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Balance Sheet^Income StatementShareholders EquityҶ
Cash Flows#Note 4 Investment Securities/Note 4 Investment (1)!Note 4 Investment (2)LNote 4 Investment (3)
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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 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)Debt CapitalRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/03/2017Washington, 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 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)Debt CapitalRepurchase Agre (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }y
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AGNC Investment Corp.10Q
08/03/2017TABLE OF CONTENTS
PART I.
FINANCIAL INFORMATION
Item 1.Financial Statements~
Item 2.,
$Management's Discussion and Analysis~
r80of Financial Condition and Results of OperationsItem 3.0(Quantitative and Qualitative Disclosures~
About Market RiskItem 4.Controls and Procedures~
PART II.OTHER INFORMATIONItem 1.Legal Proceedings~
Item 1A.Risk Factors~
Item 2./'Unregistered Sales of Equity Securities~
and Use of ProceedsItem 3.'Defaults upon Senior Securities~
Item 4.Mine Safety Disclosures~
Item 5.Other Information~
Item 6.Exhibits~
Signatures~
Dlxl`
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 2 (1)TABLE OF CONTENTSIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment (1)Note 4 Investment (2)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)Debt CapitalRepurchase Agre (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }I;}$
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AGNC Investment Corp.10Q
08/03/2017
Balance Sheet
June 30, 2017
December 31, 2016(Unaudited)Assets:3
+Agency securities, at fair value (including~
~
F
2*pledged securities of $41,263 and $43,943,
respectively)5Agency securities transferred to consolidated~
~
1)variable interest entities, at fair value(pledged securities)0(Credit risk transfer securities, at fair~
~
value7/NonAgency securities, at fair value (including~
~~
7/pledged securities of $0 and $90, respectively)/'U.S. Treasury securities, at fair value ?~
/'(including pledged securities of $0 and$173, respectively)%REIT equity securities, at fair value~
?!Cash and cash equivalents~
~
,$Restricted cash and cash equivalents~
~
*( Derivative assets, at fair value~
Z~
1)Receivable for securities sold (including~
~
V91pledged securities of $348 and $21, respectively)D2
lpd{D~<+uAl !"#$%&'()*+,./0123456789:;<=>?6 .Receivable under reverse repurchase agreements~
u ~
x !%Goodwill and other intangible assets,~
!!!~
!!"net#Other assets~
#V##~
#>#$Total assets~
$v$$~
$x$%Liabilities:%%%&Repurchase agreements~
&Jb&&~
&O&''Federal Home Loan Bank advances '?''~
'v/'.(&Debt of consolidated variable interest~
(V((~
(2()entities, at fair value(* Payable for securities purchased~
*V** *?*+%Derivative liabilities, at fair value~
+&++~
++,Dividends payable~
,,,~
,
,0(Obligation to return securities borrowed~
p~
Rw,.$under reverse repurchase agreements,
/at0
fair value.1&Accounts payable and other liabilities~
111~
1N12Total liabilities~
222~
223Stockholders' equity:333/4'Preferred stock  $0.01 par value; 10.04445shares authorized:6%Redeemable Preferred Stock; $0.01 par~
6B66~
6B607(value; 6.9 shares issued and outstanding,8$(aggregate liquidation preference of~
9r2:*Common stock  $0.01 par value; 600 shares:::;authorized;6<.355.6 and 331.0 shares issued and outstanding,~
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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 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)Debt CapitalRepurchase Agre (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }6}$
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AGNC Investment Corp.10Q
08/03/2017Income Statement
#
Three Months Ended June 30,
!
Six Months Ended June 30,~
~
~
~
Interest income:
Interest income~
~
~
6
~
Interest expense~
~
~
J~
"Net interest income~
~
f~
~
vOther gain (loss), net:
5Gain (loss) on sale of investment securities,~
>~
~
~
net0(Unrealized gain on investment securities~
& ?~
f~
.2*measured at fair value through net income,net0(Loss on derivative instruments and other~
^~
F~
~
securities, netManagement fee income~
?~
?Total other loss, net:~
~
"~
*~
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Management fee expense ?~
f ?~
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* ?~
R
? Other operating expenses~
~
>~
6~
V Total operating expenses~
B~
~
~
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b~
~
~
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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 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)Debt CapitalRepurchase Agre (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }2}U}$ }
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*******************AGNC Investment Corp.10Q
08/03/2017Shareholders' Equity
Preferred Stock
Common Stock
Additional
Retained
Accumulated
Total
PaidinDeficit
Other
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Comprehensive
Shares
Amount
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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 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)Debt CapitalRepurchase Agre (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }:}$
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AGNC Investment Corp.10Q
08/03/2017
Cash Flows
!
Six Months Ended June 30,~
~
Operating activities:
Net income (loss)~
~
0(Adjustments to reconcile net loss to net.&cash provided by operating activities:.&Amortization of premiums and discounts~
~
r*"on mortgagebacked securities, net7/Amortization of accumulated other comprehensive ?~
~1)loss on interest rate swaps dedesignatedas qualifying hedges)!Amortization of intangible assets~
? Stock based compensation~
?5(Gain) loss on sale of investment securities,~
~
.net0(Unrealized gain on investment securities~
~
2*measured at fair value through net income,net0(Loss on derivative instruments and other~
F~
~securities, net Decrease in other assets~
~
b.&Increase in accounts payable and other~
F~
&D lsg]v\'8<h !"#$%&'()*+,./0123456789:;<=>? accrued liabilities1!)Net cash provided by operating activities~
!
!!~
!
!"Investing activities:"""6#.Purchases of Agency mortgagebacked securities~
#^r##~
##8$0Purchases of credit risk transfer and nonAgency~
$v$$ $?$%
securities4&,Proceeds from sale of Agency mortgagebacked~
&Rw&&~
&&'
securities2(*Proceeds from sale of credit risk transfer~
((( (?(!)and nonAgency securities7*/Principal collections on Agency mortgagebacked~
*2**~
*9*+
securities5,Principal collections on credit risk transfer~
,,,~
,&,!and nonAgency securities.%Purchases of U.S. Treasury securities~
...~
..6/.Proceeds from sale of U.S. Treasury securities~
/fk//~
/.//0'Net proceeds from (payments on) reverse~
000~
0.01repurchase agreements.2&Net payments on derivative instruments~
222~
2~2+3#Purchases of REIT equity securities~
333 3?344,Proceeds from sale of REIT equity securities 4?44~
44850Increase in restricted cash and cash equivalents 5?55~
55'6Other investing cash flows, net~
666 6?617)Net cash provided by investing activities~
777~
778Financing activities:8889%Proceeds from repurchase arrangements~
9.
99~
9679):!Payments on repurchase agreements~
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:.:5;Proceeds from Federal Home Loan Bank advances ;?;;~
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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 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)Debt CapitalRepurchase Agre (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }a/}$
AGNC Investment Corp.10Q
08/03/2017%Note 4. Investment Securities
June 30, 2017
December 31, 2016Investment Securities Amortized
Fair Value
Amortized
Fair ValueCost
Cost
Agency RMBS:
Fixed rate~
N~
~
f
~
Adjustable rate~
~
: ~
~
CMO~
*~
J ~
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~
/'Interestonly and principalonly strips~
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~
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. ~
~
NonAgency RMBS~
"~
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~
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^~
^ ~
^
~
^CRT securities~
~
~
~
#Total investment securities~
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~
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment (2)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)Debt CapitalRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/03/2017%Note 4. Investment Securities
June 30, 2017Agency RMBS
NonAgencyInvestment Securities
Fannie MaeFreddie Mac
Ginnie
RMBSCMBSCRT
Total
Mae&Availableforsale securities:
Par value~
~
~
~
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$?
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~
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j~
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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 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi 37Interest Income and (1)
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08/03/2017<4 13Gains and Losses on Sale of Investment Securities
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08/03/2017<4 13Gains and Losses on Sale of Investment Securities
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08/03/2017Repurchase Agreements
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08/03/2017SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
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08/03/2017SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
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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 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi 37Interest Income and (1)
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Balance SheetIncome StatementShareholders Equity
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08/03/2017SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
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June 30, 2017
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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 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi 37Interest Income and (1)
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08/03/2017SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
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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 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)Debt CapitalRepurchase Agre (1)Interest Rate Risk
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08/03/2017SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
June 30, 2017
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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 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi 37Interest Income and (1)
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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 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi 37Interest Income and (1)
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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 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7) 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi 37Interest Income and (1)
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AGNC Investment Corp.10Q
08/03/2017A9______________________ 20Assets Pledged to Counterparties
June 30, 2017( Assets Pledged to CounterpartiesRepurchase Agreements 1!Debt of Consolidated VIEs
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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 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi 37Interest Income and (1)
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AGNC Investment Corp.10Q
08/03/2017A9______________________ 20Assets Pledged to Counterparties
December 31, 2016( Assets Pledged to Counterparties/'Repurchase Agreements and FHLB Advances!Debt of Consolidated VIEs
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Balance SheetIncome StatementShareholders Equity
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AGNC Investment Corp.10Q
08/03/2017A9______________________ 20Assets Pledged to Counterparties
June 30, 2017
December 31, 20160(Securities Pledged by Remaining Maturity( Fair Value of Pledged Securities Amortized
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08/03/2017*"Assets Pledged from Counterparties
June 30, 2017
December 31, 2016Assets Pledged to AGNC%Reverse Repurchase AgreementsDerivative Agreements
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Total%Reverse Repurchase AgreementsDerivative AgreementsRepurchase Agreements
Total Agency RMBS  fair value
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1.01%
1.46%
1.62%
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1.46%
2.32%
2.39%
2.27%
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1.78%
2.57%
2.65%
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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 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)Debt CapitalRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/03/2017Market Information
June 30, 2017!Includes Net TBA Position!Excludes Net TBA Position1)Fixed Rate Agency RMBS and TBA Securities Par Value Amortized
Fair Value
'% Lower Loan Balance & HARP 1,2 AmortizedWeighted AverageProjected Life
Cost
Cost Basis
WAC 3
Yield 4
Age (Months)
CPR 4
Fixed rate
? 15year
2.5%~
1~
2 ~
2
34%101.2%
2.98%
2.14%~
9%3.0%~
b=~
"? ~
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53%102.9%
3.49%
2.18%~
10%3.5%~
f/~
0 ~
v1
89%103.3%
3.95%
2.50%~
11%4.0%~
$~
& ~
&
89%104.0%
4.40%
2.68%~
:12%4.5%~
~
~
98%104.5%
4.87%
3.02%~
J12%? 5.0%~
~
~
21%103.1%
6.63%
4.67%~
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~
J ~
v
65%103.0%
3.79%
2.41%~
10%20year
? 3.0%~
J~
F ~
^
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99.4%
3.55%
3.10%~
9%3.5%~
B~
b ~
75%102.1%
4.06%
3.00%~
11%4.0%~
~
~
50%104.3%
4.54%
2.96%~
11%4.5%~
~
~
99%106.5%
4.89%
2.96%~
>11%? 5.0%~
~
~
?%106.0%
5.92%
3.34%~
17%Total 20year:~
N~
~
62%101.9%
4.03%
3.02%~
10%30year:
3.0%~
k~
k ~
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2%100.2%
3.58%
2.96%~
6%Dlwk_3U.]1h= !"#$%&'()*+ 3.5% ~
8 ~
E ~
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4.06%
2.76% ~
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"3.26%"~
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###10%$? 5.5%$~
$$$~
$$$ ~
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$38%$$109.8%$
$6.19%$
$3.37%$~
$$$14%%
Total 30year%~
%%%~
%%% ~
%
2%%
%45%%%105.4%%
%4.25%%
%2.90%%~
%%
%8%&Total fixed rate&~
&&&~
&Z&& ~
&
j&&
&49%&&104.7%&
&4.14%&
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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 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)Debt CapitalRepurchase Agre (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }1}
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AGNC Investment Corp.10Q
08/03/2017Market Information
December 31, 2016!Includes Net TBA Position!Excludes Net TBA Position1)Fixed Rate Agency RMBS and TBA Securities Par Value Amortized
Fair Value
'% Lower Loan Balance & HARP 1,2 AmortizedWeighted AverageProjected Life
Cost
Cost Basis
WAC 3
Yield 4
Age (Months)
CPR 4
Fixed rate
? 15year
? 2.5%~
6L~
FM ~
L
26%101.7%
2.96%
2.05%~
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
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2.97%~
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~
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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%&
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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 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)Debt CapitalRepurchase Agre (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }2}$
AGNC Investment Corp.10Q
08/03/2017Market Information
June 30, 2017
December 31, 20162*CRT and NonAgency Security Credit RatingsCRTRMBS
CMBS
CRTRMBSCMBS~
AAA
$?
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 2 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment (1)Note 4 Investment (2)Note 4 Investment (3)Note 4 Investment (4)Note 4 Investment (5)! 13Gains and Losses on Sale of 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Income Statemen (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)Debt CapitalRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/03/2017
Balance Sheet 1
)($ in millions, except per share amounts)
Balance Sheet Data
June 30, 2017December 31, 2016,$Investment securities, at fair value~
~
Total assets
~
v
~
x
0(Repurchase agreements, Federal Home Loan~
h~
.$Bank advances and other debtTotal liabilities~
~
"Total stockholders' equity~
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r*"Net asset value per common share 14@Q+5@1)Tangible net asset value per common share@3@3@~
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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 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)Debt CapitalRepurchase Agre (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }2}$

AGNC Investment Corp.10Q
08/03/2017Income Statement
#
Three Months Ended June 30,
!
Six Months Ended June 30,.&Statement of Comprehensive Income Data~
~
~
~
Interest income~
~
~
6
~
Interest expense 3
~
~
~
J
~
"
Net interest income~
~
f ~
~
vOther loss, net 3~
~
" ~
*
~
Operating Expenses~
B~
~
~
&Net income (loss)~
b~
~
~
#Dividend on preferred stock~
~
~
:
~
:2*Net income (loss) available (attributable)~
F~
~
Z
~
to common stockholders
Net income (loss)~
b~
~
~
$Other comprehensive income 3~
~
~
~
:Comprehensive income~
F~
~
.
~
#Dividend on preferred stock~
~
~
:
~
:0(Comprehensive income available to common~
*~
~
~
stockholders
0(Weighted average number of common sharesfffffu@~
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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 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1)! 37Interest Income and Asset Yi 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)Debt CapitalRepurchase Agre (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/03/2017'Item 6. Selected Financial Data
#
Three Months Ended June 30,
!
Six Months Ended June 30, Other Data (unaudited) *~
~
~
~
.&Average investment securities  at par~
~
" ~
ڑ
~
r/
'Average investment securities  at cost
~
b
~
)
~
ΰ
~
2"+#Average net TBA portfolio  at cost~
~
~
~
,$Average total assets  at fair value~
O~
~
R
~
"/'Average mortgage borrowings outstanding~
`~
~
b
~
~
&Average stockholders' equity 5~
v~
x ~
nt
~
JyAverage coupon 6
@ %
ףp=
@ %
q=
ףp
@ %
ףp=
@ %Average asset yield 7HzG@ %Gz@ %
\(\@ %
Q@ %Average cost of funds 8)\( %\(\ %
%
%( Average net interest rate spreadffffff? %~
%
Q? %
zG? %3+Average net interest rate spread, including\(\? %(\? %
333333? %
? % TBA dollar roll income 9)!Average coupon (as of period end)
@ %
ףp=
@ %
@ %
ףp=
@ %.&Average asset yield (as of period end)Q@ %q=
ףp@ %
Q@ %
q=
ףp@ %3+Average cost of funds (as of period end) 10(\ % %
(\ %
%/'Average net interest rate spread (as of{Gz? %HzG? %
{Gz? %
HzG? %period end)7/Economic return on common equity  unannualized333333? %ffffff
@ %
333333@ %
@ %~
.DYlvj^RU&}#V3 !"#$%&'()*+,./01 )Economic return on tangible common equity @ % N/A
333333@ %
N/A ! unannualized 12%"Average "at risk" leverage 13"
"7.4:1""
"7.2:1""
"
7.3:1""
"7.1:1"1#)Average tangible net book value "at risk"#
#8.0:1###N/A##
#
7.9:1##
#N/A#$leverage 150%("At risk" leverage (as of period end) 14%
%7.5:1%%
%7.2:1%%
%
7.5:1%%
%7.2:1%2&*Tangible net book value "at risk" leverage&
&8.1:1&&&N/A&&
&
8.1:1&&
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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 13Gains and Losses on (1)Repurchase Agreements!Derivative and Other Hedging InDerivative and Other (1)Derivative and Other (2)Derivative and Other (3)Derivative and Other (4)Derivative and Other (5)Derivative and Other (6)Derivative and Other (7)! 20Assets Pledged to Counterpar 20Assets Pledged to (1) 20Assets Pledged to (2)!Assets Pledged from Counterpart!Offsetting Assets and LiabilitiOffsetting Assets and (1)Offsetting Assets and (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens 26Accumulated Other (1) 26Accumulated Other (2)Market InformationMarket Informat (1)Market Informat (2)Market Informat (3)Market Informat (4)Balance Sheet (1)Income Statemen (1) Item 6 Selected Financial Data 37Interest Income and (1)
Leverage!Interest Expense and Cost of Fu Interest Expense and Cost (1) Interest Expense and Cost (2) Interest Expense and Cost (3)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income TaxesDividends and Income (1)Debt CapitalRepurchase Agre (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }0}$ }$}$ } }$} $ }
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AGNC Investment Corp.10Q
08/03/2017*" 37Interest Income and Asset Yield
#
Three Months Ended June 30,
!
Six Months Ended June 30,~
~
~
~
Amount
YieldAmount
YieldAmount
YieldAmount
Yield#
Cash/coupon interest income~
@
%
~
ףp=
@
%
~
q=
ףp
@
%
~
ףp=
@
% Net premium amortization~
p=
ף %~
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%~
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ףp=
%Interest income~
HzG@ %~
Gz@
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08/03/2017"Dividends and Income Taxes
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AGNC Investment Corp.10Q
08/03/2017Debt Capital
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AGNC Investment Corp.10Q
08/03/2017Repurchase Agreements
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AGNC Investment Corp.10Q
08/03/2017Interest Rate Risk #
Interest Rate Sensitivity 1&Percentage Change in ProjectedChange in Interest RateNet Interest Income 2Portfolio MarketTangible Net Asset
Value 3,4
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0.5%
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7.1%0.0%0.0%+50 Basis Points
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AGNC Investment Corp.10Q
08/03/2017Spread Risk
Spread Sensitivity 1&Percentage Change in ProjectedChange in MBS Spread PortfolioTangible Net Asset
Market
Value 2,4 Value 2,3As of June 30, 201725 Basis Points
+1.3%+12.3%10 Basis Points
+0.5%
+4.9%+10 Basis Points
0.5%
4.9%+25 Basis Points
1.3%12.3%As of December 31, 201625 Basis Points
+1.3%+12.0%10 Basis Points
+0.5%
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AGNC Investment Corp.10Q
08/03/2017:2Item 6. Exhibits and Financial Statement Schedules
Exhibit No.
Description*3.12*AGNC Investment Corp. Amended and Restated
1
)Certificate of Incorporation, as amended,3+incorporated herein by reference to Exhibit803.1 of Form 10Q for the quarter ended September530, 2016 (File No. 00134057), filed November7, 2016.*3.2/'AGNC Investment Corp. Third Amended and1)Restated Bylaws, as amended, incorporated2*herein by reference to Exhibit 3.2 of Form0(10Q for the quarter ended September 30,1)2016 (File No. 00134057), filed November7, 2016.*3.3%Certificate of Designations of 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.DlocWK?6Bb{O7S !"#$%&'()*+,./0123456789:;<=>? *3.4  %Certificate of Designations of 7.750%!!0!(Series B Cumulative Redeemable Preferred""/"'Stock, incorporated herein by reference##8#0to Exhibit 3.4 of Form 8A (File No. 00134057),$$$filed May 7, 2014.%%&*4.1&2&*Instruments defining the rights of holders''4',of securities: See Article IV of our Amended((2(*and Restated Certificate of Incorporation,))4),as amended, incorporated herein by 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 Third0000(Amended and Restated Bylaws, as amended,1131+incorporated herein by reference to Exhibit228203.2 of Form 10Q for the quarter ended September3343,30, 2016 (File No. 00134057) filed November4447, 2016.556*4.36:62Form of Certificate for Common Stock, incorporated7727*herein by reference to Exhibit 4.3 of Form8808(10Q for the quarter ended September 30,9919)2016 (File No. 00134057), filed November:::7, 2016.;;<*4.4<6<.Specimen 8.000% Series A Cumulative Redeemable==1=)Preferred Stock Certificate, incorporated>>2>*herein by reference to Exhibit 4.1 of Form??0?(8K (File No. 00134057), filed April 3,Dlgz(:_G[h<$0I@ABCDEFGHIJKLMNOPQRSTUVWXYZ[\]^_@@~
@rAAB*4.5B6B.Specimen 7.750% Series B Cumulative RedeemableCC1C)Preferred Stock Certificate, incorporatedDD2D*herein by reference to Exhibit 4.1 of FormEE4E,8A (File No. 00134057), filed May 7, 2014.FFG*4.6G3G+Deposit Agreement, dated May 8, 2014, amongHH4H,American Capital Agency Corp., ComputershareIII%Inc. and Computershare Trust Company,JJ1J)N.A., jointly as depositary, incorporatedKK2K*herein by reference to Exhibit 4.2 of FormLL4L,8K (File No. 00134067), filed May 8, 2014.MMN*4.7N0N(Form of Depositary Receipt, incorporatedOO2O*herein by reference to Exhibit 4.3 of FormPP4P,8K (File No. 00134067), filed May 8, 2014.QQ~
R*R1R)Form of AGNC Investment Corp. 2016 EquitySS2S*and Incentive Compensation Plan RestrictedTTT%Stock Unit Agreement for NonEmployeeUU"UDirectors, filed herewith.VV~
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