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Balance Sheet^Income StatementShareholders Equity
Cash Flows#tNote 4 Investment SecuritiesNote 4 Investment (1)Note 4 Investment (2);Note 4 Investment (3)&PNote 4 Investment (4)ZhNote 4 Investment (5)&wz 13Gains and Losses on Sale of 14Repurchase Agreements&]Derivative and Other Hedging In 7Derivative and Other (1) Derivative and Other (2) =Derivative and Other (3) Derivative and Other (4) !Derivative and Other (5)&NGain Loss From Derivative Instr%hGain Loss From Derivative (1)%XGain Loss From Derivative (2)& 19Assets Pledged to Counterpar 19Assets Pledged to (1) ؼ 19Assets Pledged to (2)&HAssets Pledged from Counterpart&Offsetting Assets and Liabiliti!Offsetting Assets and (1)* &ONote 9 Net Income Loss Per Comm&x_ 25Accumulated Other Comprehens t 25Accumulated Other (1)IMarket InformationjMarket Informat (1)Market Informat (2)
Market Informat (3)>Market Informat (4)SBalance Sheet (1)@eIncome Statemen (1)%TItem 6 Selected Financial Data& 35Interest Income and Asset Yi" 35Interest Income and (1)߿Leverage&9Interest Expense and Cost of Fu%?Interest Expense and Cost (1)%Interest Expense and Cost (2)%
Interest Expense and Cost (3)& 38Net Spread and Dollar Roll I&B8Gain Loss on Sale of Investment&CH 39 Gain Loss on Derivative Ins$b 40Dividends and Income Taxes#.{ 40Dividends and Income (1)& 41Other Comprehensive Income LGDebt Capital[Repurchase Agreements5Interest Rate RiskMSpread Risk&?Item 6 Exhibits and Financial S
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 2 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment (1)Note 4 Investment (2)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2)! 19Assets Pledged to Counterpar 19Assets Pledged to (1) 19Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens 25Accumulated Other (1)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi 35Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }%}$ }
AGNC Investment Corp.10Q
05/08/2017Washington, D.C. 20549
Delaware
261701984'(State or Other Jurisdiction of(I.R.S. Employer&Incorporation or Organization)Identification No.)
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/(Tsg[7YMA=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment (1)Note 4 Investment (2)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2)! 19Assets Pledged to Counterpar 19Assets Pledged to (1) 19Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens 25Accumulated Other (1)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi 35Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }U}$}6}}$
AGNC Investment Corp.10Q
05/08/2017Washington, D.C. 20549
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/,sg[}TH<=PF0*8X>
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment (1)Note 4 Investment (2)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2)! 19Assets Pledged to Counterpar 19Assets Pledged to (1) 19Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens 25Accumulated Other (1)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi 35Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }y
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AGNC Investment Corp.10Q
05/08/2017TABLE OF CONTENTS
PART I.
FINANCIAL INFORMATION
Item 1.Financial Statements~
Item 2.,
$Management's Discussion and Analysis~
n80of Financial Condition and Results of OperationsItem 3.0(Quantitative and Qualitative Disclosures~
About Market RiskItem 4.Controls and Procedures~
PART II.OTHER INFORMATIONItem 1.Legal Proceedings~
Item 1A.Risk Factors~
Item 2./'Unregistered Sales of Equity Securities~
and Use of ProceedsItem 3.'Defaults upon Senior Securities~
Item 4.Mine Safety Disclosures~
Item 5.Other Information~
Item 6.Exhibits~
Signatures~
Dlxl`
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 2 (1)TABLE OF CONTENTSIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment (1)Note 4 Investment (2)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2)! 19Assets Pledged to Counterpar 19Assets Pledged to (1) 19Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens 25Accumulated Other (1)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi 35Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }I;}$
F
AGNC Investment Corp.10Q
05/08/2017
Balance Sheet
March 31, 2017
December 31, 2016(Unaudited)Assets:3
+Agency securities, at fair value (including~
B
~
F
2*pledged securities of $41,587 and $43,943,
respectively)5Agency securities transferred to consolidated~
&~
1)variable interest entities, at fair value(pledged securities)7/NonAgency securities, at fair value (including~
~~
7/pledged securities of $0 and $90, respectively)0(Credit risk transfer securities, at fair~
~
value/'U.S. Treasury securities, at fair value ?~
/'(including pledged securities of $0 and$173, respectively)!Cash and cash equivalents~
~
,$Restricted cash and cash equivalents~
n~
*( Derivative assets, at fair value~
6~
1)Receivable for securities sold (including~
~
V91pledged securities of $537 and $21, respectively)6.Receivable under reverse repurchase agreements~
2~
xD=
lpdzC}4tKo !"#$%&'()*+,./0123456789:;<=>? %Goodwill and other intangible assets,~
~
!net"Other assets~
"B""~
">"#Total assets~
#x##~
#x#$Liabilities:$$$%Repurchase agreements~
%>g%%~
%O%'&Federal Home Loan Bank advances &?&&~
&v/&.'&Debt of consolidated variable interest~
'''~
'2'(entities, at fair value() Payable for securities purchased~
)
)) )?)*%Derivative liabilities, at fair value~
***~
**+Dividends payable~
+
++~
+
+0,(Obligation to return securities borrowed~
,b,,~
,Rw,,$under reverse repurchase agreements,
.at/
fair value.0&Accounts payable and other liabilities~
000~
0N01Total liabilities~
1*11~
112Stockholders' equity:222/3'Preferred stock  $0.01 par value; 10.03334shares authorized:5%Redeemable Preferred Stock; $0.01 par~
5B55~
5B506(value; 6.9 shares issued and outstanding,7$(aggregate liquidation preference of~
8r29*Common stock  $0.01 par value; 600 shares999:authorized;+;#331.0 shares issued and outstanding~
;;;~
;;"<Additional paidin capital~
<2<<~
<2<=Retained deficit~
===~
==,>$Accumulated other comprehensive loss~
>>>~
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?q??~
?r?D1l(3W4XWI3d9mV%@ABCDE2@*Total liabilities and stockholders' equity~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 2 (1)TABLE OF CONTENTS
Balance SheetShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment (1)Note 4 Investment (2)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2)! 19Assets Pledged to Counterpar 19Assets Pledged to (1) 19Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens 25Accumulated Other (1)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi 35Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }2}$
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AGNC Investment Corp.10Q
05/08/2017Income Statement
$
Three Months Ended March 31,~
~
Interest income:
Interest income~
~
Interest expense~
~
Net interest income~
~
Other gain (loss), net:.&Loss on sale of investment securities,~
~
net0(Unrealized gain on investment securities~
B~
.2*measured at fair value through net income,net0(Loss on derivative instruments and other~
b~
Bsecurities, netManagement fee income~
?Total other loss, net:~
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~
Total operating expenses~
F~
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*B*+Comprehensive income~
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+2+#,Dividend on preferred stock~
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,,0(Comprehensive income available to common~
~
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Balance SheetIncome Statement
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment (1)Note 4 Investment (2)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2)! 19Assets Pledged to Counterpar 19Assets Pledged to (1) 19Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens 25Accumulated Other (1)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi 35Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }2}U}$ }
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*******************AGNC Investment Corp.10Q
05/08/2017Shareholders' Equity
Preferred Stock
Common Stock
Additional
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Accumulated
Total
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Comprehensive
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 2 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders EquityNote 4 Investment SecuritiesNote 4 Investment (1)Note 4 Investment (2)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2)! 19Assets Pledged to Counterpar 19Assets Pledged to (1) 19Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens 25Accumulated Other (1)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi 35Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }:}$
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AGNC Investment Corp.10Q
05/08/2017
Cash Flows
$
Three Months Ended March 31,~
~
Operating activities:
Net income (loss)~
2
~
0(Adjustments to reconcile net loss to net.&cash provided by operating activities:.&Amortization of premiums and discounts~
f~
Z*"on mortgagebacked securities, net7/Amortization of accumulated other comprehensive ?~
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?.&Loss on sale of investment securities,~
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net0(Unrealized gain on investment securities~
~
2*measured at fair value through net income,net0(Loss on derivative instruments and other~
~
securities, net Decrease in other assets~
~
J/'Increase (decrease) in accounts payable~
~
2%and other accrued liabilitiesD lsgZsY$&m^k !"#$%&'()*+,./0123456789:;<=>?1 )Net cash provided by operating activities~
~
!Investing activities:!!!6".Purchases of Agency mortgagebacked securities~
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"ڌ"8#0Purchases of credit risk transfer and nonAgency~
### #?#$
securities4%,Proceeds from sale of Agency mortgagebacked~
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securities2'*Proceeds from sale of credit risk transfer~
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securities5+Principal collections on credit risk transfer~
+++~
++!,and nonAgency securities%Purchases of U.S. Treasury securities~
~
v6..Proceeds from sale of U.S. Treasury securities~
....~
.!.5/Net payments on reverse repurchase agreements~
/b//~
/Z/.0&Net payments on derivative instruments~
000~
00'1Other investing cash flows, net~
1:11~
1~112)Net cash provided by investing activities~
2B22~
223Financing activities:3334%Proceeds from repurchase arrangements~
4F44~
4.4)5!Payments on repurchase agreements~
5W55~
5*l556Proceeds from Federal Home Loan Bank advances 6?66~
6 637+Payments on Federal Home Loan Bank advances~
777~
7
718)Payments on debt of consolidated variable~
888~
889interest entities:%Payments for common stock repurchases :?::~
:2:;Cash dividends paid~
;;;~
;;<%Net cash used in financing activities~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 2 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment (1)Note 4 Investment (2)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2)! 19Assets Pledged to Counterpar 19Assets Pledged to (1) 19Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens 25Accumulated Other (1)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi 35Interest Income and (1)
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Spread Risk!Item 6 Exhibits and Financial SU }a/}$
AGNC Investment Corp.10Q
05/08/2017%Note 4. Investment Securities
March 31, 2017
December 31, 2016Investment Securities Amortized
Fair Value
Amortized
Fair ValueCost
Cost
Agency RMBS:
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Balance SheetIncome StatementShareholders Equity
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05/08/2017%Note 4. Investment Securities
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Cash FlowsNote 4 Investment SecuritiesNote 4 Investment (1)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2)! 19Assets Pledged to Counterpar 19Assets Pledged to (1) 19Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens 25Accumulated Other (1)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi 35Interest Income and (1)
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05/08/2017%Note 4. Investment Securities
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05/08/2017%Note 4. Investment Securities
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05/08/2017%Note 4. Investment Securities
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05/08/2017<4 13Gains and Losses on Sale of Investment Securities
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05/08/2017 14Repurchase Agreements
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05/08/2017^V_____________________Gain (Loss) From Derivative Instruments and Other Securities, Net
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05/08/2017^V_____________________Gain (Loss) From Derivative Instruments and Other Securities, Net
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05/08/2017^V_____________________Gain (Loss) From Derivative Instruments and Other Securities, Net
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05/08/2017A9 19______________________Assets Pledged to Counterparties
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05/08/2017A9 19______________________Assets Pledged to Counterparties
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05/08/2017A9 19______________________Assets Pledged to Counterparties
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Interest Rate/Security Price 1
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June 30, 2016
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Mar. 31, 2017
vs
Dec. 31, 2016
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0.53%
0.77%
0.98%
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0.65%
0.85%
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1.15%
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0.59%
0.76%
1.20%
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0.70%
0.87%
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1.01%
1.15%
1.92%
1.93%
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1.49%
1.61%
2.43%
2.39%
0.04
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2.31%
2.33%
3.05%
3.02%
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0.74%
1.01%
1.46%
1.62%
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0.96%
0.81%
1.07%
1.68%
1.81%
+0.13
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0.99%
1.18%
1.96%
2.06%
+0.10
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1.38%
1.46%
2.32%
2.39%
+0.07
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1.84%
1.78%
2.57%
2.65%
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05/08/2017Market Information
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4.67%~
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~
~
2
67%103.1%
3.77%
2.40%~
10%20year
? 3.0%~
j~
b ~
v
30%
99.4%
3.55%
3.10%~
8%3.5%~
~
~
75%102.2%
4.06%
3.00%~
10%4.0%~
~
~
50%104.4%
4.54%
2.97%~
11%4.5%~
~
~
99%106.6%
4.89%
2.98%~
211%? 5.0%~
~
~
?%106.1%
5.92%
3.33%~
17%Total 20year:~
~
~
B
62%101.9%
4.03%
3.03%~
10%30year:
3.0%~
p~
&p ~
o
2%100.2%
3.58%
2.96%~
6%Dlwk_3T\0g< !"#$%&'()*+ 3.5% ~
^ ~
~
68% 105.1%
4.06%
2.79% ~
7%!4.0%!~
!!!~
!
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!
b!!
!51%!!106.9%!
!4.51%!
!2.98%!~
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!8%"4.5%"~
"""~
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&""
"87%""107.6%"
"4.97%"
"3.29%"~
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"8%#5.0%#~
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#
##
#65%##106.8%#
#5.45%#
#3.72%#~
###10%$? 5.5%$~
$$$~
$$$ ~
$
$$
$39%$$110.0%$
$6.20%$
$3.39%$~
$$$14%%
Total 30year%~
%ގ%%~
%ު%% ~
%
Τ%%
%51%%%105.3%%
%4.23%%
%2.91%%~
%%
%7%&Total fixed rate&~
&.h&&~
&&& ~
&
>&&
&55%&&104.6%&
&4.11%&
&2.78%&~
&&
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment (1)Note 4 Investment (2)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2)! 19Assets Pledged to Counterpar 19Assets Pledged to (1) 19Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens 25Accumulated Other (1)Market InformationMarket Informat (1)Market Informat (2)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi 35Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }1}
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AGNC Investment Corp.10Q
05/08/2017Market Information
December 31, 2016!Includes Net TBA Position!Excludes Net TBA Position1)Fixed Rate Agency RMBS and TBA Securities Par Value Amortized
Fair Value
'% Lower Loan Balance & HARP 1,2 AmortizedWeighted AverageProjected Life
Cost
Cost Basis
WAC 3
Yield 4
Age (Months)
CPR 4
Fixed rate
? 15year
? 2.5%~
6L~
FM ~
L
26%101.7%
2.96%
2.05%~
9%3.0%~
6~
7 ~
7
73%102.9%
3.50%
2.20%~
9%3.5%~
z3~
B5 ~
5
90%103.4%
3.95%
2.50%~
10%4.0%~
~)~
:+ ~
+
89%104.2%
4.40%
2.69%~
"11%4.5%~
v~
~
98%104.6%
4.87%
3.03%~
211%? 5.0%~
~
~
22%103.3%
6.63%
4.65%~
13%Total ? 15year~
~
~
65%103.1%
3.72%
2.37%~
10%20year
? 3.0%~
~
~ ~
31%
99.4%
3.55%
3.10%~
8%3.5%~
~
~
75%102.2%
4.06%
3.01%~
10%4.0%~
~
~
50%104.4%
4.54%
2.97%~
10%4.5%~
~
& ~
*
99%106.7%
4.90%
2.99%~
&11%? 5.0%~
~
~
?%106.3%
5.94%
3.33%~
17%Total 20year:~
J~
~
63%101.9%
4.03%
3.03%~
10%30year:
? 3.0%~
zs~
t ~
r
20%100.1%
3.57%
2.97%~
j
6%Dlwk_3Q*W+b7 !"#$%&'()*+ 3.5% ~
~
.
~
F
72% 105.4%
4.07%
2.75% ~
7%!4.0%!~
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!4.51%!
!2.92%!~
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"4.97%"
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#5.45%#
#3.73%#~
###10%$? 5.5%$~
$$$~
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$
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$38%$$110.0%$
$6.20%$
$3.40%$~
$$$14%%
Total 30year%~
%\%%~
%{%% ~
%
q%%
%56%%%105.4%%
%4.19%%
%2.86%%~
%%
%7%&Total fixed rate&~
&L&&~
&2r&& ~
&
vi&&
&58%&&104.6%&
&4.05%&
&2.73%&~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 2 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment (1)Note 4 Investment (2)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2)! 19Assets Pledged to Counterpar 19Assets Pledged to (1) 19Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens 25Accumulated Other (1)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi 35Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }+}$
AGNC Investment Corp.10Q
05/08/2017Market Information
March 31, 2017
December 31, 2016,$NonAgency Security Credit Ratings 1CRTRMBS
CMBS
CRTRMBSCMBSAAA
$?~
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$?
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 2 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment (1)Note 4 Investment (2)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2)! 19Assets Pledged to Counterpar 19Assets Pledged to (1) 19Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens 25Accumulated Other (1)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Income Statemen (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi 35Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }6}$
AGNC Investment Corp.10Q
05/08/2017
Balance Sheet 1
)($ in millions, except per share amounts)
Balance Sheet DataMarch 31, 2017December 31, 2016,$Investment securities, at fair value~
~
Total assets
~
x
~
x
0(Repurchase agreements, Federal Home Loan~
n~
.$Bank advances and other debtTotal liabilities~
*~
"Total stockholders' equity~
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment (1)Note 4 Investment (2)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2)! 19Assets Pledged to Counterpar 19Assets Pledged to (1) 19Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens 25Accumulated Other (1)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi 35Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }2}$
.
AGNC Investment Corp.10Q
05/08/2017Income Statement
$
Three Months Ended March 31,.&Statement of Comprehensive Income Data~
~
Interest income~
~
Interest expense 3
~
~
Net interest income~
~
Other loss, net 3~
^~
fOperating Expenses~
F~
Net income (loss)~
2~
#Dividend on preferred stock~
~
2*Net income (loss) available (attributable)~
~
to common stockholdersNet income (loss)~
2~
$Other comprehensive income 3~
~
B0(Comprehensive income available to common~
~
2stockholders#Dividend on preferred stock~
~
0(Comprehensive income available to common~
~
stockholders0(Weighted average number of common shares~
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment (1)Note 4 Investment (2)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2)! 19Assets Pledged to Counterpar 19Assets Pledged to (1) 19Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens 25Accumulated Other (1)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1)! 35Interest Income and Asset Yi 35Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }8}$ }$}$ }$
1
AGNC Investment Corp.10Q
05/08/2017'Item 6. Selected Financial Data
$
Three Months Ended March 31, Other Data (unaudited) *~
~
.&Average investment securities  at par~
~
/
'Average investment securities  at cost
~
~
F+#Average net TBA portfolio  at cost~
R~
B,$Average total assets  at fair value~
[~
v/'Average mortgage borrowings outstanding~
d~
~
&Average stockholders' equity 5~
:r~
yAverage coupon 6333333
@ %
ףp=
@ %Average asset yield 7q=
ףp@ %(\@ %Average cost of funds 8Gz %=
ףp= %( Average net interest rate spread333333? %(\? %3+Average net interest rate spread, including
ףp=
? %Gz? % TBA dollar roll income 9)!Average coupon (as of period end)\(\
@ %
ףp=
@ %.&Average asset yield (as of period end)p=
ף@ %(\@ %3+Average cost of funds (as of period end) 10333333 %ףp=
%/'Average net interest rate spread (as ofGz? %Gz? %period end)7/Economic return on common equity  unannualized333333? %? %~
.Dlvj^RNSEuvRG1 ! " # $ % & ' ( ) * + ,  . / 0 1 )Economic return on tangible common equity ? % N/A ! unannualized 12%"Average "at risk" leverage 13"
"7.2:1""
"7.0:1"1#)Average tangible net book value "at risk"#
#7.8:1###N/A#$leverage 150%("At risk" leverage (as of period end) 14%
%7.4:1%%
%7.3:1%2&*Tangible net book value "at risk" leverage&
&8.0:1&&&N/A&'(as of period end) 15*("Expenses % of average total assets((Q? (%((q=
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment (1)Note 4 Investment (2)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2)! 19Assets Pledged to Counterpar 19Assets Pledged to (1) 19Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens 25Accumulated Other (1)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data 35Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }0}$ }$}$ } }$} $ }
$}$ } }
$
AGNC Investment Corp.10Q
05/08/2017*" 35Interest Income and Asset Yield
$
Three Months Ended March 31,~
~
Amount
YieldAmount
Yield#
Cash/coupon interest income~
333333
@
%
~
ףp=
@
% Net premium amortization~
ףp=
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(\
%Interest income~
q=
ףp@ %~
(\@
%%Weighted average actual portfolio CPR~
. %~
&
%%for securities held during the period.&Weighted average projected CPR for the~
" %~
*
%/'remaining life of securities held as of
period end0(Average 30year fixed rate mortgage rate(\@ %Gz
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment (1)Note 4 Investment (2)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2)! 19Assets Pledged to Counterpar 19Assets Pledged to (1) 19Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens 25Accumulated Other (1)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
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AGNC Investment Corp.10Q
05/08/2017*" 35Interest Income and Asset Yield
3
+Impact of Changes in the Principal Elements!Impacting Interest Income3+Three Months Ended March 31, 2017 vs. March
31, 2016 Due to Change in AverageTotal Increase / Portfolio
Asset
(Decrease)Size
YieldInterest Income~
~
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment (1)Note 4 Investment (2)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2)! 19Assets Pledged to Counterpar 19Assets Pledged to (1) 19Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens 25Accumulated Other (1)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi 35Interest Income and (1)!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
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########## #
###
#########AGNC Investment Corp.10Q
05/08/2017Leverage
Mortgage Borrowings 1
Net TBA Position
Average Total

%Tangible Net Book Value Average Total
"At Risk" Leverage
2
*Tangible Net Book Value "At Risk" Leverage
Long/(Short) 2.&"At Risk" Leverage during the Period 3.&"At Risk" Leverage during the Period 4
as of
as of
Quarter Ended
Average DailyMaximum
Ending
Average DailyEndingPeriod End 5Period End 4
Amount
Daily Amount
Amount
Amount
AmountMarch 31, 2017~
d~
~
n
~
R~
7.2:1
7.8:1
7.4:1!
"8.0:1December 31, 2016~
~
~
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05/08/2017A9_______________________Interest Expense and Cost of Funds
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05/08/2017A9_______________________Interest Expense and Cost of Funds
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment (1)Note 4 Investment (2)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2)! 19Assets Pledged to Counterpar 19Assets Pledged to (1) 19Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens 25Accumulated Other (1)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi 35Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income (1)! 41Other Comprehensive Income LDebt CapitalInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }}$ }}$ }a/
AGNC Investment Corp.10Q
05/08/2017Repurchase Agreements
March 31, 2017CounterParty Region!Number of CounterParties/'Percent of Repurchase Agreement Funding
North America~
R70%
Europe
~
6
19%Asia~
11%~
100%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/.th\ ^B6*=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 2 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment (1)Note 4 Investment (2)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2)! 19Assets Pledged to Counterpar 19Assets Pledged to (1) 19Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens 25Accumulated Other (1)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi 35Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income (1)! 41Other Comprehensive Income LDebt CapitalRepurchase Agreements
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AGNC Investment Corp.10Q
05/08/2017Interest Rate Risk #
Interest Rate Sensitivity 1&Percentage Change in ProjectedChange in Interest RateNet Interest Income 2Portfolio MarketNet Asset Value 3,5
Value 3,4As of March 31, 2017100 Basis Points
9.8%
+0.3%
+2.5%50 Basis Points
2.4%
+0.4%
+3.3%+50 Basis Points
+1.9%
0.7%
6.1%+100 Basis Points
+2.4%
1.6%13.9%As of December 31, 2016100 Basis Points
9.7%
+0.6%
+4.6%50 Basis Points
1.8%
+0.5%
+4.1%+50 Basis Points
+4.1%
0.8%
6.4%+100 Basis Points
+6.2%
1.7%14.1%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/@
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 2 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment (1)Note 4 Investment (2)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2)! 19Assets Pledged to Counterpar 19Assets Pledged to (1) 19Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens 25Accumulated Other (1)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi 35Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk!Item 6 Exhibits and Financial SU }U}$ }}$ }
AGNC Investment Corp.10Q
05/08/2017Spread Risk 3
+Spread Sensitivity of Agency RMBS Portfolio~
&Percentage Change in Projected
Change in MBS Spread
Portfolio
Net AssetMarket Value 2,4 Value 2,3As of March 31, 201725 Basis Points
+1.4%+11.5%10 Basis Points
+0.5%
+4.6%+10 Basis Points
0.5%
4.6%+25 Basis Points
1.4%11.5%As of December 31, 201625 Basis Points
+1.3%+11.0%10 Basis Points
+0.5%
+4.4%+10 Basis Points
0.5%
4.4%+25 Basis Points
1.3%11.0%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/Dl~rf*Ay"v96*=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 2 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment (1)Note 4 Investment (2)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)!Gain Loss From Derivative Instr Gain Loss From Derivative (1) Gain Loss From Derivative (2)! 19Assets Pledged to Counterpar 19Assets Pledged to (1) 19Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens 25Accumulated Other (1)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi 35Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
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AGNC Investment Corp.10Q
05/08/2017:2Item 6. Exhibits and Financial Statement Schedules
*3.2
/
'AGNC Investment Corp. Third Amended and1)Restated Bylaws, as amended, incorporated2*herein by reference to Exhibit 3.2 of Form
0
(10Q for the quarter ended September 30,1)2016 (File No. 00134057), filed November7, 2016.*3.3%Certificate of Designations of 8.000%0(Series A Cumulative Redeemable Preferred/'Stock, incorporated herein by reference7/to Exhibit 3.1 of Form 8K (File No 00134057),filed April 3, 2012.*3.4%Certificate of Designations of 7.750%0(Series B Cumulative Redeemable Preferred/'Stock, incorporated herein by reference80to Exhibit 3.3 of Form 8A (File No. 00134057),filed May 7, 2014.*4.12*Instruments defining the rights of holders4,of securities: See Article IV of our Amended2*and Restated Certificate of Incorporation,D) locWK?1lTp4_G !"#$%&'()*+,./0123456789:;<=>? 4 ,as amended, incorporated herein by reference!!3!+to Exhibit 3.1 of Form 10Q for the quarter""5"ended September 30, 2016 (File No. 00134057)###filed November 7, 2016.$$%*4.2%2%*Instruments defining the rights of holders&&2&*of securities: See Article VI of our Third''0'(Amended and Restated Bylaws, as amended,((3(+incorporated herein by reference to Exhibit))8)03.2 of Form 10Q for the quarter ended September**4*,30, 2016 (File No. 00134057) filed November+++7, 2016.,,*4.3:2Form of Certificate for Common Stock, incorporated..2.*herein by reference to Exhibit 4.3 of Form//0/(10Q for the quarter ended September 30,0010)2016 (File No. 00134057), filed November1117, 2016.223*4.4363.Specimen 8.000% Series A Cumulative Redeemable4414)Preferred Stock Certificate, incorporated5525*herein by reference to Exhibit 4.1 of Form6606(8K (File No. 00134057), filed April 3,77~
7r889*4.5969.Specimen 7.750% Series B Cumulative Redeemable::1:)Preferred Stock Certificate, incorporated;;2;*herein by reference to Exhibit 4.1 of Form<<4<,8A (File No. 00134057), filed May 7, 2014.==>*4.6>3>+Deposit Agreement, dated May 8, 2014, among??4?,American Capital Agency Corp., ComputershareD
lak.@Yr$DYA@ABCDEFGHIJKLMNOPQRSTUVWXYZ[\]^_@@@%Inc. and Computershare Trust Company,AA1A)N.A., jointly as depositary, incorporatedBB2B*herein by reference to Exhibit 4.2 of FormCC4C,8K (File No. 00134067), filed May 8, 2014.DDE*4.7E0E(Form of Depositary Receipt, incorporatedFF2F*herein by reference to Exhibit 4.3 of FormGG4G,8K (File No. 00134067), filed May 8, 2014.HHI333333$@I0I(Retention Bonus Grant Letter, dated JulyJJ0J(1, 2016, by and between American CapitalKK2K*Mortgage Management, LLC and Aaron J. Pas,LLLfiled herewith.MMNffffff$@N2N*Letter agreement, dated February 23, 2017,OO0O(by and between AGNC Mortgage Management,PP3P+LLC and Kenneth L. Pollack, filed herewith.QQ
R*10.3R1R)AGNC Mortgage Management, LLC PerformanceSS0S(Incentive Plan  MTGE, effective JanuaryTT2T*24, 2017, incorporated herein by referenceUU9U1to Exhibit 10.1 of Form 8K (File No. 00134057),VVVfiled January 27, 2017.WW
X*10.4X/X'Sales Agreement between AGNC InvestmentYY0Y(Corp. and Cantor Fitzgerald & Co., datedZZZ%February 1, 2017, incorporated herein[[5[by reference to Exhibit 1.1 of Form 8K (File\\/\'No. 00134057), filed February 1, 2017.]]
^*10.5^/^'Sales Agreement between AGNC Investment__._&Corp. and Wells Fargo Securities, LLC,D
ljd\w#p/@[C`abcdefghijklmnopqrstuvwxyz{}~``3`+dated February 1, 2017, incorporated hereinaa5aby reference to Exhibit 1.2 of Form 8K (Filebb/b'No. 00134057), filed February 1, 2017.ccd?@d7d/Certification of CEO Pursuant to Section 302(a)ee*e"of the SarbanesOxley Act of 2002.ffg333333?@g7g/Certification of CFO Pursuant to Section 302(a)hh*h"of the SarbanesOxley Act of 2002.ii~
jj0j(Certification of CEO and CFO Pursuant tokk0k(Section 906 of the SarbanesOxley Act ofll~
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