SEC EDGAR · 10-Q
10-Q – 2026-07-31 – agnc-20260630.htm

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Omsättning
Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds | 47
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 multifa | 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 lim | 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.
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 receive | Derivative Instruments
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 | Fair Value Measurements
Reverse Repurchase Agreements | As of June 30, 2026 and December 31, 2025, we had $18.4 billion and $16.6 billion, respectively, of reverse repurchase agreements outstanding used primarily to borrow securities to cover short sales of U.S. Treasury securities, for which we had associated obligations to return borrowed securities at fair value of $18.2 billion and $16.5 billion, respectively. As of June 30, 2026 and December 31, 2025, $ 5.4 billion and $ 5.2 billion, respectively, of our reverse repurchase agreements were with t
At-the-Market Offering Program | We are authorized by our Board of Directors to enter into agreements with sales agents to publicly offer and sell shares of our common stock in privately negotiated and/or at-the-market transactions from time-to-time under two separate at-the-market programs, up to a maximum aggregate offering price under each program. As of June 30, 2026, shares of our common stock with an aggregate offering price of $ 0.1 billion remained authorized for issuance through December 31, 2026 under one program and
We are a leading provider of private capital to the U.S. housing market, enhancing liquidity in the residential real estate mortgage markets and, in turn, facilitating home ownership in the U.S. We invest primarily in Agency residential mortgage-backed securities (“Agency RMBS”) on a leveraged basis. These investments consist of residential mortgage pass-through securities and collateralized mortgage obligations for which the principal and interest payments are guaranteed by a U.S. Government-sp | 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 t | 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
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 month | Leverage and Financing Sources
Periodens resultat
Gain (loss) on sale of investment securities, net ( 16 ) ( 177 ) 58 ( 422 ) | Unrealized gain (loss) on investment securities measured at fair value through net income, net ( 90 ) 270 ( 979 ) 1,453 | Gain (loss) on derivative instruments and other investments, net 485 ( 367 ) 867 ( 1,386 )
Total operating expense 30 28 64 56 | Net income (loss) 654 ( 140 ) 506 ( 90 ) | Dividends on preferred stock 44 38 88 73
Net income (loss) available (attributable) to common stockholders $ 610 $ ( 178 ) $ 418 $ ( 163 )
Net income (loss) $ 654 $ ( 140 ) $ 506 $ ( 90 ) | Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net ( 7 ) 48 ( 15 ) 141
1,162.0 1,017.3 1,144.7 968.0 | Net income (loss) per common share - basic $ 0.53 $ ( 0.17 ) $ 0.37 $ ( 0.17 ) | Net income (loss) per common share - diluted $ 0.52 $ ( 0.17 ) $ 0.37 $ ( 0.17 )
Net income (loss) per common share - basic $ 0.53 $ ( 0.17 ) $ 0.37 $ ( 0.17 ) | Net income (loss) per common share - diluted $ 0.52 $ ( 0.17 ) $ 0.37 $ ( 0.17 ) | Dividends declared per common share $ 0.36 $ 0.36 $ 0.72 $ 0.72
Balance, March 31, 2026 $ 1,968 1,147.8 $ 11 $ 19,656 $ ( 9,123 ) $ ( 331 ) $ 12,181 | Net income | — — — — 654 — 654
Balance, December 31, 2025 $ 1,968 1,107.6 $ 11 $ 19,261 $ ( 8,524 ) $ ( 323 ) $ 12,393 | Net income — — — — 506 — 506 | Other comprehensive loss:
Kassaflöde
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-par | 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 | 7
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 | 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 unde | TBA securities - are valued using prices obtained from third-party pricing sources based on pricing models that reference recent trading activity.
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 whi | 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 i | 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 lo
Likvida medel
12,325 13,477 | Cash and cash equivalents 457 450 | Restricted cash 1,329 1,292
Reconciliation of cash, cash equivalents and restricted cash end of period: | Cash and cash equivalents $ 457 $ 656 | Restricted cash 1,329 1,216
Excluded from the table above are financial instruments reported at cost and other mortgage credit investments reported under the equity method of accounting in our consolidated financial statements. As of June 30, 2026 and December 31, 2025, the fair value of our repurchase agreements approximated cost, given their short-term nature (less than one year) and the rates on our outstanding repurchase agreements largely corresponded to prevailing rates observed in the repo market. The fair value of
2. Reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. | 3. Other interest income (expense), net includes interest income on cash and cash equivalents; price alignment interest income (expense) (“PAI”) on interest rate swap margin deposits posted by or (to) the Company; and other miscellaneous interest income (expense).
Nettoskuld
Net income (loss) $ 506 $ ( 90 ) | Adjustments to reconcile net income to net cash provided by operating activities: | Amortization of premiums and discounts on mortgage-backed securities, net 99 69
Increase in other liabilities 22 68 | Net cash provided by operating activities 605 372 | Investing activities:
Net proceeds from (payments on) derivative instruments 777 ( 774 ) | Net cash used in investing activities ( 4,685 ) ( 9,171 ) | Financing activities:
Cash dividends paid ( 909 ) ( 757 ) | Net cash provided by financing activities 4,124 8,900 | Net change in cash, cash equivalents and restricted cash 44 101
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 ar | 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 | Interest rate swap agreements
Eget kapital
Total liabilities 109,217 102,684 | Stockholders’ equity: | Preferred Stock - aggregate liquidation preference of $ 2,033
Accumulated other comprehensive loss ( 338 ) ( 323 ) | Total stockholders’ equity 12,543 12,393 | Total liabilities and stockholders’ equity $ 121,760 $ 115,077
Total stockholders’ equity 12,543 12,393 | Total liabilities and stockholders’ equity $ 121,760 $ 115,077
AGNC INVESTMENT CORP. | CONSOLIDATED STATEMENTS OF STOCKHOLDERS’ EQUITY | (Unaudited)
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 ple | As of June 30, 2026, our maximum amount at risk with any counterparty related to our repurchase agreements (i.e., the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables), excluding the FICC, was 1 % of our tangible stockholders’ equity. As of June 30, 2026, less than 11 % of our tangible stockholders’ equity was at risk with the FICC. | 18
Note 9. Stockholders’ Equity | Preferred Stock
Our portfolio is managed as a whole, with investment and hedging decisions assessed collectively by the Chief Operating Decision Maker (CODM). The CODM, represented by our Chief Executive Officer with the support of our Executive Management Committee, allocates resources and evaluates financial performance by considering the market risks identified above. The CODM also considers factors such as total assets and repurchase agreements outstanding, as reported on the consolidated balance sheet; our | The CODM assesses performance using comprehensive income (loss), as reported on the consolidated statement of comprehensive income (loss). Comprehensive income (loss) is a key determinant of the Company’s economic return, calculated as the change in tangible stockholders’ equity attributable to common stockholders plus common stock dividends declared, divided by the prior period’s ending tangible stockholders’ equity attributable to common stockholders, each computed on a per | 23
Total liabilities $ 109,217 $ 102,684 | Total stockholders’ equity $ 12,543 $ 12,393 | Net book value per common share 1
Antal aktier
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No x | The number of shares of the issuer’s common stock, $0.01 par value, outstanding as of July 30, 2026 was 1,185,481,447 .
Weighted average number of common shares outstanding - basic | 1,157.6 1,017.3 1,140.2 968.0
1,157.6 1,017.3 1,140.2 968.0 | Weighted average number of common shares outstanding - diluted | 1,162.0 1,017.3 1,144.7 968.0
Note 8. Net Income (Loss) Per Common Share | Basic net income (loss) per common share is computed by dividing (i) net income (loss) available (attributable) to common stockholders by (ii) the sum of our weighted-average number of common shares outstanding and the weighted-average number of vested but not yet issued time- and performance-based restricted stock units (“RSUs”) that were outstanding during the period, which were granted under our long-term incentive program to employees and non-employee members of the Board of Directors (“the | 21
Weighted average number of fully vested restricted stock units outstanding 2.5 1.7 3.2 1.9 | Weighted average number of common shares outstanding - basic 1,157.6 1,017.3 1,140.2 968.0 | Weighted average number of dilutive unvested restricted stock units outstanding 4.4 — 4.5 —
Weighted average number of dilutive unvested restricted stock units outstanding 4.4 — 4.5 — | Weighted average number of common shares outstanding - diluted 1,162.0 1017.3 1,144.7 968.0 | Net income (loss) available (attributable) to common stockholders $ 610 $ ( 178 ) $ 418 $ ( 163 )
Weighted average number of common shares outstanding - basic 1,157.6 1,017.3 1,140.2 968.0 | Weighted average number of common shares outstanding - diluted 1,162.0 1,017.3 1,144.7 968.0
Weighted average number of common shares outstanding - basic 1,157.6 1,017.3 1,140.2 968.0 | Weighted average number of common shares outstanding - diluted 1,162.0 1,017.3 1,144.7 968.0 | Net income (loss) per common share - basic $ 0.53 $ (0.17) $ 0.37 $ (0.17)
Antal anställda
Note 8. Net Income (Loss) Per Common Share | Basic net income (loss) per common share is computed by dividing (i) net income (loss) available (attributable) to common stockholders by (ii) the sum of our weighted-average number of common shares outstanding and the weighted-average number of vested but not yet issued time- and performance-based restricted stock units (“RSUs”) that were outstanding during the period, which were granted under our long-term incentive program to employees and non-employee members of the Board of Directors (“the | 21
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q

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

For the quarterly period ended June 30, 2026
OR

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

Commission file number 001-34057

AGNC INVESTMENT CORP.
(Exact name of registrant as specified in its charter)
_________________________________________________________

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

7373 Wisconsin Avenue, 22nd Floor
Bethesda , Maryland 20814
(Address of principal executive offices)
( 301 ) 968-9315
(Registrant’s telephone number, including area code)
  _________________________________________________________
Securities registered pursuant to Section 12(b) of the Act:

Title of Each Class Trading Symbol(s) Name of Exchange on Which Registered
Common Stock, par value $0.01 per share AGNC The Nasdaq Global Select Market
Depositary shares of 7.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock AGNCN The Nasdaq Global Select Market
Depositary shares of 6.875% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock AGNCM The Nasdaq Global Select Market
Depositary shares of 6.50% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock AGNCO The Nasdaq Global Select Market
Depositary shares of 6.125% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock AGNCP The Nasdaq Global Select Market
Depositary shares of 7.75% Series G Fixed-Rate Reset Cumulative
Redeemable Preferred Stock AGNCL The Nasdaq Global Select Market
Depositary shares of 8.75% Series H Fixed-Rate Cumulative
Redeemable Preferred Stock AGNCZ The Nasdaq Global Select Market

Securities Registered Pursuant to Section 12(g) of the Act: None
Indicate by check mark whether the registrant (1) has filed all reports to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.     Yes    x     No  ☐
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).    Yes    x     No  ☐
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer ☒ Accelerated filer ☐
Non-accelerated filer ☐ Smaller Reporting Company ☐

Emerging growth company ☐

If an emerging growth company, indicate by check mark if registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    Yes   ☐     No   x
The number of shares of the issuer’s common stock, $0.01 par value, outstanding as of July 30, 2026 was 1,185,481,447 .

AGNC INVESTMENT CORP.
TABLE OF CONTENTS
 

PART I.
FINANCIAL INFORMATION

Item 1.
Financial Statements
2

Item 2.
Management’s Discussion and Analysis of Financial Condition and Results of Operations
25

Item 3.
Quantitative and Qualitative Disclosures About Market Risk
44

Item 4.
Controls and Procedures
47

PART II.
OTHER INFORMATION

Item 1.
Legal Proceedings
47

Item 1A.
Risk Factors
47

Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds
47

Item 3.
Defaults upon Senior Securities
48

Item 4.
Mine Safety Disclosures
48

Item 5.
Other Information
48

Item 6.
Exhibits
48

Signatures
51

1

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements

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

  June 30, 2026 December 31, 2025
(Unaudited)
Assets:
Agency securities, at fair value (including pledged securities of $ 80,761 and $ 74,149 , respectively)
$ 86,784   $ 81,003  
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities) —   85  
Credit risk transfer securities, at fair value (including pledged securities of $ 525 and $ 558 , respectively)
573   606  
Non-Agency securities, at fair value, and other mortgage credit investments (including pledged securities of $ 8 and $ 13 , respectively)
94   95  
U.S. Treasury securities, at fair value (including pledged securities of $ 11,295 and $ 13,056 , respectively)
12,325   13,477  
Cash and cash equivalents 457   450  
Restricted cash 1,329   1,292  
Derivative assets, at fair value 260   169  
Receivable for investment securities sold (including pledged securities of $ 201 and $ 149 , respectively)
401   152  
Receivable under reverse repurchase agreements 18,433   16,615  
Goodwill 526   526  
Other assets 578   607  
Total assets $ 121,760   $ 115,077  
Liabilities:
Repurchase agreements $ 89,808   $ 85,286  
Debt of consolidated variable interest entities, at fair value —   56  
Payable for investment securities purchased 312   193  
Derivative liabilities, at fair value 137   6  
Dividends payable 184   182  
Obligation to return securities borrowed under reverse repurchase agreements, at fair value 18,150   16,452  
Other liabilities 626   509  
Total liabilities 109,217   102,684  
Stockholders’ equity:
Preferred Stock - aggregate liquidation preference of $ 2,033
1,968   1,968  
Common stock - $ 0.01 par value; 2,250 shares authorized, 1,164.2 and 1,107.6 shares issued and outstanding, respectively
12   11  
Additional paid-in capital 19,830   19,261  
Retained deficit ( 8,929 ) ( 8,524 )
Accumulated other comprehensive loss ( 338 ) ( 323 )
Total stockholders’ equity 12,543   12,393  
Total liabilities and stockholders’ equity $ 121,760   $ 115,077  

See accompanying notes to consolidated financial statements.
2

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

Three Months Ended June 30, Six Months Ended June 30,
  2026 2025 2026 2025
Interest income:
Interest income $ 1,014   $ 830   $ 2,064   $ 1,676  
Interest expense 709   668   1,440   1,355  
Net interest income
305   162   624   321  
Other gain (loss), net:
Gain (loss) on sale of investment securities, net ( 16 ) ( 177 ) 58   ( 422 )
Unrealized gain (loss) on investment securities measured at fair value through net income, net ( 90 ) 270   ( 979 ) 1,453  
Gain (loss) on derivative instruments and other investments, net 485   ( 367 ) 867   ( 1,386 )
Total other gain (loss), net: 379   ( 274 ) ( 54 ) ( 355 )
Expenses:
Compensation and benefits 19   18   42   37  
Other operating expense 11   10   22   19  
Total operating expense 30   28   64   56  
Net income (loss) 654   ( 140 ) 506   ( 90 )
Dividends on preferred stock 44   38   88   73  

Net income (loss) available (attributable) to common stockholders $ 610   $ ( 178 ) $ 418   $ ( 163 )

Net income (loss) $ 654   $ ( 140 ) $ 506   $ ( 90 )
Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net ( 7 ) 48   ( 15 ) 141  
Comprehensive income (loss) 647   ( 92 ) 491   51  
Dividends on preferred stock
44   38   88   73  

Comprehensive income (loss) available (attributable) to common stockholders $ 603   $ ( 130 ) $ 403   $ ( 22 )

Weighted average number of common shares outstanding - basic
1,157.6   1,017.3   1,140.2   968.0  
Weighted average number of common shares outstanding - diluted
1,162.0   1,017.3   1,144.7   968.0  
Net income (loss) per common share - basic $ 0.53   $ ( 0.17 ) $ 0.37   $ ( 0.17 )
Net income (loss) per common share - diluted $ 0.52   $ ( 0.17 ) $ 0.37   $ ( 0.17 )
Dividends declared per common share $ 0.36   $ 0.36   $ 0.72   $ 0.72  

See accompanying notes to consolidated financial statements.
3

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

Preferred Stock Common Stock Additional
Paid-in
Capital Retained
Deficit Accumulated
Other
Comprehensive
Income (Loss) Total
Shares Amount
Balance, March 31, 2025 $ 1,634   949.0   $ 9   $ 17,769   $ ( 8,872 ) $ ( 498 ) $ 10,042  
Net loss
—  —  —  —  ( 140 ) —  ( 140 )
Other comprehensive income:

Unrealized gain on available-for-sale securities, net
—  —  —  —  —  48   48  
Stock-based compensation, net —  0.1   —  8   —  —  8  
Issuance of preferred stock, net of offering cost —   —  —  —  —  —  — 
Issuance of common stock —  92.6   1   798   —  —  799  

Preferred dividends declared —  —  —  —  ( 38 ) —  ( 38 )
Common dividends declared —  —  —  —  ( 372 ) —  ( 372 )
Balance, June 30, 2025 $ 1,634   1,041.7   $ 10   $ 18,575   $ ( 9,422 ) $ ( 450 ) $ 10,347  

Balance, March 31, 2026 $ 1,968   1,147.8   $ 11   $ 19,656   $ ( 9,123 ) $ ( 331 ) $ 12,181  
Net income
—  —  —  —  654   —  654  
Other comprehensive loss:

Unrealized loss on available-for-sale securities, net
—  —  —  —  —  ( 7 ) ( 7 )
Stock-based compensation, net —  0.2   —  8   —  —  8  

Issuance of common stock —  16.2   1   166   —  —  167  

Preferred dividends declared —  —  —  —  ( 44 ) —  ( 44 )
Common dividends declared —  —  —  —  ( 416 ) —  ( 416 )
Balance, June 30, 2026 $ 1,968   1,164.2   $ 12   $ 19,830   $ ( 8,929 ) $ ( 338 ) $ 12,543  

Balance, December 31, 2024 $ 1,634   897.4   $ 9   $ 17,264   $ ( 8,554 ) $ ( 591 ) $ 9,762  
Net loss —  —  —  —  ( 90 ) —  ( 90 )
Other comprehensive income:
Unrealized gain on available-for-sale securities, net —  —  —  —  —  141   141  
Stock-based compensation, net —  2.0   —  4   —  —  4  

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

Preferred dividends declared —  —  —  —  ( 73 ) —  ( 73 )
Common dividends declared —  —  —  —  ( 705 ) —  ( 705 )
Balance, June 30, 2025 $ 1,634   1,041.7   $ 10   $ 18,575   $ ( 9,422 ) $ ( 450 ) $ 10,347  

Balance, December 31, 2025 $ 1,968   1,107.6   $ 11   $ 19,261   $ ( 8,524 ) $ ( 323 ) $ 12,393  
Net income —  —  —  —  506   —  506  
Other comprehensive loss:
Unrealized loss on available-for-sale securities, net —  —  —  —  —  ( 15 ) ( 15 )
Stock-based compensation, net —  2.4   —  2   —  —  2  

Issuance of common stock —  54.2   1   567   —  —  568  

Preferred dividends declared —  —  —  —  ( 88 ) —  ( 88 )
Common dividends declared —  —  —  —  ( 823 ) —  ( 823 )
Balance, June 30, 2026 $ 1,968   1,164.2   $ 12   $ 19,830   $ ( 8,929 ) $ ( 338 ) $ 12,543  

See accompanying notes to consolidated financial statements.
4

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

Six Months Ended
June 30,

  2026 2025
Operating activities:
Net income (loss) $ 506   $ ( 90 )
Adjustments to reconcile net income to net cash provided by operating activities:
Amortization of premiums and discounts on mortgage-backed securities, net 99   69  
Stock-based compensation, net 2   4  
(Gain) loss on sale of investment securities, net ( 58 ) 422  
Unrealized (gain) loss on investment securities measured at fair value through net income, net 979   ( 1,453 )
(Gain) loss on derivative instruments and other securities, net ( 867 ) 1,386  
Increase in other assets ( 78 ) ( 34 )
Increase in other liabilities 22   68  
Net cash provided by operating activities 605   372  
Investing activities:
Purchases of Agency mortgage-backed securities ( 34,221 ) ( 22,054 )
Purchases of credit risk transfer and non-Agency securities and other mortgage credit investments —   ( 66 )
Proceeds from sale of Agency mortgage-backed securities 20,976   12,322  
Proceeds from sale of credit risk transfer and non-Agency securities 15   270  
Principal collections on Agency mortgage-backed securities 6,391   3,307  
Principal collections on credit risk transfer and non-Agency securities 12   9  
Payments on U.S. Treasury securities ( 34,440 ) ( 17,794 )
Proceeds from U.S. Treasury securities 37,302   19,401  
Net payments on reverse repurchase agreements ( 1,497 ) ( 3,792 )
Net proceeds from (payments on) derivative instruments 777   ( 774 )
Net cash used in investing activities ( 4,685 ) ( 9,171 )
Financing activities:
Proceeds from repurchase arrangements 5,008,725   3,124,816  
Payments on repurchase agreements ( 5,004,203 ) ( 3,116,461 )
Payments on debt of consolidated variable interest entities ( 57 ) ( 6 )

Net proceeds from common stock issuances 568   1,308  

Cash dividends paid ( 909 ) ( 757 )
Net cash provided by financing activities 4,124   8,900  
Net change in cash, cash equivalents and restricted cash 44   101  
Cash, cash equivalents and restricted cash at beginning of period 1,742   1,771  
Cash, cash equivalents and restricted cash at end of period $ 1,786   $ 1,872  

Reconciliation of cash, cash equivalents and restricted cash end of period:
Cash and cash equivalents $ 457   $ 656  
Restricted cash 1,329   1,216  
Total cash, cash equivalents and restricted cash, end of period $ 1,786   $ 1,872  

See accompanying notes to consolidated financial statements.
5

AGNC INVESTMENT CORP.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited)

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

Note 2. Summary of Significant Accounting Policies
Basis of Presentation
Our accompanying consolidated financial statements and related notes have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The accompanying consolidated financial statements and related notes are unaudited and include the accounts of all our wholly-owned subsidiaries and variable interest entities for which we are the primary beneficiary. Significant intercompany accounts and transactions have been eliminated. The accompanying consolidated financial statements and related notes should be read in conjunction with the audited consolidated financial statements included in our most recent Annual Report on Form 10-K for the fiscal year ended December 31, 2025.
The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of income and expenses during the reporting period. In the opinion of management, all adjustments, consisting solely of normal recurring accruals, necessary for the fair presentation of consolidated financial statements for the interim period have been included. The current period’s results of operations are not necessarily indicative of results that ultimately may be achieved for the year.
Investment Securities
Agency RMBS consist of residential mortgage pass-through securities and collateralized mortgage obligations (“CMOs”) guaranteed by the Federal National Mortgage Association (“Fannie Mae”), Federal Home Loan Mortgage Corporation (“Freddie Mac,” and together with Fannie Mae, the “GSEs”) or the Government National Mortgage Association (“Ginnie Mae”).
Agency multifamily MBS consist of securities backed by one or more mortgage loans secured by one or more multifamily properties that are similarly guaranteed by a GSE. Our investments in Agency multifamily MBS primarily consist of securities issued under Fannie Mae’s Delegated Underwriting and Servicing (“DUS”) program, which are generally backed by a single mortgage loan secured by a single property and include lender risk-sharing.
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CRT securities are risk sharing instruments issued by the GSEs, and similarly structured transactions issued by third-party market participants, that synthetically transfer a portion of the risk associated with credit losses within pools of conventional residential and multifamily mortgage loans from the GSEs and/or third parties to private investors. Unlike Agency RMBS and Agency multifamily MBS, full repayment of the original principal balance of CRT securities is not guaranteed by a GSE or U.S. Government agency; rather, “credit risk transfer” is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool of loans exceed certain thresholds. By reducing the principal amount that they are obligated to repay to holders of CRT securities, the GSEs and/or other third parties offset credit losses on the related loans.
Non-Agency RMBS and CMBS (together, “non-Agency MBS”) are backed by residential and commercial mortgage loans, respectively, packaged and securitized by a private institution, such as a commercial bank. Non-Agency MBS typically benefit from credit enhancements derived from structural elements, such as subordination, over-collateralization or insurance, but nonetheless carry a higher level of credit exposure than Agency RMBS.
All of our securities are reported at fair value on our consolidated balance sheet. Accounting Standards Codification (“ASC”) Topic 320, Investments—Debt 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 June 30, 2026 because, as of such date, we neither intended to sell any securities in an unrealized loss position nor was it more likely than not that we would be required to sell such securities before recovery of their amortized cost basis. Since all of our available-for-sale designated securities consist of Agency RMBS, we do not have an allowance for credit losses. 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
7

estimates for these investments are based on our observations of current information and events and include assumptions related to interest rates, prepayment rates, collateral call provisions, and the impact of default and severity rates on the timing and amount of credit losses. On at least a quarterly basis, we review the estimated cash flows and make appropriate adjustments based on inputs and analysis received from external sources, internal models, and our judgment regarding such inputs and other factors. Any resulting changes in effective yield are recognized prospectively based on the current amortized cost of the investment adjusted for credit impairments, if any.
Repurchase Agreements  
We finance the acquisition of securities for our investment portfolio primarily through repurchase agreements with our lending counterparties. Repurchase arrangements involve the sale and a simultaneous agreement to repurchase the securities at a future date. We maintain a beneficial interest in the specific securities pledged during the term of each repurchase arrangement and we receive the related principal and interest payments. Pursuant to ASC Topic 860, Transfers and Servicing , we account for repurchase agreements as collateralized financing transactions, which are carried at their contractual amounts (cost), plus accrued interest. Our repurchase agreements typically have maturities of less than one year.
Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements
We borrow securities to cover short sales of U.S. Treasury securities through reverse repurchase transactions (see Derivative Instruments below). We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. We may also enter into reverse repurchase agreements to earn a yield on excess cash balances. The securities received as collateral in connection with our reverse repurchase agreements mitigate our credit risk exposure to counterparties. Our reverse repurchase agreements typically have maturities of 30 days or less.
Derivative Instruments
We use a variety of derivative instruments to hedge a portion of our exposure to market risks, including interest rate, prepayment, extension and liquidity risks. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The primary instruments that we use are interest rate swaps, options to enter into interest rate swaps (“swaptions”), U.S. Treasury securities and U.S. Treasury futures contracts. We also use forward contracts in the Agency RMBS “to-be-announced” market, or TBA securities, to invest in and finance Agency securities and to periodically reduce our exposure to Agency RMBS.
We account for derivative instruments in accordance with ASC Topic 815, Derivatives and Hedging (“ASC 815”). ASC 815 requires an entity to recognize all derivatives as either assets or liabilities in our accompanying consolidated balance sheets and to measure those instruments at fair value. None of our derivative instruments have been designated as hedging instruments for accounting purposes under the provisions of ASC 815, consequently changes in the fair value of our derivative instruments are reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.
Our derivative agreements generally contain provisions that allow for netting or setting off derivative assets and liabilities with the counterparty; however, we report related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. Changes in fair value of derivative instruments and periodic settlements related to our derivative instruments are recorded in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Net cash receipts from and payments on our derivative instruments are classified in our consolidated statements of cash flows according to the underlying nature or purpose of the derivative transaction, generally in the investing section.
Interest rate swap agreements
We use interest rate swaps to economically hedge the variable cash flows associated with our borrowings made under repurchase agreements. Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate (“payer swaps”) based on a short-term benchmark rate, such as the Secured Overnight Financing Rate (“SOFR”) and Overnight Index Swap Rate (“OIS”). Our interest rate swaps typically have terms from one to 10 years. Our interest rate swaps are centrally cleared through a registered commodities exchange. The clearing exchange requires that we post an “initial margin” amount determined by the exchange. The initial margin amount is intended to be set at a level sufficient to protect the exchange 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,
8

as measured by the exchange. Pursuant to rules governing central clearing activities, we recognize variation margin settlements as a direct reduction of the carrying value of the interest rate swap asset or liability.
Interest rate swaptions
We purchase interest rate swaptions to help mitigate the potential impact of larger, more rapid changes in interest rates on the performance of our investment portfolio. Interest rate swaptions provide us the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. Our interest rate swaption agreements are not subject to central clearing. The difference between the premium paid and the fair value of the swaption is reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium paid. If we sell or exercise a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap and the premium paid.
TBA securities
A TBA security is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS to be delivered into the contract are not known until shortly before the settlement date. We may choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting TBA position, net settling the offsetting positions for cash, and simultaneously purchasing or selling a similar TBA contract for a later settlement date (together referred to as a “dollar roll transaction”). The Agency securities purchased or sold for a forward settlement date are typically priced at a discount to equivalent securities settling in the current month. This difference, or “price drop,” is the economic equivalent of interest income on the underlying Agency securities, less an implied funding cost, over the forward settlement period (referred to as “dollar roll income”). Consequently, forward purchases of Agency securities and dollar roll transactions represent a form of off-balance sheet financing.
We account for TBA contracts as derivative instruments since either the TBA contracts do not settle in the shortest period of time possible or we cannot assert that it is probable at inception and throughout the term of the TBA contract that we will physically settle the contract on the settlement date. We account for TBA dollar roll transactions as a series of derivative transactions.
U.S. Treasury securities and US Treasury futures contracts
We use U.S. Treasury securities and U.S. Treasury futures contracts to mitigate the potential impact of changes in interest rates on the performance of our portfolio. We enter into short-sales of U.S. Treasury securities by borrowing the securities under reverse repurchase agreements and selling them into the market. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on our accompanying consolidated balance sheets based on the value of the underlying U.S. Treasury security as of the reporting date. Treasury futures contracts are standardized contracts that obligate us to sell or buy U.S. Treasury securities for future delivery. Gains and losses associated with U.S. Treasury securities and U.S. Treasury futures contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.
Fair Value Measurements
We determine the fair value of financial instruments based on our estimate of the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. We utilize a three-level valuation hierarchy for disclosure of fair value measurements based upon the transparency of inputs to the valuation of the instrument as of the measurement date. We categorize a financial instrument within the hierarchy based upon the lowest level of input that is significant to the fair value measurement.
The three levels of valuation hierarchy are defined as follows:
• Level 1 Inputs —Quoted prices (unadjusted) for identical unrestricted assets and liabilities in active markets that are accessible at the measurement date.
• Level 2 Inputs —Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.
• Level 3 Inputs —Instruments with primarily unobservable market data that cannot be corroborated.
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The majority of our financial instruments are classified as Level 2 inputs. The availability of observable inputs can be affected by a wide variety of factors, including the type of instrument, whether the instrument is new and not yet established in the marketplace and other characteristics particular to the instrument. We typically obtain price estimates from multiple third-party pricing sources, such as pricing services and dealers, or, if applicable, from the registered clearing exchange. We make inquiries of third-party pricing sources to understand the significant inputs and assumptions they used to determine their prices and that they are derived from orderly transactions, particularly during periods of elevated market turbulence and reduced market liquidity. We also review third-party price estimates and perform procedures to validate their reasonableness, including an analysis of the range of estimates for each position, comparison to recent trade activity for similar securities and for consistency with market conditions observed as of the measurement date. While we do not adjust prices we obtain from pricing sources, we will exclude prices for securities from our estimation of fair value if we determine based on our validation procedures and our market knowledge and expertise that the price is significantly different from what observable market data would indicate and we cannot obtain an understanding from the third-party source as to the significant inputs used to determine the price.
The following is a description of the valuation methodologies used for financial instruments measured at fair value on a recurring basis classified as Level 2 inputs. These instruments trade in active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of these markets and the similarity of our instruments to those actively traded enable our pricing sources and us to utilize the observed quoted prices as a basis for formulating fair value measurements.
Investment securities - are valued based on prices obtained from multiple third-party pricing sources. The pricing sources utilize various valuation approaches, including market and income approaches. For Agency RMBS, the pricing sources primarily utilize a matrix pricing technique that interpolates the estimated fair value based on observed quoted prices for TBA securities having the same coupon, maturity and issuer, adjusted to reflect the specific characteristics of the pool of mortgages underlying the Agency security, such as maximum loan balance, loan vintage, loan-to-value ratio, geography and other characteristics as may be appropriate. For other investment securities, the pricing sources primarily utilize discounted cash flow model-derived pricing techniques to estimate the fair value. Such models incorporate market-based discount rate assumptions based on observable inputs such as recent trading activity, credit data, volatility statistics, benchmark interest rate curves, spread measurements to benchmark curves and other market data that are current as of the measurement date and may include certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and loss severities.
TBA securities - are valued using prices obtained from third-party pricing sources based on pricing models that reference recent trading activity.
Interest rate swaps - are valued using the daily settlement price, or fair value, determined by the clearing exchange based on a pricing model that references observable market inputs, including current benchmark rates and the forward yield curve.
Interest rate swaptions - are valued using prices obtained from the counterparty and other third-party pricing models. The pricing models are based on the value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option based on observable market inputs, adjusted for non-performance risk, if any.
U.S. Treasury securities and futures are valued based on quoted prices for identical instruments in active markets and are classified as Level 1 assets. None of our financial instruments are classified as Level 3 inputs.
Recent Accounting Pronouncements
We consider the applicability and impact of all ASUs issued by the FASB. There are no unadopted ASUs that are expected to have a significant impact on our consolidated financial statements when adopted or other recently adopted ASUs that had a significant impact on our consolidated financial statements upon adoption.

Note 3. Investment Securities
As of June 30, 2026 and December 31, 2025, our investment portfolio consisted of $87.4 billion and $81.7 billion investment securities, at fair value, respectively, $ 9.7 billion and $ 13.0 billion net TBA securities, at fair value, respectively, and other mortgage credit investments of $ 70 million and $ 70 million, respectively, which we account for under the equity method of accounting. Our TBA position is reported at its net carrying value totaling $ 52 million and $ 71 million as of June 30, 2026 and December 31, 2025, respectively, in derivative assets / (liabilities) on our accompanying consolidated balance sheets. The net carrying value of our TBA position represents the difference between the fair value of the underlying security and the cost basis or the forward price to be paid or received for the underlying security.
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As of June 30, 2026 and December 31, 2025, our investment securities had a net unamortized premium balance of $ 0.6 billion and $ 1.0 billion, respectively.
The following tables summarize our investment securities as of June 30, 2026 and December 31, 2025, excluding TBA securities and other mortgage credit investments (dollars in millions). Details of our TBA securities are included in Note 5.

  June 30, 2026 December 31, 2025
Investment Securities Amortized
Cost Fair Value Amortized
Cost Fair Value
Agency RMBS:
Fixed rate $ 83,437   $ 82,334   $ 77,643   $ 77,483  
Adjustable rate 814   815   858   867  
CMO 77   74   85   83  
Interest-only and principal-only strips 123   115   122   116  
Multifamily 3,459   3,446   2,521   2,539  
Total Agency RMBS 87,910   86,784   81,229   81,088  
Non-Agency RMBS 1
16   15   16   15  
CMBS 10   9   11   10  
CRT securities 535   573   561   606  
Total investment securities $ 88,471   $ 87,381   $ 81,817   $ 81,719  

  June 30, 2026
December 31, 2025

Non-Agency 1
Non-Agency 1

Investment Securities Agency RMBS RMBS CMBS CRT Total Agency RMBS RMBS CMBS CRT Total
Available-for-sale securities:
Par value 2
$ 3,210   $ —  $ —  $ —  $ 3,210   $ 3,517   $ —  $ —  $ —  $ 3,517  
Unamortized discount
—   —  —  —  —   —   —  —  —  —  
Unamortized premium
186   —  —  —  186   210   —  —  —  210  
Amortized cost
3,396   —  —  —  3,396   3,727   —  —  —  3,727  
Gross unrealized gains
—   —  —  —  —   —   —  —  —  —  
Gross unrealized losses
( 338 ) —  —  —  ( 338 ) ( 323 ) —  —  —  ( 323 )
Total available-for-sale securities, at fair value 3,058   —  —  —  3,058   3,404   —  —  —  3,404  
Securities remeasured at fair value through earnings:
Par value 2
84,127   18   11   530   84,686   76,729   18   11   555   77,313  
Unamortized discount
( 764 ) ( 3 ) ( 1 ) ( 8 ) ( 776 ) ( 521 ) ( 3 ) —   ( 10 ) ( 534 )
Unamortized premium
1,151   1   —   13   1,165   1,294   1   —   16   1,311  
Amortized cost
84,514   16   10   535   85,075   77,502   16   11   561   78,090  
Gross unrealized gains
518   1   —   38   557   1,129   1   —   45   1,175  
Gross unrealized losses
( 1,306 ) ( 2 ) ( 1 ) —   ( 1,309 ) ( 947 ) ( 2 ) ( 1 ) —   ( 950 )
Total securities remeasured at fair value through earnings 83,726   15   9   573   84,323   77,684   15   10   606   78,315  
Total securities, at fair value $ 86,784   $ 15   $ 9   $ 573   $ 87,381   $ 81,088   $ 15   $ 10   $ 606   $ 81,719  

 ________________________________
1. Non-Agency amounts exclude other mortgage credit investments of $ 70 million and $ 70 million as of June 30, 2026 and December 31, 2025, respectively.
2. Par value excludes interest-only securities. As of June 30, 2026 and December 31, 2025, Agency RMBS interest-only securities had a par value of $ 5,923 million and $ 4,475 million, respectively, and non-Agency interest-only securities had a par value of $ 16 million and $ 16 million, respectively.

11

The following table presents the Company’s Agency RMBS portfolio by issuing GSE or U.S. Government agency at fair value as of June 30, 2026 and December 31, 2025 (in millions):

Investment Type June 30, 2026
December 31, 2025

Fannie Mae $ 45,451   $ 43,148  
Freddie Mac 41,236   37,670  
Ginnie Mae 97   270  
Total $ 86,784   $ 81,088  

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

  June 30, 2026 December 31, 2025
CRT and Non-Agency Security Credit Ratings 1
CRT RMBS 2
CMBS CRT RMBS 2
CMBS
AAA $ —   $ 1   $ —   $ —   $ 1   $ —  
AA 8   —   —   13   —   —  
A —   1   —   —   —   —  
BBB 13   1   5   —   2   5  
BB 24   —   —   46   —   —  
B 10   —   —   11   —   5  
Not Rated 518   12   4   536   12   —  
Total $ 573   $ 15   $ 9   $ 606   $ 15   $ 10  

 ________________________________
1. Represents the lowest of Standard and Poor’s (“S&P”), Moody’s, Fitch, DBRS, Kroll Bond Rating Agency (“KBRA”) and Morningstar credit ratings, stated in terms of the S&P equivalent rating as of each date.
2. RMBS excludes other mortgage credit investments of $ 70 million and $ 70 million as of June 30, 2026 and December 31, 2025, respectively.

Our CRT securities primarily reference the performance of single-family and multifamily mortgage loans underlying Agency RMBS and CMBS issued by Fannie Mae or Freddie Mac, which are subject to the respective agency’s underwriting standards. 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 June 30, 2026 and December 31, 2025, the weighted average expected constant prepayment rate (“CPR”) over the remaining life of our Agency and high credit quality non-Agency RMBS investment portfolio was 8.6 % and 9.6 %, respectively. Our estimates can differ materially for different securities and thus our individual holdings have a wide range of projected CPRs. The following table summarizes our investments as of June 30, 2026 and December 31, 2025 according to their estimated weighted average life classification (dollars in millions):

  June 30, 2026 December 31, 2025
Estimated Weighted Average Life of Investment Securities 1
Fair Value Amortized
Cost Weighted
Average
Coupon Weighted
Average
Yield Fair Value Amortized
Cost Weighted
Average
Coupon Weighted
Average
Yield
≤ 3 years $ 1,219   $ 1,206   6.50 % 6.26 % $ 4,670   $ 4,630   6.59 % 5.50 %
> 3 years and ≤ 5 years 9,777   9,717   5.84 % 5.40 % 19,068   18,755   5.85 % 5.50 %
> 5 years and ≤10 years 71,237   72,417   4.95 % 4.81 % 55,562   56,048   4.86 % 4.68 %
> 10 years 5,148   5,131   4.67 % 5.12 % 2,419   2,384   4.93 % 5.11 %
Total
$ 87,381   $ 88,471   5.05 % 4.91 % $ 81,719   $ 81,817   5.19 % 4.93 %

 ________________________________
1. Table excludes other mortgage credit investments of $ 70 million and $ 70 million as of June 30, 2026 and December 31, 2025, respectively.
The following table presents the gross unrealized loss and fair values of securities classified as available-for-sale by length of time that such securities have been in a continuous unrealized loss position as of June 30, 2026 and December 31, 2025 (in millions):
12

  Unrealized Loss Position For
  Less than 12 Months 12 Months or More Total
Securities Classified as Available-for-Sale Fair
Value Unrealized
Loss
Fair Value Unrealized
Loss Fair
Value Unrealized
Loss
June 30, 2026
$ —   $ —   $ 3,047   $ ( 338 ) $ 3,047   $ ( 338 )
December 31, 2025
$ —   $ —   $ 3,391   $ ( 323 ) $ 3,391   $ ( 323 )

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

Three Months Ended June 30,
2026 2025
Investment Securities Available-for-Sale
Securities 2
Fair Value Option Securities Total Available-for-Sale
Securities 2
Fair Value Option Securities Total
Investment securities sold, at cost $ —   $ ( 12,652 ) $ ( 12,652 ) $ ( 109 ) $ ( 9,499 ) $ ( 9,608 )
Proceeds from investment securities sold 1
—   12,636   12,636   95   9,336   9,431  
Net gain (loss) on sale of investment securities $ —   $ ( 16 ) $ ( 16 ) $ ( 14 ) $ ( 163 ) $ ( 177 )

Gross gain on sale of investment securities $ —   $ 30   $ 30   $ —   $ 12   $ 12  
Gross loss on sale of investment securities —   ( 46 ) ( 46 ) ( 14 ) ( 175 ) ( 189 )
Net gain (loss) on sale of investment securities $ —   $ ( 16 ) $ ( 16 ) $ ( 14 ) $ ( 163 ) $ ( 177 )

Six Months Ended June 30,
2026 2025
Investment Securities Available-for-Sale
Securities 2,3
Fair Value Option Securities Total Available-for-Sale
Securities 2,3
Fair Value Option Securities Total
Investment securities sold, at cost $ ( 93 ) $ ( 21,089 ) $ ( 21,182 ) $ ( 109 ) $ ( 12,904 ) $ ( 13,013 )
Proceeds from investment securities sold 1
87   21,153   21,240   95   12,496   12,591  
Net gain (loss) on sale of investment securities $ ( 6 ) $ 64   $ 58   $ ( 14 ) $ ( 408 ) $ ( 422 )

Gross gain on sale of investment securities $ —   $ 125   $ 125   $ —   $ 33   $ 33  
Gross loss on sale of investment securities ( 6 ) ( 61 ) ( 67 ) ( 14 ) ( 441 ) ( 455 )
Net gain (loss) on sale of investment securities $ ( 6 ) $ 64   $ 58   $ ( 14 ) $ ( 408 ) $ ( 422 )

 ________________________________
1. Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end.
2. See Note 9 for a summary of changes in accumulated OCI.
3. During the six months ended June 30, 2026 and 2025, we received principal repayments on available-for-sale securities of $ 221 million and $ 273 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 June 30, 2026, we had met all margin call requirements. For additional information regarding our pledged assets, please refer to Note 6.
As of June 30, 2026 and December 31, 2025, we had $ 89.8 billion and $ 85.3 billion, respectively, of repurchase agreements outstanding used to fund our investment portfolio and temporary holdings of U.S. Treasury securities. The terms and conditions of our repurchase agreements are typically negotiated on a transaction-by-transaction basis or subject to a tri-
13

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

  June 30, 2026 December 31, 2025
Remaining Maturity Repurchase Agreements Weighted
Average
Interest
Rate Weighted
Average Days
to Maturity Repurchase Agreements Weighted
Average
Interest
Rate Weighted
Average Days
to Maturity
Investment Securities Repo
≤ 1 month $ 74,091   3.75   % 9   $ 69,997   3.98   % 11  
> 1 to ≤ 3 months 5,421   3.80   % 71   2,949   4.01   % 49  

Investment Securities Repo 79,512   3.75   % 13   72,946   3.98   % 12  
U.S. Treasury Repo:
≤ 1 month 10,296   3.70   % 1   12,340   3.90   % 2  
Total $ 89,808   3.75   % 12   $ 85,286   3.97   % 11  

As of June 30, 2026 and December 31, 2025, $ 31.2 billion and $ 27.5 billion, respectively, of our investment securities repurchase agreements and $ 10.3 billion and $ 10.9 billion, respectively, of our U.S. Treasury repurchase agreements had an overnight maturity of one business day and none of our repurchase agreements were due on demand. As of June 30, 2026, we had $ 35.1 billion of forward commitments to enter into repurchase agreements with a weighted average forward start date of 1 day and a weighted average interest rate of 3.71 %. As of December 31, 2025, we had $ 24.7 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 2 days and a weighted average interest rate of 3.81 %. As of June 30, 2026 and December 31, 2025, 58 % and 57 %, respectively, of our repurchase agreement funding was sourced through our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC (“BES”). Amounts sourced through BES include funding from the General Collateral Finance Repo service (“GCF Repo”) offered by the Fixed Income Clearing Corporation (“FICC”), which totaled 44 % and 44 % of our repurchase agreement funding outstanding as of June 30, 2026 and December 31, 2025, respectively.
Reverse Repurchase Agreements
As of June 30, 2026 and December 31, 2025, we had $18.4 billion and $16.6 billion, respectively, of reverse repurchase agreements outstanding used primarily to borrow securities to cover short sales of U.S. Treasury securities, for which we had associated obligations to return borrowed securities at fair value of $18.2 billion and $16.5 billion, respectively. As of June 30, 2026 and December 31, 2025, $ 5.4 billion and $ 5.2 billion, respectively, of our reverse repurchase agreements were with the FICC sourced through BES.

Note 5. Derivative and Other Hedging Instruments
For the periods presented, our interest rate based hedges primarily consisted of interest rate swaps, interest rate swaptions, U.S. Treasury securities and U.S. Treasury futures contracts. We also utilized forward contracts, primarily consisting of TBA securities, for the purchase and sale of investment securities. For additional information regarding our derivative instruments and our overall risk management strategy, please refer to the discussion of derivative and other hedging instruments in Note 2.
14

Derivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of June 30, 2026 and December 31, 2025 (in millions):

Derivative and Other Hedging Instruments Balance Sheet Location June 30,
2026
December 31,
2025

Interest rate swaps 1
Derivative assets, at fair value $ 111   $ 57  
Swaptions Derivative assets, at fair value 31   24  
TBA and forward settling non-Agency securities Derivative assets, at fair value 76   77  
U.S. Treasury futures - long Derivative assets, at fair value 42   3  
U.S. Treasury futures - short Derivative assets, at fair value —   8  

Total derivative assets, at fair value
$ 260   $ 169  

Interest rate swaps 1
Derivative liabilities, at fair value $ —   $ —  
TBA and forward settling non-Agency securities Derivative liabilities, at fair value ( 24 ) ( 6 )
U.S. Treasury futures - long Derivative liabilities, at fair value ( 1 ) —  
U.S. Treasury futures - short Derivative liabilities, at fair value ( 108 ) —  
SOFR futures contracts - long Derivative liabilities, at fair value ( 4 ) —  

Total derivative liabilities, at fair value
$ ( 137 ) $ ( 6 )

U.S. Treasury securities - long U.S. Treasury securities, at fair value $ 12,325   $ 13,477  
U.S. Treasury securities - short Obligation to return securities borrowed under reverse repurchase agreements, at fair value ( 18,150 ) ( 16,452 )
Total U.S. Treasury securities, net at fair value
$ ( 5,825 ) $ ( 2,975 )
________________________________
1. As of June 30, 2026 and December 31, 2025, the net fair value of our interest rate swaps excluding the recognition of variation margin settlements as a direct reduction of carrying value (see Note 2) was a net asset (liability) of $ 2.2 billion and $ 1.3 billion, respectively.
The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of June 30, 2026 and December 31, 2025 (dollars in millions):

Pay Fixed / Receive Variable Interest Rate Swaps June 30, 2026
December 31, 2025
Years to Maturity Notional
Amount Average
Fixed Pay 
Rate Average
Variable Receive
Rate 1
Average
Maturity
(Years) Notional
Amount Average
Fixed Pay 
Rate Average
Variable Receive
Rate 1
Average
Maturity
(Years)
≤ 1 year $ 6,300   0.21 % 3.68 % 0.4 $ 7,300   0.20 % 3.80 % 0.5
> 1 to ≤ 3 years 30,771   2.89 % 3.68 % 1.7 20,421   2.38 % 3.86 % 2.1
> 3 to ≤ 5 years 9,000   2.18 % 3.68 % 4.0 8,970   2.26 % 3.85 % 4.5
> 5 to ≤ 7 years 15,670   3.29 % 3.68 % 6.4 13,980   3.43 % 3.87 % 6.8
> 7 to ≤ 10 years 12,011   3.48 % 3.68 % 8.4 13,961   3.43 % 3.87 % 8.6

Total $ 73,752   2.76 % 3.68 % 4.0 $ 64,632   2.57 % 3.86 % 4.7

________________________________
1. As of June 30, 2026, 98 % and 2 % of notional amount receive index references SOFR and OIS, respectively. As of December 31, 2025, 95 % and 5 % of notional amount receive index references SOFR and OIS, respectively.

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)

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

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

________________________________
1. Pay index references SOFR.
15

U.S. Treasury Securities 1
June 30, 2026 December 31, 2025
Years to Maturity Face Amount Long/(Short) Cost Basis Fair Value Face Amount Long/(Short) Cost Basis Fair Value
≤ 5 years $ 9,556   $ 9,502   $ 9,418   $ 12,470   $ 12,465   $ 12,467  
> 5 year ≤ 7 years 81   81   81   ( 838 ) ( 834 ) ( 774 )
> 7 year ≤ 10 years ( 13,345 ) ( 13,259 ) ( 13,185 ) ( 12,390 ) ( 12,334 ) ( 12,493 )
> 10 years ( 2,162 ) ( 2,209 ) ( 2,139 ) ( 2,162 ) ( 2,210 ) ( 2,175 )
Total U.S. Treasury securities, net $ ( 5,870 ) $ ( 5,885 ) $ ( 5,825 ) $ ( 2,920 ) $ ( 2,913 ) $ ( 2,975 )

________________________________
1. As of June 30, 2026 and December 31, 2025, short U.S. Treasury securities totaling $( 18.2 ) billion and $( 16.5 ) billion, at fair value, respectively, had a weighted average yield of 4.28 % and 4.21 %, respectively. As of June 30, 2026 and December 31, 2025, long U.S. Treasury securities totaling $ 12.3 billion and $ 13.5 billion, at fair value, respectively, had a weighted average yield of 3.71 % and 3.67 %, respectively.

 U.S. Treasury Futures 1
June 30, 2026 December 31, 2025
Years to Maturity Notional 
Amount
Long (Short) Cost
Basis Fair
Value Net Carrying Value 2
Notional 
Amount
Long (Short) Cost
Basis Fair
Value Net Carrying Value 2

≤ 5 years $ 3,413   $ 3,519   $ 3,517   $ ( 2 ) $ —   $ —   $ —   $ —  
> 5 year ≤ 7 years 5,254   5,731   5,774   43   4,606   5,175   5,178   3  
> 7 year ≤ 10 years ( 1,710 ) ( 1,900 ) ( 1,923 ) ( 23 ) —   —   —   —  
> 10 years ( 3,210 ) ( 3,558 ) ( 3,643 ) ( 85 ) ( 3,210 ) ( 3,718 ) ( 3,710 ) 8  
Total U.S. Treasury futures, net $ 3,747   $ 3,792   $ 3,725   $ ( 67 ) $ 1,396   $ 1,457   $ 1,468   $ 11  

________________________________
1. As of June 30, 2026 and December 31, 2025, short U.S. Treasury futures totaled $( 5.6 ) billion and $( 3.7 ) billion, at fair value, respectively. As of June 30, 2026 and December 31, 2025, long U.S. Treasury futures totaled $ 9.3 billion and $ 5.2 billion, at fair value, respectively.
2. 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.

  June 30, 2026 December 31, 2025
TBA Securities by Coupon Notional 
Amount
Long (Short) Cost
Basis Fair
Value Net Carrying Value 1
Notional 
Amount
Long (Short) Cost
Basis Fair
Value Net Carrying Value 1

15-Year TBA securities:

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

Total 15-Year TBA securities 267   270   269   ( 1 ) 148   151   151   —  
30-Year TBA securities:
≤ 3.0% 2,295   1,933   1,950   17   —   —   —   —  
3.5% —   —   —   —   452   415   417   2  
4.0% ( 50 ) ( 46 ) ( 47 ) ( 1 ) —   —   —   —  
4.5% 908   862   871   9   5,317   5,156   5,193   37  
5.0% 2,061   2,019   2,031   12   5,679   5,643   5,666   23  
5.5% 2,270   2,258   2,279   21   1,842   1,851   1,857   6  
6.0% ( 214 ) ( 218 ) ( 219 ) ( 1 ) 1,745   1,780   1,786   6  
≥ 6.5% 2,510   2,598   2,594   ( 4 ) ( 2,003 ) ( 2,079 ) ( 2,082 ) ( 3 )
Total 30-Year TBA securities, net 9,780   9,406   9,459   53   13,032   12,766   12,837   71  
Total TBA securities, net $ 10,047   $ 9,676   $ 9,728   $ 52   $ 13,180   $ 12,917   $ 12,988   $ 71  

________________________________
1. Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying Agency security) of the TBA contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.
16

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

Derivative and Other Hedging Instruments Beginning
Notional Amount Additions Settlement, Termination,
Expiration or
Exercise Ending
Notional Amount Gain/(Loss)
on Derivative Instruments and Other Securities, Net 1

Three months ended June 30, 2026:

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

Interest rate swaps - payer $ 76,502   400   ( 3,150 ) $ 73,752   640  

Receiver swaptions $ ( 7,000 ) ( 3,750 ) 3,000   $ ( 7,750 ) ( 15 )
U.S. Treasury securities - short position $ ( 17,162 ) ( 5,340 ) 4,132   $ ( 18,370 ) 81  
U.S. Treasury securities - long position $ 12,686   757   ( 943 ) $ 12,500   ( 67 )
U.S. Treasury futures contracts - short position $ ( 3,210 ) ( 6,629 ) 4,919   $ ( 4,920 ) ( 37 )
U.S. Treasury futures contracts - long position $ 12,455   9,280   ( 13,068 ) $ 8,667   ( 79 )
$ 487  

Three months ended June 30, 2025:

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

Interest rate swaps - payer $ 47,796   2,600   ( 5,300 ) $ 45,096   ( 236 )

Payer swaptions $ 2,000   —   —   $ 2,000   ( 9 )
Receiver Swaptions $ ( 150 ) —   —   $ ( 150 ) —  
U.S. Treasury securities - short position $ ( 17,636 ) ( 7,971 ) 4,211   $ ( 21,396 ) ( 139 )
U.S. Treasury securities - long position $ 3,216   3,968   ( 3,639 ) $ 3,545   —  
U.S. Treasury futures contracts - short position $ ( 2,191 ) ( 4,614 ) 4,841   $ ( 1,964 ) 17  
U.S. Treasury futures contracts - long position $ 668   600   ( 1,268 ) $ —   ( 13 )
$ ( 369 )

Six months ended June 30, 2026:
TBA securities, net $ 13,180   105,065   ( 108,198 ) $ 10,047   $ ( 90 )

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

Receiver swaptions $ ( 7,000 ) ( 3,750 ) 3,000   $ ( 7,750 ) ( 21 )
U.S. Treasury securities - short position $ ( 16,378 ) ( 10,339 ) 8,347   $ ( 18,370 ) 259  
U.S. Treasury securities - long position $ 13,458   25,807   ( 26,765 ) $ 12,500   ( 134 )
U.S. Treasury futures contracts - short position $ ( 3,210 ) ( 9,839 ) 8,129   $ ( 4,920 ) 4  
U.S. Treasury futures contracts - long position $ 4,606   37,199   ( 33,138 ) $ 8,667   ( 244 )
$ 869  

Six months ended June 30, 2025:
TBA securities, net $ 6,955   63,666   ( 62,214 ) $ 8,407   $ 88  

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

Payer swaptions $ 2,000   1,500   ( 1,500 ) $ 2,000   ( 28 )
Receiver swaptions $ ( 150 ) —   —   $ ( 150 ) —  
U.S. Treasury securities - short position $ ( 17,792 ) ( 11,792 ) 8,188   $ ( 21,396 ) ( 599 )
U.S. Treasury securities - long position $ 1,585   9,356   ( 7,396 ) $ 3,545   60  
U.S. Treasury futures contracts - short position $ ( 4,373 ) ( 6,805 ) 9,214   $ ( 1,964 ) ( 83 )
U.S. Treasury futures contracts - long position $ —   1,350   ( 1,350 ) $ —   ( 13 )
$ ( 1,380 )

________________________________
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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 June 30, 2026 and 2025, we held SOFR futures contracts with a long notional position of $ 2.6 billion and $ 1.2 billion, respectively, measured on a two-year swap equivalent basis. For the three and six months ended June 30, 2026, we recognized a loss of $ 4 million and for the three and six months ended June 30, 2025, we recognized a gain of $ 3 million and $ 13 million , respectively, on our SOFR futures contracts in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

Note 6. Pledged Assets
Our funding agreements require us to fully collateralize our obligations based on our counterparties’ collateral requirements and their determination of the fair value of the securities pledged, which fluctuates with changes in interest rates, credit spreads, liquidity, and overall market conditions.
Bilateral funding agreements typically include a “haircut,” or discount applied to the market value of pledged collateral, which reflects the risk characteristics of the underlying securities. Haircuts are determined on a transaction-specific basis and are not contractually fixed under the applicable Master Repurchase Agreement.
Margin requirements for centrally cleared repurchase agreements executed through the Fixed Income Clearing Corporation (“FICC”) are determined in accordance with the FICC’s clearing rules. These include an initial margin requirement, calculated daily using a Value-at-Risk (“VaR”) model, which takes into account any offsetting risk sensitivities of positions such as repos and reverse repos and is intended to protect the FICC against potential future exposure from a member default. The FICC also imposes variation margin based on amounts borrowed plus accrued interest, adjusted daily for fluctuations in collateral value, which is intended to cover our current repo exposure. Initial margin posted to the FICC may also be mutualized, meaning it can be used to absorb losses from the default of another clearing member, subject to applicable caps and withdrawal provisions.
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 June 30, 2026, our maximum amount at risk with any counterparty related to our repurchase agreements (i.e., the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables), excluding the FICC, was 1 % of our tangible stockholders’ equity. As of June 30, 2026, less than 11 % of our tangible stockholders’ equity was at risk with the FICC.
18

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 June 30, 2026 and December 31, 2025 (in millions):

June 30, 2026
Assets Pledged to Counterparties 1
Repurchase Agreements Debt of
Consolidated
VIEs Derivative Agreements and Other Total
Agency RMBS - fair value $ 80,952   $ —   $ 10   $ 80,962  
CRT - fair value
525   —  —  525  
Non-Agency - fair value
8   —  —  8  
U.S. Treasury securities - fair value
10,725   —  579   11,304  
Accrued interest on pledged securities
496   —   7   503  
Restricted cash 36   —  1,293   1,329  
Total $ 92,742   $ —   $ 1,889   $ 94,631  

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

________________________________
1. Includes repledged assets received as collateral from counterparties and securities sold but not yet settled.
2. Includes $ 30 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2025.
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 June 30, 2026 and December 31, 2025 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 4 .

  June 30, 2026 December 31, 2025
Securities Pledged by Remaining Maturity of Repurchase Agreements Fair Value of Pledged Securities Amortized
Cost of
Pledged Securities Accrued
Interest on
Pledged
Securities Fair Value of Pledged Securities 1
Amortized
Cost of
Pledged Securities Accrued
Interest on
Pledged
Securities
  ≤ 1 month $ 86,421   $ 87,251   $ 473   $ 83,600   $ 83,502   $ 415  
  > 1 and ≤ 2 months 1,519   1,591   6   3,324   3,435   13  
  > 2 and ≤ 3 months 4,270   4,382   17   496   503   2  
  > 3 months —   —   —   —   —   —  
Total $ 92,210   $ 93,224   $ 496   $ 87,420   $ 87,440   $ 430  

________________________________
1. Includes $ 30 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of December 31, 2025.
Assets Pledged from Counterparties
As of June 30, 2026 and December 31, 2025, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions).
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June 30, 2026 December 31, 2025
Assets Pledged to AGNC Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total Reverse Repurchase Agreements Derivative Agreements Repurchase Agreements Total
Agency securities - fair value $ —  $ —  $ 37   $ 37   $ —  $ —  $ 33   $ 33  
U.S. Treasury securities - fair value 18,242   —   21   18,263   16,429   —   10   16,439  
Cash
—   100   31   131   —   100   19   119  
Total $ 18,242   $ 100   $ 89   $ 18,431   $ 16,429   $ 100   $ 62   $ 16,591  

Offsetting Assets and Liabilities
Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff under master netting arrangements (or similar agreements), including in the event of default or in the event of bankruptcy of either party to the transactions. We present our assets and liabilities subject to such arrangements on a gross basis in our consolidated balance sheets. The following tables present information about our assets and liabilities that are subject to master netting arrangements and can potentially be offset on our consolidated balance sheets as of June 30, 2026 and December 31, 2025 (in millions):

Offsetting of Financial and Derivative Assets
  Gross Amounts of Recognized Assets Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets Presented in the Consolidated Balance Sheets Gross Amounts Not Offset
 in the
Consolidated Balance Sheets Net Amount
Financial Instruments Collateral Received 2

June 30, 2026
Interest rate swap and swaption agreements, at fair value 1
$ 142   $ —  $ 142   $ —   $ ( 31 ) $ 111  
TBA securities, at fair value 1
76   —  76   ( 24 ) ( 52 ) —  
Receivable under reverse repurchase agreements 18,433   —   18,433   ( 10,702 ) ( 7,731 ) —  
Total $ 18,651   $ —   $ 18,651   $ ( 10,726 ) $ ( 7,814 ) $ 111  

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

Offsetting of Financial and Derivative Liabilities
  Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Liabilities Presented in the Consolidated Balance Sheets Gross Amounts Not Offset
 in the
Consolidated Balance Sheets Net Amount
Financial Instruments Collateral Pledged 2

June 30, 2026

TBA securities, at fair value 1
$ 24   $ —  $ 24   $ ( 24 ) $ —   $ —  
Repurchase agreements 89,808   —   89,808   ( 10,702 ) ( 79,106 ) —  
Total $ 89,832   $ —   $ 89,832   $ ( 10,726 ) $ ( 79,106 ) $ —  

December 31, 2025

TBA securities, at fair value 1
$ 6   $ —  $ 6   $ ( 6 ) $ —   $ —  
Repurchase agreements 85,286   —  85,286   ( 12,503 ) ( 72,783 ) —  
Total $ 85,292   $ —  $ 85,292   $ ( 12,509 ) $ ( 72,783 ) $ —  

________________________________
1. Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 5 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components.
20

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 June 30, 2026 and December 31, 2025, based on their categorization within the valuation hierarchy (in millions). There were no transfers between valuation hierarchy levels during the periods presented in our accompanying consolidated statements of comprehensive income.

June 30, 2026 December 31, 2025
Level 1 Level 2 Level 3 Level 1 Level 2 Level 3
Assets:
Agency securities
$ —  $ 86,784   $ —  $ —  $ 81,003   $ — 
Agency securities transferred to consolidated VIEs
—  —   —  —  85   — 
Credit risk transfer securities
—  573   —  —  606   — 
Non-Agency securities
—  24   —  —  25   — 
U.S. Treasury securities
12,325   —  —  13,477   —  — 
Interest rate swaps 1
—  111   —  —  57   — 
Swaptions
—  31   —  —  24   — 
TBA securities —  76   —  —  77   — 
SOFR Futures —   —  —  —  —  — 
U.S. Treasury futures
42   —  —  11   —  — 
Total $ 12,367   $ 87,599   $ —  $ 13,488   $ 81,877   $ — 
Liabilities:
Debt of consolidated VIEs $ —  $ —   $ —  $ —  $ 56   $ — 
Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements 18,150   —  —  16,452   —  — 
Interest rate swaps 1
—  —   —  —  —   — 

TBA securities —  24   —  —  6   — 
U.S. Treasury futures 109   —  —  —   —  — 
SOFR Futures 4   —  —  —   —  — 
Total $ 18,263   $ 24   $ —  $ 16,452   $ 62   $ — 
________________________________
1. As of June 30, 2026 and December 31, 2025, the net fair value of our interest rate swaps excluding the recognition of variation margin settlements as a direct reduction of carrying value was a net asset (liability) of $ 2.2 billion and $ 1.3 billion, respectively, based on “Level 2” inputs.

Excluded from the table above are financial instruments reported at cost and other mortgage credit investments reported under the equity method of accounting in our consolidated financial statements. As of June 30, 2026 and December 31, 2025, the fair value of our repurchase agreements approximated cost, given their short-term nature (less than one year) and the rates on our outstanding repurchase agreements largely corresponded to prevailing rates observed in the repo market. The fair value of cash and cash equivalents, restricted cash, receivables and other payables were determined to approximate cost as of such dates due to their short duration. We estimate the fair value of these instruments carried at cost using “Level 1” or “Level 2” inputs. As of June 30, 2026 and December 31, 2025, the carrying value of other mortgage credit investments reported under the equity method of accounting was $ 70 million and $ 70 million.

Note 8. Net Income (Loss) Per Common Share
Basic net income (loss) per common share is computed by dividing (i) net income (loss) available (attributable) to common stockholders by (ii) the sum of our weighted-average number of common shares outstanding and the weighted-average number of vested but not yet issued time- and performance-based restricted stock units (“RSUs”) that were outstanding during the period, which were granted under our long-term incentive program to employees and non-employee members of the Board of Directors (“the Board”). Diluted net income (loss) per common share assumes the issuance of all potential common stock equivalents unless doing so would reduce a loss or increase income per common share. Our potential common stock equivalents consist of unvested time- and performance-based RSUs. The following table presents the computations of basic and diluted net income (loss) per common share for the periods indicated (shares and dollars in millions):
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Three Months Ended June 30, Six Months Ended June 30,

2026 2025 2026 2025
Weighted average number of common shares issued and outstanding 1,155.1   1,015.6   1,137.0   966.1  
Weighted average number of fully vested restricted stock units outstanding 2.5   1.7   3.2   1.9  
Weighted average number of common shares outstanding - basic 1,157.6   1,017.3   1,140.2   968.0  
Weighted average number of dilutive unvested restricted stock units outstanding 4.4   —   4.5   —  
Weighted average number of common shares outstanding - diluted 1,162.0   1017.3 1,144.7   968.0
Net income (loss) available (attributable) to common stockholders $ 610   $ ( 178 ) $ 418   $ ( 163 )
Net income (loss) per common share - basic $ 0.53   $ ( 0.17 ) $ 0.37   $ ( 0.17 )
Net income (loss) per common share - diluted $ 0.52   $ ( 0.17 ) $ 0.37   $ ( 0.17 )

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

Note 9. Stockholders’ Equity
Preferred Stock
We are authorized to designate and issue up to 10.0 million shares of preferred stock in one or more classes or series. As of June 30, 2026 and December 31, 2025, 13,800 , 10,350 , 16,100 , 23,000 , 6,900 and 13,800 shares of preferred stock were designated as 7.00 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.875 % Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.50 % Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 6.125 % Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 7.75 % Series G Fixed-Rate Reset Cumulative Redeemable Preferred Stock and 8.75 % Series H Fixed-Rate Cumulative Redeemable Preferred stock, respectively, (referred to as “Series C, D, E, F, G and H Preferred Stock”, respectively). As of June 30, 2026 and December 31, 2025, 13,000 , 9,400 , 16,100 , 23,000 , 6,000 and 13,800 shares of Series C, D, E, F, G and H Preferred Stock, respectively, were issued and outstanding. Each share of preferred stock is represented by 1,000 depositary shares. Each share of preferred stock has a liquidation preference of $25,000 per share ($25 per depositary share).
Our preferred stock ranks senior to our common stock with respect to the payment of dividends and the distribution of assets upon a voluntary or involuntary liquidation, dissolution or winding up of the Company. Our preferred stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and each series of preferred stock ranks on parity with one another. Under certain circumstances upon a change of control, our preferred stock is convertible to shares of our common stock. Holders of our preferred stock and depositary shares underlying our preferred stock have no voting rights, except under limited conditions. Beginning on each series’ optional redemption date, we may redeem shares at $ 25.00 per depositary share, plus accumulated and unpaid dividends (whether or not declared), exclusively at our option.
The following table includes a summary of preferred stock depositary shares issued and outstanding as of June 30, 2026 (dollars and shares in millions):

Cumulative Redeemable Preferred Stock Issue Date Depositary
Shares
Issued
and
Outstanding Carrying
Value  Aggregate
Liquidation Preference Per Annum Dividend
Rate 1,2
First Optional
Redemption Date / Conversion Date 2,3

Fixed-to-Floating Rate:
Series C August 22, 2017 13.0   $ 315   $ 325   9.05213% October 15, 2022
Series D March 6, 2019 9.4   227   235   8.27313% April 15, 2024
Series E October 3, 2019 16.1   390   403   8.93413% October 15, 2024
Series F February 11, 2020 23.0   557   575   8.63813% April 15, 2025
Fixed-Rate Reset:
Series G September 14, 2022 6.0   145   150   7.75000% October 15, 2027
Fixed-Rate
Series H September 10, 2025 13.8   334   345   8.75000% October 15, 2030
Total 81.3   $ 1,968   $ 2,033  

________________________________
1. The depositary shares underlying our preferred stock accrue dividends on the $25.00 liquidation preference per depositary share from the issuance date until they are redeemed in accordance with their terms. The per annum dividend rates for the depositary shares underlying the Series C, D, E and F Preferred Stock represent the rates in effect as of June 30, 2026, and are reset quarterly. The depositary shares underlying the Series G
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Preferred Stock accrue dividends at an initial annual fixed rate until the fixed-rate-reset conversion date, after which dividends on these depositary shares accrue on a fixed-rate-reset basis equal to the conversion rate plus a fixed spread. The depositary shares underlying the Series H Preferred Stock accrue dividends at a fixed rate.
2. The Series C, D, E and F dividends accrue at a rate equal to the 3-Month CME Term SOFR plus 0.26161%, plus spreads of 5.111 %, 4.332 %, 4.993 % and 4.697 %, respectively, per annum, resetting quarterly in accordance with the certificate of designations for such series and the Adjustable Interest Rate (LIBOR) Act of 2021 (the “LIBOR Act”). At the conclusion of the fixed rate period for the Series G Preferred Stock, the dividend will accrue at a floating rate equal to the 5-Year US Treasury rate plus a spread of 4.39 % per annum and will reset in accordance with the certificate of designations for such series.
3. Shares may be redeemed prior to our optional redemption date under certain circumstances intended to preserve our qualification as a REIT for U.S federal income tax purposes.
At-the-Market Offering Program
We are authorized by our Board of Directors to enter into agreements with sales agents to publicly offer and sell shares of our common stock in privately negotiated and/or at-the-market transactions from time-to-time under two separate at-the-market programs, up to a maximum aggregate offering price under each program. As of June 30, 2026, shares of our common stock with an aggregate offering price of $ 0.1 billion remained authorized for issuance through December 31, 2026 under one program and $ 2.0 billion remained authorized for issuance through December 31, 2027 under a second program. The following table includes a summary of shares of our common stock issued under the sales agreements during the three and six months ended June 30, 2026 and 2025 (in millions, except for per share data).

ATM Offerings Average Price Received Per Share, Net Shares Net Proceeds
Three months ended:
   June 30, 2026
$ 10.30
16.2
$ 167

   June 30, 2025
$ 8.63
92.6
$ 799

Six months ended:

   June 30, 2026
$ 10.47
54.2
$ 568

   June 30, 2025
$ 9.19
142.3
$ 1,308

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

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

Accumulated Other Comprehensive Income (Loss) 2026 2025 2026 2025
Beginning Balance $ ( 331 ) $ ( 498 ) $ ( 323 ) $ ( 591 )
OCI before reclassifications
( 7 ) 34   ( 21 ) 127  
Net (gain) loss amounts for available-for-sale securities reclassified from accumulated OCI to realized gain (loss) on sale of investment securities, net —   14   6   14  
Ending Balance $ ( 338 ) $ ( 450 ) $ ( 338 ) $ ( 450 )

Note 10. Segment Reporting
Our investment portfolio consists primarily of Agency RMBS, and we fund our investments primarily through collateralized borrowings structured as repurchase agreements. As part of our operations, we are exposed to market risks, including interest rate, prepayment, extension, spread, and credit risks.
Our portfolio is managed as a whole, with investment and hedging decisions assessed collectively by the Chief Operating Decision Maker (CODM). The CODM, represented by our Chief Executive Officer with the support of our Executive Management Committee, allocates resources and evaluates financial performance by considering the market risks identified above. The CODM also considers factors such as total assets and repurchase agreements outstanding, as reported on the consolidated balance sheet; our TBA position, as disclosed in Note 5. Derivative and Other Hedging Instruments ; our ability to hedge certain risks; and our intention to qualify as a REIT. Consequently, the Company operates as a single reportable segment, as reflected in the accompanying consolidated financial statements and notes.
The CODM assesses performance using comprehensive income (loss), as reported on the consolidated statement of comprehensive income (loss). Comprehensive income (loss) is a key determinant of the Company’s economic return, calculated as the change in tangible stockholders’ equity attributable to common stockholders plus common stock dividends declared, divided by the prior period’s ending tangible stockholders’ equity attributable to common stockholders, each computed on a per
23

common share basis. This measure is used to monitor actual results, benchmark performance against peers, and inform management’s compensation. Additionally, the CODM also evaluates consolidated expense information, including interest expense, compensation and benefits, and other operating expenses, as significant metrics in decision-making.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
Management’s Discussion and Analysis of Financial Condition and Results of Operations (“MD&A”) is designed to provide a reader of AGNC Investment Corp.’s consolidated financial statements with a narrative from the perspective of management and should be read in conjunction with the consolidated financial statements and accompanying notes included in this Quarterly Report on Form 10-Q for quarterly period ended June 30, 2026. Our MD&A is presented in the following sections:
• Executive Overview
• Financial Condition
• Results of Operations
• Liquidity and Capital Resources
• Off-Balance Sheet Arrangements
• Forward-Looking Statements
• Website and Social Media Disclosure

EXECUTIVE OVERVIEW
We are a leading provider of private capital to the U.S. housing market, enhancing liquidity in the residential real estate mortgage markets and, in turn, facilitating home ownership in the U.S. We invest primarily in Agency residential mortgage-backed securities (“Agency RMBS”) on a leveraged basis. These investments consist of residential mortgage pass-through securities and collateralized mortgage obligations for which the principal and interest payments are guaranteed by a U.S. Government-sponsored enterprise, such as Federal National Mortgage Association (“Fannie Mae”) and Federal Home Loan Mortgage Corporation (“Freddie Mac,” and together with Fannie Mae, the “GSEs”), or by a U.S. Government agency, such as Government National Mortgage Association (“Ginnie Mae”). We may also invest in 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
The investment environment during the second quarter of 2026 was shaped by heightened geopolitical uncertainty as escalating rhetoric and hostilities between the United States and Iran dominated financial market performance. With ship traffic through the Strait of Hormuz severely constrained, elevated energy prices and supply chain disruptions became the primary macroeconomic concerns. These developments caused Treasury yields to increase, the yield curve to flatten, and market expectations for Federal Reserve policy to shift from anticipated rate cuts toward potential rate hikes by year-end. Despite this challenging backdrop, Agency RMBS generated a positive excess return relative to U.S. Treasuries for the fifth consecutive quarter, contributing to AGNC's economic return on tangible common equity per share of 6.7%, comprised of our monthly dividend and the improvement in tangible book value. 1
Agency RMBS Performance Drivers
In aggregate, Agency RMBS in the second quarter outperformed both Treasury and swap-based hedges, with performance varying meaningfully by coupon and hedge type. Higher-coupon and production-coupon Agency RMBS outperformed lower-coupon securities as rising interest rates reduced both expected supply and prepayment concerns, reversing the coupon performance observed in the first quarter.
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Agency RMBS hedged with interest rate swaps also outperformed Treasury-hedged positions. At quarter-end, the spread differential between a current-coupon mortgage-backed security and a blend of hedges was approximately 145 basis points across the swap curve and 115 basis points across the Treasury curve, compared to approximately 170 basis points and 135 basis points, respectively, as of March 31, 2026. At June 30, 2026 spread levels, Agency RMBS were trading near the midpoint of our expected range.
Market Outlook
Looking forward, our outlook for Agency RMBS remains constructive. With primary mortgage rates remaining well above 6.0%, net new Agency RMBS supply is estimated to be approximately $150 billion this year, materially below expectations at the beginning of the year. Elevated mortgage rates have also slowed prepayment activity, reducing expected Federal Reserve portfolio runoff. At the same time, demand for Agency RMBS has remained strong, supported by more than $400 billion of bond fund inflows during the first six months of the year and continued demand from banks, foreign investors, and REITs. Agency RMBS spreads remain wide by historical standards despite improving supply-demand fundamentals, while corporate bond spreads remain near historic tights despite record issuance and rising credit concerns. Accordingly, we believe Agency RMBS continue to offer compelling relative value. Once geopolitical and monetary policy uncertainty subsides, these constructive dynamics should become more apparent and, over time, support favorable Agency RMBS performance.
Portfolio and Summary Financial Highlights
AGNC generated total comprehensive income of $0.52 per diluted common share and an economic return on tangible common equity per share of 6.7% for the second quarter, consisting of $0.36 of dividends declared per common share during the second quarter and a $0.20 increase in tangible net book value per common share. This compares to a total comprehensive loss of $(0.18) per diluted common share and an economic loss of -1.6% per common share for the first quarter of 2026.
Net spread and dollar roll income (a non-GAAP measure) was $0.40 per diluted common share, compared to $0.42 in the prior quarter. The decrease primarily reflects a 6-basis point decline in net interest spread for the second quarter driven by lower asset yields associated with portfolio repositioning, partly offset by modestly lower funding costs.
At June 30, 2026, our investment portfolio, inclusive of TBAs, totaled $97.2 billion, compared to $94.7 billion as of March 31, 2026. During the second quarter, we added approximately $2.2 billion of primarily intermediate-coupon specified pools and repositioned a portion of the portfolio from lower-coupon into higher-coupon holdings. As a result, the weighted average coupon at quarter-end increased to 5.04% from 4.95% as of March 31, 2026, while the portion of our fixed-rate portfolio with favorable prepayment attributes (“specified pools”) increased to 79% from 77% as of March 31, 2026. 2
The average projected life Constant Prepayment Rate ("CPR") for our portfolio declined to 8.6% at quarter-end from 10.3% as of March 31, 2026, primarily reflecting coupon and TBA versus specified pool repositioning. Actual CPRs averaged 13.0% during the quarter, largely unchanged from 13.2% in the prior quarter.
At June 30, 2026, "at-risk" leverage was 7.4x tangible equity, unchanged from March 31, 2026, while average leverage for the quarter also remained at 7.4x, unchanged from the first quarter. AGNC ended the quarter with $7.5 billion of unencumbered cash and Agency RMBS, representing 62% of tangible equity, compared to $7.0 billion and 60%, respectively, at March 31, 2026.
At June 30, 2026, our hedge ratio was 82%, reflecting the level of interest rate swap and U.S. Treasury hedges (excluding option-based hedges) relative to total funding liabilities, compared to 83% as of March 31, 2026.
The notional balance of our interest rate swaps decreased to $73.8 billion, representing 83% of our funding liabilities as of June 30, 2026, compared to $76.5 billion and 89%, respectively, as of March 31, 2026. Our duration gap, which measures the estimated difference between the interest rate sensitivity of our assets and liabilities, including hedges, was 0.7 years as of quarter-end, unchanged from March 31, 2026. We continued to favor a positive duration gap given the current level of interest rates, the convexity profile of our portfolio, and the additional prepayment protection it provides in a declining interest rate environment.
For information regarding non-GAAP financial measures, including reconciliations to the most comparable GAAP measure, please refer to Results of Operations included in this MD&A below. For information regarding the sensitivity of our tangible net book value per common share to changes in interest rates and mortgage spreads, please refer to Item 3. Quantitative and Qualitative Disclosures about Market Risk in this form 10-Q .
________________________________
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.
26

2. Specified pools include pools backed by loans with characteristics related to loan size, borrower credit profiles, loan-to-value ratios, geographic concentrations, occupancy types, and other characteristics that are expected to result in more favorable prepayment behavior than generic TBA-eligible collateral.

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
June 30, 2025 Sept. 30, 2025 Dec. 31, 2025 Mar. 31, 2026 June 30, 2026 June 30, 2026
vs
Mar. 31, 2026
June 30, 2026
vs
Dec. 31, 2025

Target Federal Funds Rate:
Target Federal Funds Rate - Upper Band
4.50% 4.25% 3.75% 3.75% 3.75% —  bps —  bps
SOFR:
SOFR Rate 4.45% 4.24% 3.87% 3.68% 3.68% —  bps -19  bps
SOFR Interest Rate Swap Rate:
2-Year Swap
3.49% 3.40% 3.31% 3.62% 4.02% +40  bps +71  bps
5-Year Swap
3.43% 3.39% 3.46% 3.62% 3.93% +31  bps +47  bps
10-Year Swap
3.69% 3.66% 3.80% 3.87% 4.05% +18  bps +25  bps
30-Year Swap
3.90% 3.93% 4.17% 4.13% 4.21% +8  bps +4  bps
U.S. Treasury Security Rate:
2-Year U.S. Treasury
3.72% 3.61% 3.48% 3.80% 4.18% +38  bps +70  bps
5-Year U.S. Treasury
3.80% 3.74% 3.73% 3.94% 4.23% +29  bps +50  bps
10-Year U.S. Treasury
4.23% 4.15% 4.17% 4.32% 4.47% +15  bps +30  bps
30-Year U.S. Treasury
4.78% 4.73% 4.85% 4.91% 4.95% +4  bps +10  bps
30-Year Fixed Rate Agency Price:
2.5%
$82.98 $84.25 $84.63 $84.16 $83.71 -$0.45 -$0.92
3.0%
$86.55 $87.85 $88.50 $87.97 $87.40 -$0.57 -$1.10
3.5%
$90.07 $91.40 $92.53 $91.67 $90.95 -$0.72 -$1.58
4.0%
$93.02 $94.27 $94.95 $94.28 $93.63 -$0.65 -$1.32
4.5% $95.67 $97.02 $97.70 $96.48 $96.02 -$0.46 -$1.68
5.0% $98.03 $99.19 $99.83 $98.59 $98.41 -$0.18 -$1.42
5.5% $99.99 $100.84 $101.45 $100.44 $100.44 $— -$1.01
6.0% $101.63 $102.16 $102.69 $101.91 $102.23 +$0.32 -$0.46
6.5% $103.22 $103.34 $103.94 $103.44 $103.46 +$0.02 -$0.48
15-Year Fixed Rate Agency Price:
1.5% $88.84 $89.48 $90.39 $89.84 $89.19 -$0.65 -$1.20
2.0% $91.38 $91.97 $92.52 $91.86 $91.20 -$0.66 -$1.32
2.5%
$93.38 $94.05 $94.55 $94.38 $93.60 -$0.78 -$0.95
3.0%
$95.34 $95.83 $96.23 $95.42 $94.57 -$0.85 -$1.66
3.5%
$96.53 $96.89 $97.23 $96.22 $95.38 -$0.84 -$1.85
4.0%
$97.81 $98.36 $98.67 $97.57 $97.24 -$0.33 -$1.43
________________________________
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.

27

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

Mortgage Rate/Credit Spread June 30, 2025 Sept. 30, 2025 Dec. 31, 2025 Mar. 31, 2026 June 30, 2026 June 30, 2026
vs
Mar. 31, 2026
June 30, 2026
vs
Dec. 31, 2025

Mortgage Rate: 1

30-Year Agency Current Coupon Yield to 5-Year U.S. Treasury Spread 168 146 131 144 118 -26 -13
30-Year Agency Current Coupon Yield to 10-Year U.S. Treasury Spread 125 105 87 106 94 -12 +7
30-Year Agency Current Coupon Yield to 5/10-Year U.S. Treasury Spread 146 126 110 124 107 -17 -3
30-Year Agency Current Coupon Yield to 5/10-Year Swap Spread 192 168 141 163 142 -21 +1
30-Year Agency Current Coupon Yield to 2/5/10-Year U.S. Treasury Spread 156 137 125 136 112 -24 -13
30-Year Agency Current Coupon Yield to 2/5/10-Year Swap Spread 194 172 152 168 141 -27 -11

30-Year Agency Current Coupon Yield 5.48% 5.20% 5.04% 5.38% 5.41% +3  bps +37  bps
30-Year Mortgage Rate 6.67% 6.32% 6.16% 6.35% 6.45% +10  bps +29  bps
Credit Spread (in bps): 2

CRT M2 155 151 150 144 144 — -6
CMBS AAA 86 77 78 80 71 -9 -7
CDX IG 51 52 50 63 51 -12 +1
CDX HY 316 318 314 383 303 -80 -11
________________________________
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 June 30, 2026 and December 31, 2025, our investment portfolio totaled $97.2 billion and $94.8 billion, respectively, consisting of: $86.8 billion and $81.1 billion Agency RMBS, at fair value, respectively; $9.7 billion and $13.0 billion net TBA securities, at fair value, respectively; $0.6 billion and $0.6 billion CRT, non-Agency RMBS and CMBS, at fair value, respectively; and other mortgage credit investments of $70 million and $70 million, respectively, which we account for under the equity method of accounting. The following table is a summary of our investment securities (including TBA securities) as of June 30, 2026 and December 31, 2025 (dollars in millions):

June 30, 2026 December 31, 2025
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 $ 74  $ 71  3.42  % —  % $ 251  $ 248  4.47  % —  %
15-year TBA securities 270  269  5.20  % —  % 151  151  5.29  % —  %
Total ≤ 15-year
344  340  4.82  % —  % 402  399  4.78  % —  %
20-year RMBS
218  204  3.74  % —  % 238  227  3.76  % —  %
30-year:

30-year RMBS 83,145  82,059  5.07  % 85  % 77,154  77,008  5.19  % 81  %
30-year TBA securities, net 2
9,406  9,459  4.89  % 10  % 12,766  12,837  4.72  % 14  %
Total 30-year
92,551  91,518  5.05  % 94  % 89,920  89,845  5.12  % 95  %
Total fixed rate Agency RMBS and TBA securities 93,113  92,062  5.04  % 95  % 90,560  90,471  5.12  % 96  %
Adjustable rate Agency RMBS 814  815  4.82  % 1  % 858  867  4.87  % 1  %
Multifamily 3,459  3,446  4.11  % 4  % 2,521  2,539  4.36  % 3  %
CMO Agency RMBS:
CMO 77  74  3.26  % —  % 85  83  3.27  % —  %
Interest-only strips 102  96  0.60  % —  % 100  96  0.52  % —  %
Principal-only strips 21  19  —  % —  % 22  20  —  % —  %
Total CMO Agency RMBS 3
200  189  3.26  % —  % 207  199  3.27  % —  %
Total Agency RMBS and TBA securities 3
97,586  96,512  5.01  % 99  % 94,146  94,076  5.09  % 100  %
Non-Agency RMBS 1,3
16  15  5.06  % —  % 16  15  5.12  % —  %
CMBS 3
10  9  5.87  % —  % 11  10  6.00  % —  %
CRT 535  573  9.84  % 1  % 561  606  10.00  % 1  %
Total investment securities 3
$ 98,147  $ 97,109  5.03  % 100  % $ 94,734  $ 94,707  5.12  % 100  %

________________________________
1. Table excludes other mortgage credit investments of $70 million and $70 million as of June 30, 2026 and December 31, 2025, respectively.
2. TBA securities are presented net of long and short positions. For further details of our TBA securities refer to Note 5 of our Consolidated Financial Statements in this Form 10-Q
3. Average coupon excludes interest-only and principal-only securities.
TBA securities are recorded as derivative instruments in our accompanying consolidated financial statements, and our TBA dollar roll transactions represent a form of off-balance sheet financing. As of June 30, 2026 and December 31, 2025, our TBA securities had a net carrying value of $52 million and $71 million, respectively, reported in derivative assets/(liabilities) on our accompanying consolidated balance sheets. The net carrying value represents the difference between the fair value of the underlying security in the TBA contract and the price to be paid or received for the underlying security.
As of June 30, 2026 and December 31, 2025, the weighted average yield on our investment securities (excluding TBA and forward settling securities) was 4.91% and 4.93%, respectively.
29

The following tables summarize certain characteristics of our fixed rate Agency RMBS portfolio, inclusive of TBA securities, as of June 30, 2026 and December 31, 2025 (dollars in millions):

  June 30, 2026
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% $ 27  $ 28  $ 25  100% 2.00% 102.3% 1.35% 66 9%
2.5% 5  5  5  100% 2.50% 99.6% 2.79% 159 12%
3.0% 14  14  14  100% 3.00% 100.6% 2.35% 153 12%
3.5% 4  4  4  100% 3.50% 100.8% 2.62% 153 13%
4.0% —  —  —  —% —% —% —% — —%
≥ 4.5% 290  293  292  8% 5.23% 102.7% 4.78% 9 11%

Total ≤ 15-year 340  344  340  21% 4.82% 101.8% 2.80% 75 11%
20-year:
2.5% 22  23  20  100% 2.50% 103.8% 1.75% 75 6%
3.0% 20  21  19  100% 3.00% 103.2% 2.29% 83 8%
3.5% 70  71  68  81% 3.50% 101.4% 2.97% 153 10%
4.0% 45  47  44  99% 4.00% 103.3% 3.09% 109 9%
≥ 4.5% 54  56  53  97% 4.64% 104.4% 3.41% 102 11%
Total 20-year: 211  218  204  92% 3.74% 103.0% 2.92% 116 10%
30-year:
≤ 3.0% 4,488  4,049  3,825  48% 2.62% 96.5% 2.99% 61 6%
3.5% 3,325  3,439  3,094  99% 3.50% 103.4% 2.89% 126 7%
4.0% 4,505  4,752  4,299  100% 4.00% 105.4% 3.08% 110 8%
4.5% 10,651  10,590  10,303  61% 4.50% 99.8% 4.44% 41 7%
5.0% 30,763  30,526  30,459  73% 5.00% 99.3% 5.10% 17 7%
5.5% 23,014  23,144  23,326  90% 5.50% 100.7% 5.38% 23 9%
6.0% 10,107  10,330  10,458  102% 6.00% 102.2% 5.53% 23 12%
≥ 6.5% 5,533  5,721  5,754  54% 6.51% 103.3% 5.59% 24 18%
Total 30-year 92,386  92,551  91,518  79% 5.05% 100.7% 4.90% 33 9%
Total fixed rate $ 92,937  $ 93,113  $ 92,062  79% 5.04% 100.7% 4.90% 34 9%

________________________________
1. Specified pools include pools backed by loans with characteristics related to loan size, borrower credit profiles, loan-to-value ratios, geographic concentrations, occupancy types, and other characteristics that are expected to result in more favorable prepayment behavior than generic TBA-eligible collateral.
2. Portfolio yield incorporates a projected life CPR based on forward rate assumptions as of June 30, 2026.

30

  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  31% 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  100% 2.50% 104.0% 1.75% 69 6%
3.0% 21  22  20  100% 3.00% 103.3% 2.29% 77 8%
3.5% 78  79  77  81% 3.50% 101.5% 2.97% 147 10%
4.0% 49  51  49  94% 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  91% 3.76% 103.1% 2.93% 110 9%
30-year:
≤ 3.0% 2,031  1,994  1,761  98% 2.57% 98.2% 2.80% 54 7%
3.5% 3,966  4,055  3,746  88% 3.50% 103.6% 2.89% 120 7%
4.0% 4,856  5,127  4,712  99% 4.00% 105.6% 3.06% 105 7%
4.5% 11,943  11,923  11,744  50% 4.50% 102.1% 4.11% 55 8%
5.0% 24,827  24,616  24,919  64% 5.00% 99.1% 5.13% 20 7%
5.5% 22,593  22,719  23,136  87% 5.50% 100.6% 5.40% 19 9%
6.0% 14,462  14,743  15,005  88% 6.00% 101.9% 5.59% 18 12%
≥ 6.5% 4,589  4,743  4,822  82% 6.51% 103.5% 5.43% 15 20%
Total 30-year 89,267  89,920  89,845  77% 5.12% 101.2% 4.91% 33 10%
Total fixed rate $ 89,892  $ 90,560  $ 90,471  76% 5.12% 101.2% 4.91% 34 10%

________________________________
1. See Note 1 of the preceding table for specified pool composition.
2. Portfolio yield incorporates a projected life CPR based on forward rate assumptions as of December 31, 2025.
For additional details regarding our CRT and non-Agency securities, including credit ratings, as of June 30, 2026 and December 31, 2025, please refer to Note 3 of our Consolidated Financial Statements in this Form 10-Q.

RESULTS OF OPERATIONS
Non-GAAP Financial Measures
In addition to the results presented in accordance with GAAP, our results of operations discussed below include certain non-GAAP financial information, including “economic interest income,” “economic interest expense,” and “net spread and dollar roll income available to common stockholders” 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
31

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 (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 interim consolidated financial statements and the notes thereto. The selected financial data should be read in conjunction with the more detailed information contained in Item 1. Financial Statements and in this Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations (in millions, except per share amounts):

June 30,
December 31,
Balance Sheet Data 2026
2025

(Unaudited)
Investment securities, at fair value of $87,381 and $81,719, respectively, and other mortgage credit investments
$ 87,451  $ 81,789 
Total assets $ 121,760  $ 115,077 
Repurchase agreements and other debt $ 89,808  $ 85,342 
Total liabilities $ 109,217  $ 102,684 
Total stockholders’ equity $ 12,543  $ 12,393 
Net book value per common share 1
$ 9.03  $ 9.35 
Tangible net book value per common share 2
$ 8.58  $ 8.88 

32

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

Statement of Comprehensive Income Data (Unaudited)
2026 2025 2026 2025
Interest income $ 1,014  $ 830  $ 2,064  $ 1,676 
Interest expense 709  668  1,440  1,355 
Net interest income (expense) 305  162  624  321 
Other gain (loss), net 379  (274) (54) (355)
Operating expenses 30  28  64  56 
Net income (loss) 654  (140) 506  (90)
Dividends on preferred stock 44  38  88  73 

Net income (loss) available (attributable) to common stockholders $ 610  $ (178) $ 418  $ (163)

Net income (loss) $ 654  $ (140) $ 506  $ (90)
Other comprehensive income (loss), net (7) 48  (15) 141 
Comprehensive income (loss) 647  (92) 491  51 
Dividends on preferred stock 44  38  88  73 

Comprehensive income (loss) available (attributable) to common stockholders $ 603  $ (130) $ 403  $ (22)

Weighted average number of common shares outstanding - basic 1,157.6  1,017.3  1,140.2  968.0 
Weighted average number of common shares outstanding - diluted 1,162.0  1,017.3  1,144.7  968.0 
Net income (loss) per common share - basic $ 0.53  $ (0.17) $ 0.37  $ (0.17)
Net income (loss) per common share - diluted $ 0.52  $ (0.17) $ 0.37  $ (0.17)
Comprehensive income (loss) per common share - basic $ 0.52  $ (0.13) $ 0.35  $ (0.02)
Comprehensive income (loss) per common share - diluted $ 0.52  $ (0.13) $ 0.35  $ (0.02)
Dividends declared per common share $ 0.36  $ 0.36  $ 0.72  $ 0.72 

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

Other Data (Unaudited) * 2026 2025 2026 2025
Average investment securities - at par $ 82,557  $ 66,876  $ 83,108  $ 68,290 
Average investment securities - at cost $ 83,366  $ 67,887  $ 84,075  $ 69,294 

Average net TBA dollar roll position - at cost $ 12,729  $ 11,996  $ 11,543  $ 9,725 
Average total assets - at fair value $ 115,371  $ 91,389  $ 116,900  $ 92,028 
Average repurchase agreements and other debt outstanding 3
$ 75,070  $ 59,469  $ 76,089  $ 60,582 
Average stockholders’ equity 4
$ 12,447  $ 10,118  $ 12,461  $ 10,024 
Average tangible net book value “at risk” leverage 5
7.4:1 7.5:1 7.4:1 7.4:1
Tangible net book value “at risk” leverage (as of period end) 6
7.4:1 7.6:1 7.4:1 7.6:1
Economic return on tangible common equity 7
6.7  % (1.0) % 4.7  % 1.4  %
Expenses % of average total assets - annualized
0.10  % 0.12  % 0.11  % 0.12  %
Expenses % of average assets, including average net TBA position - annualized
0.09  % 0.11  % 0.10  % 0.11  %
Expenses % of average stockholders’ equity - annualized
0.96  % 1.11  % 1.03  % 1.12  %

________________________________
* Except as noted below, average numbers for each period are weighted based on days on our books and records.
1. Net book value per common share is calculated as total stockholders’ equity, less preferred stock liquidation preference, divided by number of common shares outstanding as of period end.
2. Tangible net book value per common share excludes goodwill.
3. Amount represents the daily weighted average repurchase agreements outstanding for the period used to fund our investment securities and other debt. Amount excludes U.S. Treasury repurchase agreements and TBA contracts. Other debt includes debt of consolidated VIEs.
4. Average stockholders’ equity calculated as average month-ended stockholders’ equity during the period.
5. Average tangible net book value “at risk” leverage is calculated by dividing the sum of daily weighted average repurchase agreements used to fund our investment securities, other debt, and TBA and forward settling securities (at cost) (collectively “mortgage borrowings”) outstanding for the period by the sum of average stockholders’ equity adjusted to exclude goodwill for the period. Leverage excludes U.S. Treasury repurchase agreements.
6. Tangible net book value “at risk” leverage as of period end is calculated by dividing the sum of mortgage borrowings outstanding and receivable/payable for unsettled investment securities as of period end by the sum of total stockholders’ equity adjusted to exclude goodwill as of period end. Leverage excludes U.S. Treasury repurchase agreements.
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7. Economic return on tangible common equity represents the sum of the change in tangible net book value per common share and dividends declared per share of common stock during the period over beginning tangible net book value per common share.

Economic Interest Income and Asset Yields
The following table summarizes our economic interest income (a non-GAAP measure) for the three and six months ended June 30, 2026 and 2025, which includes the combination of interest income (a GAAP measure) on our holdings reported as investment securities on our consolidated balance sheets, adjusted to exclude estimated “catch-up” premium amortization adjustments for the cumulative effect from prior reporting periods due to changes in our CPR forecast, and implied interest income on our TBA securities (dollars in millions):

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

2026 2025 2026 2025
Amount Yield Amount Yield Amount Yield Amount Yield
Interest income:
Cash/coupon interest income
$ 1,061  5.14  % $ 860  5.14  % $ 2,163  5.21  % $ 1,745  5.11  %
Net premium amortization benefit (cost) (47) (0.27) % (30) (0.25) % (99) (0.30) % (69) (0.27) %
Interest income (GAAP measure) 1,014  4.87  % 830  4.89  % 2,064  4.91  % 1,676  4.84  %
Estimated “catch-up” premium amortization cost (benefit) due to change in CPR forecast 5  0.02  % (11) (0.06) % —  —  % (9) (0.03) %
Interest income, excluding “catch-up” premium amortization 1,019  4.89  % 819  4.83  % 2,064  4.91  % 1,667  4.81  %
TBA dollar roll income - implied interest income 1,2
155  4.87  % 154  5.14  % 295  5.11  % 258  5.31  %
Economic interest income (non-GAAP measure) 3
$ 1,174  4.89  % $ 973  4.87  % $ 2,359  4.93  % $ 1,925  4.87  %

Weighted average actual portfolio CPR for investment securities held during the period 13.0  % 8.7  % 13.1  % 7.8  %
Weighted average projected CPR for the remaining life of investment securities held as of period end 8.6  % 7.8  % 8.6  % 7.8  %
30-year fixed rate mortgage rate as of period end 4
6.45  % 6.67  % 6.45  % 6.67  %
10-year U.S. Treasury rate as of period end 4
4.47  % 4.23  % 4.47  % 4.23  %

________________________________
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 includes dollar roll income (loss) on long and short TBA securities. 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 net TBA balance outstanding during the period and their respective yields.
4. 30-year fixed rate mortgage rates are sourced from Optimal Blue. 10-year U.S. Treasury rates are sourced from Bloomberg.
The principal elements impacting our economic interest income are the average size of our investment portfolio and the average yield on our securities. The following table includes a summary of the estimated impact of each of these elements on our economic interest income for the three and six months ended June 30, 2026 compared to the prior year period (in millions):
34

Impact of Changes in the Principal Elements Impacting Economic Interest Income

Due to Change in Average
Three months ended:
Total Increase /
(Decrease) Portfolio
Size Asset
Yield
Interest Income (GAAP measure) $ 184  $ 189  $ (5)
Estimated “catch-up” premium amortization due to change in CPR forecast 16  —  16 
Interest income, excluding “catch-up” premium amortization 200  189  11 
TBA dollar roll income - implied interest income 1  9  (8)
Economic interest income, excluding “catch-up” amortization (non-GAAP measure) $ 201  $ 198  $ 3 

Due to Change in Average
Six months ended:
Total Increase /
(Decrease) Portfolio
Size Asset
Yield
Interest Income (GAAP measure) $ 388  $ 358  $ 30 
Estimated “catch-up” premium amortization due to change in CPR forecast 9  —  9 
Interest income, excluding “catch-up” premium amortization 397  358  39 
TBA dollar roll income - implied interest income 37  48  (11)
Economic interest income, excluding “catch-up" amortization (non-GAAP measure) $ 434  $ 406  $ 28 

Our average investment portfolio (at cost), inclusive of TBAs, increased 20% and 21% for the three and six months ended June 30, 2026, respectively, compared to the prior year period, primarily due to an increase in our capital base. The average yield on our investment portfolio, including TBA implied asset yields and excluding “catch-up” premium amortization, increased 2 and 6 basis points for the three and six months ended June 30, 2026, respectively, largely due to an increase in the average coupon of our portfolio.

Leverage
Our primary measure of leverage is our tangible net book value “at risk” leverage ratio, which is measured as the sum of our repurchase agreements and other debt used to fund our investment securities and net TBA and forward settling securities position (at cost) (together referred to as “mortgage borrowings”) and our net receivable/payable for unsettled investment securities, divided by our total stockholders’ equity adjusted to exclude goodwill.
We include our net TBA position in our measure of leverage because a forward contract to acquire Agency RMBS in the TBA market carries similar risks to Agency RMBS purchased in the cash market and funded with on-balance sheet liabilities. Similarly, a TBA contract for the forward sale of Agency securities has substantially the same effect as selling the underlying Agency RMBS and reducing our on-balance sheet funding commitments. (Refer to Liquidity and Capital Resources in this Form 10-Q for further discussion of TBA securities and dollar roll transactions). Repurchase agreements used to fund short-term investments in U.S. Treasury securities (“U.S. Treasury Repo”) are excluded from our measure of leverage due to the temporary and highly liquid nature of these investments. The following table presents a summary of our leverage ratios for the periods listed (dollars in millions):

  Investment Securities Repurchase Agreements and Other Debt 1
Net TBA Position
Long/(Short) 2
Average Tangible Net Book Value
“At Risk” Leverage during the Period 3
Tangible Net Book Value “At Risk” Leverage
as of
Period End 4

Quarter Ended Average Daily
Amount Maximum
Daily Amount Ending
Amount Average Daily
Amount Ending
Amount
June 30, 2026 $ 75,070  $ 80,083  $ 79,512  $ 12,729  $ 9,676  7.4:1 7.4:1
March 31, 2026 $ 77,120  $ 79,681  $ 75,840  $ 10,343  $ 9,742  7.4:1 7.4:1
December 31, 2025 $ 69,943  $ 74,195  $ 73,002  $ 13,764  $ 12,917  7.4:1 7.2:1
September 30, 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

________________________________
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.
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Economic Interest Expense and Aggregate Cost of Funds  
The following table summarizes our economic interest expense and aggregate cost of funds (non-GAAP measures) for the three and six months ended June 30, 2026 and 2025 (dollars in millions), which includes the combination of interest expense on repurchase agreements and other debt used to fund acquisitions of investment securities (GAAP measure), implied financing cost of our TBA securities and interest rate swap periodic income:

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

2026 2025 2026 2025
Economic Interest Expense and Aggregate Cost of Funds 1
Amount Cost of Funds Amount Cost of Funds Amount Cost of Funds Amount Cost of Funds
Investment securities repurchase agreement and other debt - interest expense (GAAP measure) $ 709  3.74  % $ 668  4.44  % $ 1,440  3.76  % $ 1,355  4.45  %
TBA dollar roll income - implied interest expense 2,3
111  3.46  % 130  4.29  % 200  3.45  % 211  4.32  %
Economic interest expense - before interest rate swap periodic income, net 4
820  3.70  % 798  4.42  % 1,640  3.72  % 1,566  4.43  %
Interest rate swap periodic income, net 2,5
(179) (0.81) % (282) (1.56) % (361) (0.82) % (575) (1.63) %
Total economic interest expense (non-GAAP measure) $ 641  2.89  % $ 516  2.86  % $ 1,279  2.90  % $ 991  2.80  %

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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 for TBA transactions represents our long TBA position, weighted based on our daily average long position outstanding for the period.
4. The combined cost of funds for total mortgage borrowings outstanding, before interest rate swap periodic income, is calculated on a weighted average basis based on average investment securities repurchase agreements, other debt and TBA securities outstanding during the period and their respective cost of funds.
5. Interest rate swap periodic income is measured as a percent of average mortgage borrowings outstanding for the period.

The principal elements impacting our economic interest expense are (i) the size of our average mortgage borrowings and interest rate swap portfolio outstanding during the period, (ii) the average interest rate on our mortgage borrowings and (iii) the average net interest rate paid/received on our interest rate swaps. The following table includes a summary of the estimated impact of these elements on our economic interest expense for the three and six months ended June 30, 2026 compared to the prior year period (in millions):

Impact of Changes in the Principal Elements of Economic Interest Expense

Due to Change in Average
Three months ended:
Total Increase / (Decrease) Borrowing / Swap Balance Borrowing / Swap Rate
Investment securities repurchase agreement and other debt interest expense $ 41  $ 175  $ (134)
TBA dollar roll income - implied interest expense (19) 8  (27)
Interest rate swap periodic income/cost 103  (181) 284 
Total change in economic interest expense $ 125  $ 2  $ 123 

Due to Change in Average
Six months ended:
Total Increase / (Decrease) Borrowing / Swap Balance Borrowing / Swap Rate
Investment securities repurchase agreement and other debt interest expense $ 85  $ 347  $ (262)
TBA dollar roll income - implied interest benefit/expense (11) 39  (50)
Interest rate swap periodic income/cost 214  (363) 577 
Total change in economic interest benefit/expense $ 288  $ 23  $ 265 

Our average mortgage borrowings, inclusive of TBAs, increased 23% and 25% for the three and six months ended June 30, 2026, 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 72 and 71 basis points for the three and six months ended June 30, 2026, respectively, due to a decline in short-term interest rates.
Interest rate swap periodic income declined for the three and six months ended June 30, 2026, primarily due to higher pay rates on our pay-fixed swaps, driven by the maturity of lower-cost swaps, an increase in our interest rate swap position at higher
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prevailing rates, and lower receive rates. The ratio of interest rate swaps outstanding to mortgage borrowings increased due to a greater allocation to interest rate swaps in our hedge portfolio. The following table summarizes our interest rate swaps outstanding during the three and six months ended June 30, 2026 (dollars in millions). Amounts exclude forward starting swaps not yet in effect.

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