> YZ[\]^_` 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#܈ ~~83ffff̙̙3f3fff3f3f33333f33PWashington DC 20549Washington DC 2 (1))TABLE OF CONTENTS";CONSOLIDATED BALANCE SHEETS&;aCONSOLIDATED STATEMENTS OF COMP&CONSOLIDATED STATEMENT OF STOCK#CONSOLIDATED STATEMENTS (1)& 10Note 4 Investment Securities 10Note 4 Investment (1) 3 10Note 4 Investment (2) ?_ 10Note 4 Investment (3) t 10Note 4 Investment (4) 10Note 4 Investment (5)&v 13Gains and Losses on Sale of "C 13Gains and Losses on (1)Repurchase Agreements&Derivative and Other Hedging In Derivative and Other (1) zDerivative and Other (2) 7Derivative and Other (3) {LDerivative and Other (4) aDerivative and Other (5) Derivative and Other (6) ODerivative and Other (7)& 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)&dAssets Pledged from Counterpart&,Offsetting Assets and Liabiliti!JOffsetting Assets and (1)!5iOffsetting Assets and (2)&Note 9 Net Income Loss Per Comm&Accumulated Other ComprehensiveؽAccumulated Other (1)Accumulated Other (2)Market InformationMarket Informat (1)5>Market Informat (2)oMarket Informat (3)Market Informat (4)%}Item 6 Selected Financial Data%Item 6 Selected Financial (1)%%Item 6 Selected Financial (2)&x 37Interest Income and Asset Yi". 37Interest Income and (1)>Leverage&t\Interest Expense and Cost of Fu% wInterest Expense and Cost (1)%&Interest Expense and Cost (2)%ŠInterest Expense and Cost (3)& 41Net Spread and Dollar Roll I&KGain Loss on Sale of Investment& 42 Gain Loss on Derivative InsEstimated Taxable Income1Debt Capital+ERepurchase Agre (1)TInterest Rate Risk5hSpread Risk&)zItem 6 Exhibits and Financial S
l ^
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 2 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1)! 10Note 4 Investment Securities 10Note 4 Investment (1) 10Note 4 Investment (2) 10Note 4 Investment (3) 10Note 4 Investment (4) 10Note 4 Investment (5)! 13Gains and Losses on Sale of 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm!Accumulated Other ComprehensiveAccumulated Other (1)Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agre (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }%}$ }
AGNC Investment Corp.10Q
11/03/2017Washington, D.C. 20549
Delaware
261701984'(State or Other Jurisdiction of(I.R.S. Employer&Incorporation or Organization)Identification No.)
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/(Tsg[7YMA=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1)! 10Note 4 Investment Securities 10Note 4 Investment (1) 10Note 4 Investment (2) 10Note 4 Investment (3) 10Note 4 Investment (4) 10Note 4 Investment (5)! 13Gains and Losses on Sale of 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm!Accumulated Other ComprehensiveAccumulated Other (1)Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
11/03/2017Washington, D.C. 20549
Large accelerated filer
?
Accelerated filer
?Nonaccelerated filer ?5(Do not check if a smaller reporting company)!Smaller Reporting Company ?
Emerging growth company ?$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/,sg[}TH<=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 2 (1)CONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1)! 10Note 4 Investment Securities 10Note 4 Investment (1) 10Note 4 Investment (2) 10Note 4 Investment (3) 10Note 4 Investment (4) 10Note 4 Investment (5)! 13Gains and Losses on Sale of 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm!Accumulated Other ComprehensiveAccumulated Other (1)Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
11/03/2017TABLE OF CONTENTS
PART I.
FINANCIAL INFORMATION
Item 1.Financial Statements~
Item 2.,
$Management's Discussion and Analysis~
v80of Financial Condition and Results of OperationsItem 3.0(Quantitative and Qualitative Disclosures~
About Market RiskItem 4.Controls and Procedures~
PART II.OTHER INFORMATIONItem 1.Legal Proceedings~
Item 1A.Risk Factors~
Item 2./'Unregistered Sales of Equity Securities~
and Use of ProceedsItem 3.'Defaults upon Senior Securities~
Item 4.Mine Safety Disclosures~
Item 5.Other Information~
Item 6.Exhibits~
Signatures~
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Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agre (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }I;}$
J
AGNC Investment Corp.10Q
11/03/2017#CONSOLIDATED BALANCE SHEETS
September 30, 2017
December 31, 2016(Unaudited)Assets:3
+Agency securities, at fair value (including~
&
~
F
2*pledged securities of $47,997 and $43,943,
respectively)5Agency securities transferred to consolidated~
~
1)variable interest entities, at fair value(pledged securities)0(Credit risk transfer securities, at fair~
6~
value7/NonAgency securities, at fair value (including~
~
7/pledged securities of $0 and $90, respectively)/'U.S. Treasury securities, at fair value ?~
/'(including pledged securities of $0 and$173, respectively)%REIT equity securities, at fair value~
?!Cash and cash equivalents~
*~
,$Restricted cash and cash equivalents~
~
*( Derivative assets, at fair value~
~
1)Receivable for securities sold (including~
&~
V91pledged securities of $149 and $21, respectively)DE
lznbVh1k)b.Y !"#$%&'()*+,./0123456789:;<=>?6 .Receivable under reverse repurchase agreements~
* ~
x !%Goodwill and other intangible assets,~
!!!~
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#&##~
#>#$Total assets~
$J$$~
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&&&~
&O&''Federal Home Loan Bank advances '?''~
'v/'.(&Debt of consolidated variable interest~
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*v** *?*+%Derivative liabilities, at fair value~
+++~
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,0(Obligation to return securities borrowed~
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at fair value.0&Accounts payable and other liabilities~
000~
0N01Total liabilities~
1u11~
112Stockholders' equity:2223%8.000% Series A Cumulative Redeemable 3?33~
33.4&Preferred Stock (aggregate liquidation05(preference of $0 and $173, respectively)6%7.750% Series B Cumulative Redeemable~
666~
66.7&Preferred Stock (aggregate liquidation8preference of $175).9&7.000% Series C FixedtoFloating Rate~
999 9?9:%Cumulative Redeemable Preferred Stock,;$(aggregate liquidation preference of"<$325 and $0, respectively)2=*Common stock  $0.01 par value; 600 shares~
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AGNC Investment Corp.10Q
11/03/20177/CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
(
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+////////// /
///
///////////////////AGNC Investment Corp.10Q
11/03/20176.CONSOLIDATED STATEMENT OF STOCKHOLDERS' EQUITY
! "

%8.000% Series A Cumulative Redeemable

%7.750% Series B Cumulative Redeemable
.
&7.000% Series C FixedtoFloating Rate
Common Stock
Additional
Retained
Accumulated
TotalPreferred StockPreferred Stock %Cumulative Redeemable Preferred Stock
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Amount
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~
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AGNC Investment Corp.10Q
11/03/2017%CONSOLIDATED STATEMENTS OF CASH FLOWS
'
Nine Months Ended September 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~
j~
**"on mortgagebacked securities, net7/Amortization of accumulated other comprehensive ?~
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~
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~
5(Gain) loss on sale of investment securities,~
~
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~
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~
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!!!~
!!"Investing activities:"""6#.Purchases of Agency mortgagebacked securities~
#Ƌ##~
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securities4&,Proceeds from sale of Agency mortgagebacked~
&:&&~
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securities2(*Proceeds from sale of credit risk transfer~
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,6,!and nonAgency securities,.$Payments on U.S. Treasury securities~
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0021*Net proceeds from (payments on) derivative~
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112instruments+3#Purchases of REIT equity securities~
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5V5!6LLC, net of cash acquired.7&(Increase) decrease in restricted cash~
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11/03/2017( 10Note 4. Investment Securities
September 30, 2017
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11/03/2017( 10Note 4. Investment Securities
September 30, 2017Agency RMBS
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11/03/2017( 10Note 4. Investment Securities
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11/03/2017( 10Note 4. Investment Securities
September 30, 2017
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11/03/2017( 10Note 4. Investment Securities
September 30, 2017
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11/03/2017( 10Note 4. Investment Securities
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11/03/2017<4 13Gains and Losses on Sale of Investment Securities
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11/03/2017<4 13Gains and Losses on Sale of Investment Securities
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11/03/2017Repurchase Agreements
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11/03/2017SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
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11/03/2017SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
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11/03/2017SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
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AGNC Investment Corp.10Q
11/03/2017A9______________________ 20Assets Pledged to Counterparties
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AGNC Investment Corp.10Q
11/03/2017A9______________________ 20Assets Pledged to Counterparties
September 30, 2017
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11/03/2017*"Assets Pledged from Counterparties
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 2 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1)! 10Note 4 Investment Securities 10Note 4 Investment (1) 10Note 4 Investment (2) 10Note 4 Investment (3) 10Note 4 Investment (4) 10Note 4 Investment (5)! 13Gains and Losses on Sale of 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm!Accumulated Other ComprehensiveAccumulated Other (1)Accumulated Other (2)Market Informat (1)Market Informat (2)Market Informat (3)Market Informat (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
11/03/2017Market Information
&
Interest Rate/Security Price 1
Sept. 30, 2016
Dec. 31, 2016
Mar. 31, 2017
June 30, 2017
Sept. 30, 2017
Sept. 30, 2017
Sept. 30, 2017
vs
vs
June 30, 2017
Dec. 31, 2016
LIBOR:
1Month
0.53%
0.77%
0.98%
1.22%
1.23%
+0.01
bps
+0.46bps3Month
0.85%
1.00%
1.15%
1.30%
1.33%
+0.03
bps
+0.33bps6Month
1.24%
1.31%
1.42%
1.45%
1.51%
+0.06
bps
+0.20bps$U.S. Treasury Security Rate:
2Year U.S. Treasury
0.76%
1.20%
1.26%
1.38%
1.48%
+0.10
bps
+0.28bps3Year U.S. Treasury
0.87%
1.46%
1.50%
1.55%
1.61%
+0.06
bps
+0.15bps5Year U.S. Treasury
1.15%
1.92%
1.93%
1.89%
1.93%
+0.04
bps
+0.01bps10Year U.S. Treasury
1.61%
2.43%
2.39%
2.30%
2.33%
+0.03
bps
0.10bps30Year U.S. Treasury
2.33%
3.05%
3.02%
2.84%
2.86%
+0.02
bps
0.19bps Interest Rate Swap Rate:
2Year Swap
1.01%
1.46%
1.62%
1.61%
1.73%
+0.12
bps
+0.27bps3Year Swap
1.07%
1.68%
1.81%
1.74%
1.84%
+0.10
bps
+0.16bps5Year Swap
1.18%
1.96%
2.06%
1.95%
2.00%
+0.05
bps
+0.04bps10Year Swap
1.46%
2.32%
2.39%
2.27%
2.28%
+0.01
bps
0.04bps30Year Swap
1.78%
2.57%
2.65%
2.53%
2.52%
0.01
bps
0.05bps( 30Year Fixed Rate Agency Price:
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 2 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1)! 10Note 4 Investment Securities 10Note 4 Investment (1) 10Note 4 Investment (2) 10Note 4 Investment (3) 10Note 4 Investment (4) 10Note 4 Investment (5)! 13Gains and Losses on Sale of 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm!Accumulated Other ComprehensiveAccumulated Other (1)Accumulated Other (2)Market InformationMarket Informat (2)Market Informat (3)Market Informat (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
11/03/2017Market Information
September 30, 2017
December 31, 2016.&Investment Portfolio (Includes TBAs) 1Amortized Cost
Fair Value
Average Coupon
%Amortized Cost
Fair ValueAverage Coupon %2*Fixed rate Agency RMBS and TBA securities:
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 2 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1)! 10Note 4 Investment Securities 10Note 4 Investment (1) 10Note 4 Investment (2) 10Note 4 Investment (3) 10Note 4 Investment (4) 10Note 4 Investment (5)! 13Gains and Losses on Sale of 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm!Accumulated Other ComprehensiveAccumulated Other (1)Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (3)Market Informat (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
11/03/2017Market Information
September 30, 2017!Includes Net TBA Position!Excludes Net TBA Position1)Fixed Rate Agency RMBS and TBA 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
2.5%~
2~
z3 ~
f3
31%101.2%
2.98%
2.13%~
9%3.0%~
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36%102.8%
3.49%
2.18%~
10%3.5%~
,~
". ~
.
89%103.3%
3.95%
2.49%~
11%4.0%~
>"~
# ~
#
89%103.9%
4.40%
2.68%~
F12%4.5%~
~
~
98%104.4%
4.87%
3.02%~
V12%? 5.0%~
~
~
20%103.2%
6.64%
4.64%~
14%Total ? 15year~
:~
2 ~
55%103.0%
3.78%
2.40%~
11%20year
? 3.0%~
*~
& ~
>
31%
99.4%
3.55%
3.10%~
9%3.5%~
~
~
:
75%102.1%
4.05%
3.00%~
11%4.0%~
~
~
51%104.2%
4.55%
2.95%~
&12%4.5%~
~
~
99%106.5%
4.89%
2.95%~
J11%? 5.0%~
~
~
?%106.0%
5.93%
3.33%~
17%Total 20year:~
~
~
B
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4.02%
3.02%~
11%30year:
3.0%~
w~
x ~
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3.58%
2.96%~
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j ~
^
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4.04%
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 2 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1)! 10Note 4 Investment Securities 10Note 4 Investment (1) 10Note 4 Investment (2) 10Note 4 Investment (3) 10Note 4 Investment (4) 10Note 4 Investment (5)! 13Gains and Losses on Sale of 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm!Accumulated Other ComprehensiveAccumulated Other (1)Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
11/03/2017Market Information
December 31, 2016!Includes Net TBA Position!Excludes Net TBA Position1)Fixed Rate Agency RMBS and TBA 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
? 2.5%~
6L~
FM ~
L
26%101.7%
2.96%
2.05%~
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7 ~
7
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z3~
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90%103.4%
3.95%
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"11%4.5%~
v~
~
98%104.6%
4.87%
3.03%~
211%? 5.0%~
~
~
22%103.3%
6.63%
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~
~
65%103.1%
3.72%
2.37%~
10%20year
? 3.0%~
~
~ ~
31%
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3.55%
3.10%~
8%3.5%~
~
~
75%102.2%
4.06%
3.01%~
10%4.0%~
~
~
50%104.4%
4.54%
2.97%~
10%4.5%~
~
& ~
*
99%106.7%
4.90%
2.99%~
&11%? 5.0%~
~
~
?%106.3%
5.94%
3.33%~
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J~
~
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4.03%
3.03%~
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? 3.0%~
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t ~
r
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2.97%~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 2 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1)! 10Note 4 Investment Securities 10Note 4 Investment (1) 10Note 4 Investment (2) 10Note 4 Investment (3) 10Note 4 Investment (4) 10Note 4 Investment (5)! 13Gains and Losses on Sale of 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm!Accumulated Other ComprehensiveAccumulated Other (1)Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
11/03/2017Market Information
September 30, 2017
December 31, 20162*CRT and NonAgency Security Credit RatingsCRTRMBS
CMBS
CRTRMBSCMBS~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 2 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1)! 10Note 4 Investment Securities 10Note 4 Investment (1) 10Note 4 Investment (2) 10Note 4 Investment (3) 10Note 4 Investment (4) 10Note 4 Investment (5)! 13Gains and Losses on Sale of 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm!Accumulated Other ComprehensiveAccumulated Other (1)Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4) Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
11/03/2017'Item 6. Selected Financial Data 1
)($ in millions, except per share amounts)
Balance Sheet DataSeptember 30, 2017December 31, 2016,$Investment securities, at fair value~
=~
Total assets
~
J
~
x
0(Repurchase agreements, Federal Home Loan~
~
.$Bank advances and other debtTotal liabilities~
u~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 2 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCKCONSOLIDATED STATEMENTS (1)! 10Note 4 Investment Securities 10Note 4 Investment (1) 10Note 4 Investment (2) 10Note 4 Investment (3) 10Note 4 Investment (4) 10Note 4 Investment (5)! 13Gains and Losses on Sale of 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm!Accumulated Other ComprehensiveAccumulated Other (1)Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4) Item 6 Selected Financial Data Item 6 Selected Financial (2)! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agre (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }2}$
/
AGNC Investment Corp.10Q
11/03/2017'Item 6. Selected Financial Data
(
Three Months Ended September 30,
'
Nine Months Ended September 30,.&Statement of Comprehensive Income Data~
~
~
~
Interest income~
~
~
.
~
Interest expense
~
2
~
~
z
~
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AGNC Investment Corp.10Q
11/03/2017'Item 6. Selected Financial Data
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Three Months Ended September 30,
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Nine Months Ended September 30, Other Data (unaudited) *~
~
~
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>
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'Average investment securities  at cost
~
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11/03/2017*" 37Interest Income and Asset Yield
(
Three Months Ended September 30,
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Nine Months Ended September 30,~
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Cash/coupon interest income~
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AGNC Investment Corp.10Q
11/03/2017*" 37Interest Income and Asset Yield
3
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11/03/2017Leverage
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Average Tangible Net Book Value
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"At Risk" Leverage
Long/(Short) 2.&"At Risk" Leverage during the Period 3.&"At Risk" Leverage during the Period 4
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11/03/2017A9_______________________Interest Expense and Cost of Funds
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11/03/2017A9_______________________Interest Expense and Cost of Funds
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11/03/2017A9_______________________Interest Expense and Cost of Funds
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11/03/2017A9_______________________Interest Expense and Cost of Funds
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11/03/2017,$ 41Net Spread and Dollar Roll Income
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AGNC Investment Corp.10Q
11/03/2017Debt Capital
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AGNC Investment Corp.10Q
11/03/2017Repurchase Agreements
September 30, 2017CounterParty Region!Number of CounterParties3+Percent of Agency RMBS Repurchase AgreementFunding
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AGNC Investment Corp.10Q
11/03/2017Interest Rate Risk #
Interest Rate Sensitivity 1&Percentage Change in ProjectedChange in Interest RateNet Interest Income 2Portfolio MarketTangible Net Asset
Value 3,4
Value 3,5 As of September 30, 2017100 Basis Points10.4%
0.5%
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3.4%0.0%
0.1%+50 Basis Points
+1.9%
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AGNC Investment Corp.10Q
11/03/2017Spread Risk
Spread Sensitivity 1&Percentage Change in ProjectedChange in MBS Spread PortfolioTangible Net Asset
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AGNC Investment Corp.10Q
11/03/2017:2Item 6. Exhibits and Financial Statement Schedules
Exhibit No.
Description*3.12*AGNC Investment Corp. Amended and Restated
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)Certificate of Incorporation, as amended,3+incorporated herein by reference to Exhibit803.1 of Form 10Q for the quarter ended September530, 2016 (File No. 00134057), filed November7, 2016.*3.2/'AGNC Investment Corp. Third Amended and1)Restated Bylaws, as amended, incorporated2*herein by reference to Exhibit 3.2 of Form0(10Q for the quarter ended September 30,1)2016 (File No. 00134057), filed November7, 2016.*3.3%Certificate of Designations of 7.750%0(Series B Cumulative Redeemable Preferred/'Stock, incorporated herein by reference80to Exhibit 3.4 of Form 8A (File No. 00134057),filed May 7, 2014.DlocWK?6Bb{O7S !"#$%&'()*+,./0123456789:;<=>? *3.4 3 +Certificate of Designations of 7.00% Series!!6!.C FixedtoFloating Rate Cumulative Redeemable"","$Preferred Stock, incorporated herein##5#by reference to Exhibit 3.5 of Form 8A (File$$.$&No. 00134057), filed August 18, 2017.%%&*3.5&3&+Certificate of Elimination of 8.000% Series''0'(A Cumulative Redeemable Preferred Stock,((3(+incorporated herein by reference to Exhibit))2)*3.1 of Form 8K (File No 00134057), filed***October 26, 2017.++,*4.1,2,*Instruments defining the rights of holders4,of securities: See Article IV of our Amended..2.*and Restated Certificate of Incorporation,//4/,as amended, incorporated herein by reference0030+to Exhibit 3.1 of Form 10Q for the quarter1151ended September 30, 2016 (File No. 00134057)222filed November 7, 2016.334*4.2424*Instruments defining the rights of holders5525*of securities: See Article VI of our Third6606(Amended and Restated Bylaws, as amended,7737+incorporated herein by reference to Exhibit888803.2 of Form 10Q for the quarter ended September9949,30, 2016 (File No. 00134057) filed November:::7, 2016.;;<*4.3<:<2Form of Certificate for Common Stock, incorporated==2=*herein by reference to Exhibit 4.3 of Form>>0>(10Q for the quarter ended September 30,??1?)2016 (File No. 00134057), filed NovemberD@l[x`
r$5HRi'@ABCDEFGHIJKLMNOPQRSTUVWXYZ[\]^_@@@7, 2016.AAB*4.4B6B.Specimen 7.750% Series B Cumulative RedeemableCC1C)Preferred Stock Certificate, incorporatedDD2D*herein by reference to Exhibit 4.1 of FormEE4E,8A (File No. 00134057), filed May 7, 2014.FFG*4.5G1G)Specimen 7.00% Series C FixedtoFloatingHH,H$Rate Cumulative Redeemable PreferredII.I&Stock Certificate, incorporated hereinJJ5Jby reference to Exhibit 4.1 of Form 8A (FileKK.K&No. 00134057), filed August 18, 2017.LLM*4.6M3M+Deposit Agreement relating to 7.750% SeriesNN0N(B Cumulative Redeemable Preferred Stock,OO1O)dated May 8, 2014, among American CapitalPP:P2Agency Corp., Computershare Inc. and ComputershareQQ3Q+Trust Company, N.A., jointly as depositary,RR3R+incorporated herein by reference to ExhibitSS3S+4.2 of Form 8K (File No. 00134057), filedTTTMay 8, 2014.UUV*4.7V/V'Form of Depositary Receipt representingWW:W21/1,000th of a share of 7.750% Series B CumulativeXX,X$Redeemable Preferred Stock (includedYY4Y,as part of Exhibit 4.6), incorporated hereinZZ5Zby reference to Exhibit 4.2 of Form 8K (File[[*["No. 00134057), filed May 8, 2014.\\]*4.8]2]*Deposit Agreement relating to 7.00% Series^^6^.C FixedtoFloating Rate Cumulative Redeemable__/_'Preferred Stock, dated August 22, 2017,Dlf{c/z.
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