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

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

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

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

Large accelerated filer

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Accelerated filer

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Non-accelerated filer

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Smaller Reporting Company

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Emerging growth company

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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. ¨

PART I.			FINANCIAL INFORMATION
Item 1.			Financial Statements			2
Item 2.			Management's Discussion and Analysis of Financial Condition and Results of Operations			26
Item 3.			Quantitative and Qualitative Disclosures About Market Risk			43
Item 4.			Controls and Procedures			46
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			47
Item 4.			Mine Safety Disclosures			47
Item 5.			Other Information			47
Item 6.			Exhibits			47
Signatures						50

Item 1. Financial Statements

			September 30, 2022						December 31, 2021
			(Unaudited)
Assets:
Agency securities, at fair value (including pledged securities of $37,886 and $47,601, respectively)			$	41,740					$	52,396
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities)			149						208
Credit risk transfer securities, at fair value (including pledged securities of $815 and $510, respectively)			860						974
Non-Agency securities, at fair value (including pledged securities of $775 and $571, respectively)			869						843
U.S. Treasury securities, at fair value (including pledged securities of $1,213 and $471, respectively)			1,213						471
Cash and cash equivalents			976						998
Restricted cash			2,186						527
Derivative assets, at fair value			851						317
Receivable for investment securities sold (including pledged securities of $1,163 and $0, respectively)			1,169						—
Receivable under reverse repurchase agreements			7,577						10,475
Goodwill			526						526
Other assets			408						414
Total assets			$	58,524					$	68,149
Liabilities:
Repurchase agreements			$	40,306					$	47,381
Debt of consolidated variable interest entities, at fair value			98						126
Payable for investment securities purchased			1,279						80
Derivative liabilities, at fair value			1,221						86
Dividends payable			92						88
Obligation to return securities borrowed under reverse repurchase agreements, at fair value			7,469						9,697
Other liabilities			837						400
Total liabilities			51,302						57,858
Stockholders' equity:
Preferred Stock - aggregate liquidation preference of $1,688 and $1,538			1,634						1,489
Common stock - $0.01 par value; 1,500 shares authorized; 551.3 and 522.2 shares issued and outstanding, respectively			6						5
Additional paid-in capital			13,999						13,710
Retained deficit			(7,610)						(5,214)
Accumulated other comprehensive income			(807)						301
Total stockholders' equity			7,222						10,291
Total liabilities and stockholders' equity			$	58,524					$	68,149

			Three Months Ended September 30,												Nine Months Ended September 30,
			2022						2021						2022						2021
Interest income:
Interest income			$	373					$	293					$	1,243					$	1,099
Interest expense			196						14						303						60
Net interest income			177						279						940						1,039
Other gain (loss), net:
Gain (loss) on sale of investment securities, net			(560)						(5)						(1,848)						7
Unrealized loss on investment securities measured at fair value through net income, net			(1,738)						(141)						(5,257)						(1,124)
Gain on derivative instruments and other securities, net			1,474						101						4,474						922
Total other loss, net:			(824)						(45)						(2,631)						(195)
Expenses:
Compensation and benefits			11						14						36						42
Other operating expense			8						8						24						26
Total operating expense			19						22						60						68
Net income (loss)			(666)						212						(1,751)						776
Dividends on preferred stock			26						25						76						75
Net income (loss) available (attributable) to common stockholders			$	(692)					$	187					$	(1,827)					$	701
Net income (loss)			$	(666)					$	212					$	(1,751)					$	776
Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net			(372)						6						(1,108)						(308)
Comprehensive income (loss)			(1,038)						218						(2,859)						468
Dividends on preferred stock			26						25						76						75
Comprehensive income (loss) available (attributable) to common stockholders			$	(1,064)					$	193					$	(2,935)					$	393
Weighted average number of common shares outstanding - basic			528.7						526.7						526.4						529.0
Weighted average number of common shares outstanding - diluted			528.7						528.6						526.4						530.8
Net income (loss) per common share - basic			$	(1.31)					$	0.36					$	(3.47)					$	1.33
Net income (loss) per common share - diluted			$	(1.31)					$	0.35					$	(3.47)					$	1.32
Dividends declared per common share			$	0.36					$	0.36					$	1.08					$	1.08

			Preferred Stock						Common Stock												Additional Paid-in Capital						Retained Deficit						Accumulated Other Comprehensive Income (Loss)						Total
									Shares						Amount
Balance, June 30, 2021			$	1,489					524.9						$	5					$	13,741					$	(4,972)					$	405					$	10,668
Net income			—						—						—						—						212						—						212
Other comprehensive income:
Unrealized gain on available-for-sale securities, net			—						—						—						—						—						6						6
Stock-based compensation, net			—						—						—						6						—						—						6
Preferred dividends declared			—						—						—						—						(25)						—						(25)
Common dividends declared			—						—						—						—						(188)						—						(188)
Balance, September 30, 2021			$	1,489					524.9						$	5					$	13,747					$	(4,973)					$	411					$	10,679
Balance, June 30, 2022			$	1,489					522.7						$	5					$	13,707					$	(6,726)					$	(435)					$	8,040
Net loss			—						—						—						—						(666)						—						(666)
Other comprehensive loss:
Unrealized loss on available-for-sale securities, net			—						—						—						—						—						(372)						(372)
Stock-based compensation, net			—						—						—						4						—						—						4
Issuance of preferred stock, net of offering cost			145						—						—						—						—						—						145
Issuance of common stock, net of offering cost			—						28.6						1						288						—						—						289
Preferred dividends declared			—						—						—						—						(26)						—						(26)
Common dividends declared			—						—						—						—						(192)						—						(192)
Balance, September 30, 2022			$	1,634					551.3						$	6					$	13,999					$	(7,610)					$	(807)					$	7,222
Balance, December 31, 2020			$	1,489					539.5						$	5					$	13,972					$	(5,106)					$	719					$	11,079
Net income			—						—						—						—						776						—						776
Other comprehensive loss:
Unrealized loss on available-for-sale securities, net			—						—						—						—						—						(308)						(308)
Stock-based compensation, net			—						0.4						—						14						—						—						14
Repurchase of common stock			—						(15.0)						—						(239)						—						—						(239)
Preferred dividends declared			—						—						—						—						(75)						—						(75)
Common dividends declared			—						—						—						—						(568)						—						(568)
Balance, September 30, 2021			$	1,489					524.9						$	5					$	13,747					$	(4,973)					$	411					$	10,679
Balance, December 31, 2021			$	1,489					522.2						$	5					$	13,710					$	(5,214)					$	301					$	10,291
Net loss			—						—						—						—						(1,751)						—						(1,751)
Other comprehensive loss:
Unrealized loss on available-for-sale securities, net			—						—						—						—						—						(1,108)						(1,108)
Stock-based compensation, net			—						1.1						—						2						—						—						2
Issuance of preferred stock, net of offering cost			145						—						—						—						—						—						145
Issuance of common stock, net of offering cost			—						32.7						1						338						—						—						339
Repurchase of common stock			—						(4.7)						—						(51)						—						—						(51)
Preferred dividends declared			—						—						—						—						(76)						—						(76)
Common dividends declared			—						—						—						—						(569)						—						(569)
Balance, September 30, 2022			$	1,634					551.3						$	6					$	13,999					$	(7,610)					$	(807)					$	7,222

			Nine Months Ended September 30,
			2022						2021
Operating activities:
Net income (loss)			$	(1,751)					$	776
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Amortization of premiums and discounts on mortgage-backed securities, net			(42)						231
Stock-based compensation, net			2						14
(Gain) loss on sale of investment securities, net			1,848						(7)
Unrealized loss on investment securities measured at fair value through net income, net			5,257						1,124
Gain on derivative instruments and other securities, net			(4,474)						(922)
Increase in other assets			(59)						(33)
Increase (decrease) in other liabilities			138						(19)
Net cash provided by operating activities			919						1,164
Investing activities:
Purchases of Agency mortgage-backed securities			(20,847)						(34,575)
Purchases of credit risk transfer and non-Agency securities			(1,132)						(1,405)
Proceeds from sale of Agency mortgage-backed securities			18,100						27,713
Proceeds from sale of credit risk transfer and non-Agency securities			841						994
Principal collections on Agency mortgage-backed securities			5,514						12,167
Principal collections on credit risk transfer and non-Agency securities			186						73
Payments on U.S. Treasury securities			(17,946)						(18,560)
Proceeds from U.S. Treasury securities			16,584						15,261
Net proceeds from reverse repurchase agreements			2,966						2,129
Net proceeds from derivative instruments			3,754						918
Net cash provided by investing activities			8,020						4,715
Financing activities:
Proceeds from repurchase arrangements			1,749,235						1,650,800
Payments on repurchase agreements			(1,756,310)						(1,656,634)
Payments on debt of consolidated variable interest entities			(19)						(39)
Net proceeds from preferred stock issuance			145						—
Net proceeds from common stock issuances			339						—
Payments for common stock repurchases			(51)						(239)
Cash dividends paid			(641)						(646)
Net cash used in financing activities			(7,302)						(6,758)
Net change in cash, cash equivalents and restricted cash			1,637						(879)
Cash, cash equivalents and restricted cash at beginning of period			1,525						2,324
Cash, cash equivalents and restricted cash at end of period			$	3,162					$	1,445

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

AGNC Investment Corp. (referred throughout this report as the "Company," "we," "us" and "our") was organized in Delaware on January 7, 2008 and commenced operations on May 20, 2008 following the completion of our initial public offering. Our common stock is traded on The Nasdaq Global Select Market under the symbol "AGNC."

We are a leading provider of private capital to the U.S. housing market, enhancing liquidity in the residential real estate mortgage markets and, in turn, facilitating home ownership in the U.S. We invest primarily in Agency residential mortgage-backed securities ("Agency RMBS") for which the principal and interest payments are guaranteed by a U.S. Government-sponsored enterprise ("GSE") or a U.S. Government agency. We also invest in other types of mortgage and mortgage-related securities, such as credit risk transfer ("CRT") securities and non-Agency residential and commercial mortgage-backed securities ("non-Agency RMBS" and "CMBS," respectively), where repayment of principal and interest is not guaranteed by a GSE or U.S. Government agency, and other assets related to the housing, mortgage or real estate markets. We fund our investments primarily through collateralized borrowings structured as repurchase agreements.

We operate to qualify to be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Internal Revenue Code"). As a REIT, we are required to distribute annually 90% of our taxable income, and we will generally not be subject to U.S. federal or state corporate income tax to the extent that we distribute our annual taxable income to our stockholders on a timely basis. It is our intention to distribute 100% of our taxable income within the time limits prescribed by the Internal Revenue Code, which may extend into the subsequent tax year.

We are internally managed with the principal objective of providing our stockholders with favorable long-term returns on a risk-adjusted basis through attractive monthly dividends. 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.

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, 2021.

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.

Agency RMBS consist of residential mortgage pass-through securities and collateralized mortgage obligations ("CMOs") guaranteed by the Federal National Mortgage Association ("Fannie Mae"), Federal Home Loan Mortgage Corporation ("Freddie Mac," and together with Fannie Mae, the "GSEs") or the Government National Mortgage Association ("Ginnie Mae").

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

Non-Agency RMBS and CMBS (together, "Non-Agency MBS") are backed by residential and commercial mortgage loans, respectively, packaged and securitized by a private institution, such as a commercial bank. Non-Agency MBS typically benefit from credit enhancements derived from structural elements, such as subordination, over-collateralization or insurance, but nonetheless carry a higher level of credit exposure than Agency RMBS.

All of our securities are reported at fair value on our consolidated balance sheet. Accounting Standards Codification ("ASC") Topic 320, Investments—Debt and Equity Securities, requires that at the time of purchase, we designate a security as held-to-maturity, available-for-sale or trading, depending on our ability and intent to hold such security to maturity. Alternatively, we may elect the fair value option of accounting for securities pursuant to ASC Topic 825, Financial Instruments. Prior to fiscal year 2017, we primarily designated our investment securities as available-for-sale. On January 1, 2017, we began electing the fair value option of accounting for all investment securities newly acquired after such date. Unrealized gains and losses on securities classified as available-for-sale are reported in accumulated other comprehensive income ("OCI"), whereas unrealized gains and losses on securities for which we elected the fair value option, or are classified as trading, are reported in net income through other gain (loss). Upon the sale of a security designated as available-for-sale, we determine the cost of the security and the amount of unrealized gain or loss to reclassify out of accumulated OCI into earnings based on the specific identification method. In our view, the election of the fair value option simplifies the accounting for investment securities and more appropriately reflects the results of our operations for a reporting period by presenting the fair value changes for these assets in a manner consistent with the presentation and timing of the fair value changes for our derivative instruments.

We generally recognize gains or losses through net income on available-for-sale securities only if the security is sold; however, if the fair value of a security declines below its amortized cost and we determine that it is more likely than not that we will incur a realized loss on the security when we sell the asset, we will recognize the difference between the amortized cost and the fair value in net income as a component of other gain (loss). 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 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, such as during periods of elevated market uncertainty or unique market conditions, we may make adjustments to the models. We review our actual and anticipated prepayment experience on at least a quarterly basis and effective yields are recalculated when differences arise between (i) our previous estimate of future prepayments and (ii) actual prepayments to date and our current estimate of future prepayments. We are required to record an adjustment in the current period to premium amortization / discount accretion for the cumulative effect of the difference in the effective yields as if the recalculated yield had been in place as of the security's acquisition date through the reporting date.

At the time we purchase CRT securities and non-Agency MBS that are not of high credit quality, we determine an effective yield based on our estimate of the timing and amount of future cash flows and our cost basis. Our initial cash flow estimates for these investments are based on our observations of current information and events and include assumptions related to interest rates, prepayment rates, collateral call provisions, and the impact of default and severity rates on the timing and amount of credit losses. On at least a quarterly basis, we review the estimated cash flows and make appropriate adjustments based on inputs and analysis received from external sources, internal models, and our judgment regarding such inputs and other factors. Any resulting changes in effective yield are recognized prospectively based on the current amortized cost of the investment adjusted for credit impairments, if any.

We finance the acquisition of securities for our investment portfolio primarily through repurchase agreements with financial institutions. Repurchase arrangements involve the sale and a simultaneous agreement to repurchase the transferred

assets 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.

We borrow securities to cover short sales of U.S. Treasury securities through reverse repurchase transactions under our master repurchase agreements (see Derivative Instruments below). We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. We may also enter into reverse repurchase agreements to earn a yield on excess cash balances. The securities received as collateral in connection with our reverse repurchase agreements mitigate our credit risk exposure to counterparties. Our reverse repurchase agreements typically have maturities of 30 days or less.

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. Cash receipts and payments related to derivative instruments are classified in our consolidated statements of cash flows according to the underlying nature or purpose of the derivative transaction, generally in the investing section.

Interest rate swap agreements

We use interest rate swaps to economically hedge the variable cash flows associated with our borrowings made under repurchase agreements. Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate ("payer swaps") based on a short-term benchmark rate, such as the Secured Overnight Financing Rate ("SOFR") and Overnight Index Swap Rate ("OIS"). Our interest rate swaps typically have terms from one to 10 years. Our interest rate swaps are centrally cleared through a registered commodities exchange. The clearing exchange requires that we post an "initial margin" amount determined by the exchange. The initial margin amount is intended to be set at a level sufficient to protect the exchange from the interest rate swap's maximum estimated single-day price movement and is subject to adjustment based on changes in market volatility and other factors. We also exchange daily settlements of "variation margin" based upon changes in fair value, as measured by the exchange. Pursuant to rules governing central clearing activities, we recognize variation margin settlements as a direct reduction of the carrying value of the interest rate swap asset or liability.

Interest rate swaptions

We purchase interest rate swaptions to help mitigate the potential impact of larger, more rapid changes in interest rates on the performance of our investment portfolio. Interest rate swaptions provide us the option to enter into an interest rate swap 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

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

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 borrow U.S. Treasury securities under reverse repurchase agreements to cover short sales of U.S. Treasury securities. 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. 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.

We determine the fair value of financial instruments based on our estimate of the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. We utilize a three-level valuation hierarchy for disclosure of fair value measurements based upon the transparency of inputs to the valuation of the instrument as of the measurement date. We categorize a financial instrument within the hierarchy based upon the lowest level of input that is significant to the fair value measurement.

The three levels of valuation hierarchy are defined as follows:

•Level 1 Inputs —Quoted prices (unadjusted) for identical unrestricted assets and liabilities in active markets that are accessible at the measurement date.

•Level 2 Inputs —Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.

•Level 3 Inputs —Instruments with primarily unobservable market data that cannot be corroborated.

The majority of our financial instruments are classified as Level 2 inputs. The availability of observable inputs can be affected by a wide variety of factors, including the type of instrument, whether the instrument is new and not yet established in the marketplace and other characteristics particular to the instrument. We typically obtain price estimates from multiple third-party pricing sources, such as pricing services and dealers, or, if applicable, 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

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 forward contracts in the Agency RMBS "to-be-announced" market ("TBA securities") of 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.

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.

As of September 30, 2022 and December 31, 2021, our investment portfolio consisted of: $43.6 billion and $54.4 billion investment securities, at fair value, respectively; $17.9 billion and $27.1 billion net TBA securities, at fair value, respectively; and, as of December 31, 2021, $0.4 billion forward settling non-Agency securities, at fair value. Our net TBA position and forward settling non-Agency securities are reported at their net carrying value totaling $(1.2) billion and $(44) million as of September 30, 2022 and December 31, 2021, respectively, in derivative assets / (liabilities) on our accompanying consolidated balance sheets. The net carrying value of our TBA position and forward settling non-Agency securities represents the difference between the fair value of the underlying security and the cost basis or the forward price to be paid or received for the underlying security.

As of September 30, 2022 and December 31, 2021, our investment securities had a net unamortized premium balance of $1.5 billion and $1.8 billion, respectively.

The following tables summarize our investment securities as of September 30, 2022 and December 31, 2021, excluding TBA and forward settling securities, (dollars in millions). Details of our TBA and forward settling securities as of each of the respective dates are included in Note 5.

						September 30, 2022												December 31, 2021
Investment Securities						Amortized Cost						Fair Value						Amortized Cost						Fair Value
Agency RMBS:
Fixed rate						$	47,027					$	41,578					$	51,546					$	52,289
Adjustable rate						129						127						45						47
CMO						144						136						182						188
Interest-only and principal-only strips						56						48						70						80
Total Agency RMBS						47,356						41,889						51,843						52,604
Non-Agency RMBS 1						254						222						325						329
CMBS						651						621						505						514
CRT securities						901						860						955						974
Total investment securities						$	49,162					$	43,592					$	53,628					$	54,421

						September 30, 2022
						Agency RMBS																		Non-Agency 1
Investment Securities						Fannie Mae						Freddie Mac						Ginnie Mae						RMBS						CMBS						CRT						Total
Available-for-sale securities:
Par value						$	5,015					$	1,609					$	1					$	—					$	—					$	—					$	6,625
Unamortized discount						(1)						—						—						—						—						—						(1)
Unamortized premium						296						99						—						—						—						—						395
Amortized cost						5,310						1,708						1						—						—						—						7,019
Gross unrealized gains						—						1						—						—						—						—						1
Gross unrealized losses						(606)						(202)						—						—						—						—						(808)
Total available-for-sale securities, at fair value						4,704						1,507						1						—						—						—						6,212
Securities remeasured at fair value through earnings:
Par value						27,731						11,474						2						263						657						894						41,021
Unamortized discount						(127)						(21)						—						(12)						(10)						(7)						(177)
Unamortized premium						899						379						—						3						4						14						1,299
Amortized cost						28,503						11,832						2						254						651						901						42,143
Gross unrealized gains						—						—						—						—						1						4						5
Gross unrealized losses						(3,346)						(1,314)						—						(32)						(31)						(45)						(4,768)
Total securities remeasured at fair value through earnings						25,157						10,518						2						222						621						860						37,380
Total securities, at fair value						$	29,861					$	12,025					$	3					$	222					$	621					$	860					$	43,592
Weighted average coupon as of September 30, 2022						3.51		%				3.63		%				4.67		%				3.80		%				5.06		%				6.93		%				3.63		%
Weighted average yield as of September 30, 2022 2						2.98		%				3.09		%				2.56		%				4.13		%				5.91		%				7.76		%				3.14		%

1.Amount excludes mortgage credit investment fund limited partnership interest totaling approximately $27 million, as of September 30, 2022, reported in non-Agency securities on the accompanying consolidated balance sheets.

2.Incorporates a weighted average future constant prepayment rate assumption of 7.0% based on forward rates as of September 30, 2022.

						December 31, 2021
						Agency RMBS																		Non-Agency
Investment Securities						Fannie  Mae						Freddie Mac						Ginnie  Mae						RMBS						CMBS						CRT						Total
Available-for-sale securities:
Par value						$	6,345					$	2,111					$	2					$	—					$	—					$	—					$	8,458
Unamortized discount						(3)						(1)						—						—						—						—						(4)
Unamortized premium						299						105						—						—						—						—						404
Amortized cost						6,641						2,215						2						—						—						—						8,858
Gross unrealized gains						234						67						—						—						—						—						301
Gross unrealized losses						—						—						—						—						—						—						—
Total available-for-sale securities, at fair value						6,875						2,282						2						—						—						—						9,159
Securities remeasured at fair value through earnings:
Par value						27,952						13,680						3						327						508						950						43,420
Unamortized discount						(14)						(4)						—						(6)						(6)						(7)						(37)
Unamortized premium						924						444						—						4						3						12						1,387
Amortized cost						28,862						14,120						3						325						505						955						44,770
Gross unrealized gains						517						213						—						6						11						21						768
Gross unrealized losses						(181)						(89)						—						(2)						(2)						(2)						(276)
Total securities remeasured at fair value through earnings						29,198						14,244						3						329						514						974						45,262
Total securities, at fair value						$	36,073					$	16,526					$	5					$	329					$	514					$	974					$	54,421
Weighted average coupon as of December 31, 2021						3.09		%				2.98		%				4.69		%				3.33		%				3.60		%				3.74		%				3.08		%
Weighted average yield as of December 31, 2021 1						2.38		%				2.29		%				2.54		%				5.68		%				4.28		%				4.47		%				2.43		%

1.Incorporates a weighted average future constant prepayment rate assumption of 10.9% based on forward rates as of December 31, 2021.

As of September 30, 2022 and December 31, 2021, our investments in CRT and non-Agency securities had the following credit ratings (in millions):

						September 30, 2022																		December 31, 2021
CRT and Non-Agency Security Credit Ratings 1						CRT						RMBS 2						CMBS						CRT						RMBS						CMBS
AAA						$	—					$	129					$	190					$	—					$	164					$	10
AA						—						2						97						—						21						111
A						6						14						52						17						28						45
BBB						81						31						81						75						51						85
BB						298						29						105						126						43						126
B						121						5						79						327						7						117
Not Rated						354						12						17						429						15						20
Total						$	860					$	222					$	621					$	974					$	329					$	514

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 mortgage credit investment fund limited partnership interest totaling approximately $27 million, as of September 30, 2022, reported in non-Agency securities on the accompanying consolidated balance sheets.

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

The actual maturities of our investment securities are generally shorter than their stated contractual maturities. The actual maturities of our Agency and high credit quality non-Agency RMBS are primarily affected by principal prepayments and to a lesser degree the contractual lives of the underlying mortgages and periodic contractual principal repayments. The actual maturities of our credit-oriented investments are primarily impacted by their contractual lives and default and loss recovery rates. As of September 30, 2022 and December 31, 2021, 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 7.0% and 10.9%, respectively. Our estimates can differ materially for different securities and thus our individual holdings have a wide range of projected CPRs. The following table summarizes our investments as of September 30, 2022 and December 31, 2021 according to their estimated weighted average life classification (dollars in millions):

						September 30, 2022																								December 31, 2021
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						$	516					$	537					4.56%						4.37%						$	1,677					$	1,642					3.64%						3.69%
> 3 years and ≤ 5 years						2,641						2,838						4.18%						3.80%						11,214						10,868						3.97%						2.74%
> 5 years and ≤10 years						30,520						34,456						3.71%						3.07%						36,936						36,490						2.87%						2.32%
> 10 years						9,915						11,331						3.23%						3.14%						4,594						4,628						2.48%						2.09%
Total						$	43,592					$	49,162					3.63%						3.14%						$	54,421					$	53,628					3.08%						2.43%

1.Table excludes mortgage credit investment fund limited partnership interest totaling approximately $27 million, as of September 30, 2022, reported in non-Agency securities on the accompanying consolidated balance sheets.

The following table presents the gross unrealized loss and fair values of securities classified as available-for-sale by length of time that such securities have been in a continuous unrealized loss position as of September 30, 2022 and December 31, 2021 (in millions):

						Unrealized Loss Position For
						Less than 12 Months												12 Months or More												Total
Securities Classified as Available-for-Sale						Fair Value						Unrealized Loss						Fair Value						Unrealized Loss						Fair Value						Unrealized Loss
September 30, 2022						$	6,175					$	(807)					$	5					$	(1)					$	6,180					$	(808)
December 31, 2021						$	—					$	—					$	—					$	—					$	—					$	—

The following table is a summary of our net gain (loss) from the sale of investment securities for the three and nine months ended September 30, 2022 and 2021 by investment classification of accounting (in millions):

						Three Months Ended September 30,
						2022																		2021
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						$	3					$	(5,901)					$	(5,898)					$	(309)					$	(9,285)					$	(9,594)
Proceeds from investment securities sold 1						(3)						5,341						5,338						313						9,276						9,589
Net gain (loss) on sale of investment securities						$	—					$	(560)					$	(560)					$	4					$	(9)					$	(5)
Gross gain on sale of investment securities						$	—					$	4					$	4					$	4					$	63					$	67
Gross loss on sale of investment securities						—						(564)						(564)						—						(72)						(72)
Net gain (loss) on sale of investment securities						$	—					$	(560)					$	(560)					$	4					$	(9)					$	(5)
						Nine Months Ended September 30,
						2022																		2021
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						$	(600)					$	(21,358)					$	(21,958)					$	(4,953)					$	(23,808)					$	(28,761)
Proceeds from investment securities sold 1						576						19,534						20,110						4,989						23,779						28,768
Net gain (loss) on sale of investment securities						$	(24)					$	(1,824)					$	(1,848)					$	36					$	(29)					$	7
Gross gain on sale of investment securities						$	2					$	8					$	10					$	36					$	160					$	196
Gross loss on sale of investment securities						(26)						(1,832)						(1,858)						—						(189)						(189)
Net gain (loss) on sale of investment securities						$	(24)					$	(1,824)					$	(1,848)					$	36					$	(29)					$	7

1.Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end.

2.See Note 10 for a summary of changes in accumulated OCI. 

We pledge our securities as collateral under our borrowings structured as repurchase agreements with financial institutions. Amounts available to be borrowed are dependent upon the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries. If the fair value of our pledged securities declines, lenders will typically require us to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as "margin calls." Similarly, if the fair value of our pledged securities increases, lenders may release collateral back to us. As of September 30, 2022, we had met all margin call requirements. For additional information regarding our pledged assets, please refer to Note 7.

As of September 30, 2022 and December 31, 2021, we had $40.3 billion and $47.4 billion, respectively, of repurchase agreements outstanding used to fund our investment portfolio and temporary holdings of U.S. Treasury securities. The terms and conditions of our repurchase agreements are typically negotiated on a transaction-by-transaction basis. Our repurchase agreements with original maturities greater than one year may have floating interest rates based on an index plus or minus a fixed spread. The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of September 30, 2022 and December 31, 2021 (dollars in millions):

						September 30, 2022																		December 31, 2021
Remaining Maturity						Repurchase Agreements						Weighted Average Interest Rate						Weighted Average Days to Maturity						Repurchase Agreements						Weighted Average Interest Rate						Weighted Average Days to Maturity
Agency repo:
≤ 1 month						$	21,182					3.08		%				11						$	23,747					0.14		%				13
> 1 to ≤ 3 months						16,457						2.67		%				47						14,781						0.15		%				61
> 3 to ≤ 6 months						—						—		%				—						4,576						0.19		%				154
> 6 to ≤ 9 months						1,432						1.42		%				233						2,445						0.21		%				264
> 9 to ≤ 12 months						—						—		%				—						1,362						0.23		%				307
Total Agency repo						39,071						2.85		%				35						46,911						0.15		%				63
U.S. Treasury repo:
≤ 1 month						1,235						2.68		%				3						470						(0.05)		%				4
Total						$	40,306					2.84		%				34						$	47,381					0.15		%				63

As of September 30, 2022 and December 31, 2021, $10.9 billion and $0.8 billion, respectively, of our Agency repurchase agreements had an overnight maturity of one business day and none of our repurchase agreements were due on demand. As of September 30, 2022, we had $2.8 billion of forward commitments to enter into repurchase agreements with a weighted average forward start date of 3 days and a weighted average interest rate of 3.10%. As of December 31, 2021, we had $9.8 billion of forward commitments to enter into repurchase agreements, with a weighted average forward start date of 3 days and a weighted average interest rate of 0.08%. As of September 30, 2022 and December 31, 2021, 50% and 43%, 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 48% and 42% of our repurchase agreement funding outstanding as of September 30, 2022 and December 31, 2021, respectively.

As of September 30, 2022 and December 31, 2021, we had $7.6 billion and $10.5 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 $7.4 billion and $9.7 billion, respectively. As of September 30, 2022 and December 31, 2021, $1.7 billion and $3.0 billion, respectively, of our reverse repurchase agreements were with the FICC sourced through BES.

We hedge a portion of our interest rate risk primarily utilizing interest rate swaps, interest rate swaptions, U.S. Treasury securities and U.S. Treasury futures contracts. We utilize TBA securities primarily as a means of investing in the Agency

The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of September 30, 2022 and December 31, 2021 (in millions):

Derivative and Other Hedging Instruments						Balance Sheet Location						September 30, 2022						December 31, 2021
Interest rate swaps 1						Derivative assets, at fair value						$	73					$	—
Swaptions						Derivative assets, at fair value						357						290
TBA and forward settling non-Agency securities						Derivative assets, at fair value						—						27
U.S. Treasury futures - short						Derivative assets, at fair value						421						—
Total derivative assets, at fair value												$	851					$	317
TBA and forward settling non-Agency securities						Derivative liabilities, at fair value						(1,214)						(71)
U.S. Treasury futures - short						Derivative liabilities, at fair value						(7)						(15)
Credit default swaps 1						Derivative liabilities, at fair value						—						—
Total derivative liabilities, at fair value												$	(1,221)					$	(86)
U.S. Treasury securities - long						U.S. Treasury securities, at fair value						$	1,213					$	471
U.S. Treasury securities - short						Obligation to return securities borrowed under reverse repurchase agreements, at fair value						(7,469)						(9,697)
Total U.S. Treasury securities, net at fair value												$	(6,256)					$	(9,226)

________________________________

1.As of September 30, 2022 and December 31, 2021, 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 $5.3 billion and $1.6 billion, respectively. As of September 30, 2022, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was $1 million. We did not have credit default swaps outstanding as of December 31, 2021.

The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of September 30, 2022 and December 31, 2021 (dollars in millions):

						September 30, 2022																								December 31, 2021
Pay Fixed / Receive Variable Interest Rate Swaps						Notional Amount						Average Fixed Pay  Rate						Average Receive Rate						Average Maturity (Years)						Notional Amount						Average Fixed Pay  Rate						Average Receive Rate						Average Maturity (Years)
≤ 3 years						$	26,750					0.11%						3.00%						1.9						$	22,500					0.10%						0.05%						2.0
> 3 to ≤ 5 years						11,300						0.22%						3.00%						4.0						16,800						0.22%						0.06%						4.0
> 5 to ≤ 7 years						4,950						0.52%						2.98%						6.2						6,050						0.29%						0.05%						6.0
> 7 to ≤ 10 years						3,150						0.40%						3.00%						8.2						4,400						0.46%						0.05%						8.5
> 10 years						975						0.51%						3.01%						13.8						1,475						0.47%						0.05%						13.2
Total						$	47,125					0.21%						3.00%						3.5						$	51,225					0.20%						0.05%						4.0