> >?@ABCDE l \pThe Free Software Foundation B=PF0*8X@"1 Helvetica1Courier1Courier New1Courier New1 Helvetica$#,##0_);($#,##0)$#,##0_);[Red]($#,##0)$#,##0.00_);($#,##0.00)$#,##0.00_);[Red]($#,##0.00)**_($* #,##0_);_($* (#,##0);_($* ""_);_(@_)*)'_(* #,##0_);_(* (#,##0);_(* ""_);_(@_)5,2_($* #,##0.00_);_($* (#,##0.00);_($* ""??_);_(@_)2+/_(* #,##0.00_);_(* (#,##0.00);_(* ""??_);_(@_)2$#,##0.00;[Red]$#,##0.003$#,##0.00;[Red]($#,##0.00)4$#,##0;[Red]($#,##00)50.00%;[Red](0.00%)60%;[Red](0%)7#,##0.00;[Red](#,##0.00)8#,##0;[Red](#,##0) + ) , * Ј ~~ ؈ ~~#؈ ~~ ؈ ~~8#܈ ~~4#܈ ~~<#܈ ~~7#܈ ~~3#܈ ~~#؈ ~~83ffff̙̙3f3fff3f3f33333f33wWashington DC 20549TABLE OF CONTENTS"I.CONSOLIDATED BALANCE SHEETS&OCONSOLIDATED STATEMENTS OF COMP&MvCONSOLIDATED STATEMENT OF STOCK#CONSOLIDATED STATEMENTS (1)% 9Note 4 Investment Securities 9Note 4 Investment (1) 9Note 4 Investment (2), 9Note 4 Investment (3)5 9Note 4 Investment (4)AN 9Note 4 Investment (5)&` 12Gains and Losses on Sale of tRepurchase Agreements&Federal Home Loan Bank Advances& 15Derivative and Other Hedging# 15Derivative and Other (1)# 15Derivative and Other (2)#l 15Derivative and Other (3)# 15Derivative and Other (4)# 15Derivative and Other (5)#. 15Derivative and Other (6)&\Gain Loss From Derivative Instr%0vGain Loss From Derivative (1)%\Gain Loss From Derivative (2)%uGain Loss From Derivative (3)& 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)&K
Offsetting Assets and Liabiliti!T)Offsetting Assets and (1)6E &i 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2) 31Market Information 31Market Infor (1) 31Market Infor (2)a9 31Market Infor (3)jSelected Financial Data{Selected Financial (1)&Interest Income and Asset Yield%^Interest Income and Asset (1)9Leverage&B 39Interest Expense and Cost of# 39Interest Expense and (1)# 39Interest Expense and (2)#C 39Interest Expense and (3)&EX 41Net Spread and Dollar Roll I&xGain Loss on Sale of MortgageBa&Gain Loss on Derivative Instrum!BDividends and Income Taxes Dividends and Income (1)&Other Comprehensive Income Loss.Repurchase Agre (1)TInterest Rate RiskSpread Risk&,Item 6 Exhibits and Financial SPItem 6 Exhibits and (1)
l
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1) 9Note 4 Investment Securities 9Note 4 Investment (1) 9Note 4 Investment (2) 9Note 4 Investment (3) 9Note 4 Investment (4) 9Note 4 Investment (5)! 12Gains and Losses on Sale of Repurchase Agreements!Federal Home Loan Bank Advances! 15Derivative and Other Hedging 15Derivative and Other (1) 15Derivative and Other (2) 15Derivative and Other (3) 15Derivative and Other (4) 15Derivative and Other (5) 15Derivative and Other (6)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2) Gain Loss From Derivative (3)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Offsetting Assets and LiabilitiOffsetting Assets and (1) ! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2) 31Market Information 31Market Infor (1) 31Market Infor (2) 31Market Infor (3)Selected Financial DataSelected Financial (1)!Interest Income and Asset Yield Interest Income and Asset (1)
Leverage! 39Interest Expense and Cost of 39Interest Expense and (1) 39Interest Expense and (2) 39Interest Expense and (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of MortgageBa!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)!Other Comprehensive Income LossRepurchase Agre (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SItem 6 Exhibits and (1)U }%}$ }
AGNC Investment Corp.10Q
08/05/2016Washington, D.C. 20549
Delaware
261701984'(State or Other Jurisdiction of(I.R.S. Employer&Incorporation or Organization)Identification No.)
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/(Tsg[7YMA=PF0*8X>
@
l $,
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549CONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1) 9Note 4 Investment Securities 9Note 4 Investment (1) 9Note 4 Investment (2) 9Note 4 Investment (3) 9Note 4 Investment (4) 9Note 4 Investment (5)! 12Gains and Losses on Sale of Repurchase Agreements!Federal Home Loan Bank Advances! 15Derivative and Other Hedging 15Derivative and Other (1) 15Derivative and Other (2) 15Derivative and Other (3) 15Derivative and Other (4) 15Derivative and Other (5) 15Derivative and Other (6)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2) Gain Loss From Derivative (3)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Offsetting Assets and LiabilitiOffsetting Assets and (1) ! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2) 31Market Information 31Market Infor (1) 31Market Infor (2) 31Market Infor (3)Selected Financial DataSelected Financial (1)!Interest Income and Asset Yield Interest Income and Asset (1)
Leverage! 39Interest Expense and Cost of 39Interest Expense and (1) 39Interest Expense and (2) 39Interest Expense and (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of MortgageBa!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)!Other Comprehensive Income LossRepurchase Agre (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SItem 6 Exhibits and (1)U }y
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AGNC Investment Corp.10Q
08/05/2016TABLE OF CONTENTS
PART I.
FINANCIAL INFORMATION
Item 1.Financial Statements~
Item 2.,
$Management's Discussion and Analysis~
v80of Financial Condition and Results of OperationsItem 3.0(Quantitative and Qualitative Disclosures~
About Market RiskItem 4.Controls and Procedures~
PART II.OTHER INFORMATIONItem 1.Legal Proceedings~
Item 1A.Risk Factors~
Item 2./'Unregistered Sales of Equity Securities~
and Use of ProceedsItem 3.'Defaults upon Senior Securities~
Item 4.Mine Safety Disclosures~
Item 5.Other Information~
Item 6.Exhibits~
Signatures~
Dlxl`
@"##""!!
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549TABLE OF CONTENTS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1) 9Note 4 Investment Securities 9Note 4 Investment (1) 9Note 4 Investment (2) 9Note 4 Investment (3) 9Note 4 Investment (4) 9Note 4 Investment (5)! 12Gains and Losses on Sale of Repurchase Agreements!Federal Home Loan Bank Advances! 15Derivative and Other Hedging 15Derivative and Other (1) 15Derivative and Other (2) 15Derivative and Other (3) 15Derivative and Other (4) 15Derivative and Other (5) 15Derivative and Other (6)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2) Gain Loss From Derivative (3)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Offsetting Assets and LiabilitiOffsetting Assets and (1) ! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2) 31Market Information 31Market Infor (1) 31Market Infor (2) 31Market Infor (3)Selected Financial DataSelected Financial (1)!Interest Income and Asset Yield Interest Income and Asset (1)
Leverage! 39Interest Expense and Cost of 39Interest Expense and (1) 39Interest Expense and (2) 39Interest Expense and (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of MortgageBa!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)!Other Comprehensive Income LossRepurchase Agre (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SItem 6 Exhibits and (1)U }7}$
B
AGNC Investment Corp.10Q
08/05/2016#CONSOLIDATED BALANCE SHEETS
June 30, 2016
December 31, 2015(Unaudited)Assets:3
+Agency securities, at fair value (including~
B
~
"
2*pledged securities of $48,344 and $48,380,
respectively)5Agency securities transferred to consolidated~
~
1)variable interest entities, at fair value(pledged securities)5Nonagency securities, at fair value (pledged~
~
securities)/'U.S. Treasury securities, at fair value~
~
f(pledged securities)%REIT equity securities, at fair value~
N~
!Cash and cash equivalents~
~
Z,$Restricted cash and cash equivalents~
~
( Derivative assets, at fair value~
~
F6.Receivable under reverse repurchase agreements~
.~
Other assets~
~
Total assets~
~
zLiabilities:Repurchase agreements~
n~
jDz
lznbVm6p)9S !"#$%&'()*+,./0123456789:;<=>?' Federal Home Loan Bank advances~
v/ ~
: .!&Debt of consolidated variable interest~
!B!!~
!N !"entities, at fair value(# Payable for securities purchased~
#V(##~
##$%Derivative liabilities, at fair value~
$$$~
$$%Dividends payable~
%&%%~
%*%0&(Obligation to return securities borrowed~
&&/&&~
&&,'$under reverse repurchase agreements,
(at)
fair value6*.Accounts payable and other accrued liabilities~
***~
**+Total liabilities~
+8++~
+j+,Stockholders' equity:,,,/'Preferred stock  $0.01 par value; 10.0.shares authorized:/%Redeemable Preferred Stock; $0.01 par~
/B//~
/B/00(value; 6.9 shares issued and outstanding,1$(aggregate liquidation preference of~
2r43,Common stock  $0.01 par value; 600.0 shares3334authorized;65.331.0 and 337.5 shares issued and outstanding,~
555~
556respectively"7Additional paidin capital~
7277~
778Retained deficit~
888~
8J8.9&Accumulated other comprehensive income~
9299~
99:(loss)";Total stockholders' equity~
;Zx;;~
;;2<*Total liabilities and stockholders' equity~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1) 9Note 4 Investment Securities 9Note 4 Investment (1) 9Note 4 Investment (2) 9Note 4 Investment (3) 9Note 4 Investment (4) 9Note 4 Investment (5)! 12Gains and Losses on Sale of Repurchase Agreements!Federal Home Loan Bank Advances! 15Derivative and Other Hedging 15Derivative and Other (1) 15Derivative and Other (2) 15Derivative and Other (3) 15Derivative and Other (4) 15Derivative and Other (5) 15Derivative and Other (6)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2) Gain Loss From Derivative (3)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Offsetting Assets and LiabilitiOffsetting Assets and (1) ! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2) 31Market Information 31Market Infor (1) 31Market Infor (2) 31Market Infor (3)Selected Financial DataSelected Financial (1)!Interest Income and Asset Yield Interest Income and Asset (1)
Leverage! 39Interest Expense and Cost of 39Interest Expense and (1) 39Interest Expense and (2) 39Interest Expense and (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of MortgageBa!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)!Other Comprehensive Income LossRepurchase Agre (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SItem 6 Exhibits and (1)U }U5}$
5
AGNC Investment Corp.10Q
08/05/20167/CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
#
Three Months Ended June 30,
!
Six Months Ended June 30,~
~
~~
~
~Interest income:
Interest income~
~
z
~
~
v
Interest expense~
~
F~
"~
Net interest income~
f~
6~
v~
Other gain (loss), net:
.&Gain (loss) on sale of mortgagebacked~
~
~
~
:securities, net%Gain (loss) on derivative instruments~
F~
~
~
"!and other securities, net$Total other gain (loss), net~
"~
^~
~
Z Expenses:
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f~
v~
~
2*General, administrative and other expenses~
>~
~
V~
6Total expenses~
~
~
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"Net income (loss)~
~
~
~
#Dividend on preferred stock~
~
~
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:2*Net income (loss) available (attributable)~
~
~
~
to common stockholders
Net income (loss)~
~
~
~
DlrfZNBFL?fVE !"#$%&'()*+,./01234* "Other comprehensive income (loss):
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMPCONSOLIDATED STATEMENTS (1) 9Note 4 Investment Securities 9Note 4 Investment (1) 9Note 4 Investment (2) 9Note 4 Investment (3) 9Note 4 Investment (4) 9Note 4 Investment (5)! 12Gains and Losses on Sale of Repurchase Agreements!Federal Home Loan Bank Advances! 15Derivative and Other Hedging 15Derivative and Other (1) 15Derivative and Other (2) 15Derivative and Other (3) 15Derivative and Other (4) 15Derivative and Other (5) 15Derivative and Other (6)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2) Gain Loss From Derivative (3)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Offsetting Assets and LiabilitiOffsetting Assets and (1) ! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2) 31Market Information 31Market Infor (1) 31Market Infor (2) 31Market Infor (3)Selected Financial DataSelected Financial (1)!Interest Income and Asset Yield Interest Income and Asset (1)
Leverage! 39Interest Expense and Cost of 39Interest Expense and (1) 39Interest Expense and (2) 39Interest Expense and (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of MortgageBa!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)!Other Comprehensive Income LossRepurchase Agre (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SItem 6 Exhibits and (1)U }2}U}$ }
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*********** *
***
*******************AGNC Investment Corp.10Q
08/05/20166.CONSOLIDATED STATEMENT OF STOCKHOLDERS' EQUITY
Preferred Stock
Common Stock
Additional
Retained
Accumulated
Total
PaidinDeficit
Other
Capital
Comprehensive
Shares
Amount
Shares
Amount
Income (Loss)"Balance, December 31, 2014@~
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~
~
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Net income ? ? ?
?
?~
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*"Other comprehensive income (loss):
%Unrealized loss on availableforsale ? ? ?
?
? ?~
~~
~securities, net2*Unrealized gain on derivative instruments, ? ? ?
?
? ?~
~
net"Repurchase of common stock ? ?~
?
~
? ?~
$Preferred dividends declared ? ? ?
?
?~
?~
!Common dividends declared ? ? ?
?
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?~
Balance, June 30, 2015@~
Bu@
~
~
6~
~
~
:
"Balance, December 31, 2015@~
Bu@
~
~
~
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~
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#Other comprehensive income:
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~
securities, net2*Unrealized gain on derivative instruments, ? ? ?
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~~
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Leverage! 39Interest Expense and Cost of 39Interest Expense and (1) 39Interest Expense and (2) 39Interest Expense and (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of MortgageBa!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)!Other Comprehensive Income LossRepurchase Agre (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SItem 6 Exhibits and (1)U }:}$
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AGNC Investment Corp.10Q
08/05/2016%CONSOLIDATED STATEMENTS OF CASH FLOWS
!
Six Months Ended June 30,~
~
~Operating activities:
Net income (loss)~
~
2*Adjustments to reconcile net income (loss)5to net cash provided by operating activities:.&Amortization of premiums and discounts~
r~
**"on mortgagebacked securities, net7/Amortization of accumulated other comprehensive~
~~
1)loss on interest rate swaps dedesignatedas qualifying hedges Stock based compensation~
?3+Gain on sale of mortgagebacked securities,~
.~
net0(Loss on derivative instruments and other~
R~
securities, net Decrease in other assets~
^~
.&Increase in accounts payable and other~
& ?accrued liabilities1)Net cash provided by operating activities~
~
Investing activities:/'Purchases of mortgagebacked securities~
~
D7
lpdXLBR7jv !"#$%&'()*+,./0123456789:;<=>? %Proceeds from sale of mortgagebacked~
~
Z !
securities0"(Principal collections on mortgagebacked~
"9""~
"*@"#
securities$%Purchases of U.S. Treasury securities~
$$$~
$$6%.Proceeds from sale of U.S. Treasury securities~
%.%%~
%%/&'Net proceeds from (payments on) reverse~
&.&&~
&&&'repurchase agreements4(,Net payments on other derivative instruments~
(~((~
((+)#Purchases of REIT equity securities )?))~
))4*,Proceeds from sale of REIT equity securities~
***~
*.*8+0Increase in restricted cash and cash equivalents~
+++~
++',Other investing cash flows, net ,?,,~
,,0(Net cash provided by (used in) investing~
~
.
activities/Financing activities:///0%Proceeds from repurchase arrangements~
06700~
0V10)1!Payments on repurchase agreements~
1.11~
1152Proceeds from Federal Home Loan Bank advances~
2 22 2?233+Payments on Federal Home Loan Bank advances~
3
33 3?314)Payments on debt of consolidated variable~
444~
445interest entities6%Payments for common stock repurchases~
6266~
667Cash dividends paid~
777~
778%Net cash used in financing activities~
888~
8J8/9'Net change in cash and cash equivalents~
9V99~
99.:&Cash and cash equivalents at beginning~
:Z::~
::; of period2<*Cash and cash equivalents at end of period~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1) 9Note 4 Investment (1) 9Note 4 Investment (2) 9Note 4 Investment (3) 9Note 4 Investment (4) 9Note 4 Investment (5)! 12Gains and Losses on Sale of Repurchase Agreements!Federal Home Loan Bank Advances! 15Derivative and Other Hedging 15Derivative and Other (1) 15Derivative and Other (2) 15Derivative and Other (3) 15Derivative and Other (4) 15Derivative and Other (5) 15Derivative and Other (6)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2) Gain Loss From Derivative (3)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Offsetting Assets and LiabilitiOffsetting Assets and (1) ! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2) 31Market Information 31Market Infor (1) 31Market Infor (2) 31Market Infor (3)Selected Financial DataSelected Financial (1)!Interest Income and Asset Yield Interest Income and Asset (1)
Leverage! 39Interest Expense and Cost of 39Interest Expense and (1) 39Interest Expense and (2) 39Interest Expense and (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of MortgageBa!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)!Other Comprehensive Income LossRepurchase Agre (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SItem 6 Exhibits and (1)U }1}$
AGNC Investment Corp.10Q
08/05/2016' 9Note 4. Investment Securities
June 30, 20161)Investments in MortgageBacked Securities Amortized
Gross
Gross
Fair ValueCost
Unrealized
Unrealized
Gain
LossAgency MBS:
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~
~
6Adjustable rate~
~
:
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~
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~
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~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1) 9Note 4 Investment Securities 9Note 4 Investment (2) 9Note 4 Investment (3) 9Note 4 Investment (4) 9Note 4 Investment (5)! 12Gains and Losses on Sale of Repurchase Agreements!Federal Home Loan Bank Advances! 15Derivative and Other Hedging 15Derivative and Other (1) 15Derivative and Other (2) 15Derivative and Other (3) 15Derivative and Other (4) 15Derivative and Other (5) 15Derivative and Other (6)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2) Gain Loss From Derivative (3)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Offsetting Assets and LiabilitiOffsetting Assets and (1) ! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2) 31Market Information 31Market Infor (1) 31Market Infor (2) 31Market Infor (3)Selected Financial DataSelected Financial (1)!Interest Income and Asset Yield Interest Income and Asset (1)
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AGNC Investment Corp.10Q
08/05/2016' 9Note 4. Investment Securities
December 31, 20151)Investments in MortgageBacked Securities Amortized
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Gross
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Unrealized
Unrealized
Gain
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~
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.
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~
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J ~
~
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~
~
~
Total agency MBS~
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^ ~
~
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? ~
~
Total MBS~
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^ ~
~
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Leverage! 39Interest Expense and Cost of 39Interest Expense and (1) 39Interest Expense and (2) 39Interest Expense and (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of MortgageBa!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)!Other Comprehensive Income LossRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/05/2016' 9Note 4. Investment Securities
June 30, 20161)Investments in MortgageBacked Securities
Fannie MaeFreddie Mac
Ginnie Mae
NonAgency
TotalAvailableforsale MBS:
MBS, par value
~
t
~
ҡ
~
~
~
Unamortized discount~
~
?
?~
~Unamortized premium~
~
~
~
~
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~
~
~
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~
~
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~
?
?~
%Total availableforsale MBS, at fair~
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2 ~
~
~
M
value6.MBS remeasured at fair value through earnings:
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~
F
?
?~
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~
?
?~
Gross unrealized losses~
~
?
?~
2*Total MBS remeasured at fair value through~
6~
N
?
?~
earnings Total MBS, at fair value~
~
~ ~
~
~
S3+Weighted average coupon as of June 30, 2016zG@ %
@ %
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Leverage! 39Interest Expense and Cost of 39Interest Expense and (1) 39Interest Expense and (2) 39Interest Expense and (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of MortgageBa!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)!Other Comprehensive Income LossRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/05/2016' 9Note 4. Investment Securities
December 31, 20151)Investments in MortgageBacked Securities
Fannie MaeFreddie Mac
Ginnie Mae
NonAgency
TotalAvailableforsale MBS:
MBS, par value
~
d
~
>
~
~
~
Unamortized discount~
~
?
?~
rUnamortized premium~
~
~
~
~
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J ~
~
~
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B ~
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F
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~
~
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~~
ά ~
~
~
b.
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~
N
?
?~
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~
?
?~
Gross unrealized losses~
~
?
?~
0(Total MBS measured at fair value through~
.~
Z
?
?~
earnings Total MBS, at fair value~
~
& ~
~
~
32*Weighted average coupon as of December 31,(\@ %Q
@ %
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@ %
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AGNC Investment Corp.10Q
08/05/2016' 9Note 4. Investment Securities
June 30, 2016
December 31, 20155Estimated Weighted Average Life of Securities
Fair Value Amortized
WeightedWeighted
Fair Value AmortizedWeightedWeighted*"Classified as AvailableforSale 1Cost
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Coupon
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~
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~
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~
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~
~
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AGNC Investment Corp.10Q
08/05/2016' 9Note 4. Investment Securities
$
Unrealized Loss Position ForLess than 12 Months
12 Months or More
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Unrealized
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AGNC Investment Corp.10Q
08/05/2016A9 12Gains and Losses on Sale of MortgageBacked Securities
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AGNC Investment Corp.10Q
08/05/2016Repurchase Agreements
June 30, 2016
December 31, 2015Remaining MaturityRepurchase AgreementsWeighted WeightedRepurchase AgreementsWeightedWeightedAverage Average Days
AverageAverage Days
Interest
to Maturity
Interest
to MaturityRate
RateAgency repo: ? 1 month~
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08/05/2016'Federal Home Loan Bank Advances
June 30, 2016
December 31, 2015Remaining Maturity
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AGNC Investment Corp.10Q
08/05/2016VN 15Derivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
0
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Balance Sheet Location
June 30, 2016
December 31, 2015Interest rate swaps( Derivative assets, at fair value~
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~
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~
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AGNC Investment Corp.10Q
08/05/2016VN 15Derivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
June 30, 2016!Payer Interest Rate SwapsNotionalAverageAverage
Net
AverageAmount 1
FixedReceive
Estimated
Maturity
Pay Rate 2
Rate 3
Fair Value
(Years) ? 3 years~
&
1.04%
0.64% ~
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1.58%
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2.22%
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2.67%
0.64% ~
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> 10 years~
^
3.20%
0.66% ~
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1.64%
0.64% ~
J
~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1) 9Note 4 Investment Securities 9Note 4 Investment (1) 9Note 4 Investment (2) 9Note 4 Investment (3) 9Note 4 Investment (4) 9Note 4 Investment (5)! 12Gains and Losses on Sale of Repurchase Agreements!Federal Home Loan Bank Advances! 15Derivative and Other Hedging 15Derivative and Other (1) 15Derivative and Other (3) 15Derivative and Other (4) 15Derivative and Other (5) 15Derivative and Other (6)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2) Gain Loss From Derivative (3)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Offsetting Assets and LiabilitiOffsetting Assets and (1) ! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2) 31Market Information 31Market Infor (1) 31Market Infor (2) 31Market Infor (3)Selected Financial DataSelected Financial (1)!Interest Income and Asset Yield Interest Income and Asset (1)
Leverage! 39Interest Expense and Cost of 39Interest Expense and (1) 39Interest Expense and (2) 39Interest Expense and (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of MortgageBa!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)!Other Comprehensive Income LossRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/05/2016VN 15Derivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
December 31, 2015!Payer Interest Rate SwapsNotionalAverageAverage
Net
AverageAmount 1
FixedReceive
Estimated
Maturity
Pay Rate 2
Rate 3
Fair Value
(Years) ? 3 years~
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0.40% ~
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0.39% ~
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0.39% ~
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0.40% ~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1) 9Note 4 Investment Securities 9Note 4 Investment (1) 9Note 4 Investment (2) 9Note 4 Investment (3) 9Note 4 Investment (4) 9Note 4 Investment (5)! 12Gains and Losses on Sale of Repurchase Agreements!Federal Home Loan Bank Advances! 15Derivative and Other Hedging 15Derivative and Other (1) 15Derivative and Other (2) 15Derivative and Other (4) 15Derivative and Other (5) 15Derivative and Other (6)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2) Gain Loss From Derivative (3)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Offsetting Assets and LiabilitiOffsetting Assets and (1) ! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2) 31Market Information 31Market Infor (1) 31Market Infor (2) 31Market Infor (3)Selected Financial DataSelected Financial (1)!Interest Income and Asset Yield Interest Income and Asset (1)
Leverage! 39Interest Expense and Cost of 39Interest Expense and (1) 39Interest Expense and (2) 39Interest Expense and (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of MortgageBa!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)!Other Comprehensive Income LossRepurchase Agre (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SItem 6 Exhibits and (1)U }} $ }
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AGNC Investment Corp.10Q
08/05/2016VN 15Derivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
Payer Swaptions
Option
Underlying Payer SwapYears to ExpirationCostFair
AverageNotionalAverage Fixed PayAverageAverage
Value
Months toAmountRateReceiveTerm
Expiration
Rate
(Years)
(LIBOR)
June 30, 2016
Total ? 1 year~
~
~
~
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December 31, 2015
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1) 9Note 4 Investment Securities 9Note 4 Investment (1) 9Note 4 Investment (2) 9Note 4 Investment (3) 9Note 4 Investment (4) 9Note 4 Investment (5)! 12Gains and Losses on Sale of Repurchase Agreements!Federal Home Loan Bank Advances! 15Derivative and Other Hedging 15Derivative and Other (1) 15Derivative and Other (2) 15Derivative and Other (3) 15Derivative and Other (5) 15Derivative and Other (6)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2) Gain Loss From Derivative (3)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Offsetting Assets and LiabilitiOffsetting Assets and (1) ! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2) 31Market Information 31Market Infor (1) 31Market Infor (2) 31Market Infor (3)Selected Financial DataSelected Financial (1)!Interest Income and Asset Yield Interest Income and Asset (1)
Leverage! 39Interest Expense and Cost of 39Interest Expense and (1) 39Interest Expense and (2) 39Interest Expense and (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of MortgageBa!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)!Other Comprehensive Income LossRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/05/2016VN 15Derivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
June 30, 2016
December 31, 2015Maturity&Face Amount Net Long / (Short)
Cost Basis
Market Value
&Face Amount Net Long / (Short)
Cost BasisMarket Value5 years~
2~
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~
~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1) 9Note 4 Investment Securities 9Note 4 Investment (1) 9Note 4 Investment (2) 9Note 4 Investment (3) 9Note 4 Investment (4) 9Note 4 Investment (5)! 12Gains and Losses on Sale of Repurchase Agreements!Federal Home Loan Bank Advances! 15Derivative and Other Hedging 15Derivative and Other (1) 15Derivative and Other (2) 15Derivative and Other (3) 15Derivative and Other (4) 15Derivative and Other (6)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2) Gain Loss From Derivative (3)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Offsetting Assets and LiabilitiOffsetting Assets and (1) ! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2) 31Market Information 31Market Infor (1) 31Market Infor (2) 31Market Infor (3)Selected Financial DataSelected Financial (1)!Interest Income and Asset Yield Interest Income and Asset (1)
Leverage! 39Interest Expense and Cost of 39Interest Expense and (1) 39Interest Expense and (2) 39Interest Expense and (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of MortgageBa!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)!Other Comprehensive Income LossRepurchase Agre (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SItem 6 Exhibits and (1)U }!} $
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08/05/2016VN 15Derivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
June 30, 2016
December 31, 2015MaturityNotionalCost
Market
Net Carrying Value 4NotionalCostMarketNet Carrying Value 4Amount  Long (Short) 1Basis 2
Value 3
Amount  Long (Short) 1Basis 2Value 3
5 years
~
~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1) 9Note 4 Investment Securities 9Note 4 Investment (1) 9Note 4 Investment (2) 9Note 4 Investment (3) 9Note 4 Investment (4) 9Note 4 Investment (5)! 12Gains and Losses on Sale of Repurchase Agreements!Federal Home Loan Bank Advances! 15Derivative and Other Hedging 15Derivative and Other (1) 15Derivative and Other (2) 15Derivative and Other (3) 15Derivative and Other (4) 15Derivative and Other (5)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2) Gain Loss From Derivative (3)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Offsetting Assets and LiabilitiOffsetting Assets and (1) ! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2) 31Market Information 31Market Infor (1) 31Market Infor (2) 31Market Infor (3)Selected Financial DataSelected Financial (1)!Interest Income and Asset Yield Interest Income and Asset (1)
Leverage! 39Interest Expense and Cost of 39Interest Expense and (1) 39Interest Expense and (2) 39Interest Expense and (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of MortgageBa!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)!Other Comprehensive Income LossRepurchase Agre (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SItem 6 Exhibits and (1)U }} $
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!!!!!!!!!!!!!!!!!!!AGNC Investment Corp.10Q
08/05/2016VN 15Derivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
June 30, 2016
December 31, 2015 TBA Securities by CouponNotionalCost
Market
Net Carrying Value 4NotionalCostMarketNet Carrying Value 4Amount  Long (Short) 1Basis 2
Value 3
Amount  Long (Short) 1Basis 2Value 3
15Year TBA securities:
2.5%~
f~
~
~
~
~
~
~
3.0%~
~
~
~
~
~
~
~
3.5%~
~
~
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~
~
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>~
:~
Total 15Year TBAs~
~
~
~
~
f~
~
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30Year TBA securities:
3.0%~
4~
5 ~
6
~
~
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~
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~
~
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June 30, 2016December 31, 2015 TBA Securities by IssuerNotionalCost
Market
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Value 3
Amount  Long (Short) 1Basis 2Value 3
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1) 9Note 4 Investment Securities 9Note 4 Investment (1) 9Note 4 Investment (2) 9Note 4 Investment (3) 9Note 4 Investment (4) 9Note 4 Investment (5)! 12Gains and Losses on Sale of Repurchase Agreements!Federal Home Loan Bank Advances! 15Derivative and Other Hedging 15Derivative and Other (1) 15Derivative and Other (2) 15Derivative and Other (3) 15Derivative and Other (4) 15Derivative and Other (5) 15Derivative and Other (6) Gain Loss From Derivative (1) Gain Loss From Derivative (2) Gain Loss From Derivative (3)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Offsetting Assets and LiabilitiOffsetting Assets and (1) ! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2) 31Market Information 31Market Infor (1) 31Market Infor (2) 31Market Infor (3)Selected Financial DataSelected Financial (1)!Interest Income and Asset Yield Interest Income and Asset (1)
Leverage! 39Interest Expense and Cost of 39Interest Expense and (1) 39Interest Expense and (2) 39Interest Expense and (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of MortgageBa!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)!Other Comprehensive Income LossRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/05/2016^V_____________________Gain (Loss) From Derivative Instruments and Other Securities, Net
(
Three Months Ended June 30, 20160(Derivative and Other Hedging InstrumentsNotional Amount Additions Settlement, Termination,Notional Amount Amount ofLong/(Short)
Expiration or"Long/(Short) June 30, 2016Gain/(Loss)
March 31, 2016
Exercise
Recognized in
Income on
Derivatives 1TBA securities, net~
Z~
9~
6
~
i~
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~
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~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1) 9Note 4 Investment Securities 9Note 4 Investment (1) 9Note 4 Investment (2) 9Note 4 Investment (3) 9Note 4 Investment (4) 9Note 4 Investment (5)! 12Gains and Losses on Sale of Repurchase Agreements!Federal Home Loan Bank Advances! 15Derivative and Other Hedging 15Derivative and Other (1) 15Derivative and Other (2) 15Derivative and Other (3) 15Derivative and Other (4) 15Derivative and Other (5) 15Derivative and Other (6)!Gain Loss From Derivative Instr Gain Loss From Derivative (2) Gain Loss From Derivative (3)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Offsetting Assets and LiabilitiOffsetting Assets and (1) ! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2) 31Market Information 31Market Infor (1) 31Market Infor (2) 31Market Infor (3)Selected Financial DataSelected Financial (1)!Interest Income and Asset Yield Interest Income and Asset (1)
Leverage! 39Interest Expense and Cost of 39Interest Expense and (1) 39Interest Expense and (2) 39Interest Expense and (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of MortgageBa!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)!Other Comprehensive Income LossRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/05/2016^V_____________________Gain (Loss) From Derivative Instruments and Other Securities, Net
(
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Exercise
Recognized in
Income on
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~
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~
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JInterest rate swaps~
B ? ?
~
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Leverage! 39Interest Expense and Cost of 39Interest Expense and (1) 39Interest Expense and (2) 39Interest Expense and (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of MortgageBa!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)!Other Comprehensive Income LossRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/05/2016^V_____________________Gain (Loss) From Derivative Instruments and Other Securities, Net
&
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Exercise
Recognized in
Income on
Derivatives 1TBA securities, net~
q~
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~
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~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1) 9Note 4 Investment Securities 9Note 4 Investment (1) 9Note 4 Investment (2) 9Note 4 Investment (3) 9Note 4 Investment (4) 9Note 4 Investment (5)! 12Gains and Losses on Sale of Repurchase Agreements!Federal Home Loan Bank Advances! 15Derivative and Other Hedging 15Derivative and Other (1) 15Derivative and Other (2) 15Derivative and Other (3) 15Derivative and Other (4) 15Derivative and Other (5) 15Derivative and Other (6)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Offsetting Assets and LiabilitiOffsetting Assets and (1) ! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2) 31Market Information 31Market Infor (1) 31Market Infor (2) 31Market Infor (3)Selected Financial DataSelected Financial (1)!Interest Income and Asset Yield Interest Income and Asset (1)
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AGNC Investment Corp.10Q
08/05/2016^V_____________________Gain (Loss) From Derivative Instruments and Other Securities, Net
&
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Exercise
Recognized in
Income on
Derivatives 1TBA securities, net~
2~
~
Z
~
vl~
Interest rate swaps~
2U~
R~
#
~
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~
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~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1) 9Note 4 Investment Securities 9Note 4 Investment (1) 9Note 4 Investment (2) 9Note 4 Investment (3) 9Note 4 Investment (4) 9Note 4 Investment (5)! 12Gains and Losses on Sale of Repurchase Agreements!Federal Home Loan Bank Advances! 15Derivative and Other Hedging 15Derivative and Other (1) 15Derivative and Other (2) 15Derivative and Other (3) 15Derivative and Other (4) 15Derivative and Other (5) 15Derivative and Other (6)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2) Gain Loss From Derivative (3) 20Assets Pledged to (1) 20Assets Pledged to (2)!Offsetting Assets and LiabilitiOffsetting Assets and (1) ! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2) 31Market Information 31Market Infor (1) 31Market Infor (2) 31Market Infor (3)Selected Financial DataSelected Financial (1)!Interest Income and Asset Yield Interest Income and Asset (1)
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AGNC Investment Corp.10Q
08/05/2016+# 20Assets Pledged to Counterparties
June 30, 2016( Assets Pledged to Counterparties/'Repurchase Agreements and FHLB Advances!Debt of Consolidated VIEs
Derivative Agreements
Prime Broker Agreements
Total~
Agency MBS  fair value
~
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08/05/2016+# 20Assets Pledged to Counterparties
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Interest Rate/Security Price 1
June 30, 2015
Sept. 30, 2015
Dec. 31, 2015
Mar. 31, 2016
June 30, 2016
June 30, 2016
June 30, 2016
vs
vs
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Dec. 31, 2015
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0.19%
0.43%
0.44%
0.47%
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0.33%
0.61%
0.63%
0.65%
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0.90%
0.92%
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0.64%
1.06%
0.73%
0.59%
0.14
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0.47bps3Year U.S. Treasury
0.99%
0.92%
1.32%
0.86%
0.70%
0.16
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1.37%
1.77%
1.22%
1.01%
0.21
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0.76bps10Year U.S. Treasury
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2.06%
2.27%
1.78%
1.49%
0.29
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2.88%
3.01%
2.62%
2.31%
0.31
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0.70bps Interest Rate Swap Rate:
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0.76%
1.17%
0.85%
0.74%
0.11
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0.43bps3Year Swap
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0.99%
1.41%
0.96%
0.81%
0.15
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0.60bps5Year Swap
1.77%
1.40%
1.73%
1.18%
0.99%
0.19
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0.74bps10Year Swap
2.44%
2.01%
2.19%
1.64%
1.38%
0.26
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0.81bps30Year Swap
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2.53%
2.62%
2.13%
1.84%
0.29
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Leverage! 39Interest Expense and Cost of 39Interest Expense and (1) 39Interest Expense and (2) 39Interest Expense and (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of MortgageBa!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)!Other Comprehensive Income LossRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/05/2016 31Market Information
June 30, 2016
December 31, 2015MBS and TBA SecuritiesAmortized Cost
Fair Value
Average Coupon
%Amortized Cost
Fair ValueAverage Coupon %%Fixed rate agency securities:
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1) 9Note 4 Investment Securities 9Note 4 Investment (1) 9Note 4 Investment (2) 9Note 4 Investment (3) 9Note 4 Investment (4) 9Note 4 Investment (5)! 12Gains and Losses on Sale of Repurchase Agreements!Federal Home Loan Bank Advances! 15Derivative and Other Hedging 15Derivative and Other (1) 15Derivative and Other (2) 15Derivative and Other (3) 15Derivative and Other (4) 15Derivative and Other (5) 15Derivative and Other (6)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2) Gain Loss From Derivative (3)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Offsetting Assets and LiabilitiOffsetting Assets and (1) ! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2) 31Market Information 31Market Infor (1) 31Market Infor (3)Selected Financial DataSelected Financial (1)!Interest Income and Asset Yield Interest Income and Asset (1)
Leverage! 39Interest Expense and Cost of 39Interest Expense and (1) 39Interest Expense and (2) 39Interest Expense and (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of MortgageBa!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)!Other Comprehensive Income LossRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/05/2016 31Market Information
June 30, 2016!Includes Net TBA Position!Excludes Net TBA Position$Fixed Rate Agency Securities Par Value Amortized
Fair Value
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Cost
Cost Basis
WAC 3
Yield 4
Age (Months)
CPR 4
Fixed rate
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D ~
F
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2.03%~
10%3.0%~
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= ~
?
73%102.9%
3.50%
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11%3.5%~
:=~
b? ~
JA
86%103.4%
3.95%
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12%4.0%~
/~
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2
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2.68%~
13%4.5%~
~
Z ~
~
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4.87%
3.02%~
13%? 5.0%~
~
~
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6.57%
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~
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2.36%~
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~
~
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11%3.5%~
~
~
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3.01%~
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~
~
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2.91%~
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2.95%~
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~
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~
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4.03%
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1) 9Note 4 Investment Securities 9Note 4 Investment (1) 9Note 4 Investment (2) 9Note 4 Investment (3) 9Note 4 Investment (4) 9Note 4 Investment (5)! 12Gains and Losses on Sale of Repurchase Agreements!Federal Home Loan Bank Advances! 15Derivative and Other Hedging 15Derivative and Other (1) 15Derivative and Other (2) 15Derivative and Other (3) 15Derivative and Other (4) 15Derivative and Other (5) 15Derivative and Other (6)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2) Gain Loss From Derivative (3)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Offsetting Assets and LiabilitiOffsetting Assets and (1) ! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2) 31Market Information 31Market Infor (1) 31Market Infor (2)Selected Financial DataSelected Financial (1)!Interest Income and Asset Yield Interest Income and Asset (1)
Leverage! 39Interest Expense and Cost of 39Interest Expense and (1) 39Interest Expense and (2) 39Interest Expense and (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of MortgageBa!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)!Other Comprehensive Income LossRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/05/2016 31Market Information
December 31, 2015!Includes Net TBA Position!Excludes Net TBA Position$Agency Fixed Rate Securities Par Value Amortized
Fair Value
'% Lower Loan Balance & HARP 1,2 AmortizedWeighted AverageProjected Life
Cost
Cost Basis
WAC 3
Yield 4
Age (Months)
CPR 4
Fixed rate
? 15year
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A~
:B ~
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47%101.8%
2.97%
2.04%~
8%3.0%~
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9%3.5%~
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11%4.5%~
~
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4.87%
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~
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~
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v ~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1) 9Note 4 Investment Securities 9Note 4 Investment (1) 9Note 4 Investment (2) 9Note 4 Investment (3) 9Note 4 Investment (4) 9Note 4 Investment (5)! 12Gains and Losses on Sale of Repurchase Agreements!Federal Home Loan Bank Advances! 15Derivative and Other Hedging 15Derivative and Other (1) 15Derivative and Other (2) 15Derivative and Other (3) 15Derivative and Other (4) 15Derivative and Other (5) 15Derivative and Other (6)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2) Gain Loss From Derivative (3)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Offsetting Assets and LiabilitiOffsetting Assets and (1) ! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2) 31Market Information 31Market Infor (1) 31Market Infor (2) 31Market Infor (3)Selected Financial (1)!Interest Income and Asset Yield Interest Income and Asset (1)
Leverage! 39Interest Expense and Cost of 39Interest Expense and (1) 39Interest Expense and (2) 39Interest Expense and (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of MortgageBa!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)!Other Comprehensive Income LossRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/05/2016Selected Financial Data 1
)($ in millions, except per share amounts)
Balance Sheet Data
June 30, 2016December 31, 2015(unaudited)+
#Investment portfolio, at fair value
~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1) 9Note 4 Investment Securities 9Note 4 Investment (1) 9Note 4 Investment (2) 9Note 4 Investment (3) 9Note 4 Investment (4) 9Note 4 Investment (5)! 12Gains and Losses on Sale of Repurchase Agreements!Federal Home Loan Bank Advances! 15Derivative and Other Hedging 15Derivative and Other (1) 15Derivative and Other (2) 15Derivative and Other (3) 15Derivative and Other (4) 15Derivative and Other (5) 15Derivative and Other (6)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2) Gain Loss From Derivative (3)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Offsetting Assets and LiabilitiOffsetting Assets and (1) ! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2) 31Market Information 31Market Infor (1) 31Market Infor (2) 31Market Infor (3)Selected Financial Data!Interest Income and Asset Yield Interest Income and Asset (1)
Leverage! 39Interest Expense and Cost of 39Interest Expense and (1) 39Interest Expense and (2) 39Interest Expense and (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of MortgageBa!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)!Other Comprehensive Income LossRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/05/2016Selected Financial Data
#
Three Months Ended June 30,
!
Six Months Ended June 30,.&Statement of Comprehensive Income Data~
~
~ ~
~
~(unaudited)
Interest income
~
~
z
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~
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~
~
~
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~
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~
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~
~
~
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~
~
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~
~
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~
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~
~
~
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~
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~
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08/05/2016"Dividends and Income Taxes
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08/05/2016)!Other Comprehensive Income (Loss)
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AGNC Investment Corp.10Q
08/05/2016Repurchase Agreements
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AGNC Investment Corp.10Q
08/05/2016Interest Rate Risk #
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AGNC Investment Corp.10Q
08/05/2016Spread Risk 2
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AGNC Investment Corp.10Q
08/05/2016:2Item 6. Exhibits and Financial Statement Schedules
Exhibit No.
Description*2.1.&Purchase and Sale Agreement, dated May
/
'23, 2016, by and among American Capital/'Asset Management, LLC, American Capital3+Mortgage Management, LLC, American Capital,/'Ltd. and American Capital Agency Corp.,3+incorporated herein by reference to Exhibit3+2.1 of Form 8K (File No. 00134057), filed
May 25, 2016.*2.2,$Transition Services Agreement, dated3+July 1, 2016, by and among American Capital%Agency Corp., American Capital, Ltd.,.&American Capital Asset Management, LLC1)and American Capital Mortgage Management,%LLC, incorporated herein by reference80to Exhibit 2.1 of Form 8K (File No. 00134057),filed July 8, 2016.*3.1%American Capital Agency Corp. Amended2*and Restated Certificate of Incorporation,D locWK?? 4 ,as amended, incorporated herein by reference!!3!+to Exhibit 3.1 of Form 10Q for the quarter""1")ended March 31, 2016 (File No.00134057),###filed May 5, 2016.$$%*3.2%4%,American Capital Agency Corp. Second Amended&&5&and Restated Bylaws, as amended, incorporated''2'*herein by reference to Exhibit 3.2 of Form((1()10K for the year ended December 31, 2011))0)((File No. 00134057), filed February 23,**~
*r++,*3.3,,%Certificate of Designations of 8.000%0(Series A Cumulative Redeemable Preferred../.'Stock, incorporated herein by reference//7//to Exhibit 3.1 of Form 8K (File No 00134057),000filed April 3, 2012.112*3.422%Certificate of Designations of 7.750%3303(Series B Cumulative Redeemable Preferred44/4'Stock, incorporated herein by reference55850to Exhibit 3.3 of Form 8A (File No. 00134057),666filed May 7, 2014.778*4.1828*Instruments defining the rights of holders9949,of securities: See Article IV of our Amended::2:*and Restated Certificate of Incorporation,;;4;,as amended, incorporated herein by reference<<3<+to Exhibit 3.1 of Form 10Q for the quarter==2=*ended March 31, 2012 (File No. 00134057),>>>filed May 9, 2012.??D
lar!:cu(=M`@ABCDEFGHIJKLMNOPQR@*4.2@2@*Instruments defining the rights of holdersAA3A+of securities: See Article VI of our SecondBB0B(Amended and Restated Bylaws, as amended,CC3C+incorporated herein by reference to ExhibitDD4D,3.2 of Form 10K for the year ended DecemberEE5E31, 2011 (File No. 00134057), filed FebruaryFFF 23, 2012.GGH*4.3H:H2Form of Certificate for Common Stock, incorporatedII7I/herein by reference to Exhibit 4.1 to AmendmentJJ3J+No. 4 to the Registration Statement on FormKK1K)S11 (Registration No. 333149167), filedLLLMay 9, 2008.MMNO$P____________________________1Q)Created by Morningstar Document Research.0R(http://documentresearch.morningstar.com/*h_t#1eMA5
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Leverage! 39Interest Expense and Cost of 39Interest Expense and (1) 39Interest Expense and (2) 39Interest Expense and (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of MortgageBa!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)!Other Comprehensive Income LossRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/05/2016:2Item 6. Exhibits and Financial Statement Schedules
*4.4
6
.Specimen 8.000% Series A Cumulative Redeemable1)Preferred Stock Certificate, incorporated2*herein by reference to Exhibit 4.1 of Form
0
(8K (File No. 00134057), filed April 3,~
r*4.56.Specimen 7.750% Series B Cumulative Redeemable1)Preferred Stock Certificate, incorporated2*herein by reference to Exhibit 4.1 of Form4,8A (File No. 00134057), filed May 7, 2014.*4.63+Deposit Agreement, dated May 8, 2014, among4,American Capital Agency Corp., Computershare%Inc. and Computershare Trust Company,1)N.A., jointly as depositary, incorporated2*herein by reference to Exhibit 4.2 of Form4,8K (File No. 00134067), filed May 8, 2014.*4.70(Form of Depositary Receipt, incorporated2*herein by reference to Exhibit 4.3 of Form4,8K (File No. 00134067), filed May 8, 2014.D. locWK?x*J_G[pX !"#$%&'()*+,./0123456789:;<=>?
*10.1 5 Form of American Capital Agency Corp. Amended!!.!&and Restated Equity Incentive Plan for""+"#Independent Directors, incorporated##0#(herein by reference to Appendix 1 of the$$/$'Definitive Proxy Statement for the 2016%%2%*Annual Meeting (File No. 00134057), filed&&&March 11, 2016.''
(*10.2((%Employment Agreement, dated September))4),22, 2014, as amended on July 1, 2016, by and**5*between American Capital Mortgage Management,++.+&LLC and Gary Kain, incorporated herein,,0,(by reference to Exhibit 10.1 of Form 8K1)(File No. 00134057), filed July 8, 2016...
/*10.3//%Employment Agreement, dated March 30,008002012, as amended on July 1, 2016, by and between111%American Capital Mortgage Management,22/2'LLC and Peter J. Federico, incorporated3333+herein by reference to Exhibit 10.2 of Form44/4'8K (File No. 00134057), filed July 8,55~
566
7*10.477%Employment Agreement, dated March 30,888802012, as amended on July 1, 2016, by and between999%American Capital Mortgage Management,::2:*LLC and Christopher J. Kuehl, incorporated;;3;+herein by reference to Exhibit 10.3 of Form<</<'8K (File No. 00134057), filed July 8,==~
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?*10.5?1?)Letter Agreement, dated December 1, 2015,D
l`4Kd]z/ Oi@ABCDEFGHIJKLMNOPQRSTUVWXYZ[\]^_@@2@*as amended on July 1, 2016, by and betweenAAA%American Capital Mortgage Management,BB4B,LLC and Bernice E. Bell, incorporated hereinCC0C(by reference to Exhibit 10.4 of Form 8KDD1D)(File No. 00134057), filed July 8, 2016.EE
F*10.6F0F(Retention Bonus Grant Letter, dated JulyGG0G(1, 2016, by and between American CapitalHH/H'Mortgage Management, LLC and Bernice E.II.I&Bell, incorporated herein by referenceJJ9J1to Exhibit 10.5 of Form 8K (File No. 00134057),KKKfiled July 8, 2016.LLM?@M7M/Certification of CEO Pursuant to Section 302(a)NN*N"of the SarbanesOxley Act of 2002.OOP333333?@P7P/Certification of CFO Pursuant to Section 302(a)QQ*Q"of the SarbanesOxley Act of 2002.RR~
SS0S(Certification of CEO and CFO Pursuant toTT0T(Section 906 of the SarbanesOxley Act ofUU~
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