> ./01234 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#܈ ~~83ffff̙̙3f3fff3f3f33333f33yAGNC INVESTMENT CORP=Bethesda Maryland 20814R*TABLE OF CONTENTS";CONSOLIDATED BALANCE SHEETS&_CONSOLIDATED STATEMENTS OF COMP&VCONSOLIDATED STATEMENT OF STOCK&jCONSOLIDATED STATEMENTS OF CASH#&Note 4 Investment Securities#&Note 4 Investment Securi (1)#*Note 4 Investment Securi (2)#
WNote 4 Investment Securi (3)#+oNote 4 Investment Securi (4)#Note 4 Investment Securi (5)&+Gains and Losses on Sale of Inv&*Gains and Losses on Sale of (1)(Repurchase Agreements&Derivative and Other Hedging In&Derivative and Other Hedgin (1)&Derivative and Other Hedgin (2)&4Derivative and Other Hedgin (3)&HDerivative and Other Hedgin (4)&]Derivative and Other Hedgin (5)&Gain Loss From Derivative Instr&ѣGain Loss From Derivative I (1)&Assets Pledged to Counterpartie&Assets Pledged to Counterpa (1)&[Assets Pledged to Counterpa (2)&Assets Pledged from Counterpart&Offsetting Assets and Liabiliti&7Offsetting Assets and Liabi (1)%VNote 8 Fair Value Measurements&F{Note 9 Net Income Per Common Sh&Accumulated Other Comprehensive'Market InformationFINANCIAL CONDITION]FINANCIAL CONDITION (1)+FINANCIAL CONDITION (2),]FINANCIAL CONDITION (3)HuSelected Financial Data"}Selected Financial Data (1)"ƪSelected Financial Data (2)&Economic Interest Income and As&Economic Interest Expense and A&lLiquidity and Capital Resources& Economic Interest Expense a (1)&:Economic Interest Expense a (2)&QEconomic Interest Expense a (3)jNet Interest Spread&Net Spread and Dollar Roll Inco&Gain Loss on Investment Securit&Gain Loss on Derivative InstrumJEstimated Taxable Income#Estimated Taxable Income (1)Debt Capital #Repurchase Agreements (1)h3Interest Rate RiskGSpread Risk
l
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8Bethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 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 Inv!Gains and Losses on Sale of (1)Repurchase 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!Gain Loss From Derivative I (1)!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 Spread!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 RiskU }%}$ }
AGNC Investment Corp.10Q
11/05/2018AGNC INVESTMENT CORP.
Delaware
261701984'(State or Other Jurisdiction of(I.R.S. Employer&Incorporation or Organization)Identification No.)
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/(Tth\8ZNB=PF0*8X>
@
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPTABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread RiskU }U}$}6}}$
AGNC Investment Corp.10Q
11/05/2018 Bethesda, Maryland 20814
Large accelerated filer
?
Accelerated filer
?Nonaccelerated filer ?5(Do not check if a smaller reporting company)!Smaller Reporting Company ?
Emerging growth company ?$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/,}qeY{RF:=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814CONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread RiskU }y
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AGNC Investment Corp.10Q
11/05/2018TABLE OF CONTENTS
PART I.
FINANCIAL INFORMATION
Item 1.Financial Statements~
Item 2.,$Management's Discussion and Analysis~
j
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~
$____________________________1)Created by Morningstar Document Research.Dlxl`
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread RiskU }7}$
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AGNC Investment Corp.10Q
11/05/2018#CONSOLIDATED BALANCE SHEETS
September 30, 2018
December 31, 2017(Unaudited)Assets:3
+Agency securities, at fair value (including~
"L
~
Jc
2*pledged securities of $67,889 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 (including pledged securities of!$44 and $0, respectively),$NonAgency securities, at fair value~
~
/'U.S. Treasury securities, at fair value~
0((including pledged securities of $45 and$0, respectively)%REIT equity securities, at fair value ~
v!Cash and cash equivalents~
~
ZRestricted cash~
"~
( Derivative assets, at fair value~
r~
6,$Receivable for investment securities~
2 %sold (including pledged securities ofD
lznbVh1k)b/o !"#$%&'()*+,./0123456789:;<=>?" $443 and $0, respectively)6!.Receivable under reverse repurchase agreements~
!!!~
!F!0"(Goodwill and other intangible asset, net~
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##$Total assets~
$$$~
$K$%Liabilities:%%%&Repurchase agreements~
&&&~
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***~
*r*+Dividends payable~
+~++~
+B+0,(Obligation to return securities borrowed~
,,,~
,,,$under reverse repurchase agreements,.
at fair value./&Accounts payable and other liabilities~
/*
//~
//0Total liabilities~
000~
001Stockholders' equity:1112%7.750% Series B Cumulative Redeemable~
222~
22.3&Preferred Stock (aggregate liquidation4preference of $175).5&7.000% Series C FixedtoFloating Rate~
555~
556%Cumulative Redeemable Preferred Stock,7$(aggregate liquidation preference of~
839+Common stock  $0.01 par value; 900 and 600~
999~
99.:&shares authorized, respectively; 477.80;(and 391.3 shares issued and outstanding,<respectively"=Additional paidin capital~
===~
==>Retained deficit~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread RiskU }6}$
9
AGNC Investment Corp.10Q
11/05/20187/CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
(
Three Months Ended September 30,
'
Nine Months Ended September 30,~
~
~
~
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Interest income~
~
~
~
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~
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~
zNet interest income~
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zOther operating expense~
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*////////// /
///
///////////////////AGNC Investment Corp.10Q
11/05/20186.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
PaidinDeficit
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Amount
Income (Loss)"Balance, December 31, 2016~
~
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AGNC Investment Corp.10Q
11/05/2018%CONSOLIDATED STATEMENTS OF CASH FLOWS
'
Nine Months Ended September 30,~
~
Operating activities:
Net income~
~
.&Adjustments to reconcile net income to2*net cash provided by operating activities:.&Amortization of premiums and discounts~
~
j*"on mortgagebacked securities, net)!Amortization of intangible assets~
f~
Stockbased compensation~
~
.&Loss on sale of investment securities,~
~
net0(Unrealized loss on investment securities~
R~
2*measured at fair value through net income,net%(Gain) loss on derivative instruments~
~
:!and other securities, net+#(Increase) decrease in other assets~
~
.&Increase in accounts payable and other~
z~
~accrued liabilities1)Net cash provided by operating activities~
"
~
Investing activities:D!
lpdXL8 !"#$%&'()*+,./0123456789:;<=>?6 .Purchases of Agency mortgagebacked securities~
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Ƌ 8!0Purchases of credit risk transfer and nonAgency~
!!!~
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securities4#,Proceeds from sale of Agency mortgagebacked~
#h##~
#:#$
securities2%*Proceeds from sale of credit risk transfer~
%%%~
%%!&and nonAgency securities7'/Principal collections on Agency mortgagebacked~
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))!*and nonAgency securities,+$Payments on U.S. Treasury securities~
+Ɛ++~
+Z+.,&Proceeds from U.S. Treasury securities~
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B0.(Net proceeds from derivative instruments~
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..7//Net proceeds from (payments on) other investing~
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//0activity1%Net cash used in investing activities~
111~
1֟12Financing activities:2223%Proceeds from repurchase arrangements~
3TO33~
33)4!Payments on repurchase agreements~
444~
4w435+Payments on Federal Home Loan Bank advances 555~
5516)Payments on debt of consolidated variable~
666~
667interest entities38+Net proceeds from preferred stock issuances 888~
88.9&Payment for preferred stock redemption 999~
9N90:(Net proceeds from common stock issuances~
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;;;~
;;1<)Net cash provided by financing activities~
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11/05/2018%Note 4. Investment Securities
September 30, 2018
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11/05/2018%Note 4. Investment Securities
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11/05/2018%Note 4. Investment Securities
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11/05/2018%Note 4. Investment Securities
September 30, 2018
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11/05/2018%Note 4. Investment Securities
September 30, 2018
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11/05/2018%Note 4. Investment Securities
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11/05/201891Gains and Losses on Sale of Investment Securities
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11/05/201891Gains and Losses on Sale of Investment Securities
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11/05/2018Repurchase Agreements
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11/05/2018SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 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 Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!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!Gain Loss From Derivative I (1)!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 Spread!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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11/05/2018SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
September 30, 2018
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AGNC Investment Corp.10Q
11/05/2018SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
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11/05/2018SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
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11/05/2018SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
U.S. Treasury Futures
September 30, 2018
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11/05/2018SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
September 30, 2018
December 31, 2017 TBA Securities by CouponNotionalCost
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11/05/2018IAGain (Loss) From Derivative Instruments and Other Securities, Net
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11/05/2018IAGain (Loss) From Derivative Instruments and Other Securities, Net
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11/05/2018( Assets Pledged to Counterparties
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Total Agency RMBS  fair value~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 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 Inv!Gains and Losses on Sale of (1)Repurchase 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!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!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 Spread!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
11/05/2018( Assets Pledged to Counterparties
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 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 Inv!Gains and Losses on Sale of (1)Repurchase 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!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!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 Spread!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
11/05/2018( Assets Pledged to Counterparties
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 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 Inv!Gains and Losses on Sale of (1)Repurchase 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!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!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 Spread!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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11/05/2018*"Assets Pledged from Counterparties
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 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 Inv!Gains and Losses on Sale of (1)Repurchase 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!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!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 Spread!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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11/05/2018)!Offsetting Assets and Liabilities
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 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 Inv!Gains and Losses on Sale of (1)Repurchase 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!Gain Loss From Derivative I (1)!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 Spread!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
11/05/2018'Note 8. Fair Value Measurements
September 30, 2018
December 31, 2017Level 1Level 2
Level 3
Level 1Level 2Level 3Assets:
Agency securities
$
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$
$
~
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$
5Agency securities transferred to consolidated ~

~
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11/05/2018+#Note 9. Net Income Per Common Share
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11/05/20185Accumulated Other Comprehensive Income (Loss)
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 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 Inv!Gains and Losses on Sale of (1)Repurchase 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!Gain Loss From Derivative I (1)!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 ComprehensiveFINANCIAL 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 Spread!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
11/05/2018Market Information
&
Interest Rate/Security Price 1
Sept. 30, 2017
Dec. 31, 2017
Mar. 31, 2018
June 30, 2018
Sept. 30, 2018
Sept. 30, 2018
Sept. 30, 2018
vs
vs
June 30, 2018
Dec. 31, 2017
LIBOR:
1Month
1.23%
1.56%
1.88%
2.09%
2.26%
+0.17
bps
+0.70bps3Month
1.33%
1.69%
2.31%
2.34%
2.40%
+0.06
bps
+0.71bps$U.S. Treasury Security Rate:
2Year U.S. Treasury
1.48%
1.89%
2.27%
2.53%
2.82%
+0.29
bps
+0.93bps5Year U.S. Treasury
1.93%
2.21%
2.57%
2.73%
2.95%
+0.22
bps
+0.74bps10Year U.S. Treasury
2.33%
2.41%
2.74%
2.85%
3.06%
+0.21
bps
+0.65bps30Year U.S. Treasury
2.86%
2.74%
2.97%
2.98%
3.20%
+0.22
bps
+0.46bps Interest Rate Swap Rate:
2Year Swap
1.73%
2.08%
2.58%
2.79%
2.99%
+0.20
bps
+0.91bps5Year Swap
2.00%
2.24%
2.71%
2.88%
3.07%
+0.19
bps
+0.83bps10Year Swap
2.28%
2.40%
2.78%
2.93%
3.12%
+0.19
bps
+0.72bps30Year Swap
2.52%
2.53%
2.82%
2.93%
3.13%
+0.20
bps
+0.60bps( 30Year Fixed Rate Agency Price:
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AGNC Investment Corp.10Q
11/05/2018FINANCIAL CONDITION
September 30, 2018
December 31, 2017.&Investment Portfolio (Includes TBAs) 1Amortized Cost
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 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 Inv!Gains and Losses on Sale of (1)Repurchase 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!Gain Loss From Derivative I (1)!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 Spread!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
11/05/2018FINANCIAL CONDITION
September 30, 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%~
~
B ~
59%101.2%
2.98%
2.11%~
9%3.0%~
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59%101.8%
3.51%
2.44%~
9%3.5%~
RH~
vI ~
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41%102.5%
4.02%
2.80%~
9%4.0%~
'~
6( ~
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39%103.5%
4.46%
2.95%~
9%4.5%~
~
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98%104.1%
4.87%
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~
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6.56%
4.57%~
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~
: ~
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3.78%
2.60%~
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3.37%~
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3.34%~
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4.46%
3.20%~
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3.59%
2.96%~
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4.05%
3.03%~
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AGNC Investment Corp.10Q
11/05/2018FINANCIAL 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
Cost Basis
WAC 3
Yield 4
Age (Months)
CPR 4
Fixed rate
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? 2.5%~
/~
/ ~
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32%101.2%
2.98%
2.13%~
9%3.0%~
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4.05%
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~
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4.54%
2.96%~
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99%106.5%
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2.95%~
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4.02%
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 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 Inv!Gains and Losses on Sale of (1)Repurchase 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!Gain Loss From Derivative I (1)!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)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 Spread!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
11/05/2018FINANCIAL CONDITION
September 30, 2018
December 31, 20172*CRT and NonAgency Security Credit RatingsCRTRMBS
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AGNC Investment Corp.10Q
11/05/2018Selected Financial Data 1
)($ in Millions, Except Per Share Amounts)
Balance Sheet DataSeptember 30, 2018December 31, 2017,$Investment securities, at fair value~
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AGNC Investment Corp.10Q
11/05/2018Selected Financial Data
(
Three Months Ended September 30,
'
Nine Months Ended September 30,.&Statement of Comprehensive Income Data~
~
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AGNC Investment Corp.10Q
11/05/2018Selected Financial Data
(
Three Months Ended September 30,
'
Nine Months Ended September 30, Other Data (Unaudited) *~
~
~
~
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~
~
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~
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~
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~
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~
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~
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~
~
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>x1)Average tangible net book value "at risk"
8.5:1
7.9:1
8.2:1
7.9:1
leverage 52*Tangible net book value "at risk" leverage
8.2:1
8.0:1
8.2:1
8.0:1(as of period end) 62*Economic return on tangible common equity,ffffff? %ffffff@ %ٿ %
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 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 Inv!Gains and Losses on Sale of (1)Repurchase 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!Gain Loss From Derivative I (1)!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 Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!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
11/05/20181)Economic Interest Income and Asset Yields
(
Three Months Ended September 30,
'
Nine Months Ended September 30,~
~
~
~
Amount
YieldAmount
YieldAmount
YieldAmount
Yield
Interest income:
#Cash/coupon interest income~
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11/05/2018=5Economic Interest Expense and Aggregate Cost of Funds
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11/05/2018=5Economic Interest Expense and Aggregate Cost of Funds
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11/05/2018Net Interest Spread
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11/05/2018)!Net Spread and Dollar Roll Income
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11/05/2018G?Gain (Loss) on Derivative Instruments and Other Securities, Net
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11/05/2018 Estimated Taxable Income
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 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 Inv!Gains and Losses on Sale of (1)Repurchase 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!Gain Loss From Derivative I (1)!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 Spread!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
11/05/2018 Estimated Taxable Income
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AGNC Investment Corp.10Q
11/05/2018Debt Capital
September 30, 2018
December 31, 2017Mortgage BorrowingsAmount % Amount
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 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 Inv!Gains and Losses on Sale of (1)Repurchase 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!Gain Loss From Derivative I (1)!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 Spread!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
11/05/2018Repurchase Agreements
September 30, 2018CounterParty Region!Number of CounterParties3+Percent of Agency RMBS Repurchase AgreementFunding
North America:
FICC~
37%
Other~
j42%Total North America~
n79%Europe~
:14%Asia~
7%
Total~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 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 Inv!Gains and Losses on Sale of (1)Repurchase 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!Gain Loss From Derivative I (1)!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 Spread!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)
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AGNC Investment Corp.10Q
11/05/2018Interest Rate Risk #
Interest Rate Sensitivity 1&Percentage Change in ProjectedChange in Interest RateNet Interest Income 2Portfolio MarketTangible Net Book
Value 3,4
Value 3,5 As of September 30, 2018100 Basis Points
+8.2%
+0.3%
+3.0%50 Basis Points
+4.8%
+0.3%
+3.2%+50 Basis Points
5.6%
0.6%
5.7%+100 Basis Points11.5%
1.4%13.2%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
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 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 Inv!Gains and Losses on Sale of (1)Repurchase 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!Gain Loss From Derivative I (1)!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 Spread!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 RiskU }}$ }}$ }0
AGNC Investment Corp.10Q
11/05/2018Spread Risk
Spread Sensitivity 1&Percentage Change in ProjectedChange in MBS Spread PortfolioTangible Net Book
Market
Value 2,4 Value 2,3 As of September 30, 201825 Basis Points
+1.5%+14.0%10 Basis Points
+0.6%
+5.6%+10 Basis Points
0.6%
5.6%+25 Basis Points
1.5%14.0%As of December 31, 201725 Basis Points
+1.3%+12.6%10 Basis Points
+0.5%
+5.0%+10 Basis Points
0.5%
5.0%+25 Basis Points
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