( 72,783 ) $ —  

December 31, 2024

TBA securities, at fair value 1
$ 87   $ —  $ 87   $ ( 61 ) $ ( 26 ) $ —  
Repurchase agreements 60,798   —  60,798   ( 11,680 ) ( 49,118 ) —  
Total $ 60,885   $ —  $ 60,885   $ ( 11,741 ) $ ( 49,144 ) $ —  

________________________________
1. Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 5 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components.
2. Includes cash and securities pledged / received as collateral, at fair value. Amounts include repledged collateral. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable.

Note 7. Fair Value Measurements
The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis, as of December 31, 2025 and 2024, 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.
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