Net Spread and Dollar Roll Income

The following table ~~below~~ presents a reconciliation of ~~our~~ net ~~interest~~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 months ended March 31, 2024 and 2023 (dollars in millions):


	Three Months Ended March 31,
		2024		2023
Comprehensive income (loss) available (attributable) to common stockholders		$	335	$	(39)
Adjustments to exclude realized and unrealized (gains) losses reported through net income:
Realized loss on sale of investment securities, net		91		81
Unrealized (gain) loss on investment securities measured at fair value through net income, net		471		(594)
(Gain) loss on derivative instruments and other securities, net		(1,059)		544

Adjustment to exclude unrealized (gain) loss reported through other comprehensive income:
Unrealized (gain) loss on available-for-sale securities measure at fair value through other comprehensive income, net		77		(142)
Other adjustments:
Estimated "catch-up" premium amortization cost (benefit) due to change in CPR forecast 1		(10)		69
TBA dollar roll income, net 2		—		18
Interest rate swap periodic income, net 2		536		504
Other interest income (expense), net 2,3		(35)		(33)
Net spread and dollar roll income available to common stockholders (non-GAAP measure) 4		406		408

Weighted average number of common shares outstanding - basic		702.2		579.3
Weighted average number of common shares outstanding - diluted		704.2		580.5
Net spread and dollar roll income per common share - basic		$	0.58	$	0.70
Net spread and dollar roll income per common share - diluted		$	0.58	$	0.70

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

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

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

4.Prior to ~~our net spread and dollar roll income and~~December 31, 2023, this measure was referred to ~~our net~~as "net spread and dollar roll income, excluding ~~estimated~~'catch-up' premium amortization cost/benefit, per common share." Though it continues to exclude "catch-up" premium amortization ~~cost, (non-GAAP financial measures) for~~cost/benefit, its title has been condensed to its revised title in the ~~three and nine months ended September 30, 2017 and~~ ~~2016~~ ~~(dollars in millions):~~table above.

Three Months Ended September 30, Nine Months Ended September 30,
2017 2016 2017 2016
Net interest income $ 178
$ 219
$ 557
$ 632
Periodic interest costs of interest rate swaps, net ¹
(26 ) (51 ) (106 ) (209 )
TBA dollar roll income ¹
87
54
251
148
Management fee income 3
4
10
4
Dividend from REIT equity securities ¹
—
—
—
2
Adjusted net interest and dollar roll income 242
226
712
577
Operating expenses:
Total operating expenses 17
15
50
88
Non-recurring transaction costs —
—
—
(9 )
Adjusted operating expenses 17
15
50
79
Net spread and dollar roll income 225
211
662
498
Dividend on preferred stock 9
7
23
21
Net spread and dollar roll income available to common stockholders 216
204
639
477
Estimated "catch-up" premium amortization cost due to change in CPR forecast 12
8
34
95
Net spread and dollar roll income, excluding "catch-up" premium amortization, available to common stockholders $ 228
$ 212
$ 673
$ 572

Weighted average number of common shares outstanding - basic 364.7
331.0
347.5
332.1
Weighted average number of common shares outstanding - diluted 364.9
331.0
347.6
332.1
Net spread and dollar roll income per common share - basic $ 0.59
$ 0.62
$ 1.84
$ 1.44
Net spread and dollar roll income per common share -diluted $ 0.59
$ 0.62
$ 1.84
$ 1.44
Net spread and dollar roll income, excluding "catch-up" premium amortization, per common share - basic $ 0.63
$ 0.64
$ 1.94
$ 1.72
Net spread and dollar roll income, excluding "catch-up" premium amortization, per common share - diluted $ 0.62
$ 0.64
$ 1.94
$ 1.72

~~_______________________~~


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

Net spread and dollar roll income, excluding "catch-up" premium amortization adjustments, for the three months ended September 30, 2017 was $0.62 per common share, or a decline of $0.02 per common share from the prior year period. The decline was largely due to higher funding costs and a modest compression of our net interest rate spread and dollar roll margin (i.e. the difference between the average yield on our assets and our average cost of funds inclusive of TBAs), excluding "catch-up" premium amortization adjustments.

Net spread and dollar roll income, excluding "catch-up" premium amortization adjustments, for the nine months ended September 30, 2017 was $1.94 per common share, compared to $1.72 per common share for the prior year period. The increase relative to the prior year period was largely due to the combination of lower operating costs as a function of our management internalization on July 1, 2016 and a higher relative net interest rate spread and dollar roll margin during much of the current year period.

Our average net interest rate spread and dollar roll margin, excluding "catch-up" premium amortization cost, was 1.41% and 1.50% for the three and nine months ended September 30, 2017, respectively, compared to 1.47% and 1.39%, respectively, for the prior year period. Including "catch-up" premium amortization adjustments, our net interest rate spread and dollar roll margin was 1.34% and 1.43% for the three and nine months ended September 30, 2017, respectively, compared to 1.42% and 1.18%, respectively, for the prior year period.

Gain (Loss) on ~~Sale of~~ Investment Securities, Net

The following table is a summary of our net gain (loss) on ~~sale of~~ investment securities for the three ~~and nine~~ months ended ~~September 30, 2017~~March 31, 2024 and ~~2016~~2023 (in millions):


	Three Months Ended March 31,
Gain (Loss) on Investment Securities, Net 1		2024		2023
Loss on sale of investment securities, net		$	(91)	$	(81)
Unrealized (loss) gain on investment securities measured at fair value through net income, net 2		(471)		594
Unrealized (loss) gain on investment securities measured at fair value through other comprehensive income, net		(77)		142
Total loss on investment securities, net		$	(639)	$	655

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

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

Three Months Ended September 30, Nine Months Ended September 30,
2017 2016 2017 2016
Investment securities sold, at cost $ (6,019 ) $ (6,123 ) $ (14,374 ) $ (17,146 )
Proceeds from sale ¹
6,041
6,184
14,327
17,260
Net gain (loss) on sale of investment securities $ 22
$ 61
$ (47 ) $ 114

Gross gain on sale of investment securities $ 28
$ 62
$ 54
$ 122
Gross loss on sale of investment securities (6 ) (1 ) (101 ) (8 )
Net gain (loss) on sale of investment securities $ 22
$ 61
$ (47 ) $ 114

~~_______________________~~


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

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

The following table is a summary of our gain (loss) on derivative instruments and other securities, net for the three ~~and nine~~ months ended ~~September 30, 2017~~March 31, 2024 and ~~2016~~2023 (in millions):

Three Months Ended September 30, Nine Months Ended September 30,
2017 2016 2017 2016
Periodic interest costs of interest rate swaps, net $ (26 ) $ (51 ) $ (106 ) $ (209 )
Realized gain (loss) on derivative instruments and other securities, net:
TBA securities - dollar roll income, net 87
54
251
148
TBA securities - mark-to-market net gain (loss) 84
63
(14 ) 210
Payer swaptions —
(10 ) —
(30 )
U.S. Treasury securities - long position —
1
1
7
U.S. Treasury securities - short position (31 ) (11 ) (47 ) (64 )
U.S. Treasury futures - short position (22 ) (43 ) (49 ) (102 )
Interest rate swaps - termination fees and variation margin settlements, net 49
(299 ) 156
(865 )
REIT equity securities —
(1 ) —
(1 )
Other —
(1 ) 2
7
Total realized gain (loss) on derivative instruments and other securities, net 167
(247 ) 300
(690 )
Unrealized gain (loss) on derivative instruments and other securities, net:
TBA securities - mark-to-market net gain (loss) (13 ) (50 ) 123
33
Interest rate swaps (8 ) 503
(207 ) (134 )
Payer swaptions (22 ) 9
(46 ) 18
U.S. Treasury securities - short position 12
25
(160 ) (78 )
U.S. Treasury futures - short position 21
58
20
(4 )
Debt of consolidated VIEs —
(2 ) (1 ) (8 )
REIT equity securities —
2
—
9
Other —
1
(1 ) —
Total unrealized gain (loss) on derivative instruments and other securities, net (10 ) 546
(272 ) (164 )
Total gain (loss) on derivative instruments and other securities, net $ 131
$ 248
$ (78 ) $ (1,063 )


	Three Months Ended March 31,
		2024		2023
TBA securities, dollar roll income		$	—	$	18
TBA securities, mark-to-market loss		(58)		94

Interest rate swaps, periodic income (cost)		536		504
Interest rate swaps, mark-to-market gain (loss)		113		(736)
Credit default swaps - buy protection		(3)		(3)
Payer swaptions		33		(66)
U.S. Treasury securities - short position		338		(157)
U.S. Treasury securities - long position		(43)		75
U.S. Treasury futures contracts - short position		186		(235)
SOFR futures contracts - long position		(10)		(3)
Other interest income (expense), net		(35)		(33)
Other gain (loss), net		2		(2)
Total gain (loss) on derivative instruments and other securities, net		$	1,059	$	(544)

For further details regarding our use of derivative instruments and related activity refer to Notes 32 and 65 of our Consolidated Financial Statements in this Form 10-Q.

~~Operating Expenses~~

Prior to our acquisition of AMM and related management internalization on July 1, 2016, we paid our Manager a management fee payable monthly in arrears in an amount equal to one-twelfth of 1.25% of our month-end stockholders' equity, as defined in our management agreement. Following our management internalization, we no longer incur a management fee, but we incur expenses associated with an internally managed organization, including compensation expense previously borne by our Manager. For the three and nine months ended September 30, 2017, we incurred compensation and benefits expense of $10 million and $30 million, respectively. For the nine months ended September 30, 2016, prior to our internalization, we incurred management fees of $52 million and, subsequent to our internalization, compensation and benefits expense of $9 million.

For the three and nine months ended September 30, 2017, we incurred other operating expenses of $7 million and $20 million, respectively, compared to $6 million and $27 million, respectively, for the prior year period. Excluding non-recurring acquisition costs, we incurred other operating expenses of $6 million and $18 million, respectively, for the prior year period. Other operating expenses primarily consist of prime broker fees; clearing, settlement and regulatory fees incurred by BES; information technology costs; accounting, legal and Board of Director fees; amortization of intangible assets associated with our acquisition of AMM; and other general overhead expenses.

Our total annualized operating expense as a percentage of our average stockholders' equity was 0.84% and 0.87% for the three and nine months ended September 30, 2017, compared to 0.76% and 1.51%, respectively, for the prior year period. Excluding non-recurring acquisition costs, our total operating expense as a percentage of our stockholders' equity was 1.35% for the prior year nine month period.

~~Estimated Taxable Income~~

For the three months ended September 30, 2017 and 2016, we had estimated taxable income available to common stockholders of $42 million and $63 million (or $0.12 and $0.19 per common share), respectively. For the nine months ended September 30, 2017 and 2016, we had estimated taxable income available to common stockholders of $118 million and $210 million (or $0.34 and $0.63 per common share), respectively. Income as determined under GAAP differs from income as determined under tax rules because of both temporary and permanent differences in income and expense recognition. The primary differences are (i) unrealized gains and losses on derivative instruments and other securities marked-to-market in current income for GAAP purposes, but excluded from taxable income until realized or settled, (ii) timing differences, both temporary and potentially permanent, in the recognition of certain realized gains and losses and (iii) temporary differences related to the amortization of premiums and discounts on investments. Furthermore, our estimated taxable income is subject to potential adjustments up to the time of filing our appropriate tax returns, which occurs after the end of our fiscal year. The following is a reconciliation of our GAAP net income to our estimated taxable income for the three and nine months ended September 30, 2017 and ~~2016~~ ~~(dollars in millions, except per share amounts):~~

~~As of September 30, 2017, we had $0.3 billion (or $0.86 per common share) of net capital loss carryforwards, which expire at the end of fiscal year 2018.~~

~~Other Comprehensive Income (Loss)~~

Other comprehensive income (loss) primarily consists of unrealized gains and (losses) recognized due to the impact of fluctuations in long-term interest rates on the market value of our Agency RMBS designated as "available-for-sale" securities, net of reversals of prior period unrealized amounts upon realization. For the three and nine months ended September 30, 2017, we had other comprehensive income (loss) of $90 million and $257 million, respectively, compared to $(90) million and $1.1 billion for the three and nine months ended September 30, 2016, respectively.

LIQUIDITY AND CAPITAL RESOURCES

Our business is dependent on our ability to maintain adequate levels of liquidity and capital resources to fund day-to-day operations, fulfill collateral requirements under our funding and derivative agreements, and to satisfy our dividend distribution requirement of at least 90% of our taxable income to maintain our qualification as a REIT. Our primary sources of ~~funds~~liquidity are unencumbered cash and securities, borrowings available under ~~master~~ repurchase agreements, ~~asset sales,~~TBA dollar roll financing and monthly receipts of ~~monthly~~ principal and interest ~~payments on~~payments. We may also conduct asset sales, change our ~~investment portfolio~~asset or funding mix, issue equity or undertake other capital enhancing actions to maintain adequate levels of liquidity and ~~equity offerings. We also enter into TBA contracts~~capital resources. There are various risks and uncertainties that can impact our liquidity, such as ~~a means of acquiring or disposing of Agency securities and utilize TBA dollar roll transactions to finance Agency RMBS purchases. Because the level~~those described in Item 1A. Risk Factors of our ~~borrowings can be adjusted~~most recent Annual Report on Form 10-K and Item 3. Quantitative and Qualitative Disclosures of Market Risks in this Form 10-Q. In assessing our liquidity, we consider a ~~daily basis, the level~~number of ~~cash and cash equivalents carried on~~factors, including our ~~balance sheet is significantly less important than the potential liquidity available under our borrowing arrangements. Our~~current leverage, ~~will vary periodically depending on~~collateral levels, access to capital markets, overall market conditions, and ~~our assessment of risks and returns. We generally would expect our leverage to be within six to eleven times~~ the ~~amount~~sensitivity of our tangible ~~stockholders' equity. However, under certain market conditions, we may operate at leverage levels outside~~net book value over a range of ~~this range for extended periods of time.~~

scenarios. We ~~currently~~ believe that we have sufficient liquidity and capital resources available ~~for~~to meet our obligations and execute our business strategy.

Leverage and Financing Sources

Our leverage will vary depending on market conditions and our assessment of relative risks and returns, but we generally expect our leverage to be between six and twelve times the acquisition of additional investments, repayments on borrowings, maintenance of any margin requirements and the payment of cash dividends as required for our continued qualification as a REIT. We currently expect to distribute 100%amount of our taxable income so that we are not subject to U.S. federal and state corporate income taxes. Our REIT distribution requirement of at least 90% of our taxable income limits our ability to retain earnings and thereby replenish or increase capital from operations.

~~Debt Capital~~

~~As of September 30, 2017 and December 31, 2016, our mortgage borrowings and net TBA position consisted of the following ($ in millions):~~

September 30, 2017 December 31, 2016
Mortgage Funding Amount % Amount %
Repurchase agreements used to fund Agency RMBS ¹
$ 45,505
69 % $ 37,686
71 %
Debt of consolidated variable interest entities, at fair value 380
1 % 460
1 %
FHLB advances —
— % 3,037
6 %
Total mortgage borrowings 45,885
70 % 41,183
78 %
Net TBA position, at cost 19,433
30 % 11,312
22 %
Total mortgage funding $ 65,318
100 % $ 52,495
100 %

~~______________________~~

~~1. Excludes repurchase agreements used to fund U.S. Treasury securities of $0 million and $172 million as of September 30, 2017 and December 31, 2016, respectively.~~

~~Our~~ tangible ~~net book value "at risk" leverage was 8.0x and 7.7x as of September 30, 2017 and December 31, 2016,~~stockholders' equity, measured as the sum of our total mortgage borrowings ~~net TBA position (at cost)~~ and net payable / (receivable) for unsettled investment securities, divided by the sum of our total stockholders' equity adjusted to exclude ~~goodwill~~goodwill. Our tangible net book value "at risk" leverage ratio was 7.1x and ~~other intangible assets.~~

~~Repurchase Agreements~~

As part of our investment strategy, we borrow against our investment portfolio pursuant to master repurchase agreements. We expect that the majority of our borrowings under such master repurchase agreements will have maturities ranging up to one year, but we may have longer-term borrowings ranging up to five years or longer. Borrowings under our master repurchase agreements with maturities greater than 90 days typically have floating rates of interest based on LIBOR plus or minus a fixed spread.

As of September 30, 2017, we had $45.5 billion of repurchase agreements outstanding used to fund acquisitions of investment securities with a weighted average cost of funds of 1.36% and a weighted average remaining days-to-maturity of 129 days, compared $37.7 billion, 0.98% and 187 days, respectively,7.0x as of March 31, 2024 and December 31, ~~2016.~~

To limit our counterparty exposure, we diversify our funding across multiple counterparties and by counterparty region. As of September 30, 2017, we had master repurchase agreements with 41 financial institutions located throughout North America, Europe and Asia, including counterparties accessed through our wholly-owned captive broker-dealer subsidiary, Bethesda Securities. Bethesda Securities has direct access to bilateral and triparty funding, including the General Collateral Finance Repo service offered by the Fixed Income Clearing Corporation, or "FICC," which provides us greater depth and diversity of funding at favorable terms relative to traditional bilateral repurchase agreement funding. As of September 30, 2017, $13.8 billion of our repurchase agreement funding was accessed through Bethesda Securities.

2023, respectively. The following table ~~below~~ includes a summary of our ~~Agency RMBS repurchase agreement funding by number of repo counterparties and counterparty region~~mortgage borrowings outstanding as of ~~September 30, 2017~~March 31, 2024 and December 31, 2023 (dollars in millions). For ~~further~~additional details ~~regarding~~of our mortgage borrowings ~~under repurchase agreements as of~~ ~~September 30, 2017, please~~ refer to Notes 52, 4 and 75 to our Consolidated Financial Statements in this Form 10-Q.


	March 31, 2024				December 31, 2023
Mortgage Borrowings	Amount		%		Amount		%
Investment securities repurchase agreements 1,2	$	48,140	85	%	$	48,879	90	%
Debt of consolidated variable interest entities, at fair value	76		—	%	80		—	%
Total debt	48,216		85	%	48,959		90	%
TBA and forward settling non-Agency securities, at cost	8,405		15	%	5,288		10	%
Total mortgage borrowings	$	56,621	100	%	$	54,247	100	%

1.Includes Agency RMBS, CRT and non-Agency MBS repurchase agreements. Excludes U.S. Treasury repurchase agreements totaling $1.8 billion and $1.5 billion as of March 31, 2024 and December 31, 2023, respectively.

2.As of March 31, 2024 and December 31, 2023, 42% and 43%, respectively, of our total repurchase agreements, including 43% and 45% or our investment securities repurchase agreements, respectively, were funded through the Fixed Income Clearing Corporation's GCF Repo service.

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

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

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

September 30, 2017
Counter-Party Region Number of Counter-Parties Percent of Agency RMBS Repurchase Agreement Funding
North America:
FICC 1 28%
Other 21 44%
Total North America 22 72%
Europe 14 18%
Asia 5 10%
Total 41 100%
Collateral Requirements and Unencumbered Assets

Amounts available to be borrowed under our repurchase agreements are dependent upon ~~lender collateral~~prevailing interest rates, the lender’s "haircut" requirements and ~~the lender's determination~~collateral value. Each of ~~the fair value of the securities pledged as collateral, which fluctuates~~these elements may fluctuate with changes in interest rates, credit quality and liquidity conditions within the investment banking, mortgage finance and real estate industries. In addition, our counterparties apply a "haircut" to our pledged collateral, which means our collateral is valued at slightly less than market value. This haircut reflects the underlying risk of the specific collateral and protects our counterparty against a change in its value, but conversely subjects us to counterparty credit risk and limits the amount we can borrow against our investment securities. Our master repurchase agreements do not specify the haircut; rather haircuts are determined on an individual repurchase transaction basis. Throughout the nine months ended September 30, 2017, haircuts on our pledged collateral remained stable and, as of September 30, 2017, our weighted average haircut was approximately 4.5% of the value of our collateral, inclusive of collateral funded through Bethesda Securities. As of September 30, 2017, our maximum amount at risk (or the amount or our repurchase liabilities in excess of the value of collateral pledged) with any counterparty related to our repurchase agreements was less than 5% of our tangible stockholders' equity, and our top five repo counterparties represented less than 12% of our tangible stockholders' equity.

We may be required to pledge additional assets to our counterparties in the event the estimated fair value of the existing collateral pledged under our agreements declines and our counterparties demand additional collateral (a "margin call"), which may take the form of additional securities or cash. Specifically, margin calls would result from a decline in the fair value of our investment securities securing our repurchase agreements as well as due to prepayments on the mortgages securing such securities. Similarly, if the estimated fair value of our investment securities increases due to changes in interest rates or other factors, counterparties may release collateral back to us. Our repurchase agreements generally provide that the valuations of securities securing our repurchase agreements are to be obtained from a generally recognized source agreed to by the parties. In certain circumstances, however, our lenders have the sole discretion to determine the value of pledged collateral. In such instances, our lenders are required to act in good faith in making determinations of value. Our repurchase agreements generally provide that in the event of a margin call, we must provide additional securities or cash on the same business day that a margin call is made if the lender provides us notice prior to the margin notice deadline on such day.

As of September 30, 2017, we had met all of our margin requirements and we had unrestricted cash and cash equivalents of $1.1 billion and unpledged securities of approximately $3.6 billion, including securities pledged to us and unpledged interests in our consolidated VIEs, available to meet margin calls on our repurchase agreements and other funding liabilities, derivative instruments and for other corporate purposes.

Although we believe we will have adequate sources of liquidity available to us through repurchase agreement financing to execute our business strategy, there can be no assurances that repurchase agreement financing will be available to us upon the maturity of our current repurchase agreements to allow us to renew or replace our repurchase agreement financing on favorable terms or at all. If our repurchase agreement lenders default on their obligations to resell the underlying collateral back to us at the end of the term, we could incur a loss equal to the difference between the value of the collateral and the cash we originally received.

financial markets. To help manage the adverse impact of interest rate changes on ~~the value of~~ our ~~investment portfolio as well as our cash flows,~~borrowings, we utilize an interest rate risk management strategy ~~under which we~~involving the use of derivative financial instruments. In particular, we attempt to mitigate the risk of the cost of our ~~variable rate~~short-term funding liabilities increasing at a faster rate than the earnings of our long-term fixed rate assets during a period of rising interest rates.

The ~~primary derivative instruments that we use~~collateral requirements, or haircut levels, under our repo agreements are ~~interest rate swaps, interest rate~~

~~swaptions, U.S. Treasury securities, U.S. Treasury futures contracts~~typically determined on an individual transaction basis or by the prevailing requirements established by the FICC for GCF tri-party repo. Consequently, haircut levels and ~~TBA securities. Please refer to Notes 3~~minimum margin requirements can change over time and ~~6 to~~may increase during periods of elevated market volatility. If the fair value of our ~~Consolidated Financial Statements in this Form 10-Q for further details regarding~~collateral declines, our ~~use of derivative instruments.~~

~~Our derivative agreements~~counterparties will typically require that we ~~pledge / receive~~post additional collateral ~~in a similar manner~~to re-establish the agreed-upon collateral levels, referred to as "margin calls." Similarly, if the estimated fair value of our investment securities increases, we ~~are required~~may request that counterparties release collateral back to ~~under our repurchase agreements.~~us. Our counterparties ~~or the central clearing agency,~~ typically have the sole discretion to determine the value of ~~the derivative instruments and the value~~pledged collateral but are required to act in good faith in making determinations of ~~the collateral securing such instruments. In~~value. Our agreements generally provide that in the event of a margin call, wecollateral must ~~provide additional collateral generally~~be posted on the same business day, subject to notice requirements. As of March 31, 2024, we had met all our margin requirements.

The value of Agency RMBS collateral is impacted by market factors and is reduced by monthly principal pay-downs on the underlying mortgage pools. Fannie Mae and Freddie Mac publish monthly security pay-down factors for their mortgage pools on the fifth day after month-end, but do not remit payment to security holders until generally the 25th day after month-end. Bi-lateral repo counterparties assess margin to account for the reduction in value of Agency collateral when factors are released. The FICC assesses margin on the last day of each month, prior to the factor release date, based on its internally projected pay-down rates (referred to as the "blackout period exposure adjustment" or ~~next business day.~~"blackout margin"). On the factor release date, the blackout margin is released and collateralization requirements are adjusted to actual factor data. Due to the timing difference between associated margin calls and our receipt of principal pay-downs, our liquidity is temporarily reduced each month for principal repayments. We ~~minimize counterparty credit~~attempt to manage the liquidity risk associated with ~~our derivative instruments by limiting our counterparties to central clearing exchanges and major financial institutions with acceptable credit ratings and~~principal pay-downs by monitoring ~~positions with individual counterparties. Excluding centrally cleared derivative instruments, as~~conditions impacting prepayment rates and through asset selection. As of ~~September 30, 2017, our amount at risk with any counterparty related to our interest rate swap and swaption agreements was less than 1%~~March 31, 2024, approximately 13% of our stockholders' equity. In the case of centrally cleared derivative instruments, we could be exposed to credit risk if the central clearing agency or a clearing member defaults on its respective obligation to perform under the contract. However, we believe that the risk is minimal due to the exchanges' initial and daily mark to market margin requirements and clearinghouse guarantee funds and other resources that are available in the event of a clearing member default.

~~TBA Dollar Roll Transactions~~

~~TBA dollar roll transactions represent a form of off-balance sheet financing accounted for as derivative instruments and we may use them as a means of leveraging (or deleveraging)~~ our investment portfolio ~~through the use~~consisted of ~~long (or short)~~ TBA ~~contracts (see Notes 3 and 6~~securities, which are not subject to monthly principal pay-downs. The remainder of our portfolio primarily consisted of Agency RMBS, which had an average one-year CPR forecast of 8%.

Collateral requirements under our derivative agreements are subject to our ~~Consolidated Financial Statements in this Form 10-Q).~~

~~Under certain market conditions, it~~counterparties' assessment of their maximum risk of loss associated with the derivative instrument, referred to as the initial or minimum margin requirement, and may be ~~uneconomical for us to roll our TBA contracts into future months~~adjusted based on changes in market volatility and we may need to take or make physical delivery of the underlying securities. If we were required to take physical delivery to settle a long TBA contract, we would have to fund our total purchase commitment with cash or other ~~financing sources and our liquidity position could be negatively impacted. As of~~ ~~September 30, 2017~~, we had a net long TBA position with a total market value and a total cost basis of $19.4 billion and a net carrying value of $(24) million recognized in derivative assets/(liabilities), at fair value, on our Consolidated Balance Sheets in this Form 10-Q.

~~Our TBA dollar roll contracts~~factors. We are also subject to daily variation margin requirements based on changes in the value of the derivative instrument and/or collateral pledged. Daily variation margin requirements also entitle us to receive collateral if the value of amounts owed to us under the derivative agreement exceeds the minimum margin requirement. The collateral requirements under our TBA contracts are governed by the Mortgage-Backed Securities Division ("MBSD") of the ~~FICC~~FICC. Collateral levels for interest rate derivative agreements are typically governed by the central clearing exchange and ~~by our prime brokerage agreements,~~the associated futures commission merchants ("FCMs"), which may establish margin levels in excess of the ~~MBSD. Such provisions require that we establish an initial margin based on the notional value of the TBA contract, which is~~clearing exchange. Collateral levels for interest rate derivative agreements not subject to ~~increase if~~central clearing are established by the ~~estimated fair value~~counterparty financial institution.

Haircut levels and minimum margin requirements imposed by our counterparties reduce the amount of our ~~TBA contract or~~unencumbered assets and limit the ~~estimated fair value~~amount we can borrow against our investment securities. During the three months ended March 31, 2024, haircuts on our repo funding arrangements remained stable. As of March 31, 2024, the weighted average haircut on our ~~pledged collateral declines. The MBSD has the sole discretion to determine~~repurchase agreements was approximately 3.0% of the value of our ~~TBA contracts~~collateral, compared to 3.1% as of December 31, 2023.

To mitigate the risk of margins calls, we seek to maintain excess liquidity by holding unencumbered liquid assets that can be used to satisfy collateral requirements, collateralize additional borrowings or sold for cash. As of March 31, 2024, our unencumbered assets totaled approximately $5.4 billion, or 68% of tangible equity, consisting of $5.4 billion of unencumbered cash and Agency RMBS and $0.1 billion of unencumbered credit assets. This compares to $5.2 billion of unencumbered assets, or 67% of tangible equity, as of December 31, 2023, consisting of $5.1 billion of unencumbered cash and Agency RMBS and $0.1 billion of unencumbered credit assets.

Counterparty Risk

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

As of March 31, 2024, our maximum amount at risk (or the excess/shortfall of the ~~pledged~~value of collateral ~~securing such contracts. In the event of a margin call, we must generally provide additional collateral on the same business day.~~

~~Settlement~~pledged/received over our repurchase agreement liabilities/reverse repurchase agreement receivables) with any of our ~~TBA obligations by taking delivery of~~repurchase agreement counterparties, excluding the underlying securities as well as satisfying margin requirements could negatively impact our liquidity position. However, since we do not use TBA dollar roll transactions as our primary source of financing, we believe that we will have adequate sources of liquidity to meet such obligations.

~~Federal Home Loan Bank Advances~~

~~In February 2017, our wholly-owned captive insurance subsidiary's membership to the FHLB of Des Moines~~FICC, was ~~terminated pursuant to the FHFA's final rule on changes to regulations concerning FHLB membership criteria released in January 2016. All~~less than 3% of our ~~outstanding FHLB advances were repaid prior to termination.~~

~~Bethesda Securities Regulatory Capital Requirements~~

~~Bethesda Securities is subject to regulations~~tangible stockholders' equity, with our top five repo counterparties, excluding the FICC, representing approximately 6% of the securities business that include but are not limited to trade practices, capital structure, recordkeeping and conduct of directors, officers and employees. As a self-clearing registered broker-dealer, Bethesda Securities is required to maintain minimum net regulatory capital as defined by SEC Rule 15c3-1 (the "Rule").our tangible stockholders' equity. As of ~~September 30, 2017,~~March 31, 2024, 5% of our tangible stockholder's equity was at risk with the ~~minimum net capital required~~FICC. Excluding central clearing exchanges, as of March 31, 2024, our amount at risk with any counterparty to our derivative agreements was ~~$0.3 million and Bethesda Securities had excess net capital~~less than 1% of ~~$204.0 million. Regulatory capital in excess of the minimum required by the Rule is held to meet levels required by clearing organizations, the clearing bank and other repo counterparties.~~our stockholders' equity.

Asset Sales

Agency RMBS securities are among the most liquid fixed income securities, and ~~TBA Eligible Securities~~

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

Capital Markets

The equity capital markets serve as a source of capital to grow our business and to meet potential liquidity needs of our business. The availability of equity capital is dependent on market conditions and investor demand for our common and preferred stock. We will typically not issue common stock at times when we believe the capital raised will not be accretive to our tangible net book value or earnings, and we will typically not issue preferred equity when its cost exceeds acceptable hurdle rates of return on our equity. We may alternatively sell Agency securities that have more unique attributes on a specified basis when such securities trade at a premium over generic TBA securities or if the securities are not otherwise eligible for TBA delivery. Since the TBA market is the second most liquid market (after the U.S. Treasury market), maintaining a significant

level of Agency securities eligible for TBA delivery enhances our liquidity profile and provides price support for our TBA eligible securities at or above generic TBA prices. As of September 30, 2017, approximately 90% of our fixed rate Agency RMBS portfolio was eligible for TBA delivery.

~~Equity Capital~~

In September 2017, we completed a public offering in which 28.2 million shares of our common stock were sold to the underwriters for proceeds of $577 million, or $20.47 per common share, net of estimated offering costs. In May 2017, we completed a public offering in which 24.5 million shares of our common stock were sold to the underwriters for proceeds of $503 million, or $20.51 per common share, net of offering costs. We are also authorized by our Board of Directors to publicly offer and sell shares of our common stock in privately negotiated and/or at-the-market transactions from time-to-time up to an aggregate amount of $750 million of shares of our common stock, subject to U.S. Federal securities laws. During the three and nine months ended September 30, 2017, we sold 7.6 million shares of our common stock under the sales agreements for proceeds of $159 million, or $20.96 per common share, net of estimated offering costs. As of September 30, 2017, $589 million of shares of our common stock remain available for issuance under this program.

In August 2017, we issued 13,000 shares of 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock in a public offering of 13.0 million Series C depositary shares at a price of $25 per depositary share for net proceeds of $315 million, after deducting estimated offering expenses. In September 2017, we redeemed all of our issued and outstanding shares of 8.000% Series A Cumulative Redeemable Preferred Stock for $173 million (or $25 per share liquidation preference), plus accrued and unpaid dividends.

To the extent we raise additional equity capital we may use cash proceeds from such transactions to purchase additional investment securities, to make scheduled payments of principal and interest on our funding liabilities and for other general corporate purposes. There can be ~~no assurance, however, that we will be able~~unable to raise additional equity capital at ~~any particular time~~suitable times or on ~~any particular~~favorable terms. Furthermore, when the trading price of our common stock is ~~significantly~~ less than our then-current estimate of our ~~current~~ tangible net ~~asset~~book value per common share, among other conditions, we may repurchase shares of our common stock ~~subject~~pursuant to the ~~provisions of our~~ stock repurchase ~~program (see~~plan authorized by our Board of Directors, which has $1 billion in remaining capacity and expires on December 31, 2024. Please refer to Note ~~10 to~~9 of our Consolidated Financial Statements in this Form ~~10-Q).~~

10-Q for further details regarding our recent equity capital transactions, if any.

OFF-BALANCE SHEET ARRANGEMENTS

As of ~~September 30, 2017,~~March 31, 2024, we did not maintain ~~any~~ relationships with unconsolidated entities or financial partnerships, such as entities often referred to as structured finance, or special purpose or variable interest entities, established ~~for the purpose of facilitating~~to facilitate off-balance sheet arrangements or other contractually narrow or limited purposes. ~~Furthermore,~~Additionally, as of ~~September 30, 2017,~~March 31, 2024, we had not guaranteed ~~any~~ obligations of unconsolidated entities or entered into ~~any~~a commitment or intent to provide funding to ~~any~~ such entities.

FORWARD-LOOKING STATEMENTS

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

Forward-looking statements are based on management’s assumptions, projections and beliefs as of ~~1995) that inherently~~the date of this Quarterly Report, but they involve a number of risks and uncertainties. ~~Our actual~~Actual results ~~and liquidity can~~may differ materially from those anticipated in ~~these~~ forward-looking statements, ~~because of changes in the level and composition of~~as well as from historical performance. Factors that could cause actual results to vary from our ~~investments and other factors. These factors may~~forward-looking statements include, but are not limited to, the following:

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

•fluctuations in the yield curve;

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

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

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

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

•the effectiveness of our risk mitigation strategies;

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

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

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

•the availability of suitable investments from both an investment return and regulatory perspective, the availability of new investment capital, fluctuations in interest rates and levels of mortgage prepayments, deterioration in credit quality and ratings, the effectiveness of risk management strategies, the impact of leverage, liquidity of secondary markets and credit markets, increases in costspersonnel, operational resources, information technology and other ~~general competitive factors.~~systems to conduct our operations;

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

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

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

Item 3. Quantitative and Qualitative Disclosures about Market Risk

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

Interest Rate Risk

~~Interest~~We are subject to interest rate risk ~~is highly sensitive to many factors, including governmental monetary~~in connection with the fixed income nature of our assets and ~~tax policies, domestic~~the short-term, variable rate nature of our financing obligations. Our operating results depend in large part on differences between the income earned on our assets and ~~international economic~~our cost of borrowing and ~~political considerations and other factors beyond~~hedging activities. The costs associated with our ~~control.~~

~~Changes in the general level~~borrowings are generally based on prevailing market interest rates. During a period of rising interest rates, our borrowing costs generally will increase while the yields earned on our existing portfolio of leveraged fixed-rate assets will largely remain static. This can ~~affect~~result in a decline in our net interest income, which is the difference between the interest income earned on interest-earning assets and the interest expense incurred in connection with our interest-bearing liabilities, by affecting the spread between our interest-earning assets and interest-bearing liabilities.spread. Changes in the level of interest rates can also affect the rate of mortgage prepayments ~~of our securities~~ and the value of ~~the mortgage securities that constitute~~ our ~~investment portfolio, which affects~~assets.

Interest rates are highly sensitive to many factors, including fiscal and monetary policies and domestic and international economic and political considerations, as well as other factors beyond our ~~net income and ability~~control. Subject to ~~realize gains from the sale of these assets and impacts~~maintaining our ~~ability and the amount that~~qualification as a REIT, we ~~can borrow against these securities.~~

~~We utilize~~engage in a variety of ~~strategies~~interest rate management techniques to ~~limit~~mitigate the ~~effects~~influence of ~~changes in~~ interest ~~rates~~rate changes on our ~~operations.~~net interest income and fluctuations of our tangible net book value. The principal instruments that we use to hedge our interest rate risk are interest rate swaps, swaptions, U.S. Treasury securities and U.S. Treasury futures contracts. WeOur hedging techniques are highly complex and are partly based on assumed levels of prepayments of our assets. If prepayments are slower or faster than assumed, the maturity of our investments will also ~~use forward contracts~~differ from our expectations, which could reduce the effectiveness of our hedging strategies and may cause losses on such transactions and adversely affect our cash flow.

The severity of potential declines in our tangible net book value due to fluctuations in interest rates would depend on our asset, liability, and hedge composition at the ~~Agency RMBS TBA market to invest in and finance Agency securities~~time, as well as ~~to periodically reduce our exposure to Agency RMBS. Derivative instruments may expose us to certain risks, including~~ the ~~risk that losses on a hedge position will reduce~~magnitude and duration of the ~~funds available for payments to holders of our common stock and that the losses may exceed the amount we invested in the instruments.~~

~~Our profitability and the value of our investment portfolio (including derivatives used for hedging purposes) may be adversely affected during any period as a result of changing~~ interest ~~rates including changes in the forward yield curve.~~

rate change. Primary measures of an instrument's price sensitivity to interest rate fluctuations are its duration and convexity. Duration measures the estimated percentage change in market value of ~~our mortgage assets or our hedge portfolio~~an instrument that would be caused by a parallel change in short and long-term interest rates. The duration of our ~~investment portfolio~~assets will vary with changes ~~with~~in interest rates and tends to increase when interest rates rise and decrease when interest rates fall. This "negative convexity" generally increases the interest rate exposure of our investment portfolio in excess of what is measured by duration alone.

We estimate the duration and convexity of our ~~portfolio~~assets using ~~both~~ a third-party risk management system and market data. We review the ~~duration~~ estimates ~~from the third-party model~~for reasonableness, giving consideration to any unique characteristics of our securities, market conditions and other factors likely to impact these estimates, and based on our judgement we may make adjustments ~~based on~~to the third-party estimates. Our estimated duration gap, which is a measure of the difference between the interest rate sensitivity of our ~~judgment. These adjustments are intended~~assets and our liabilities, inclusive of interest rate hedges, was 0.2 years as of March 31, 2024, compared to ~~better reflect the unique characteristics and market trading conventions associated with certain types~~-0.5 years as of ~~securities.~~ December 31, 2023.

The table below quantifies the estimated changes in ~~(i) net interest income (including periodic interest costs on our interest rate swaps); (ii)~~ the fair value of our investment portfolio (including derivatives and other securities used for hedging purposes); and ~~(iii)~~in our tangible net ~~asset~~book value per common share as of ~~September 30, 2017~~March 31, 2024 and December 31, ~~2016~~2023 should interest rates go up or down by 25, 50 and ~~100~~75 basis points, assuming instantaneous parallel shifts in the yield curve and including the impact of both duration and convexity.

All ~~changes in income and value~~values in the table below are measured as percentage changes from the base interest rate scenario. The base interest rate scenario assumes interest rates and prepayment projections as of ~~September 30, 2017~~March 31, 2024 and December 31, 2016. We apply a floor of 0% for the down rate scenarios on our interest bearing liabilities and the variable leg of our interest rate swaps, such that any hypothetical interest rate decrease would have a limited positive impact on our funding costs beyond a certain level.2023.

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


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

-75 Basis Points	-0.2%	-2.4%	-0.7%	-7.0%
-50 Basis Points	-0.1%	-0.6%	-0.4%	-3.8%
-25 Basis Points	0.0%	+0.1%	-0.1%	-1.5%
+25 Basis Points	-0.1%	-0.9%	+0.1%	+0.7%
+50 Basis Points	-0.3%	-2.5%	+0.1%	+0.7%
+75 Basis Points	-0.5%	-4.7%	0.0%	0.0%

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

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

Interest Rate Sensitivity ¹
Percentage Change in Projected
Change in Interest Rate
Net Interest Income ²

Portfolio Market
Value ^3,4

Tangible Net Asset
Value ^3,5
As of September 30, 2017
-100 Basis Points -10.4% -0.5% -5.1%
-50 Basis Points -3.4% 0.0% -0.1%
+50 Basis Points +1.9% -0.4% -3.7%
+100 Basis Points +2.0% -1.1% -9.8%

As of December 31, 2016
-100 Basis Points -9.7% +0.6% +4.9%
-50 Basis Points -1.8% +0.5% +4.4%
+50 Basis Points +4.1% -0.8% -6.9%
+100 Basis Points +6.2% -1.7% -15.3%

~~________________~~


1.	Interest rate sensitivity is derived from models that are dependent on inputs and assumptions provided by third parties, assumes there are no changes in mortgage spreads and assumes a static portfolio. Actual results could differ materially from these estimates.

Represents the estimated dollar change in net interest income expressed as a percent of net interest income based on asset yields and cost of funds as of such date. It includes the effect of periodic interest costs on our interest rate swaps, but excludes costs associated with our forward starting swaps and other supplemental hedges, such as swaptions and U.S. Treasury securities. Amounts also exclude costs associated with our TBA position and TBA dollar roll income/loss, which are accounted for as derivative instruments in accordance with GAAP. Base case scenario assumes interest rates and forecasted CPR of 9% ~~and 8% as of~~ ~~September 30, 2017~~ ~~and December 31, 2016, respectively. As of~~ ~~September 30, 2017~~, rate shock scenarios assume a forecasted CPR of 12%, 10%, 7% and 7% for the -100, -50, +50 and +100 basis points scenarios, respectively. As of December 31, 2016, rate shock scenarios assume a forecasted CPR of 10%, 9%, 7% and 7% for such scenarios, respectively. Estimated dollar change in net interest income does not include the impact of retroactive "catch-up" premium amortization adjustments due to changes in our forecasted CPR. Down rate scenarios assume a floor of 0% for anticipated interest rates.


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


4.	~~Estimated dollar change in investment portfolio value expressed as a percent of the total fair value of our investment portfolio as of such date.~~


5.	~~Estimated dollar change in portfolio value expressed as a percent of tangible stockholders' equity, net of the Series A and Series B Preferred Stock liquidation preference, as of such date.~~

Prepayment Risk and Extension Risk

~~Because residential borrowers have the option to prepay their mortgage loans at par at any time, we face~~Prepayment risk is the risk that weour assets will ~~experience~~be repaid at a ~~return of principal on our investments~~ faster rate than anticipated. ~~Various~~Interest rates and numerous other factors affect the rate ~~at which mortgage~~of prepayments, ~~occur, including changes in the level of and directional trends in~~such as housing prices, ~~interest rates,~~ general economic conditions, loan age, size and ~~size,~~ loan-to-value ~~ratio, the location~~ratios, and GSE buyouts of the property and social and demographic conditions. Additionally, changes to GSE underwriting practices or other governmental programs could also significantly impact prepayment rates or expectations. Also, the pace at which thedelinquent loans underlying our ~~securities become seriously delinquent or are modified and the timing of GSE repurchases of such loans from our securities can materially impact~~securities. Generally, declining mortgage rates increase the rate of ~~prepayments. Generally,~~ prepayments, ~~on residential mortgage-backed securities increase during periods of falling mortgage interest~~while rising rates ~~and decrease during periods of rising mortgage interest rates. However, this~~have the opposite effect.

If our assets prepay at a faster rate than anticipated, we may ~~not always~~ be ~~the case.~~

~~We may~~unable to reinvest ~~principal~~the repayments at ~~a yield that is~~acceptable yields. If the proceeds are reinvested at lower ~~or higher~~yields than ~~the yield on the repaid investment, thus affecting~~our existing assets, our net interest income ~~by altering the average yield on our assets.~~would be negatively impacted. We also amortize or accrete premiums and discounts ~~associated with~~we pay or receive at purchase relative to the ~~purchase~~stated principal of ~~mortgage securities~~our assets into interest income over ~~the~~their projected lives ~~of the securities, including contractual payments and estimated prepayments~~ using the effective interest method. ~~Our policy for estimating prepayment speeds for calculating the effective yield is to evaluate published prepayment data for similar securities, market consensus and current market conditions.~~ If the actual and estimated future prepayment ~~experienced~~experience differs from our ~~estimate~~prior estimates, we are required to record an adjustment to interest income for the impact of ~~prepayments,~~the cumulative difference in the effective yield.

Extension risk is the risk that our assets will be repaid at a slower rate than anticipated and generally increases when interest rates rise. In a rising or higher interest rate environment, we ~~will~~may be required to ~~make an adjustment~~finance our investments at potentially higher costs without the ability to reinvest principal into higher yielding securities as a result of borrowers prepaying their mortgages at a slower pace than originally anticipated, adversely impacting our net interest spread, and thus our net interest income.

As of March 31, 2024 and December 31, 2023, our investment securities (excluding TBAs) had a weighted average projected CPR of 10.4% and 11.4%, respectively, and a weighted average yield of 4.52% and 4.41%, respectively. The table below presents estimated weighted average projected CPRs and yields for our investment securities should interest rates go up or down instantaneously by 25, 50 and 75 basis points. Estimated yields exclude the impact of retroactive "catch-up" premium amortization ~~or accretion~~adjustments for prior periods due to changes in the projected CPR assumption.


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

-75 Basis Points	16.5%	4.42%	17.8%	4.33%
-50 Basis Points	14.2%	4.46%	15.4%	4.36%
-25 Basis Points	12.0%	4.49%	13.2%	4.39%
Actual as of Period End	10.4%	4.52%	11.4%	4.41%
+25 Basis Points	9.0%	4.55%	9.7%	4.44%
+50 Basis Points	8.0%	4.57%	8.5%	4.46%
+75 Basis Points	7.4%	4.58%	7.7%	4.47%

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

2.Asset yield based on historical cost basis and does not include the impact of ~~premiums and discounts that would have an impact on future income.~~retroactive "catch-up" premium amortization adjustments due to changes in projected CPR.

Spread Risk

~~When~~Spread risk is the risk that the market spread between the yield on our ~~investment securities~~assets and the yield on benchmark interest rates ~~widens,~~linked to our ~~net book value could decline if the value~~interest rate hedges, such as U.S. Treasury rates and interest rate swap rates, may vary. As a levered investor in mortgage-backed securities, spread risk is an inherent component of our investment ~~securities fall by more than the offsetting fair value increases on our~~strategy. Therefore, although we use hedging instruments tied to the underlying benchmark interest rates. We refer to this as "spread risk" or "basis risk." The spread risk associated with our mortgage assets and the resulting fluctuations in fair value of these securities can occur independent of changes in benchmark interest rates and may relate to other factors impacting the mortgage and fixed income markets, such as actual or

anticipated monetary policy actions by the Federal Reserve, market liquidity, or changes in required rates of return on different assets. Consequently, while we use interest rate swaps and other supplemental hedges to attempt to protect against moves in interest rates, ~~such instruments typically will~~our hedges are generally not designed to protect against spread risk, and our tangible net book value ~~against spread risk.~~could decline if spreads widen.

Fluctuations in mortgage spreads can occur due to a variety of factors, including changes in interest rates, prepayment expectations, actual or anticipated monetary policy actions by the U.S. and foreign central banks, liquidity conditions, required rates of returns on different assets and other market supply and demand factors. The table below quantifies the estimated changes in the fair value of our ~~investment portfolio (including derivatives~~assets, net of hedges, and ~~other securities used for hedging purposes) and in~~ our tangible net ~~asset~~book value per common share as of ~~September 30, 2017~~March 31, 2024 and December 31, ~~2016~~2023 should spreads widen or tighten by 10, 25 and 2550 basis points. The estimated impact of changes in spreads is in addition to our interest rate shock sensitivity included in the interest rate shock table above. The table below assumes a spread duration of ~~5.3~~4.8 and ~~5.4~~4.7 years as of ~~September 30, 2017~~March 31, 2024 and December 31, ~~2016,~~2023, respectively, based on interest rates and prices as of such ~~dates. However,~~dates; however, our portfolio's sensitivity ofto mortgage spread changes will vary with changes in interest rates and in the size and composition of our ~~investment~~ portfolio. Therefore, actual results could differ materially from our estimates.

Spread Sensitivity 1,2

March 31, 2024

December 31, 2023

Change in MBS Spread

Estimated Change in Portfolio Market Value

Estimated Change in Tangible Net Book Value Per Common Share

Estimated Change in Portfolio Market Value

Estimated Change in Tangible Net Book Value Per Common Share

-50 Basis Points

+2.4%

+23.7%

+2.3%

+23.1%

-25 Basis Points

+1.2%

+11.9%

+1.2%

+11.6%

-10 Basis Points

+0.5%

+4.7%

+0.5%

+4.6%

+10 Basis Points

-0.5%

-4.7%

-0.5%

-4.6%

+25 Basis Points

-1.2%

-11.9%

-1.2%

-11.6%

+50 Basis Points

-2.4%

-23.7%

-2.3%

-23.1%

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


Delaware			26-1701984

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



PART I.		FINANCIAL INFORMATION

Item 1.		Financial Statements		2
Item 2.		Management's Discussion and Analysis of Financial Condition and Results of Operations		2925
Item 3.		Quantitative and Qualitative Disclosures About Market Risk		5042
Item 4.		Controls and Procedures		5445

PART II.		OTHER INFORMATION

Item 1.		Legal Proceedings		5446
Item 1A.		Risk Factors		46
~~Item 1A.~~		~~Risk Factors~~	54
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		5446
Item 3.		Defaults upon Senior Securities		5446
Item 4.		Mine Safety Disclosures		46
Item 4.5.		~~Mine Safety Disclosures~~Other Information		5446
Item 5.6.		~~Other Information~~Exhibits		5446
~~Item 6.~~
Signatures				~~Exhibits~~49	54

~~Signatures~~		57


	September 30, 2017			December 31, 2016
	(Unaudited)
							March 31, 2024	December 31, 2023
	(Unaudited)
Assets:
Agency securities, at fair value (including pledged securities of $47,997 and $43,943, respectively)	$	51,638		$	45,393
Assets:
Assets:
Agency securities, at fair value (including pledged securities of $48,461 and $49,575, respectively)
Agency securities, at fair value (including pledged securities of $48,461 and $49,575, respectively)
Agency securities, at fair value (including pledged securities of $48,461 and $49,575, respectively)
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities)	700			818
Credit risk transfer securities, at fair value	717			164
Non-Agency securities, at fair value (including pledged securities of $0 and $90, respectively)	36			124
U.S. Treasury securities, at fair value (including pledged securities of $0 and $173, respectively)	—			182
REIT equity securities, at fair value	4			—
Credit risk transfer securities, at fair value (including pledged securities of $722 and $678, respectively)
Non-Agency securities, at fair value, and other mortgage credit investments (including pledged securities of $245 and $262, respectively)
U.S. Treasury securities, at fair value (including pledged securities of $1,825 and $1,530, respectively)
Cash and cash equivalents	1,098			1,208
Restricted cash and cash equivalents	294			74
Restricted cash
Derivative assets, at fair value	183			355
Receivable for securities sold (including pledged securities of $149 and $21, respectively)	521			21
Receivable for investment securities sold (including pledged securities of $5 and $0, respectively)
Receivable under reverse repurchase agreements	9,226			7,716
Goodwill and other intangible assets, net	552			554
Goodwill
Other assets	521			271
Total assets	$	65,490		$	56,880
Liabilities:
Repurchase agreements	$	45,505		$	37,858
Federal Home Loan Bank advances	—			3,037
Repurchase agreements
Repurchase agreements
Debt of consolidated variable interest entities, at fair value	380			460
Payable for securities purchased	1,373			—
Payable for investment securities purchased
Derivative liabilities, at fair value	62			256
Dividends payable	77			66
Obligation to return securities borrowed under reverse repurchase agreements, at fair value	9,119			7,636
Accounts payable and other liabilities	183			211
Other liabilities
Total liabilities	56,699			49,524
Stockholders' equity:
8.000% Series A Cumulative Redeemable Preferred Stock (aggregate liquidation preference of $0 and $173, respectively)	—			167
7.750% Series B Cumulative Redeemable Preferred Stock (aggregate liquidation preference of $175)	169			169
7.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (aggregate liquidation preference of $325 and $0, respectively)	315			—
Common stock - $0.01 par value; 600 shares authorized; 391.3 and 331.0 shares issued and outstanding, respectively	4			3
Preferred Stock - aggregate liquidation preference of $1,688
Preferred Stock - aggregate liquidation preference of $1,688
Preferred Stock - aggregate liquidation preference of $1,688
Common stock - $0.01 par value; 1,500 shares authorized; 720.3 and 694.3 shares issued and outstanding, respectively
Additional paid-in capital	11,172			9,932
Retained deficit	(2,729		)	(2,518		)
Accumulated other comprehensive loss	(140		)	(397		)
Total stockholders' equity	8,791			7,356
Total liabilities and stockholders' equity	$	65,490		$	56,880


	Three Months Ended March 31,
		2024		2023
Interest income:
Interest income		$	642	$	351
Interest expense		672		449
Net interest income (expense)		(30)		(98)
Other gain (loss), net:
Loss on sale of investment securities, net		(91)		(81)
Unrealized gain (loss) on investment securities measured at fair value through net income, net		(471)		594
Gain (loss) on derivative instruments and other investments, net		1,059		(544)
Total other gain (loss), net:		497		(31)
Expenses:
Compensation and benefits		16		14
Other operating expense		8		8
Total operating expense		24		22
Net income (loss)		443		(151)
Dividends on preferred stock		31		30

Net income (loss) available (attributable) to common stockholders		$	412	$	(181)

Net income (loss)		$	443	$	(151)
Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income (loss), net		(77)		142
Comprehensive income (loss)		366		(9)
Dividends on preferred stock		31		30

Comprehensive income (loss) available (attributable) to common stockholders		$	335	$	(39)

Weighted average number of common shares outstanding - basic		702.2		579.3
Weighted average number of common shares outstanding - diluted		704.2		579.3
Net income (loss) per common share - basic		$	0.59	$	(0.31)
Net income (loss) per common share - diluted		$	0.59	$	(0.31)
Dividends declared per common share		$	0.36	$	0.36


	Preferred Stock		Common Stock			Additional Paid-in Capital		Retained Deficit		Accumulated Other Comprehensive Income (Loss)		Total
			Shares	Amount
Balance, December 31, 2022	$	1,634	574.6	$	6	$	14,186	$	(7,284)	$	(672)	$	7,870
Net loss	—		—	—		—		(151)		—		(151)
Other comprehensive income:
Unrealized gain on available-for-sale securities, net	—		—	—		—		—		142		142
Stock-based compensation, net	—		0.8	—		(1)		—		—		(1)

Issuance of common stock	—		17.1	—		171		—		—		171

Preferred dividends declared	—		—	—		—		(30)		—		(30)
Common dividends declared	—		—	—		—		(209)		—		(209)
Balance, March 31, 2023	$	1,634	592.5	$	6	$	14,356	$	(7,674)	$	(530)	$	7,792

Balance, December 31, 2023	$	1,634	694.3	$	7	$	15,281	$	(8,148)	$	(517)	$	8,257
Net income	—		—	—		—		443		—		443
Other comprehensive loss:
Unrealized loss on available-for-sale securities, net	—		—	—		—		—		(77)		(77)
Stock-based compensation, net	—		0.9	—		(1)		—		—		(1)


Issuance of common stock	—		25.1	—		241		—		—		241

Preferred dividends declared	—		—	—		—		(31)		—		(31)
Common dividends declared	—		—	—		—		(254)		—		(254)
Balance, March 31, 2024	$	1,634	720.3	$	7	$	15,521	$	(7,990)	$	(594)	$	8,578



ý☒	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



	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Interest income:
Interest income	$	318		$	315		$	907		$	928
Interest expense	140			96			350			296
Net interest income	178			219			557			632
Other gain (loss), net:
Gain (loss) on sale of investment securities, net	22			61			(47		)	114
Unrealized gain (loss) on investment securities measured at fair value through net income, net	(31		)	(6		)	(6		)	5
Gain (loss) on derivative instruments and other securities, net	131			248			(78		)	(1,063		)
Management fee income	3			4			10			4
Total other gain (loss), net:	125			307			(121		)	(940		)
Expenses:
Management fee expense	—			—			—			52
Compensation and benefits	10			9			30			9
Other operating expenses	7			6			20			27
Total operating expenses	17			15			50			88
Net income (loss)	286			511			386			(396		)
Dividend on preferred stock	9			7			23			21
Issuance costs of redeemed preferred stock	6			—			6			—
Net income (loss) available (attributable) to common stockholders	$	271		$	504		$	357		$	(417	)

Net income (loss)	$	286		$	511		$	386		$	(396	)
Other comprehensive income (loss):
Unrealized gain (loss) on available-for-sale securities, net	90			(97		)	257			1,038
Unrealized gain on derivative instruments, net	—			7			—			38
Other comprehensive income (loss)	90			(90		)	257			1,076
Comprehensive income	376			421			643			680
Dividend on preferred stock	9			7			23			21
Issuance costs of redeemed preferred stock	6			—			6			—
Comprehensive income available to common stockholders	$	361		$	414		$	614		$	659

Weighted average number of common shares outstanding - basic	364.7			331.0			347.5			332.1
Weighted average number of common shares outstanding - diluted	364.9			331.0			347.6			332.1
Net income (loss) per common share - basic and diluted	$	0.74		$	1.52		$	1.03		$	(1.26	)
Dividends declared per common share	$	0.54		$	0.56		$	1.62		$	1.76


	March 31, 2024				December 31, 2023
Investment Securities	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Agency RMBS:
Fixed rate	$	55,465	$	52,767	$	55,289	$	53,161
Adjustable rate	722		716		293		290
CMO	120		113		127		120
Interest-only and principal-only strips	65		58		67		61
Multifamily	75		75		161		162
Total Agency RMBS	56,447		53,729		55,937		53,794
Non-Agency RMBS 1	19		14		43		34
CMBS	304		280		303		273
CRT securities	694		753		682		723
Total investment securities	$	57,464	$	54,776	$	56,965	$	54,824


	March 31, 2024
	Agency RMBS									Non-Agency 1
Investment Securities	Fannie Mae			Freddie Mac			Ginnie Mae			RMBS			CMBS			CRT			Total
Available-for-sale securities:
Par value	$	3,772		$	1,117		$	1		$	—		$	—		$	—		$	4,890
Unamortized discount	(2)			—			—			—			—			—			(2)
Unamortized premium	221			71			—			—			—			—			292
Amortized cost	3,991			1,188			1			—			—			—			5,180
Gross unrealized gains	—			—			—			—			—			—			—
Gross unrealized losses	(452)			(142)			—			—			—			—			(594)
Total available-for-sale securities, at fair value	3,539			1,046			1			—			—			—			4,586
Securities remeasured at fair value through earnings:
Par value	28,931			21,406			42			21			310			687			51,397
Unamortized discount	(122)			(81)			(1)			(3)			(8)			(9)			(224)
Unamortized premium	697			395			—			1			2			16			1,111
Amortized cost	29,506			21,720			41			19			304			694			52,284
Gross unrealized gains	95			61			—			—			3			59			218
Gross unrealized losses	(1,506)			(773)			(1)			(5)			(27)			—			(2,312)
Total securities remeasured at fair value through earnings	28,095			21,008			40			14			280			753			50,190
Total securities, at fair value	$	31,634		$	22,054		$	41		$	14		$	280		$	753		$	54,776
Weighted average coupon as of March 31, 2024	4.73		%	5.02		%	4.63		%	6.19		%	7.28		%	10.72		%	4.93		%
Weighted average yield as of March 31, 2024 2	4.27		%	4.70		%	4.96		%	6.34		%	7.42		%	9.47		%	4.52		%



	September 30, 2017
	Agency RMBS									Non-Agency
Investment Securities	Fannie Mae			Freddie Mac			Ginnie Mae			RMBS			CMBS			CRT			Total
Available-for-sale securities:
Par value	$	25,724		$	8,244		$	36		$	7		$	—		$	—		$	34,011
Unamortized discount	(26		)	(3		)	—			—			—			—			(29		)
Unamortized premium	1,183			447			—			—			—			—			1,630
Amortized cost	26,881			8,688			36			7			—			—			35,612
Gross unrealized gains	174			41			1			—			—			—			216
Gross unrealized losses	(244		)	(112		)	—			—			—			—			(356		)
Total available-for-sale securities, at fair value	26,811			8,617			37			7			—			—			35,472
Securities remeasured at fair value through earnings:
Par value	11,260			4,826			—			—			29			669			16,784
Unamortized discount	(36		)	—			—			—			(1		)	—			(37		)
Unamortized premium	580			239			—			—			—			28			847
Amortized cost	11,804			5,065			—			—			28			697			17,594
Gross unrealized gains	37			7			—			—			1			21			66
Gross unrealized losses	(26		)	(14		)	—			—			—			(1		)	(41		)
Total securities remeasured at fair value through earnings	11,815			5,058			—			—			29			717			17,619
Total securities, at fair value	$	38,626		$	13,675		$	37		$	7		$	29		$	717		$	53,091
Weighted average coupon as of September 30, 2017	3.65		%	3.68		%	2.78		%	2.50		%	6.55		%	5.10		%	3.67		%
Weighted average yield as of September 30, 2017 ¹	2.82		%	2.81		%	2.01		%	3.03		%	7.31		%	4.61		%	2.85		%


1.	~~Incorporates a weighted average future constant prepayment rate assumption of~~ 9% ~~based on forward rates as of~~ ~~September 30, 2017~~.


1.	~~Represents the lowest of Standard and Poor's ("S&P"), Moody's and Fitch credit ratings, stated in terms of the S&P equivalent rating as of each date.~~



	Unrealized Loss Position For
	Less than 12 Months					12 Months or More					Total
Securities Classified as Available-for-Sale	Estimated Fair Value		Unrealized Loss			Estimated Fair Value		Unrealized Loss			Estimated Fair Value		Unrealized Loss
September 30, 2017	$	19,663	$	(291	)	$	1,972	$	(65	)	$	21,635	$	(356	)
December 31, 2016	$	28,397	$	(554	)	$	1,719	$	(68	)	$	30,116	$	(622	)


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


														March 31, 2024										December 31, 2023
	September 30, 2017						December 31, 2016
Estimated Weighted Average Life of Investment Securities	Fair Value		Amortized Cost		Weighted Average Coupon	Weighted Average Yield	Fair Value		Amortized Cost		Weighted Average Coupon	Weighted Average Yield
≥ 1 year and ≤ 3 years	$	2,518	$	2,481	3.89%	2.66%	$	419	$	416	4.33%	2.27%
Estimated Weighted Average Life of Investment Securities 1													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													≤ 3 years	$	630		$	639			7.65%			7.22%			$	942					$	961						6.61%			5.93%
> 3 years and ≤ 5 years	8,763		8,704		3.35%	2.44%	13,601		13,509		3.38%	2.44%	> 3 years and ≤ 5 years	4,647		4,641		4,641		6.21%			6.21%			5.70%				10,381		10,331					10,331		5.98%			5.98%			5.52%
> 5 years and ≤10 years	40,234		40,453		3.75%	2.94%	30,513		30,979		3.74%	2.89%	> 5 years and ≤10 years	45,747		48,314		48,314		4.77%			4.77%			4.34%				40,895		42,988					42,988		4.55%			4.55%			4.10%
> 10 years	1,576		1,568		3.36%	3.07%	1,966		1,962		3.17%	3.27%	> 10 years	3,752		3,870		3,870		5.00%			5.00%			4.90%				2,606		2,685					2,685		4.77%			4.77%			4.63%
Total	$	53,091	$	53,206	3.68%	2.85%	$	46,499	$	46,866	3.61%	2.77%	Total	$	54,776	$	$	57,464	4.93%			4.93%			4.52%				$	54,824	$				$	56,965		4.86%			4.86%			4.41%



	September 30, 2017					December 31, 2016
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	$	21,943	1.31	%	13	$	17,481	0.90	%	11
> 1 to ≤ 3 months	12,443		1.27	%	59	10,011		0.93	%	55
> 3 to ≤ 6 months	4,640		1.34	%	137	2,030		1.02	%	136
> 6 to ≤ 9 months	791		1.60	%	211	1,270		0.98	%	214
> 9 to ≤ 12 months	1,111		1.53	%	319	1,566		1.08	%	299
> 12 to ≤ 24 months	1,552		1.69	%	522	1,203		1.28	%	538
> 24 to ≤ 36 months	2,100		1.75	%	851	1,300		1.36	%	865
> 36 to ≤ 48 months	925		1.77	%	1,194	2,200		1.32	%	1,168
> 48 to < 60 months	—		—		—	625		1.38	%	1,506
Total Agency repo	45,505		1.36	%	129	37,686		0.98	%	187
U.S. Treasury repo:
> 1 day to ≤ 1 month	—		—		—	172		(0.30	)%	17
Total	$	45,505	1.36	%	129	$	37,858	0.98	%	186


Pay Fixed / Receive Variable Interest Rate Swaps	March 31, 2024 1					December 31, 2023
Years to Maturity	Notional Amount		Average Fixed Pay Rate 2	Average Variable Receive Rate 3	Average Maturity (Years)	Notional Amount		Average Fixed Pay Rate	Average Variable Receive Rate 3	Average Maturity (Years)
≤ 1 years	$	8,500	0.06%	5.34%	0.4	$	13,750	0.14%	5.37%	0.4
> 1 to ≤ 3 years	15,800		0.17%	5.34%	1.7	15,800		0.17%	5.36%	2.0
> 3 to ≤ 5 years	5,800		0.24%	5.34%	3.7	5,800		0.24%	5.38%	3.9
> 5 to ≤ 7 years	5,400		1.72%	5.34%	6.2	3,900		0.92%	5.37%	6.2
> 7 to ≤ 10 years	8,896		3.28%	5.34%	9.3	5,226		3.06%	5.38%	9.2

Total	$	44,396	0.97%	5.34%	3.8	$	44,476	0.57%	5.37%	3.0



	September 30, 2017					December 31, 2016
Payer Interest Rate Swaps	Notional Amount ¹		Average Fixed Pay Rate ²	Average Receive Rate	Average Maturity (Years)	Notional Amount ¹		Average Fixed Pay Rate ²	Average Receive Rate	Average Maturity (Years)
≤ 3 years	$	19,975	1.27%	1.31%	1.4	$	19,775	1.16%	0.92%	1.5
> 3 to ≤ 5 years	7,975		1.78%	1.31%	4.1	7,450		1.62%	0.91%	4.0
> 5 to ≤ 7 years	3,500		1.92%	1.31%	5.7	4,725		1.89%	0.91%	5.9
> 7 to ≤ 10 years	7,225		2.08%	1.31%	8.8	3,325		1.90%	0.91%	9.2
> 10 years	3,475		2.47%	1.31%	13.1	1,900		2.64%	0.91%	13.8
Total	$	42,150	1.66%	1.31%	4.5	$	37,175	1.48%	0.92%	3.9


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




Derivative and Other Hedging Instruments	Balance Sheet Location	March 31, 2024		December 31, 2023
Interest rate swaps 1	Derivative assets, at fair value	$	24	$	15
Swaptions	Derivative assets, at fair value	2		89
TBA and forward settling non-Agency securities	Derivative assets, at fair value	58		81

Total derivative assets, at fair value		$	84	$	185

Interest rate swaps 1	Derivative liabilities, at fair value	$	—	$	(1)
TBA and forward settling non-Agency securities	Derivative liabilities, at fair value	(15)		(15)
U.S. Treasury futures - short	Derivative liabilities, at fair value	(34)		(336)
SOFR futures contracts - long	Derivative liabilities, at fair value	(16)		(10)
Credit default swaps 1	Derivative liabilities, at fair value	—		—
Total derivative liabilities, at fair value		$	(65)	$	(362)

U.S. Treasury securities - long	U.S. Treasury securities, at fair value	$	1,836	$	1,540
U.S. Treasury securities - short	Obligation to return securities borrowed under reverse repurchase agreements, at fair value	(12,115)		(10,894)
Total U.S. Treasury securities, net at fair value		$	(10,279)	$	(9,354)


1.	As of September 30, 2017 and December 31, 2016, notional amount includes forward starting swaps of $3.4 billion and $0.6 billion, respectively, with an average forward start date of 0.4 and 1.2 years, respectively, and an average maturity of 7.1 and 10.7 years, respectively.


2.	~~Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.61% and 1.46% as of September 30, 2017 and December 31, 2016, respectively.~~


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

> 1 to ≤ 3 years	$	(1,000)	5.34%	4.65%	1.3	(1,000)		5.38%	4.65%	1.5




Total	$	(1,000)	5.34%	4.65%	1.3	$	(1,000)	5.38%	4.65%	1.5


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







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



Total	$	28	$	86	5	$	1,250	2.61%	10.0


Receiver Swaptions	Option					Underlying Receiver Swap
Current Option Expiration Date	Cost Basis		Fair Value		Average Months to Current Option Expiration Date	Notional Amount		Average Fixed Receive Rate	Average Term (Years)
March 31, 2024
≤ 1 year	$	3	$	2	21	$	150	2.98%	5.0

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


U.S. Treasury Securities 1	March 31, 2024						December 31, 2023
Years to Maturity	Face Amount Long/(Short)		Cost Basis		Fair Value		Face Amount Long/(Short)		Cost Basis		Fair Value
≤ 5 years	$	586	$	594	$	605	$	1,408	$	1,419	$	1,454
> 5 year ≤ 7 years	(563)		(566)		(438)		(818)		(821)		(703)
> 7 year ≤ 10 years	(9,230)		(8,884)		(8,592)		(8,649)		(8,277)		(8,187)
> 10 years	(1,785)		(1,832)		(1,854)		(1,796)		(1,796)		(1,918)
Total U.S. Treasury securities	$	(10,992)	$	(10,688)	$	(10,279)	$	(9,855)	$	(9,475)	$	(9,354)


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

> 5 year ≤ 7 years	$	(905)	$	(997)	$	(1,003)	$	(6)	$	(2,714)	$	(2,961)	$	(3,064)	$	(103)
> 7 year ≤ 10 years	(1,343)		(1,528)		(1,539)		(11)		(2,924)		(3,294)		(3,451)		(157)
> 10 years	(791)		(936)		(953)		(17)		(791)		(913)		(989)		(76)
Total U.S. Treasury futures	$	(3,039)	$	(3,461)	$	(3,495)	$	(34)	$	(6,429)	$	(7,168)	$	(7,504)	$	(336)



U.S. Treasury Securities	September 30, 2017									December 31, 2016
Maturity	Face Amount Net Long / (Short)			Cost Basis			Net Fair Value			Face Amount Net Long / (Short)			Cost Basis			Net Fair Value
5 years	$	(230	)	$	(229	)	$	(228	)	$	(400	)	$	(404	)	$	(392	)
7 years	(5,344		)	(5,320		)	(5,302		)	(3,056		)	(3,041		)	(2,930		)
10 years	(3,680		)	(3,638		)	(3,589		)	(4,416		)	(4,236		)	(4,132		)
Total U.S. Treasury securities, net	$	(9,254	)	$	(9,187	)	$	(9,119	)	$	(7,872	)	$	(7,681	)	$	(7,454	)


	March 31, 2024								December 31, 2023
TBA Securities by Coupon	Notional Amount Long (Short)		Cost Basis		Fair Value		Net Carrying Value 1		Notional Amount Long (Short)		Cost Basis		Fair Value		Net Carrying Value 1
15-Year TBA securities:





≥ 5.0%	$	90	$	89	$	90	$	1	$	90	$	89	$	91	$	2
Total 15-Year TBA securities	90		89		90		1		90		89		91		2
30-Year TBA securities:
≤ 3.0%	—		—		—		—		(29)		(24)		(25)		(1)
3.5%	105		93		94		1		—		—		—		—
4.0%	—		—		—		—		—		—		—		—
4.5%	1,715		1,631		1,636		5		363		343		352		9
5.0%	5,040		4,907		4,932		25		1,717		1,704		1,704		—
5.5%	2,874		2,861		2,872		11		2,034		2,014		2,047		33
6.0%	(2,107)		(2,125)		(2,128)		(3)		20		10		21		11
≥ 6.5%	934		949		952		3		1,137		1,152		1,164		12
Total 30-Year TBA securities, net	8,561		8,316		8,358		42		5,242		5,199		5,263		64
Total TBA securities, net	$	8,651	$	8,405	$	8,448	$	43	$	5,332	$	5,288	$	5,354	$	66


1.	~~Notional amount represents the par value (or principal balance) of the underlying U.S. Treasury security.~~


2.	~~Cost basis represents the forward price to be paid/(received) for the underlying U.S. Treasury security.~~


3.	~~Market value represents the current market value of the U.S. Treasury futures as of period-end.~~


4.	Net carrying value represents the difference between the fair value and the cost basis of the U.S. Treasury futures as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.



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

Three months ended September 30, 2017:
TBA securities, net	$	16,867		92,803		(90,792	)	$	18,878		$	158
Interest rate swaps	$	40,000		3,550		(1,400	)	$	42,150		15
Payer swaptions	$	4,950		—		—		$	4,950		(22		)
U.S. Treasury securities - short position	$	(7,358	)	(5,105	)	3,209		$	(9,254	)	(19		)
U.S. Treasury futures contracts - short position	$	(2,910	)	(2,910	)	2,910		$	(2,910	)	(1		)
											$	131

Three months ended September 30, 2016:
TBA securities, net	$	6,756		37,881		(29,756	)	$	14,881		$	67
Interest rate swaps	$	35,125		2,400		(3,375	)	$	34,150		153
Payer swaptions	$	1,050		—		(350	)	$	700		(1		)
U.S. Treasury securities - short position	$	(2,930	)	(2,696	)	270		$	(5,356	)	14
U.S. Treasury securities - long position	$	62		90		(107	)	$	45		1
U.S. Treasury futures contracts - short position	$	(1,960	)	(1,960	)	1,960		$	(1,960	)	15
											$	249

Nine months ended September 30, 2017:
TBA securities, net	$	10,916		185,205		(177,243	)	$	18,878		$	360
Interest rate swaps	$	37,175		10,575		(5,600	)	$	42,150		(157		)
Payer swaptions	$	1,200		3,750		—		$	4,950		(46		)
U.S. Treasury securities - short position	$	(8,061	)	(11,595	)	10,402		$	(9,254	)	(207		)
U.S. Treasury securities - long position	$	189		304		(493	)	$	—		1
U.S. Treasury futures contracts - short position	$	(1,810	)	(8,430	)	7,330		$	(2,910	)	(29		)
											$	(78	)

Nine months ended September 30, 2016:
TBA securities, net	$	7,295		75,906		(68,320	)	$	14,881		$	391
Interest rate swaps	$	40,525		5,950		(12,325	)	$	34,150		(1,208		)
Payer swaptions	$	2,150		—		(1,450	)	$	700		(12		)
U.S. Treasury securities - short position	$	(1,714	)	(5,329	)	1,687		$	(5,356	)	(142		)
U.S. Treasury securities - long position	$	25		495		(475	)	$	45		7
U.S. Treasury futures contracts - short position	$	(1,860	)	(5,880	)	5,780		$	(1,960	)	(106		)
											$	(1,070	)


1.	~~Amounts above exclude other miscellaneous gains and losses recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.~~



	December 31, 2016
	Amount Outstanding		Net Counterparty Exposure¹		Percent of Stockholders' Equity		Weighted Average Months to Maturity
J.P. Morgan Securities, LLC	$	4,875	$	405	5.5	%	34


1.	Represents the net carrying value of securities pledged under repurchase agreements, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest.


	March 31, 2024
Assets Pledged to Counterparties 1	Repurchase Agreements 2		Debt of Consolidated VIEs		Derivative Agreements and Other		Total
Agency RMBS - fair value	$	48,428	$	114	$	72	$	48,614
CRT - fair value	722		—		—		722
Non-Agency - fair value	250		—		—		250
U.S. Treasury securities - fair value	1,825		—		—		1,825
Accrued interest on pledged securities	230		—		—		230
Restricted cash	293		—		1,075		1,368
Total	$	51,748	$	114	$	1,147	$	53,009