AGNC 10-K & 10-Q changes, risk factors and insider trading

When the differential (or "spread") between the market yield on our assets and our interest rate hedges widens, our tangible net book value will typically decline, a dynamic we refer to as "spread risk." As a levered investor primarily in fixed-rate Agency RMBS, spread risk is an inherent component of our business. Although we use hedging instruments in an effort to protect against moves in interest rates, our hedges will typically not protect us against spread risk. Spreads may widen due to numerous factors, including actual or expected monetary policy actions by U.S. and foreign central banks; legislative, regulatory or other administrative actions affecting the Agency RMBS market; changes in fiscal policy and rising federal budget deficits; increased market volatility; reduced market liquidity; higher Agency RMBS supply; and shifts in investor return requirements and sentiment.

Interest rate and spread volatility can materially and adversely impact our business, financial condition, and operating results. Elevated volatility amplifies market risks that affect the value of our assets and liabilities and can reduce earnings stability. Increased volatility also heightens our exposure to margin calls, including higher risk-based margin requirements, which may require us to post additional collateral, thereby reducing our unencumbered liquidity,cash and other liquid assets (or “unencumbered liquidity”) and thus limiting resources available for operational needs and further margin obligations.

Sustained interest rate and spread volatility has the potential to materially impact our unencumbered liquidity, increase our costs, and impair our ability to manage risk effectively. While we actively monitor market conditions and adjust our strategies in response, there is no assurance that these measures will be sufficient to offset the negative effects of volatility on our business, operations, and financial results.

The Fed’sparticipation participationof the Fed and other government-related entities in the Agency mortgage market could have an adverse effect on our Agency RMBS investments.

TheParticipation by the Federal Reserve’sReserve (the "Fed") participationor other government-related entities in the Agency RMBS market can materially impact mortgage market conditions, affecting supply, pricing, and returns. Asset purchasespurchases, particularly when undertaken on an uneconomic basis, by the Fed or other government-related entities generally would be expected to tighten mortgage spreads and thus drive Agency RMBS values higher and tighten mortgage spreads,higher, which increaseswould increase our tangible net book value but reducesreduce the return potential on new investments. Conversely, actual or anticipated reductions in the amount of its Agency RMBS holdings typicallyby such entities would be expected to lead to lower values and wider spreads, thereby lowering our tangible net book value while improving the return potential on new acquisitions.investments.

The Fed first implemented large-scale asset purchases, known as quantitative easing ("QE"), during the 2008-2009 financial crisis to stabilize financial markets and support economic recovery. In response to the COVID-19 financial crisis, the Fed’sFed's balance sheet more than doubled from $4.2 trillion in March 2020 to $8.9 trillion in May 2022, with its Agency RMBS holdings rising to over $2.7 trillion, or nearly one-third of all Agency RMBS outstanding Agencyat RMBS.the time. Since 2022, the Fed has reduced theseits Agency RMBS holdings by approximately $500 billion through prepayment runoff.runoff to approximately $2.1 trillion as of December 31, 2025. While the Fed currently favors a gradual reduction of its balance sheet reduction through prepayment runoff, there is no assurance that it will not undertakealter its approach, including by undertaking asset sales. A faster-than-expected unwindingreduction ofin Fedthe Fed's Agency RMBS holdings could increase market volatility, reduce liquidity, and widen RMBS spreads, which could materially impactingadversely impact our tangible net book value and financial condition.

Our investment securities are reported at fair value on our consolidated balance sheet, with changes in fair value reported in net income or other comprehensive income. Therefore, a decline in the fair value of our assets reduces our total comprehensive income and adversely affects our financial position. We use our investments as collateral for our financing arrangements and certain hedge transactions; consequently, a decline in fair value,value or perceived market uncertainty about the value of our assets,assets could reduce the amount of our unencumbered assets, subject us to margin calls or make it more difficult for us to maintain our compliance with the terms of our financing agreements. It could also reduce our ability to purchase additional investments or to renew or replace our existing borrowings as they mature. As a result, we could be required to sell assets at adverse prices and our ability to maintain or grow our total comprehensive income could be reduced.

The value of our assets is influenced by multiple factors. In particular, the value of our long-term fixed-rate securities is highly sensitive to fluctuations in longer-term interest rates. Additionally, the amount of market liquidity can significantly impact asset values, as reduced liquidity may lead to wider mortgage spreads, price declines and increased volatility. Several factors can negatively impact market liquidity, including shifts in macro-economic conditions, market uncertainties, changes in investor sentiment, reduced or negative global money flows into U.S. fixed income markets, and regulatory capital requirements that constrain the market-making or funding capacity of banks and financial institutions. Liquidity could also be affected by the Fed’sFed's monetary policy, particularly if balance sheet reduction occurs more rapidly than expected, as well as by legislative, regulatory or other administrative actions that affect the Agency RMBS marketmarket, government entity participation in Agency RMBS or funding markets, or changes in fiscal policy that increase the federal budget deficit.

Our investment portfolio largely consists of securities backed by pools of mortgage loans that receive payments related to the underlying mortgage loans. When borrowers prepay their mortgage loans at rates faster or slower than anticipated, we are exposed to prepayment or extension risk. Generally, prepayments increase during periods of falling mortgage interest rates and decrease during periods of rising mortgage interest rates; however, other factors can also affect prepayment rates, including loan age and size, loan-to-value ratios, housing price trends, general economic conditions, government policies that promote housing turnover or refinancings, and GSE buyouts of delinquent loans. If our assets prepay at a faster rate than anticipated, we may be unable to reinvest the resulting repayments at acceptable yields. If the proceeds are reinvested at lower yields than our existing assets, our net interest margins would be negatively impacted. We also amortize or accrete into interest income any premiums and discounts we pay or receive at purchase relative to the stated principal of our assets over their projected lives using the effective interest method. If the actual and estimated future prepayment experience differs from our prior estimates, we are required to record ana current period adjustment to interest income for the impact of the cumulative difference in the effective yield, which could negatively affect our interest income.

If our assets prepay at a slower rate than anticipated, ourthey assets couldmay extend beyond their expected maturity, and we may havebe required to finance our investments for longer periods at potentially higher costscosts, without the ability to reinvest principal into higher yieldinghigher-yielding securities. Additionally, if prepayment rates decreasedecline more than expected due to a rising interest rate environment, the average life or duration of our fixed-rate assets would extend, butwhile the maturities of our interest rate swap maturitiesswaps would remain fixedunchanged and, therefore, coverhedge a smaller percentageportion of our funding exposure. At the same time, the market value of our assets could decline, while most ofand our hedging instruments wouldmay not receivegenerate any incrementalsufficient offsetting gains.gains to fully mitigate the decline in asset values.

To the extent that actual prepayment rates differ from our expectations, our operating results could be adversely affected, and we could be forced to sell assets to maintain adequate liquidity, which could cause us to incur realized losses. In addition, should significant prepayments occur, there is no certainty that we will be able to identify acceptable new investments, which could reduce our invested capital or result in us making less favorable investments.

Our success depends in part on our ability to predict prepayment behavior over a variety of economic conditions. As part of our overall portfolio risk management, we analyze interest rate changes and prepayment trends to assess their effects on our investment portfolio. Our analysis is largely based on predictive models andthat reliancerely on historical correlations between interest rates and other factors andthat theinfluence rateprepayment of prepayments.rates. However, unprecedented events, market dislocations, changes in housing or mortgage-related policies, advances in origination channel technologiestechnologies, and other factors may impair the usefulness of these historical correlations or render them completely invalid, reducing our ability to accurately predict future prepayment activity. Other factors beyond interest rates also impact the rate of prepayments and may be difficult to predict, such as housing turnover, lending conditions andconditions, the availability of credit to homeowners, government or GSE policy actions, and GSE buyouts of delinquent loans from the underlying mortgage pool.

Many of the analytical models we use are predictive in nature, such as mortgage prepayment and default models. The use of predictive models has inherent risks and may incorrectly forecast future behavior, leading to potential losses. Furthermore, since predictive models are usuallytypically constructed based on historical trends using data supplied by third parties, the success of relying on such models depends heavily on the accuracy and reliability of the suppliedunderlying historical data. Additionally, multiple factors could disrupt the relationships between data and historical trends, reducing the ability of our models to predict future outcomes,outcomes or even renderrendering them invalid. We are at greater risk of this occurring during periods of high volatility or during unanticipated and/or unprecedented financial or economic events, including any actual or anticipated shifts in monetary or fiscal policy resulting from these events. Further, the use of artificial intelligence ("AI")–based techniques associated with analytical models and third-party data may heighten these risks due to the rapidly evolving nature of AI technologies, including risks related to data quality or completeness, model accuracy, and bias. Consequently, actual results could differ materially from our projections. Moreover, the use of different models could result in materially different projections.

We measure the fair value of our investments in accordance with guidance set forth in Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures. Fair value is only an estimate based on good faith judgment of the price at which an investment can be sold since market prices of investments can only be determined by negotiation between a willing buyer and seller. Our determination of the fair value of our investments includes inputs provided byfrom pricing services and third-party dealers. Valuations of certain investments in which we invest may be difficult to obtain or unreliable. In general, pricing services and dealers heavilydisclaim disclaimresponsibility for the accuracy, completeness or usefulness of their valuations and we do not have recourse against them in the event of inaccurate price quotes or other inputs used to determine the fair value of our investments. Depending on the complexity and illiquidity of a security, valuations of the same security can vary substantially from one pricing source to another. Moreover, values can fluctuate significantly, even over short periods of time. ForAs thesea reasons,result, the fair value at which our investments are recorded may not be an accurate indication of their realizable value. The ultimate realization of the value of an asset depends on economic and other conditions that are beyond our control. Consequently, if we were to sell an asset, particularly throughin a forced liquidation, the realized value may be less than the amount at which the asset is recorded, which would negatively affect our results of operations and financial condition.

Investments in credit-oriented securities, such as CRT securities and non-Agency MBS, wherefor which repayment of principal and interest is not guaranteed by a GSE or U.S. Government agency, subjectexpose us to the potential risk of loss of principal and/or interest due to delinquency, foreclosure and related losses on the underlying mortgage loans.

CRT securities are risk sharing instruments issued by Fannie Mae and Freddie Mac,Mac and similarly structured transactions arranged by third-party market participants,participants that are designed to synthetically transfer mortgage credit risk from the issuing entity to private investors. The transactions are structured as unguaranteed bonds whose principal payments are determined by the delinquency and prepayment experience of a reference pool of mortgages guaranteed by Fannie Mae or Freddie Mac. An investor in CRT securities bears the risk that the borrowers in the reference pool of loans may default on their obligations to make full and timely payments of principal and interest.

CMBS are backed by commercial loans, secured by multifamily or other commercial properties. These loans typically face higher risks of delinquency and loss compared to residential loans. Repayment largely depends on the property's operational success.performance of the underlying properties. Factors affecting thea property's net operating income, such as occupancy rates, tenant mix, the success of tenant businesses, property management, location, condition, and economic conditions, can influence the borrower's repayment capacity.

Our profitability depends on our ability to acquire our target assets at attractive prices. We may seek assets with specific attributes that influence their prepayment behavior under certain market conditions or that enable us to satisfy asset test requirements to maintain our REIT qualification status or exemption from regulation under the Investment Company Act (such as "whole pool" Agency RMBS). The supply of our target assets may be impacted by policies and procedures adopted by the GSEs, their regulator—the Federal Housing Finance Administration ("FHFA")—or other governmental agencies, such as policies impacting origination and pooling practices, as well as by legislative, regulatory or other administrative actions related to the GSEs’GSEs' government-like status or changes to their Federalfederal conservatorships. As a result, our target assets may not be available in sufficient supply or at attractive prices. We may also compete for these assets with a variety of other investors, including other REITs, specialty finance companies, public and private funds, government entities, banks, insurance companies and other financial institutions, which may have competitive advantages over us, such as a lower cost of funds andfunds, access to funding sources not available to us, or other competitive advantages over us. If we are unable to acquire enougha sufficient amount of target assets, we may be unable to achieve our investment objectives or maintain our REIT qualification status or exemption from regulation under the Investment Company Act.

We expect our leverage to vary with market conditions and our assessment of the tradeoffs between risk and return on investments. We generally expect to maintain our leverage between six to twelveten times the amount of our tangible stockholders' equity, but we may operate at levels outside of this range for extended periods. We incur this leverage by borrowing against a substantial portion of the market value of our assets. Leverage, which is fundamental to our investment strategy, creates significant risks and amplifies our risk exposure to higher borrowing costs, changes in underlying asset values, changes in mortgage spreads, and other market factors. Leverage also exposes us to the risk of margin calls and defaults under our funding agreements, which may result in forced sales of assets inunder adverse market conditions. The risks associated with leverage are more acute during volatile market environments and periods of reduced market liquidity. Because of our leverage, we may incur substantial losses.

We rely primarily on short-term borrowings to finance our mortgage investments. Consequently, our ability to achieve our investment objectives depends not only on our ability to borrow sufficient amounts and on favorable terms, but also on our ability to renew or replace our maturing short-term borrowings on a continuous basis. A variety of factors could prevent us from being able to achieveachieving our intended borrowing and leverage objectives, including:

•increases in member specificmember-specific margin requirements assessed by the FICC for tri-party repo accessed by our wholly-owned captive broker-dealer subsidiary, BES, through the FICC's GCF Repo service;

•circumstances that could result in our failure to satisfy covenants, leverage limits, or other requirements imposed by our lenders, inas a result of which case our lenders may terminate and cease entering into repurchase transactions with us; and

Because of these and other factors, there is no assurance that we will be able to secure financing on terms that are acceptable to us. If we cannot obtain sufficient funding on acceptable terms, we may have to sell assets possibly under adverse market conditions.conditions, and our ability to grow or execute our business strategy could be adversely affected.

It may be uneconomical to roll our TBA dollar roll transactions, andwhich wecould mayrequire be requiredus to take physical delivery of the underlying securities and fund our obligations with cash or other financing sources.

We utilize TBA dollar roll transactions, which represent a form of off-balance sheet financing and increase our "at risk" leverage,transactions as an alternatealternative means of investing in and financing Agency RMBS. ItThese maytransactions becomerepresent uneconomicala forform of off-balance sheet financing, increase our "at risk" leverage, and subject us to rollmargin forwardrequirements. our TBA positions prior to their settlement dates due to marketMarket conditions, which can be impacted by a variety of factors, such asincluding changes in the pace or manner of the Fed’sFed's runoff of its portfolio of Agency RMBS portfolio or, if they occur, the Fed’sFed's, GSE's or other government-entity purchases or sales of Agency RMBS in the TBA market.market, may make it uneconomical for us to roll our TBA positions prior to their settlement dates. Because TBA dollar roll transactions include a deferred purchase price obligationobligation, on our part. Anan inability or unwillingnessdecision not to continue rolling forward our positionpositions hashave effects similar to a termination of financing. In thatsuch circumstance,circumstances, we would be required to settle theour obligations forin cash and would then take physical delivery of the underlying Agency RMBS. We may not have sufficient funds or alternative financing sources available to settledo such obligations.so. Additionally, ifupon settlement, we takewould delivery of the underlying securities, we can expect togenerally receive the "cheapest to deliver" securities withthat satisfy the TBA contract. "Cheapest to deliver" securities typically have the least favorable prepayment attributes that satisfy the terms of the TBA contract. Further, the specific securities that we receiveand may include few, if any, "whole pool" securities,securities. whichAs a result, taking delivery could inhibitadversely affect our returns and could limit our ability to remain exempt from regulation as an investment company under the Investment Company Act (see "Loss of our exemption from regulation pursuant to the Investment Company Act would adversely affect us" below). TBA contracts also subject us to margin requirements as described further below. Our inability to roll forward our TBA positions, failure to obtain adequate financing to settle our obligations, or failure to meet margin calls under our TBA contracts could force us to sell assets under adverse market conditionsconditions, causingresulting us to incurin significant losses.

Our funding and derivative agreements require that we maintain certain levels of collateral with our counterparties and may result in margin calls initiated against us if, for example, the value of our collateral declines. A margin call means that the counterparty requires us to pledge additional collateral to re-establish the required collateral level to protect themit from loss in the event we default on our obligations. The requirement to meet margin calls can create liquidity risks. In the event of a margin call, we must generally provide additional collateral on the same business day. If we fail to meet the margin call, we would be in default, and our counterparty could terminate outstanding transactions, require us to settle our entire obligation under the agreementagreement, and enforce their interests against existing collateral. Furthermore, we may also be subject to certain cross-default and acceleration rights, such that if we were to fail to meet a margin call under one agreement that failure could also lead to defaults, accelerations, or other adverse events under other agreements, as well.agreements. The threat or occurrence of margin calls or the accelerated settlement of our obligations under our agreements could force us to sell our investments under adverse market conditions and result in substantial losses.

Our fixed-rate collateral is generally more susceptible to margin calls due to its price sensitivity to changes in interest rates. In addition, some collateral may be less liquid than other instruments, which could cause it to be more susceptible to margin calls induring aperiods volatileof marketheightened environment.volatility. Furthermore, faster rates of prepayment may increase the magnitude of potential margin calls as there is a time lag between the effective date of the prepayment and the date we receive the principal payment.

Increases in FICC margin requirements would have the effect of reducing our unencumbered assets and could potentially limit our ability to utilize tri-party repo funding through the FICC's GCF Repo service and engage in centrally-cleared TBA transactions through the FICC’sFICC's MBSD. Furthermore, BES'BES's inability to meet FICC margin requirements may result in the FICC declaring an event of default and ceasing to act for BES as a member along with a liquidation of any margin collateral as well asand the portfolio of outstanding transactions for which the FICC serves as BES’BES's central counterparty, potentially in adverse market conditions. If BES were to fail to continually meet FICC margin requirements and default on its obligations to the FICC it could have a material financial impact on our financial position.

Our repurchase agreements and agreements governing certain derivative instruments may contain financial and nonfinancialnon-financial covenants subjecting us to the risk of default.

A number of our bilateral repurchase agreements and derivative agreements require that we comply with certain financial and non-financial covenants. These financial covenants typically limit declines in our stockholders’stockholders' equity for any given quarter, calendar year, or 12-month period and limit our leverage to a maximum amount. Compliance with these covenants depends on market factors and the strength of our business and operating results. In addition, a number of these agreements require, among other things, that we maintain our status as a publicly listed REIT and remain exempt from the provisions of the 1940 Act. Various risks, uncertainties and events beyond our control, including significant fluctuations in interest rates, market volatility and changes in market conditions, could affect our ability to comply with these covenants. Unless we were able to negotiate a waiver or forbearance of such covenants, failure to comply with them could result in an event of default and generally would give the counterparty the right to exercise certain other remedies under the agreement, including termination of one or more repo or hedging transactions, acceleration of all amounts owed under an agreement, and the right to sell the collateral held by that counterparty. Any waiver or forbearance, if granted, could carry additional conditions that may be unfavorable to us. Additionally, certain of our agreements contain cross-default, cross-acceleration or similar provisions, such that if we were to violate a covenant under one agreement, that violation could lead to defaults, accelerations, or other adverse events under other agreements, as well.agreements.

Our rights under repurchase and derivative agreements in the event of bankruptcy or insolvency may be limited.

In the event of our bankruptcy or insolvency, our repurchase agreements and hedging arrangements may qualify for special treatment under the U.S. Bankruptcy Code, the effect of which, among other things, would be to allow the counterparty under the applicable agreement to avoidbe exempt from the automatic stay provisions of the U.S. Bankruptcy Code and to foreclose on the collateral without delay. In the event of anthe insolvency or bankruptcy of one of our repurchase agreement or derivative counterparties, the counterparty may be permitted, under applicable insolvency laws, to repudiate the contract,contract with us, and our claim against the counterparty for damages may be treated simply as an unsecured creditor.unsecured. In addition, if the counterparty is a broker or dealer subject to the Securities Investor Protection Act of 1970, or an insured depository institution subject to the Federal Deposit Insurance Act, our ability to recover our assets under our agreements or to be compensated for any damages resulting from the counterparty's insolvency may be further limited by those statutes. RecoveriesAny recoveries on thesesuch claims could be subject to significant delay and, if received, could be substantially less than the damages incurred.

Our funding and derivative agreement counterparties may not fulfill their obligations to us as and when due.

If a repurchase agreement counterparty defaults on its obligation to resell collateral to us, we could incur a loss on the transaction equal to the difference between the value of our collateral and the amount of our borrowing. Similarly, if a derivative agreement counterparty fails to return collateral to us at the conclusion of the derivative transaction or fails to pledge collateral to us or to make other payments we are entitled to under the terms of our agreement as and when due, we could incur a loss equal to the value of our collateral and other amounts due to us.

We attempt to limit our counterparty exposure by diversifying our funding across multiple counterparties and limiting our counterparties to registered central clearing exchanges and major financial institutions with acceptable credit ratings. However, these measures may not sufficiently reduce our risk of loss. Central clearing exchanges typically attempt to reduce the risk of default by requiring initial and daily variation margin from their clearinghouse members and maintainmaintaining guarantee funds and other resources that are available in the event of default. Nonetheless, we could be exposed to athe risk of loss if an exchange or one or more of its clearing members defaults on itstheir obligations. Most of the swaps and futures transactions that we enter into must be cleared by a Derivatives Clearing Organization, or DCO. DCOs are subject to regulatory oversight, use extensive risk management processes, and might receive "too big to fail" support from the government in the case of insolvency. We access the DCO through several FCMs, which may establish their own collateral requirements beyond thatthose of the DCO. Consequently, for any cleared swap or futures transaction, we bear the credit risk of both the DCO and the relevant FCM as to obligations under our swap and futures agreements. The enforceability of our derivative and repurchase agreements may also depend on compliance with applicable statutory, commodity and other regulatory requirements and, depending on the domicile of the counterparty, applicable international requirements.

Our hedging strategies may vary in scope based on our portfolio composition, liabilities and our assessment of the level and volatility of interest rates, expected prepayments, credit and other market conditions, and they are expected to change over time. We could inaccurately assess a risk or fail to recognize a risk entirely, leaving us exposed to losses without the benefit of any offsetting hedges. Furthermore, the techniques and derivative instruments we select may not have the effect of reducing our risk. Poorly designed hedging strategies or improperly executed transactions could increase our risk of loss. Hedging activities could also result in losses if the hedged event does not occur. Numerous other factors can impact the effectiveness of our hedging strategies, including the following:

•the degree to which the interest rate hedge benchmark rate correlates towith the interest rate risk being hedged;

•the amount of income that a REIT may earn from hedging transactions that do not satisfy certain requirements of the Internal Revenue Code orand that are not doneconducted through a TRS; and

•the degree to which the value of our interest rate hedges changes relative to our assets as a result of fluctuations in interest rates, the passage of time, or other factors.

Additionally, regulations adopted by the CFTC and regulators of other countries could adversely affect our ability to engage in derivative transactions or impose increased margin requirements and requireresult in additional operational and compliance costs. Consequently, our hedging strategies may fail to protect us from loss and could even result in greater losses than if we had not entered ininto the hedge transaction.

Our business heavily depends on information and communication systems, including services provided by third parties and cloud-based platforms. A failure in these systems, or a failure by a third-party provider, could significantly disrupt our operations. These systems may be subject to damage or interruption from, among other things, natural disasters, public health issues such as pandemics or epidemics, terrorist attack,attacks, rogue employees, power loss, telecommunications failures, internet disruptions, and other interruptions beyond our control. Additionally, our reliance on these systems exposes us to risks of disruption or damage from cybersecurity risks, such as malware, virus,viruses, hacking, denial of service, ransomware, physical or electronic break-ins, insider threats, and phishing attacks, all of which are increasingly sophisticated and prevalent. Our systems may be misconfigured or configured in a way that exacerbates our exposure to these risks. Despite having no significant breaches detected soto far,date, we regularly are targeted by threat actors, and completely preventing or detecting such incidents promptly is increasingly challenging.

The complex nature of cybersecurity threats means a breach could go undetected for a long time, if ever, and responding to such incidents may not always be immediate or sufficient. Moreover, we depend on third-party vendors to implement security programs commensurate with their own risk. TheySuch vendors may not be successful at defending against or detecting cybersecurity threats, and they may not be obligated to inform us of such incidents. The consequences of a cyber-attack may include operational disruption, unauthorized access to sensitive data, regulatory fines, reputational damage, liability to third parties, and financial losses.

The impact of cybersecurity incidents is difficult to predict, and legal and regulatory requirements around data privacy and security could lead to increased costs and stricter compliance requirements. During an investigation of a cybersecurity incident, or a series of events, it is possible we may not necessarily know the extent of the harm or how to remediate it, which could further adversely impact us, and we may be compelled to disclose information about a material cybersecurity incident before it has been mitigated or resolved, or even fully investigated. Furthermore, whether a single cyber event or series of cyber events is material is often a matter of judgment rather than quantitative measures and might only be determinable well after the fact. Despite our efforts to enhance our cybersecurity defenses, we cannot assure complete protection against all cybersecurity threats. A cybersecurity incident, if one were to occur, could adversely affect our business, results of operations, or financial condition.

We believe we qualify as a REIT for U.S. federal income tax purposes under Sections 856–860 of the Internal Revenue Code of 1986, as amended, and related Treasury Regulations, and we intend to maintain our REIT status. The determination that we are a REIT requires an analysis of various factual matters and circumstances that may not be entirely within our control. Qualification and taxation as a REIT also depend on our ability to continually meet requirements imposed on REITs by the Internal Revenue Code, including satisfying certain organizational requirements, an annual distribution requirement, and quarterly asset and annual income tests. These tests depend on our ability to effectively manage the composition of our income and assets on an ongoing basis. At least 75% of our gross income must come from real estate sources, and 95% must come from real estate and certain other qualifying sources. Our ability to satisfy the asset tests depends on determining the characterization and fair market value of our assets, which may not be precisely measurable andor may lack independent appraisals. Additionally, the classification of certain instruments as debt or equity for tax purposes may be uncertain, which could adversely impact the application of the REIT asset requirements. The distribution requirement mandates that we distribute at least 90% of our REIT taxable income to stockholders annually, determined without regard to the dividends paid deduction and excluding net capital gains.

Failure to qualify as a REIT would have significant consequences. We would lose the ability to deduct dividends paid to stockholders when computing our taxable income and would be subject to U.S. federal and state corporate income tax as a regular C corporation for any taxable year for which we did not qualify. This could result in substantial tax liabilities and reduce funds available for investments and distributions, likely adversely impacting our stock value.price. Additionally, we would no longer be required to make stockholder distributions. Unless the IRS granted us relief under certain statutory provisions, we would remain disqualified as a REIT for four years following the year in which we first fail to qualify.

Relief provisions may be available if we fail to meet the REIT requirements, provided the failure was due to reasonable cause, not willful neglect, and we satisfy other requirements, including the timely completion of applicable IRS filings. It is not possible to predict ifwhether we would be entitled to benefit from such provisions. Even if we were to qualify for relief, we may still incur penalty taxes. The penalty for failing an asset test is the greater of $50,000 per failure or the net income from non-qualifying assets that resulted in the failure multiplied by the highest U.S. federal corporate tax rate. For failing one or both gross income tests, the penalty equals 100% of the net profit from non-qualifying income that resulted in the failure, as determined under the Internal Revenue Code.

We generally must distribute annually at least 90% of our taxable income, subject to certain adjustments and excluding any net capital gain, for U.S. federal and state corporate income tax not to apply to earnings that we distribute and to retain our REIT status. Distributions of our taxable income must generally occur in the taxable year to which they relate, or in the following taxable year if declared before we timely file our tax return for the year and if paid-paid with or before the first regular dividend payment after such declaration. We may also elect to retain, rather than distribute, our net long-term capital gains and pay tax on such gains if required, in which case, we could electdesignate for our stockholders to include their proportionate share of such undistributed long-term capital gains in income, and to receive a corresponding credit for their share of the tax that we paid. Our stockholders would then increase the adjusted basis of their stock by the difference between (a) the amounts of capital gain dividends that we designated and that they include in their taxable income, minus (b) the tax that we paid on their behalf with respect to that income. We intend to make distributions to our stockholders to comply with the REIT qualification requirements of the Internal Revenue Code, which limits our ability to retain earnings and thereby replenish or increase capital from operations.

To the extent that we satisfy this distribution requirement, but distribute less than 100% of our taxable income, we will be subject to U.S. federal and state corporate income tax on our undistributed taxable income. Furthermore, if we should failfailed to distribute during each calendar year at least the sum of (a) 85% of our REIT ordinary income for such year, (b) 95% of our REIT capital gain net income for such year, and (c) any undistributed taxable income from prior periods, we would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (x) the amounts actually distributed, (y) the amounts of income we retained and on which we have paid corporate income tax and (z) any excess distributions from prior periods.

We may in the future distribute taxable dividends that are payable at least in part in shares of our common stock. Taxable stockholders receiving such dividends willwould be required to include the full amount of the dividenddistribution as ordinary income to the extent of our current and accumulated earnings and profits for U.S. federal income tax purposes. As a result, stockholders may be required to pay income taxes with respect to such dividends that are in excess of the cash dividends received. If a U.S. stockholder sells the stock that it receivesreceived as a dividend to pay thisthese tax,taxes, the sales proceeds may be less than the amount included in income with respect to the dividend, depending on the market price of our stock at the time of the sale. Furthermore, with respect to certain non-U.S. stockholders, we may be required to withhold U.S. tax with respect toon such dividends, including in respect ofon all or a portion of suchany dividend that is payable in stock.

•A non-deductible 4% excise tax if the actual amount distributed to our stockholders in a calendar year is less than athe minimumrequired amount specified under Federalfederal tax laws.law.

•If we acquire appreciated assets from a corporation that is not a REIT (i.e., a corporation taxable under subchapter C of the Internal Revenue Code) in a transactionnontaxable in which the adjusted tax basis of the assets in our hands is determined by reference to the adjusted tax basis of the assets in the hands of the subchapter C corporation,transaction, we may be subject to tax on such appreciation at the highest applicable corporate income tax rate then applicable if we subsequentlywere recognizeto dispose of the assets in a gaintaxable on a disposition of any such assetstransaction during the five-year period following their acquisition from the subchapter C corporation.acquisition.

To remain qualified as a REIT, we must ensure that, at the end of each calendar quarter, at least 75% of the value of our assets consists of cash, cash items, government securitiessecurities, and qualified real estate assets. The remainder of our investments in securities (other than government securities and qualified real estate assets) generally cannot include securities possessing more than 10% of the outstanding voting securitiespower of any one issuer or having a value of more than 10% of the total value of the outstanding securities of any one issuer. In addition, in general, no more than 5% of the value of our assets (other than government securities and qualified real estate assets) can consist of the securities of any one issuer, and no more than 20%25% of the value of our total assets can be represented by securities of one or more TRSs. If we fail to comply with these requirements at the end of any calendar quarter, we must correct the failure within 30 days after the end of the calendar quarter or qualify for certain statutory relief provisions to avoid losing our REIT qualification and suffering adverse tax consequences. We must also satisfy tests concerning the sources of our income and the amounts that we distribute to our stockholders. Complying with these requirements may prevent us from acquiring certain attractive investments or we may berequire requiredus to sell otherwise attractive investments. Thus, the potential returns on our investment portfolio may be lower than they would be if we were not subject to such requirements. Additionally, if we must liquidate our investments to repay our lenders or to satisfy other obligations, we may be unable to comply with these requirements, potentially jeopardizing our qualification as a REIT.

The REIT provisions of the Internal Revenue Code could substantially limit our ability to hedge our risks. Any income from a properly designated hedging transaction to manage the risk of interest rate changes with respect to borrowings made or to be made, or ordinary obligations incurred or to be incurred, to acquire or carry real estate assets generally does not constitute "gross income" for purposes of the 75% or 95% gross income tests ("qualified hedges"). To the extent that we enter into other types of hedging transactions, or fail to properly designate qualified hedges, the income from those transactions is likely to be treated as non-qualifying income for purposes of both gross income tests. As such, we may have to limit our use of advantageous hedging techniques or implement those hedges through a TRS. This could increase the cost of our hedging activities as our TRS would be subject to tax on gains or expose us to greater risks than we would otherwise want to bear. In addition, losses in a TRS will generally not provide any tax benefit, except for being carried forward against future taxable income in the TRS.

There is no direct authority with respect to the qualification of TBAs as real estate assets or U.S. Government securities for purposes of the 75% asset test or the qualification of income or gains from dispositions of TBAs as gains from the sale of real property or other qualifying income for purposes of the 75% gross income test. However, we treat our TBAs as qualifying assets for purposes of the REIT 75% asset test, and we treat income and gains from our TBAs as qualifying income for purposes of the 75% gross income test, based on a legal opinion of Skadden, Arps, Slate, Meagher & Flom LLP (“"Skadden”") substantially to the effect that (i) for purposes of the REIT asset tests, our ownership of a TBA should be treated as ownership of the underlying Agency RMBS,RMBS (i.e., real estate assets), and (ii) for purposes of the 75% REIT gross income test, any gain recognized by us in connection with the settlement of our TBAs should be treated as gain from the sale or disposition of the underlying Agency RMBS. Opinions of counsel are not binding on the IRS, and no assurance can be given that the IRS will not successfully challenge the conclusions set forth in such opinions. In addition, it must be emphasized that Skadden’sSkadden's opinion is based on various assumptions relating to our TBAs and is conditioned upon fact-based representations and covenants made by our management regarding our TBAs. NoAccordingly, no assurance can be given that the IRS would not assert that such assets or income are not qualifying assets or income. If the IRS were to successfully challenge Skadden’sSkadden's opinion, we could be subject to a penalty tax or we could fail to remain qualified as a REIT if a sufficient portion of our assets consists of TBAs or a sufficient portion of our income consists of income or gains from the disposition of TBAs.

Qualification as a REIT involves the application of highly technical and complex Internal Revenue Code provisions on a continuous basis for which only limited judicial and administrative authorities exist. Our application of such provisions may be dependent on interpretations of the provisions by the staff of the Internal Revenue Service, which may change over time. Even a technical or inadvertent violation of the Internal Revenue Code provisions could jeopardize our REIT qualification.

We are a leading provider of private capital to the U.S. housing market, enhancing liquidity in the residential real estate mortgage markets and, in turn, facilitating home ownership in the U.S. We invest primarily in Agency RMBS on a leveraged basis. These investments consist of residential mortgage pass-through securities and collateralized mortgage obligations for which the principal and interest payments are guaranteed by a U.S. Government-sponsored enterprise, such as Fannie Mae and Freddie Mac, or by a U.S. Government agency, such as Ginnie Mae. We may also invest in Agency multifamily MBS that are similarly guaranteed by a GSE and in other assets related to the housing, mortgage or real estate markets that are not guaranteed by a GSE or U.S. Government agency.

Portfolio and Summary Financial Highlights

AGNC'sAs averageof andDecember ending31, 2025, our "at risk" leverage for 2024 was 7.2x tangible stockholders’equity, unchanged from December 31, 2024. Average leverage for the year was 7.4x, compared to 7.2x for the prior year. We ended the year with a large liquidity position of $7.6 billion in unencumbered cash and Agency RMBS, representing 64% of tangible equity, compared to 7.4x and 7.0x, respectively, for 2023. We concluded 2024 with $6.1 billion in cash and unencumbered Agency RMBS, representing 66% of tangible stockholders’ equity, compared to $5.1 billion and 66%66%, of tangible equityrespectively, as of December 31, 2023.2024.

For information regarding non-GAAP financial measures, including reconciliations to the most comparable GAAP measuremeasure, please refer to Results of Operations included in this MD&A below. For information regarding the sensitivity of our tangible net book value per common share to changes in interest rates and mortgage spreads, please refer to Item 7A. Quantitative and Qualitative Disclosures about Market Risk in this form 10-K.

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.

TBA securities are recorded as derivative instruments in our accompanying consolidated financial statements, and our TBA dollar roll transactions represent a form of off-balance sheet financing. As of December 31, 20242025 and 2023,2024, our TBA securities had a net carrying value of $(26)$71 million and $66$(26) million, respectively, reported in derivative assets/(liabilities) on our accompanying consolidated balance sheets. The net carrying value represents the difference between the fair value of the underlying security in the TBA contract and the price to be paid or received for the underlying security.

The effective yield on our Agency RMBS and non-Agency securities of high credit quality is highly impacted by our estimate of future prepayments. We accrue interest income based on the outstanding principal amount and contractual terms of these securities, and we amortize or accrete premiums and discounts associated with our purchase of these securities into interest income over their projected lives, incorporating scheduled contractual payments and estimated prepayments, using the effective interest method. The weighted average cost basis of our securities as of December 31, 20242025 was 101.5%101.2% of par value and may vary materially across different securities; therefore, changes in our actual or projected prepayments can significantly alter the effective yield on our assets.

We review our actual and anticipated prepayment experience on at least a quarterly basis, and effective yields are recalculated when differences arise between (i) our previous prepayment estimates and (ii) actual prepayments to date and current estimates of future prepayments. IfWhen the actual and estimated future prepayment experience differs from our prior estimate of prepayments,estimates, we are required to record ana current-period adjustment in the current period to the amortization or accretion of premiums and discounts for the cumulative difference in the effective yield from inception through the reporting date. We commonly refer to this adjustment as "catch-up" premium amortization cost/benefit.

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

Specifically, inwith therespect caseto "net spread and dollar roll income available to common stockholders" and componentsits of such measure,components, "economic interest income" and "economic interest expense," we believe the inclusion of TBA dollar roll income is meaningful asbecause 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 asbecause interest rate swaps are the primary instrumentinstruments we use to economically hedge against fluctuations in our borrowing costscosts, and ittheir 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 asbecause it excludes the cumulative effect from prior reporting periods due to current changes in future prepayment expectations and, therefore, exclusion of such adjustments is more indicative of the current earnings potential of our investment portfolio.

Our average investment portfolio (at cost), inclusive of TBAs, increased 9%23% and decreased 11%9% for fiscal years 20242025 and 2023,2024, respectively, primarily due to changesan increase in our capital base. The average yield on our investment portfolio, including TBA implied asset yields and excluding "catch-up" premium amortization, increased 5920 and 11159 basis points for fiscal years 20242025 and 2023,2024, respectively, largely as a result of shifting our asset portfolio from lower coupon holdings toward a greater share of higher coupon, specified pools.

Our average mortgage borrowings, inclusive of TBAs, increased 11%25% and decreased 13%11% for fiscal years 20242025 and 2023,2024, respectively, consistent with changesthe increase to our average investment portfolio. The average interest rate on our mortgage borrowings, excluding the impact of interest rate swap periodic income, decreased 91 and increased 18 and 372 basis points for fiscal years 20242025 and 2023,2024, respectively, due to higherchanges in short-term interest rates.

Interest rate swap periodic income declined for fiscal years 20242025 and 20232024, primarily due to higher pay rates on our pay-fixed swapsswaps, largely driven byreflecting the maturity of lowlower-cost costlegacy swaps, and lower receive rates. The ratio of interest rate swaps.swaps outstanding to mortgage borrowings also declined, reflecting a reduction in the Company's total hedge ratio and shifts in hedge composition. The following istable a summary ofsummarizes our interest rate swaps outstanding during fiscal years 2024,2025, 20232024 and 20222023 (dollars in millions). Amounts exclude forward starting swaps not yet in effect.

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

Our leverage will vary depending on market conditions and our assessment of relative risks and returns, but we generally expect our leverage to be between six and twelveten times the amount of our tangible stockholders' equity, measured as the sum of our total mortgage borrowings and net payable / (receivable) for unsettled investment securities, divided by the sum of our total stockholders' equity adjusted to exclude goodwill. Our tangible net book value "at risk" leverage ratio was 7.2x and 7.0x as of December 31, 20242025 and 2023, respectively.2024. The following table includes a summary of our mortgage borrowings outstanding as of December 31, 20242025 and 20232024 (dollars in millions). For additional details of our mortgage borrowings refer to Notes 2, 4 and 5 to our Consolidated Financial Statements in this Form 10-K.

OurWe primaryprimarily financingfinance sourcesour areassets through collateralized borrowings structured as repurchase agreements.agreements ("repo"). We enter into repurchasethese agreements,agreements oron "repo,"a throughbilateral bi-lateral arrangementsbasis with financial institutions and independent dealers.dealers, Weas alsowell enteras intothrough third-partytri-party repurchaseand agreementscentrally cleared repo platforms—such as the FICC's GCF Repo service—accessed through our wholly-ownedwholly owned, registered broker-dealer subsidiary, Bethesda Securities, LLC, such as tri-party repo offered through the FICC's GCF Repo service.LLC. We manage our repurchase agreementrepo funding position through acounterparty variety of methods, including diversification of counterparties,diversification, maintaining a suitable maturity profile and utilization ofprofile, interest rate hedginghedging, and other strategies. WeIn addition to repo, we also useutilize TBA dollar roll transactions as a means ofto synthetically financingfinance Agency RMBS.

The use of TBA dollar roll transactions increasesenhance our funding diversification, expandsexpand our available pool of assets, and increasesimprove our overall liquidity position,position as TBA contractsby typically haverequiring lowerless impliedcollateral haircuts relative tothan Agency RMBS pools fundedfinanced with reporepo. financing. TBA dollar rollThese transactions may also havebenefit afrom lower implied costcosts, of funds than comparable repo funded transactions (referred to asor "dollar roll specialnessspecialness.") offering incremental return potential. However, if it were to become uneconomical to roll ourrolling TBA contracts into future months itbecomes uneconomical, we may be necessaryneed to take physical delivery of the underlying securities and fund those assetssecurities with cash or other financing sources, whichpotentially could reducereducing our liquidity position.

Collateral requirements under our derivative agreements are typically subject to ourinitial counterparties'and assessmentvariation ofmargin theirrequirements, maximum risk of loss associated with the derivative instrument, referredsimilar to asthose thefor initialcentrally orcleared minimumrepo margin requirement,transactions, and may be adjusted based on changes in market volatility and other factors. We are also subject to daily variation margin requirements based on changes in the value of the derivative instrument and/oragreements, collateral pledged.values, Dailymarket variationvolatility, marginand other factors. Collateral requirements also entitle us to receive collateral if the value of amounts owed to us under the derivative agreement exceeds the minimum margin requirement. The collateral requirements underfor our TBA contracts are governed by the Mortgage-Backed Securities Division ("MBSD") of the FICC. Collateral levels for interest rate derivativeswap agreements are typically governedestablished by the central clearing exchange and the associated futures commission merchants ("FCMs"), which may establishimpose margin levelsrequirements in excess of those required by the clearing exchange. Collateral levelsrequirements for interestnon-centrally ratecleared derivative agreements not subject to central clearingderivatives are establishedset by the counterparty financial institution.

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 MarchJune 31,30, 2026. Our MD&A is presented in the following sections:

OurAt June 30, 2026, our investment portfolioportfolio, inclusive of TBAs, totaled $97.2 billion, compared to $94.7 billion as of March 31, 2026, compared to $94.8 billion as of December 31, 2025.2026. During the firstsecond quarterquarter, we rotatedadded approximately $2.2 billion of primarily intermediate-coupon specified pools and repositioned a portion of ourthe portfolio downfrom inlower-coupon couponinto andhigher-coupon purchasedholdings. $1.7As billiona of predominately low coupon specified pools. Consistent with these portfolio changes,result, the weighted average coupon onat ourquarter-end portfolio, inclusive of TBAs, declinedincreased to 4.95%5.04% from 5.12%4.95% as of DecemberMarch 31, 20252026, andwhile the portion of our fixed-rate portfolio with favorable prepayment attributes2attributes (“specified pools”) increased slightlyto to79% from 77% as of March 31, 2026,2026.2 comparedThe average projected life Constant Prepayment Rate ("CPR") for our portfolio declined to 76%8.6% at quarter-end from 10.3% as of DecemberMarch 31, 2025.2026, 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.

AsAt ofJune March 31,30, 2026, our "at riskat-risk" leverage was 7.4x tangible equity, comparedunchanged tofrom 7.2x as of DecemberMarch 31, 2025,2026, while average leverage for the quarter wasalso remained at 7.4x, unchanged atfrom 7.4x.the Wefirst quarter. AGNC ended the quarter with $7.0$7.5 billion of unencumbered cash and Agency RMBS, representing 60%62% of tangible equity, compared to $7.6$7.0 billion and 64%,60%, respectively, asat of DecemberMarch 31, 2025.2026.

As of March 31, 2026, our hedge ratio was 83%, reflecting the level of interest rate swap and U.S. Treasury hedges (excluding option-based hedges) relative to total funding liabilities, compared to 77% as of December 31, 2025. The notional balance of our interest rate swaps increaseddecreased to $76.5$73.8 billion, representing 89%83% of our funding liabilities as of MarchJune 31,30, 2026, compared to $64.6$76.5 billion and 75%,89%, respectively, as of DecemberMarch 31, 2025.2026. Our duration gap, which measures the estimated difference between the interest rate sensitivity of our assets and liabilities, including hedges, extended towas 0.7 years as of quarter-end, comparedunchanged from March 31, 2026. We continued to 0.4favor yearsa aspositive duration gap given the current level of Decemberinterest 31,rates, 2025,the whichconvexity weprofile believeof providesour portfolio, and the additional prepayment protection it provides in a declining interest rate scenario.environment.

As of MarchJune 31,30, 2026 and December 31, 2025, our investment portfolio totaled $94.7$97.2 billion and $94.8 billion, respectively, consisting of: $84.4$86.8 billion and $81.1 billion Agency RMBS, at fair value, respectively; $9.5$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 $69$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 MarchJune 31,30, 2026 and December 31, 2025 (dollars in millions):

1.Table excludes other mortgage credit investments of $69$70 million and $70 million as of MarchJune 31,30, 2026 and December 31, 2025, respectively.

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 MarchJune 31,30, 2026 and December 31, 2025, our TBA securities had a net carrying value of $(194)$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 MarchJune 31,30, 2026 and December 31, 2025, the weighted average yield on our investment securities (excluding TBA and forward settling securities) was 4.93%4.91% and 4.93%, respectively.

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

2.Portfolio yield incorporates a projected life CPR based on forward rate assumptions as of MarchJune 31,30, 2026.

For additional details regarding our CRT and non-Agency securities, including credit ratings, as of MarchJune 31,30, 2026 and December 31, 2025, please refer to Note 3 of our Consolidated Financial Statements in this Form 10-Q.

The following table summarizes our economic interest income (a non-GAAP measure) for the three and six months ended MarchJune 31,30, 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):

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 MarchJune 31,30, 2026 compared to the prior year period (in millions):

Our average investment portfolio (at cost), inclusive of TBAs, increased 22%20% and 21% for the three and six months ended MarchJune 31,30, 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 112 and 6 basis points for the three and six months ended MarchJune 31,30, 2026, respectively, largely due to an increase in the average coupon of our portfolio.

The following table summarizes our economic interest expense and aggregate cost of funds (non-GAAP measures) for the three and six months ended MarchJune 31,30, 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:

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 MarchJune 31,30, 2026 compared to the prior year period (in millions):

Our average mortgage borrowings, inclusive of TBAs, increased 27%23% and 25% for the three and six months ended MarchJune 31,30, 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 6972 and 71 basis points for the three and six months ended MarchJune 31,30, 2026, respectively, due to a decline in short-term interest rates.

Interest rate swap periodic income declined for the three and six months ended MarchJune 31,30, 2026, primarily due to higher pay rates on our pay-fixed swaps, driven by the maturity of lower-cost legacy swaps andswaps, an increase in our interest rate swap position at higher prevailing rates, as well asand 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 MarchJune 31,30, 2026 and 2025 (dollars in millions). Amounts exclude forward starting swaps not yet in effect.

For the three and six months ended MarchJune 31,30, 20262026, we had an average forward starting net pay-fixed rate swap balance of $43 million and $1.1 billion, respectively. For the three and six months ended June 30, 2025, we had an average forward starting net pay-fixed rate swap balance of $2.1$63 billionmillion and $286$173 million, respectively. Forward starting interest rate swaps do not impact our economic interest expense and aggregate cost of funds until they commence accruing net interest settlements on their forward start dates.

The following table presents a summary of our net interest spread (including the impact of TBA dollar roll income, interest rate swaps and excluding “catch-up” premium amortization) for the three and six months ended MarchJune 31,30, 2026 and 2025:

The following table presents a reconciliation of net spread and dollar roll income available to common stockholders (non-GAAP measure) from comprehensive income (loss) available (attributable) to common stockholders (the most comparable GAAP financial measure) for the three and six months ended MarchJune 31,30, 2026 and 2025 (dollars in millions):

The following table is a summary of our net gain (loss) on investment securities for the three and six months ended MarchJune 31,30, 2026 and 2025 (in millions):

The following table is a summary of our gain (loss) on derivative instruments and other securities, net for the three and six months ended MarchJune 31,30, 2026 and 2025 (in millions):

Our leverage will vary depending on market conditions and our assessment of relative risks and returns, but we generally expect our leverage to be between six and ten times the amount of our tangible stockholders’ equity, measured as the sum of our total mortgage borrowings and net payable / (receivable) for unsettled investment securities, divided by the sum of our total stockholders’ equity adjusted to exclude goodwill. Our tangible net book value “at risk” leverage ratio was 7.4x and 7.2x as of MarchJune 31,30, 2026 and December 31, 2025, respectively. The following table includes a summary of our mortgage borrowings outstanding as of MarchJune 31,30, 2026 and December 31, 2025 (dollars in millions). For additional details of our mortgage borrowings refer to Notes 2, 4 and 5 to our Consolidated Financial Statements in this Form 10-Q.

1.Includes Agency RMBS, CRT and non-Agency MBS repurchase agreements. Excludes U.S. Treasury repurchase agreements totaling $11.8$10.3 billion and $12.3 billion as of MarchJune 31,30, 2026 and December 31, 2025, respectively.

2.As of MarchJune 31,30, 2026 and December 31, 2025, 43%44% and 44%, respectively, of our total repurchase agreements, including 49% and 51% or our investment securities repurchase agreements, respectively, were funded through the Fixed Income Clearing Corporation’s GCF Repo service.

The timing difference between margin calls related to principal pay-downs and our receipt of the corresponding cash flows temporarily reduces our available liquidity each month. We manage this liquidity risk by monitoring factors that influence prepayment activity and through disciplined asset selection. As of MarchJune 31,30, 2026, approximately 10% of our investment portfolio consisted of TBA securities, which are not subject to monthly principal pay-downs. The remainder of our portfolio, primarily consisting of Agency RMBS, had an average one-year CPR forecast of 13%.8%.

Haircut levels and initial or additional minimum margin requirements reduce the amount of our unencumbered assets and limit our borrowing capacity. Margin calls for repo and TBA transactions are typically due on the same business day, while margin calls for interest rate swaps and other derivative transactions are typically due on the next business day, subject to notice provisions. During the three and six months ended MarchJune 31,30, 2026, haircuts and initial margin requirements on our repo funding arrangements remained stable. As of MarchJune 31,30, 2026, the weighted average haircut and initial margin on our repurchase agreements were approximately 3.3% of the value of our collateral, compared to 3.1% as of December 31, 2025. We were in compliance with all margin requirements as of MarchJune 31,30, 2026.

To mitigate the risk of margin calls, we seek to maintain excess liquidity by holding unencumbered liquid assets that can be used to satisfy collateral requirements, collateralize additional borrowings or be sold for cash. As of MarchJune 31,30, 2026, our unencumbered assets totaled approximately $7.1$7.5 billion, or 61%63% of tangible equity, consisting of $7.0$7.5 billion of cash and unencumbered Agency RMBS and $0.1 billion of unencumbered credit assets. This compares to approximately $7.7 billion of unencumbered assets, or 65% of tangible equity, as of December 31, 2025, consisting of $7.6 billion of cash and unencumbered Agency RMBS and $0.1 billion of unencumbered credit assets.

As of MarchJune 31,30, 2026, our maximum amount at risk (or the excess/shortfall of the value of collateral pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables) with any of our repurchase agreement counterparties, excluding the FICC, was less than 2%1% of our tangible stockholders’ equity, with our top five repo counterparties, excluding the FICC, representing less than 5% of our tangible stockholders’ equity. As of MarchJune 31,30, 2026, less than 11% of our tangible stockholders’ equity was at risk with the FICC. Excluding central clearing exchanges, as of MarchJune 31,30, 2026, our amount at risk with any counterparty to our derivative agreements was less than 1% of our stockholders’ equity.

Equity capital markets serve as a source of capital to grow our business and to meet potential liquidity needs. The availability of equity capital is dependent on market conditions and investor demand for our common and preferred stock. We will typically not issue common stock at times when we believe the capital raised will not be accretive to our tangible net book value or earnings, and we will typically not issue preferred equity when its cost exceeds acceptable hurdle rates of return on our equity. We may also be unable to raise additional equity capital at suitable times or on favorable terms. Furthermore, when the trading priceAs of ourJune common30, stock2026, iswe lesswere thanauthorized by our then-current estimateBoard of ourDirectors tangibleto netenter bookinto valueagreements perwith commonsales share,agents amongto otherpublicly conditions,offer weand may repurchasesell shares of our common stock pursuantin privately negotiated and/or at-the-market transactions from time-to-time under two separate at-the-market programs, up to thea stockmaximum repurchaseaggregate planoffering authorizedprice byunder oureach Board.program. As of MarchJune 31,30, 2026, $1.0 billion remained authorized to repurchase shares of our common stock with an aggregate offering price of $0.1 billion remained authorized for issuance through December 31, 2026.2026 Pleaseunder referone toprogram Noteand 9$2.0 ofbillion ourremained Consolidated Financial Statements in this Form 10-Qauthorized for furtherissuance detailsthrough regardingDecember our31, recent2027 equityunder capitala transactions.second program.

As of MarchJune 31,30, 2026, we did not maintain relationships with unconsolidated entities or financial partnerships, such as entities often referred to as structured finance, or special purpose or variable interest entities, established to facilitate off-balance sheet arrangements or other contractually narrow or limited purposes. Additionally, as of MarchJune 31,30, 2026, we had not guaranteed obligations of unconsolidated entities or entered into a commitment or intent to provide funding to such entities.