> 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#܈ ~~9#܈ ~~7#܈ ~~3#܈ ~~83ffff̙̙3f3fff3f3f33333f33&lExact name of registrant as spe&9Registrant s telephone number iU*TABLE OF CONTENTS&;in millions except per share da&b]in millions except per shar (1)zin millionsin millions (1)#Note 4 Investment Securities#Note 4 Investment Securi (1)#`Note 4 Investment Securi (2)#<Note 4 Investment Securi (3)#ZRNote 4 Investment Securi (4)#jNote 4 Investment Securi (5)&8}Gains and Losses on Sale of Inv%Repurchase Agreements&Derivative and Other Hedging In&Derivative and Other Hedgin (1)&Derivative and Other Hedgin (2)&Derivative and Other Hedgin (3)&3Derivative and Other Hedgin (4)&(Derivative and Other Hedgin (5)&KGain Loss From Derivative Instr&lAssets Pledged to Counterpartie&Assets Pledged to Counterpa (1)&MAssets Pledged to Counterpa (2)&Assets Pledged from Counterpart&Offsetting Assets and Liabiliti&Offsetting Assets and Liabi (1)%SNote 8 Fair Value Measurements&*"Note 9 Net Income Per Common Sh&2Accumulated Other ComprehensiveBMarket InformationKjFINANCIAL CONDITIONșFINANCIAL CONDITION (1)IFINANCIAL CONDITION (2)FINANCIAL CONDITION (3)tSelected Financial Data"#Selected Financial Data (1)"<Selected Financial Data (2)&QEconomic Interest Income and As&lEconomic Interest Expense and A&Liquidity and Capital Resources&sEconomic Interest Expense a (1)&"Economic Interest Expense a (2)&Economic Interest Expense a (3)Net Interest Margin&Net Spread and Dollar Roll Inco&Gain Loss on Investment Securit&\Gain Loss on Derivative Instrum>)Estimated Taxable Income#AEstimated Taxable Income (1)#RDebt Capital dRepurchase Agreements (1)etInterest Rate RiskSpread Risk&Item 6 Exhibits and Financial S&7Item 6 Exhibits and Financi (1)
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in millionsin millions (1)Note 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Margin!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
05/07/2018>6(Exact name of registrant as specified in its charter)
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/(Tk_SG;9!=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8!Exact name of registrant as speTABLE OF CONTENTS!in millions except per share da!in millions except per shar (1)
in millionsin millions (1)Note 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Margin!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
05/07/2018<4(Registrant s telephone number, including area code)
Large accelerated filer
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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/,maUI=_6*=PF0*8X>
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in millionsin millions (1)Note 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Margin!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
05/07/2018TABLE OF CONTENTS
PART I.
FINANCIAL INFORMATION
Item 1.Financial Statements~
Item 2.,$Management's Discussion and Analysis~
f
8
0of Financial Condition and Results of OperationsItem 3.0(Quantitative and Qualitative Disclosures~
About Market RiskItem 4.Controls and Procedures~
PART II.OTHER INFORMATIONItem 1.Legal Proceedings~
Item 1A.Risk Factors~
Item 2.
Properties~
Item 3.'Defaults upon Senior Securities~
Item 4.Mine Safety Disclosures~
Item 5.Other Information~
Item 6.Exhibits~
Signatures~
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in millionsin millions (1)Note 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Margin!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial S!Item 6 Exhibits and Financi (1)U }8}$
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AGNC Investment Corp.10Q
05/07/2018,$(in millions, except per share data)
March 31, 2018
December 31, 2017(Unaudited)Assets:3
+Agency securities, at fair value (including~
M
~
Jc
2*pledged securities of $51,434 and $53,055,
respectively)5Agency securities transferred to consolidated~
~
Z
1)variable interest entities, at fair value(pledged securities)0(Credit risk transfer securities, at fair~
~
value,$NonAgency securities, at fair value~
~
/'U.S. Treasury securities, at fair value~
%REIT equity securities, at fair value~
~
v!Cash and cash equivalents~
2~
ZRestricted cash~
~
( Derivative assets, at fair value~
j~
66.Receivable under reverse repurchase agreements~
J~
F%Goodwill and other intangible assets,~
~
netOther assets~
~
Total assets~
9~
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"B""~
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$&$$~
$~$%%Derivative liabilities, at fair value~
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%r%&Dividends payable~
&B&&~
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at fair value.*&Accounts payable and other liabilities~
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**+Total liabilities~
+N++~
++,Stockholders' equity:,,,%7.750% Series B Cumulative Redeemable~
~
..&Preferred Stock (aggregate liquidation/preference of $175).0&7.000% Series C FixedtoFloating Rate~
000~
001%Cumulative Redeemable Preferred Stock,2$(aggregate liquidation preference of~
344,Common stock  $0.01 par value; 600.0 shares~
444~
4475/authorized; 391.3 shares issued and outstanding"6Additional paidin capital~
666~
667Retained deficit~
7*77~
77,8$Accumulated other comprehensive loss~
888~
88"9Total stockholders' equity~
9J99~
9ʈ92:*Total liabilities and stockholders' equity~
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in millionsin millions (1)Note 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Margin!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial S!Item 6 Exhibits and Financi (1)U }8}$
6
AGNC Investment Corp.10Q
05/07/2018,$(in millions, except per share data)
$
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%////////// /
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///////////////////AGNC Investment Corp.10Q
05/07/2018
(in millions)
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in millionsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Margin!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
05/07/2018
(in millions)
$
Three Months Ended March 31,~
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555~
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in millionsin millions (1)Note 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Margin!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
05/07/2018%Note 4. Investment Securities
March 31, 2018
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05/07/2018%Note 4. Investment Securities
March 31, 2018Agency RMBS
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05/07/2018%Note 4. Investment Securities
December 31, 2017Agency RMBS
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AGNC Investment Corp.10Q
05/07/2018%Note 4. Investment Securities
March 31, 2018
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05/07/2018%Note 4. Investment Securities
March 31, 2018
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05/07/2018%Note 4. Investment Securities
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05/07/201891Gains and Losses on Sale of Investment Securities
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05/07/2018Repurchase Agreements
March 31, 2018
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05/07/2018SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
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05/07/2018SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
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in millionsin millions (1)Note 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Margin!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
05/07/2018SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
Swaptions
Option
Underlying Payer Swap&Current Option Expiration Date
Cost Basis
Fair Value
AverageNotionalAverage Fixed PayAverageAverage
Months to Current OptionAmountRateReceiveTerm
Expiration Date 1
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(Years)
(LIBOR)March 31, 2018
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AGNC Investment Corp.10Q
05/07/2018SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
U.S. Treasury Securities
March 31, 2018
December 31, 2017Maturity&Face Amount Net Long / (Short)
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&Face Amount Net Long / (Short)
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~
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in millionsin millions (1)Note 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Margin!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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05/07/2018SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
U.S. Treasury Futures
March 31, 2018
December 31, 2017MaturityNotionalCost
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Amount  Long (Short)
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5 years
~
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05/07/2018SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
March 31, 2018
December 31, 2017 TBA Securities by CouponNotionalCost
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AGNC Investment Corp.10Q
05/07/2018IAGain (Loss) From Derivative Instruments and Other Securities, Net
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Settlement, Termination,
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Gain/(Loss)Notional Amount
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AGNC Investment Corp.10Q
05/07/2018( Assets Pledged to Counterparties
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AGNC Investment Corp.10Q
05/07/2018( Assets Pledged to Counterparties
December 31, 2017( Assets Pledged to CounterpartiesRepurchase Agreements 1!Debt of Consolidated VIEs
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05/07/2018( Assets Pledged to Counterparties
March 31, 2018
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AGNC Investment Corp.10Q
05/07/2018*"Assets Pledged from Counterparties
March 31, 2018
December 31, 2017Assets Pledged to AGNC'Reverse Repurchase Agreements 1Derivative Agreements
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~
~
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in millionsin millions (1)Note 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Margin!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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05/07/2018)!Offsetting Assets and Liabilities
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in millionsin millions (1)Note 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Margin!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
05/07/2018'Note 8. Fair Value Measurements
March 31, 2018
December 31, 2017Level 1Level 2
Level 3
Level 1Level 2Level 3Assets:
Agency securities
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~
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$
$
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$
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~
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VIEs'Credit risk transfer securities ~

~
NonAgency securities ~

~
 U.S. Treasury securities~


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~
v  Interest rate swaps ~

~
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~
. TBA securities ~
N

~
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~
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~
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in millionsin millions (1)Note 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Margin!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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05/07/2018+#Note 9. Net Income Per Common Share
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in millionsin millions (1)Note 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common ShMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Margin!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
05/07/20185Accumulated Other Comprehensive Income (Loss)
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AGNC Investment Corp.10Q
05/07/2018Market Information
&
Interest Rate/Security Price 1
Mar. 31, 2017
June 30, 2017
Sept. 30, 2017
Dec. 31, 2017
Mar. 31, 2018
Mar. 31, 2018
vs
Dec. 31, 2017
LIBOR:
1Month
0.98%
1.22%
1.23%
1.56%
1.88%
+0.32
bps3Month
1.15%
1.30%
1.33%
1.69%
2.31%
+0.62
bps6Month
1.42%
1.45%
1.51%
1.84%
2.45%
+0.61
bps$U.S. Treasury Security Rate:
2Year U.S. Treasury
1.26%
1.38%
1.48%
1.89%
2.27%
+0.38
bps3Year U.S. Treasury
1.50%
1.55%
1.61%
1.98%
2.39%
+0.41
bps5Year U.S. Treasury
1.93%
1.89%
1.93%
2.21%
2.57%
+0.36
bps10Year U.S. Treasury
2.39%
2.30%
2.33%
2.41%
2.74%
+0.33
bps30Year U.S. Treasury
3.02%
2.84%
2.86%
2.74%
2.97%
+0.23
bps Interest Rate Swap Rate:
2Year Swap
1.62%
1.61%
1.73%
2.08%
2.58%
+0.50
bps3Year Swap
1.81%
1.74%
1.84%
2.17%
2.65%
+0.48
bps5Year Swap
2.06%
1.95%
2.00%
2.24%
2.71%
+0.47
bps10Year Swap
2.39%
2.27%
2.28%
2.40%
2.78%
+0.38
bps30Year Swap
2.65%
2.53%
2.52%
2.53%
2.82%
+0.29
bps( 30Year Fixed Rate Agency Price:
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AGNC Investment Corp.10Q
05/07/2018FINANCIAL CONDITION
March 31, 2018
December 31, 2017.&Investment Portfolio (Includes TBAs) 1Amortized Cost
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in millionsin millions (1)Note 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Margin!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
05/07/2018FINANCIAL CONDITION
March 31, 2018!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%~
~
: ~
47%101.2%
2.98%
2.13%~
9%3.0%~
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39%102.1%
3.50%
2.38%~
9%3.5%~
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3.98%
2.38%~
10%4.0%~
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2.68%~
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4.87%
3.01%~
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~
^ ~
55%102.7%
3.75%
2.42%~
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? 3.0%~
~
~
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99.4%
3.55%
3.10%~
8%3.5%~
~
~
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4.05%
3.00%~
10%4.0%~
~
~
74%103.9%
4.47%
3.16%~
10%4.5%~
~
~
99%106.5%
4.90%
2.96%~
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~
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5.95%
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~
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4.06%
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in millionsin millions (1)Note 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Margin!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
05/07/2018FINANCIAL CONDITION
December 31, 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
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WAC 3
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Age (Months)
CPR 4
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/~
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05/07/2018FINANCIAL CONDITION
March 31, 2018
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AGNC Investment Corp.10Q
05/07/2018Selected Financial Data 1
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AGNC Investment Corp.10Q
05/07/2018Selected Financial Data
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AGNC Investment Corp.10Q
05/07/2018Selected Financial Data
$
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05/07/20181)Economic Interest Income and Asset Yields
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05/07/2018=5Economic Interest Expense and Aggregate Cost of Funds
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05/07/2018'Liquidity and Capital Resources
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05/07/2018=5Economic Interest Expense and Aggregate Cost of Funds
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05/07/2018=5Economic Interest Expense and Aggregate Cost of Funds
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in millionsin millions (1)Note 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)Net Interest Margin!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
05/07/2018=5Economic Interest Expense and Aggregate Cost of Funds
$
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in millionsin millions (1)Note 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
05/07/2018Net Interest Margin
$
Three Months Ended March 31,4,Investment and TBA Securities  Net Interest~
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in millionsin millions (1)Note 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Margin!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
05/07/2018)!Net Spread and Dollar Roll Income
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AGNC Investment Corp.10Q
05/07/20181)Gain (Loss) on Investment Securities, Net
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in millionsin millions (1)Note 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Margin!Net Spread and Dollar Roll Inco!Gain Loss on Investment SecuritEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
05/07/2018G?Gain (Loss) on Derivative Instruments and Other Securities, Net
$
Three Months Ended March 31,~
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in millionsin millions (1)Note 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Margin!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
05/07/2018 Estimated Taxable Income
$
Three Months Ended March 31,~
~
Net income~
~
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"Estimated book to tax differences:
!Premium amortization, net~
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Realized gain/loss, net~
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Other~
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in millionsin millions (1)Note 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Margin!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
05/07/2018 Estimated Taxable Income
$
Dividends Declared per Share
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March 31, 2018
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AGNC Investment Corp.10Q
05/07/2018Debt Capital
March 31, 2018
December 31, 2017Mortgage BorrowingsAmount % Amount
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~
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in millionsin millions (1)Note 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Margin!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalInterest Rate Risk
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AGNC Investment Corp.10Q
05/07/2018Repurchase Agreements
March 31, 2018CounterParty Region!Number of CounterParties3+Percent of Agency RMBS Repurchase AgreementFunding
North America:
FICC~
35%
Other~
j44%Total North America~
n79%Europe~
:13%Asia~
8%
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AGNC Investment Corp.10Q
05/07/2018Interest Rate Risk #
Interest Rate Sensitivity 1&Percentage Change in ProjectedChange in Interest RateNet Interest Income 2Portfolio MarketTangible Net Asset
Value 3,4
Value 3,5As of March 31, 2018100 Basis Points
7.1%
0.1%
1.4%50 Basis Points
2.8%
+0.1%
+1.2%+50 Basis Points
+0.7%
0.4%
3.9%+100 Basis Points
+1.6%
1.0%
9.8%As of December 31, 2017100 Basis Points10.4%
1.0%
9.1%50 Basis Points
3.9%
0.2%
1.9%+50 Basis Points
+0.4%
0.2%
2.0%+100 Basis Points
+0.2%
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AGNC Investment Corp.10Q
05/07/2018Spread Risk
Spread Sensitivity 1&Percentage Change in ProjectedChange in MBS Spread PortfolioTangible Net Asset
Market
Value 2,4 Value 2,3As of March 31, 201825 Basis Points
+1.4%+13.4%10 Basis Points
+0.6%
+5.4%+10 Basis Points
0.6%
5.4%+25 Basis Points
1.4%13.4%As of December 31, 201725 Basis Points
+1.3%+12.6%10 Basis Points
+0.5%
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in millionsin millions (1)Note 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Margin!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financi (1)U }}y<
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AGNC Investment Corp.10Q
05/07/2018:2Item 6. Exhibits and Financial Statement Schedules
Exhibit No.
Description@2*AGNC Investment Corp. Amended and Restated
1
)Certificate of Incorporation, as amended,filed herewith.*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.*3.43+Certificate of Designations of 7.00% Series6.C FixedtoFloating Rate Cumulative Redeemable,$Preferred Stock, incorporated hereinDlocWK?'X1SYhP !"#$%&'()*+,./0123456789:;<=>? 5 by reference to Exhibit 3.5 of Form 8A (File!.!&No. 00134057), filed August 18, 2017.""#*3.53#+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.(()*4.12)*Instruments defining the rights of holders*4*,of securities: See Article IV of our Amended+2+*and Restated Certificate of Incorporation,,4,,as amended, incorporated herein by reference3+to Exhibit 3.1 of Form 10Q for the quarter.5.ended September 30, 2016 (File No. 00134057)//filed November 7, 2016.001*4.221*Instruments defining the rights of holders222*of securities: See Article VI of our Third303(Amended and Restated Bylaws, as amended,434+incorporated herein by reference to Exhibit58503.2 of Form 10Q for the quarter ended September646,30, 2016 (File No. 00134057) filed November777, 2016.889*4.3:92Form 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 November==7, 2016.>>?*4.46?.Specimen 7.750% Series B Cumulative RedeemableD l}eY0LQ9q.jY9@ABCDEFGHIJKLMN@1@)Preferred Stock Certificate, incorporatedA2A*herein by reference to Exhibit 4.1 of FormB4B,8A (File No. 00134057), filed May 7, 2014.CCD*4.51D)Specimen 7.00% Series C FixedtoFloatingE,E$Rate Cumulative Redeemable PreferredF.F&Stock Certificate, incorporated hereinG5Gby reference to Exhibit 4.1 of Form 8A (FileH.H&No. 00134057), filed August 18, 2017.IIJK$L____________________________1M)Created by Morningstar Document Research.0N(http://documentresearch.morningstar.com/"}9!b=PF0*8X>
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in millionsin millions (1)Note 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Margin!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }}C
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AGNC Investment Corp.10Q
05/07/2018:2Item 6. Exhibits and Financial Statement Schedules
*4.63
+Deposit Agreement relating to 7.750% Series0(B Cumulative Redeemable Preferred Stock,1)dated May 8, 2014, among American Capital
:
2Agency Corp., Computershare Inc. and Computershare3+Trust Company, N.A., jointly as depositary,3+incorporated herein by reference to Exhibit3+4.2 of Form 8K (File No. 00134057), filedMay 8, 2014.*4.7/'Form of Depositary Receipt representing:21/1,000th of a share of 7.750% Series B Cumulative,$Redeemable Preferred Stock (included4,as part of Exhibit 4.6), incorporated herein0(by reference to Exhibit A of Exhibit 4.2/'of Form 8K (File No. 00134057), filedMay 8, 2014.*4.82*Deposit Agreement relating to 7.00% Series6.C FixedtoFloating Rate Cumulative Redeemable/'Preferred Stock, dated August 22, 2017,2*among AGNC Investment Corp., Computershare%Inc. and Computershare Trust Company,DlocWK?'_L(G`H} !"#$%&'()*+,./0123456789:;<=>? 1 )N.A., jointly as depositary, incorporated!2!*herein by reference to Exhibit 4.2 of Form"1")8K (File No. 00134057) filed August 22,#~
#$$%*4.9/%'Form of Depositary Receipt representing&@&81/1,000th of a share of 7.00% Series C FixedtoFloating','$Rate Cumulative Redeemable Preferred(0((Stock (included as part of Exhibit 4.8),)3)+incorporated herein by reference to Exhibit*9*1A of Exhibit 4.2 of Form 8K (File No. 00134057)++filed August 22, 2017.,,?@7/Certification of CEO Pursuant to Section 302(a).*."of the SarbanesOxley Act of 2002.//0333333?@70/Certification of CFO Pursuant to Section 302(a)1*1"of the SarbanesOxley Act of 2002.22~
303(Certification of CEO and CFO Pursuant to404(Section 906 of the SarbanesOxley Act of5~
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