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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 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 Loss Per CommPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 RiskExtension Risk
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AGNC Investment Corp.10Q
08/05/2019FINANCIAL CONDITION
June 30, 2019
December 31, 2018.&Investment Portfolio (Includes TBAs) 1Amortized Cost
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 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 Loss Per CommPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 RiskExtension Risk
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AGNC Investment Corp.10Q
08/05/2019FINANCIAL CONDITION
June 30, 2019!Includes Net TBA Position!Excludes Net TBA Position1)Fixed Rate Agency RMBS and TBA Securities Par Value Amortized
Fair Value
Specified Pool % 1 AmortizedWeighted AverageProjected Life
Cost
Cost Basis
WAC 2
Yield 3
Age (Months)
CPR 3
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2.5%~
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^ ~
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3.51%
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 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 Loss Per CommPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 RiskExtension Risk
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AGNC Investment Corp.10Q
08/05/2019FINANCIAL CONDITION
December 31, 2018!Includes Net TBA Position!Excludes Net TBA Position1)Fixed Rate Agency RMBS and TBA Securities Par Value Amortized
Fair Value
Specified Pool % 1 AmortizedWeighted AverageProjected Life
Cost
Cost Basis
WAC 2
Yield 3
Age (Months)
CPR 3
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 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 Loss Per CommPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 RiskExtension Risk
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AGNC Investment Corp.10Q
08/05/2019FINANCIAL CONDITION
June 30, 2019
December 31, 20182*CRT and NonAgency Security Credit RatingsCRTRMBS
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 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 Loss Per CommPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Income Statement (1)Selected Financial Data!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 RiskExtension Risk
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AGNC Investment Corp.10Q
08/05/2019
Balance Sheet 1
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Balance Sheet Data
June 30, 2019December 31, 2018,$Investment securities, at fair value~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 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 Loss Per CommPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Selected Financial Data!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 RiskExtension Risk
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AGNC Investment Corp.10Q
08/05/2019Income Statement
#
Three Months Ended June 30,
!
Six Months Ended June 30,.&Statement of Comprehensive Income Data~
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 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 Loss Per CommPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)!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 RiskExtension Risk
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AGNC Investment Corp.10Q
08/05/2019Selected Financial Data
#
Three Months Ended June 30,
!
Six Months Ended June 30, Other Data (Unaudited) *~
~
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8.0:1
9.7:1
8.1:1
leverage 52*Tangible net book value "at risk" leverage
9.8:1
8.3:1
9.8:1
8.3:1(as of period end) 61)Economic return on tangible common equity %333333? %
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Balance SheetIncome StatementShareholders Equity
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08/05/20191)Economic Interest Income and Asset Yields
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08/05/2019=5Economic Interest Expense and Aggregate Cost of Funds
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 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 Loss Per CommPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!Economic Interest Income and As!Economic Interest Expense and A!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 RiskExtension Risk
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08/05/2019'Liquidity and Capital Resources
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08/05/2019=5Economic Interest Expense and Aggregate Cost of Funds
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08/05/2019=5Economic Interest Expense and Aggregate Cost of Funds
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08/05/2019=5Economic Interest Expense and Aggregate Cost of Funds
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08/05/2019Net Interest Spread
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Balance SheetIncome StatementShareholders Equity
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08/05/2019)!Net Spread and Dollar Roll Income
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Balance SheetIncome StatementShareholders Equity
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08/05/20191)Gain (Loss) on Investment Securities, Net
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 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 Loss Per CommPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 SecuritEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
Spread RiskU }:}$
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AGNC Investment Corp.10Q
08/05/2019G?Gain (Loss) on Derivative Instruments and Other Securities, Net
#
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 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 Loss Per CommPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 InstrumDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
Spread RiskU }U5}$
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AGNC Investment Corp.10Q
08/05/2019 Estimated Taxable Income
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 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 Loss Per CommPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 IncomeRepurchase Agreements (1)Interest Rate RiskExtension Risk
Spread RiskU }0.}$ }$}$}$ }
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AGNC Investment Corp.10Q
08/05/2019Debt Capital
June 30, 2019
December 31, 2018Mortgage BorrowingsAmount % Amount
%Repurchase agreements 1~
1~
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&Debt of consolidated variable interest
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~
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%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/2}qeW
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalInterest Rate RiskExtension Risk
Spread RiskU }}$ }}$ }a/
AGNC Investment Corp.10Q
08/05/2019Repurchase Agreements
June 30, 2019CounterParty Region!Number of CounterParties/'Percent of Repurchase Agreement FundingNorth America:
FICC
~
40%
Other~
n40%Total North America~
r80%Europe~
:14%Asia~
6%
Total~
100%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/4%th\ _6dXL$=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 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 Loss Per CommPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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)Extension Risk
Spread RiskU }U}$ }2}$ }$4}$ }2}$ }$4
AGNC Investment Corp.10Q
08/05/2019Interest Rate Risk %
Interest Rate Sensitivity 1,2
June 30, 2019December 31, 2018Change in Interest Rate2*Estimated Change in Portfolio Market Value3+Estimated Change in Tangible Net Book Value2*Estimated Change in Portfolio Market Value3+Estimated Change in Tangible Net Book Value
Per Common Share
Per Common Share100 Basis Points
1.0%11.7%
0.7%
7.3%50 Basis Points
0.3%
3.9%
0.1%
1.0%+50 Basis Points
0.1%
1.4%
0.3%
3.1%+100 Basis Points
0.7%
8.6%
0.9%
9.3%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/2wk_pC%th\4=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 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 Loss Per CommPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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
Spread RiskU }}$ }$}$ }$}$ }$}$ }$
AGNC Investment Corp.10Q
08/05/2019Extension Risk #
Interest Rate Sensitivity 1
June 30, 2019December 31, 2018Change in Interest Rate&Weighted Average Projected CPR&Weighted Average Asset Yield 2&Weighted Average Projected CPR&Weighted Average Asset Yield 2
100 Basis Points
21.6%
2.88%
14.1%
3.15%50 Basis Points
17.0%
3.03%
10.3%
3.25%! Actual as of Period End
12.4%
3.21%7.9%
3.31%+50 Basis Points8.9%
3.29%6.5%
3.33%+100 Basis Points6.9%
3.35%5.7%
3.38%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/2{ocv{Z4e=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension RiskU }}$ }2}$ }$4}$ }2}$ }$4
AGNC Investment Corp.10Q
08/05/2019Spread Risk
Spread Sensitivity 1,2
June 30, 2019December 31, 2018Change in MBS Spread2*Estimated Change in Portfolio Market Value3+Estimated Change in Tangible Net Book Value2*Estimated Change in Portfolio Market Value3+Estimated Change in Tangible Net Book Value
Per Common Share
Per Common Share25 Basis Points
+1.1%+12.5%
+1.4%+14.3%10 Basis Points
+0.4%
+5.0%
+0.6%
+5.7%+10 Basis Points
0.4%
5.0%
0.6%
5.7%+25 Basis Points
1.1%12.5%
1.4%14.3%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/2~rf~T6xlD=PF0*8X>
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