> nopqrstu l \pThe Free Software Foundation B=PF0*8X@"1 Helvetica1Courier1Courier New1Courier New1 Helvetica$#,##0_);($#,##0)$#,##0_);[Red]($#,##0)$#,##0.00_);($#,##0.00)$#,##0.00_);[Red]($#,##0.00)**_($* #,##0_);_($* (#,##0);_($* ""_);_(@_)*)'_(* #,##0_);_(* (#,##0);_(* ""_);_(@_)5,2_($* #,##0.00_);_($* (#,##0.00);_($* ""??_);_(@_)2+/_(* #,##0.00_);_(* (#,##0.00);_(* ""??_);_(@_)2$#,##0.00;[Red]$#,##0.003$#,##0.00;[Red]($#,##0.00)4$#,##0;[Red]($#,##00)50.00%;[Red](0.00%)60%;[Red](0%)7#,##0.00;[Red](#,##0.00)8#,##0;[Red](#,##0) + ) , * Ј ~~ ؈ ~~#؈ ~~ ؈ ~~8#܈ ~~4#܈ ~~9#܈ ~~7#܈ ~~3#܈ ~~83ffff̙̙3f3fff3f3f33333f33AGNC INVESTMENT CORP+Bethesda Maryland 20814"+Bethesda Maryland 20814 (1)=TABLE OF CONTENTS"NCONSOLIDATED BALANCE SHEETS&uqCONSOLIDATED STATEMENTS OF COMP&eCONSOLIDATED STATEMENT OF STOCK&:CONSOLIDATED STATEMENTS OF CASH#Note 4 Investment Securities#%Note 4 Investment Securi (1)#.RNote 4 Investment Securi (2)#;Note 4 Investment Securi (3)#ӗNote 4 Investment Securi (4)#ΰNote 4 Investment Securi (5)&Gains and Losses on Sale of Inv&$Gains and Losses on Sale of (1)bRepurchase Agreements&0Derivative and Other Hedging In&F1Derivative and Other Hedgin (1)&JDerivative and Other Hedgin (2)&!ZDerivative and Other Hedgin (3)&vDerivative and Other Hedgin (4)&WDerivative and Other Hedgin (5)&̟Derivative and Other Hedgin (6)&Gain Loss From Derivative Instr&Gain Loss From Derivative I (1)&
Assets Pledged to Counterpartie&)$Assets Pledged to Counterpa (1)&y:Assets Pledged to Counterpa (2)&SAssets Pledged from Counterpart&3hOffsetting Assets and Liabiliti&Offsetting Assets and Liabi (1)%Note 8 Fair Value Measurements&Note 9 Net Income Loss Per CommSubsequent Events&ZAccumulated Other ComprehensiveMarket Information;FINANCIAL CONDITIONsmFINANCIAL CONDITION (1)jFINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial Data"Selected Financial Data (1)"Selected Financial Data (2)&9Economic Interest Income and As&l_Economic Interest Expense and A&zLiquidity and Capital Resources&Economic Interest Expense a (1)&>Economic Interest Expense a (2)&Economic Interest Expense a (3)[Net Interest Spread&ONet Spread and Dollar Roll Inco&Gain Loss on Investment Securit&.Gain Loss on Derivative InstrumPEstimated Taxable IncomerDebt Capital Repurchase Agreements (1)`Interest Rate RiskcExtension Risk:Spread Risk5Stock Repurchase Program
l
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<Bethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
Spread RiskStock Repurchase ProgramU }%}$ }
AGNC Investment Corp.10Q
11/05/2019AGNC INVESTMENT CORP.
Delaware
261701984'(State or Other Jurisdiction of(I.R.S. Employer&Incorporation or Organization)Identification No.)
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/(Tth\8ZNB=PF0*8X>
@
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
Spread RiskStock Repurchase ProgramU }U}$}6}}$
AGNC Investment Corp.10Q
11/05/2019 Bethesda, Maryland 20814
Large accelerated filer
?
Accelerated filer
?
Nonaccelerated filer
?5
(Do not check if a smaller reporting company)!
Smaller Reporting Company
?Emerging growth company ?$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/,}qeY{?RF:=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
Spread RiskStock Repurchase ProgramU }6Depositary shares of 7.000% Series C FixedtoFloating
AGNCN'The Nasdaq Global Select Market,$Rate Cumulative Redeemable Preferred
Stock>6Depositary shares of 6.875% Series D FixedtoFloating
AGNCM'The Nasdaq Global Select Market,$Rate Cumulative Redeemable Preferred
Stock=5Depositary shares of 6.50% Series E FixedtoFloating
AGNCO'The Nasdaq Global Select Market,$Rate Cumulative Redeemable Preferred
Stock$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/8}qeY^=PF0*8X>
@
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)CONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
Spread RiskStock Repurchase ProgramU }y
}:}
!
AGNC Investment Corp.10Q
11/05/2019TABLE OF CONTENTS
PART I.
FINANCIAL INFORMATION
Item 1.Financial Statements~
Item 2.,$Management's Discussion and Analysis~
j
8
0of Financial Condition and Results of OperationsItem 3.0(Quantitative and Qualitative Disclosures~
About Market RiskItem 4.Controls and Procedures~
PART II.OTHER INFORMATIONItem 1.Legal Proceedings~
Item 1A.Risk Factors~
Item 2.
Properties~
Item 3.'Defaults upon Senior Securities~
Item 4.Mine Safety Disclosures~
Item 5.Other Information~
Item 6.Exhibits~
Signatures~
$____________________________1)Created by Morningstar Document Research.Dlxl`
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
Spread RiskStock Repurchase ProgramU }8}$ }$}$ }$
A
AGNC Investment Corp.10Q
11/05/2019#CONSOLIDATED BALANCE SHEETS
September 30, 2019
December 31, 2018(Unaudited)Assets:3
+Agency securities, at fair value (including~
F
~
2*pledged securities of $93,688 and $78,619,
respectively)5Agency securities transferred to consolidated~
&~
1)variable interest entities, at fair value(pledged securities)0(Credit risk transfer securities, at fair~
~
.&value (including pledged securities of$$358 and $141, respectively)7/NonAgency securities, at fair value (including~
~
7/pledged securities of $0 and $45, respectively)/'U.S. Treasury securities, at fair value~
^~
%(including pledged securities of $162and $0, respectively)!Cash and cash equivalents~
*~
fRestricted cash~
z~
^ ( Derivative assets, at fair value~
~
F,$Receivable for investment securities~
~
!sold (pledged securities)D lznbVh1k)TuT( !"#$%&'()*+,./0123456789:;<=>?6 .Receivable under reverse repurchase agreements~
6_ ~
T !Goodwill~
!:!!~
!:!"Other assets~
"""~
"~"#Total assets~
###~
##$Liabilities:$$$%Repurchase agreements~
%҇%%~
%%.&&Debt of consolidated variable interest~
&&&~
&N&'entities, at fair value3(+Payable for investment securities purchased~
(Z0((~
(()%Derivative liabilities, at fair value~
)Z))~
)R)*Dividends payable~
***~
**0+(Obligation to return securities borrowed~
+O++~
+N+,,$under reverse repurchase agreements,
at fair value..&Accounts payable and other liabilities~
...~
../Total liabilities~
/r//~
//0Stockholders' equity:000/1'Preferred Stock  aggregate liquidation~
111~
1112)preference of $735 and $500, respectively23*Common stock  $0.01 par value; 900 shares~
333~
3314)authorized; 540.9 and 536.3 shares issued%5and outstanding, respectively"6Additional paidin capital~
666~
667Retained deficit7( 4,473 7)77( 3,433 7).8&Accumulated other comprehensive income~
8J88
8( 943 8)9(loss)":Total stockholders' equity~
:::~
:ʚ:2;*Total liabilities and stockholders' equity~
;;;~
;;<=$>____________________________1?)Created by Morningstar Document Research.Dil2FsPhgN:Xzht@0@(http://documentresearch.morningstar.com/H=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
Spread RiskStock Repurchase ProgramU }y<}$ }$}$ }$}
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8
AGNC Investment Corp.10Q
11/05/20197/CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
(
Three Months Ended September 30,
'
Nine Months Ended September 30,~
~
~
~
Interest income:
Interest income~
~
~
j
~
Interest expense~
~
~
~
Net interest income~
~
~
Z~
: Other gain (loss), net:
5Gain (loss) on sale of investment securities,~
f( 40 )~
f
( 116 )net7/Unrealized gain (loss) on investment securities~
( 363 )~
!
( 980 )2*measured at fair value through net income,net%Gain (loss) on derivative instruments
( 548 )~
( 2,986 )~
!and other securities, netManagement fee income ~
~
%Total other gain (loss), net:
( 104 )~
&
( 531 )~
Expenses:
!Compensation and benefits~
*~
:~
~~
Other operating expense~
&~
~~
n~
Total operating expense~
N~
~
~
FNet income (loss)( 4 )~
b
( 183 )~
#Dividend on preferred stock~
6~
&~
~
nDlrfZNB;A Dm !"#$%&'()*+,./012345672 *Net income (loss) available (attributable)
$( 17 ) ~
> $( 219 ) ~
* !to common stockholders"""""" ""
#Net income (loss)#$( 4 #)#~
#b### $( 183 #)#~
#
#7$/Unrealized gain (loss) on investment securities~
$$$
$( 193 $)$~
$ $$
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( 959 $):%2measured at fair value through other comprehensive&income (loss), net#'Comprehensive income (loss)~
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( 26 ')#(Dividend on preferred stock~
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$( 53 ))*%(attributable) to common stockholders++++++ ++
0,(Weighted average number of common shares,33333@,,,@,,, fffff@,,,
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'''''''''''''''''''AGNC Investment Corp.10Q
11/05/20196.CONSOLIDATED STATEMENT OF STOCKHOLDERS' EQUITY
Preferred Stock
Common Stock
Additional
Retained
Accumulated
Total
PaidinDeficit
Other
Capital
Comprehensive
Shares
Amount
Income (Loss)Balance, June 30, 2018~
!{@~
~
$( 2,299 ) $( 1,111 ")#~
$J&
Net income   
~
b ~
b!Other comprehensive loss:%Unrealized loss on availableforsale   
 
( 193 )
( 193 )securities, net Stockbased compensation   
~
 ~
1)Issuance of common stock, net of offering E@~
~
 ~
cost$Preferred dividends declared   
( 9 ) ( 9 )!Common dividends declared   

( 251 ) 
( 251 )#Balance, September 30, 2018~
}@~
~
$( 2,343 )$( 1,304 )~
nBalance, June 30, 2019~
fffff@~
~
$( 4,194 )$( 164 )~
Net loss   
( 4 ) ( 4 )#Other comprehensive income:%Unrealized gain on availableforsale   
 ~
~
securities, net Stockbased compensation   
~
 ~
Dlsg[OC2S[jn:* '!'"'#'$'%'&'''(')'*'+',''.'/'0'1'2'3'4'5'6'7'8'9':';'<'='>'?'" Repurchase of common stock 
( 6.9 ) 
( 103 )  
( 103 )$!Preferred dividends declared !!! !!! !!
! !!!!( 13 !)! !!!!( 13 !)!"Common dividends declared """ """ ""
" """
"( 262 ")" """
"( 262 ")##Balance, September 30, 2019~
####33333@##~
##
#~
####$( 4,473 #)#~
#J##~
##$$$$$$$$$$$$$$"%Balance, December 31, 2017~
%%%%tx@%%~
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%~
%%%%$( 2,562 %)%%$( 345 %)%~
%ʈ%&
Net income &&& &&& &&
& &&&~
&&& &&&~
&&!'Other comprehensive loss:''''''''''''''(%Unrealized loss on availableforsale ((( ((( ((
( ((( (((
(( 959 ()(
(( 959 ())securities, net *Stockbased compensation *** *** **
*~
*"** *** ***~
*"*1+)Issuance of common stock, net of offering ++++U@++~
++
+~
+++ +++ +++~
++,cost$Preferred dividends declared   
 ( 27 ) ( 27 )!.Common dividends declared ... ... ..
. ...
.( 687 .). ...
.( 687 .)#/Balance, September 30, 2018~
////}@//~
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////$( 2,343 /)//$( 1,304 /)/~
/n/00000000000000"1Balance, December 31, 2018~
1111fffff@11~
11
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1111$( 3,433 1)11$( 943 1)1~
1ʚ12Net loss 222 222 22
2 222
2( 183 2)2 222
2( 183 2)#3Other comprehensive income:33333333333334%Unrealized gain on availableforsale 444 444 44
4 444 444~
444~
445securities, net 6Stockbased compensation 6666?66 66
6~
6"66 666 666~
6"647,Issuance of preferred stock, net of offering~
777 777 77
7 777 777 777~
778cost19)Issuance of common stock, net of offering 9999&@99 99
9~
999 999 999~
99:cost";Repurchase of common stock ;;;
;( 6.9 ;); ;;
;
;( 103 ;); ;;; ;;;
;( 103 ;)$<Preferred dividends declared <<< <<< <<
< <<<<( 36 <)< <<<<( 36 <)!=Common dividends declared === === ==
= ===
=( 821 =)= ===
=( 821 =)#>Balance, September 30, 2019~
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AGNC Investment Corp.10Q
11/05/2019%CONSOLIDATED STATEMENTS OF CASH FLOWS
'
Nine Months Ended September 30,~
~
Operating activities:
Net income (loss)
$( 183
)
~
2*Adjustments to reconcile net income (loss)5to net cash provided by operating activities:.&Amortization of premiums and discounts~
~
*"on mortgagebacked securities, net)!Amortization of intangible assets ~
f Stockbased compensation~
"~
5(Gain) loss on sale of investment securities,
( 281 )~
net7/Unrealized (gain) loss on investment securities( 2,174 )~
R2*measured at fair value through net income,net%(Gain) loss on derivative instruments~
.( 1,466 )!and other securities, net Increase in other assets( 35 )( 71 )/'Increase (decrease) in accounts payable( 31 )~
z%and other accrued liabilities1)Net cash provided by operating activities~
~
"
Investing activities:DZ
lpdXL?6 .Purchases of Agency mortgagebacked securities ( 37,199 ) ( 29,615 )8!0Purchases of credit risk transfer and nonAgency!( 1,233 !)!!( 1,051 !)"
securities4#,Proceeds from sale of Agency mortgagebacked~
#R##~
#h#$
securities2%*Proceeds from sale of credit risk transfer~
%%%~
%%!&and nonAgency securities7'/Principal collections on Agency mortgagebacked~
'''~
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)>))~
)&)!*and nonAgency securities,+$Payments on U.S. Treasury securities+( 26,169 +)++( 7,119 +).,&Proceeds from U.S. Treasury securities~
,,,~
,v,/'Net proceeds from (payments on) reverse~
:( 5,175 ).repurchase agreements2/*Net proceeds from (payments on) derivative/( 1,990 /)/~
//0instruments21*Net proceeds from other investing activity 111~
1z12%Net cash used in investing activities2( 14,991 2)22( 16,957 2)3Financing activities:3334%Proceeds from repurchase arrangements~
42{44~
4TO4)5!Payments on repurchase agreements5( 3,237,021 5)55( 1,284,306 5)16)Payments on debt of consolidated variable6( 42 6)66( 63 6)7interest entities28*Net proceeds from preferred stock issuance~
888 88/9'Net proceeds from common stock issuance~
999~
99:%Payments for common stock repurchases
:( 103 :): ::;Cash dividends paid
;( 863 ;);
;( 699 ;)1<)Net cash provided by financing activities~
<<<~
<f<0=(Net change in cash, cash equivalents and~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
11/05/2019%Note 4. Investment Securities
September 30, 2019
December 31, 2018Investment Securities Amortized
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~
F ~
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*CMBS~
f~
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~
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~
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AGNC Investment Corp.10Q
11/05/2019%Note 4. Investment Securities
September 30, 2019Agency RMBS
NonAgencyInvestment Securities
Fannie MaeFreddie Mac
Ginnie
RMBSCMBSCRT
Total
Mae&Availableforsale securities:
Par value~
~
M ~
R
$
$
$~
*9Unamortized discount( 12 )( 2 )

  ( 14 )Unamortized premium~
n~
r

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Amortized cost~
"~
^R ~
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HGross unrealized gains~
:~
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Gross unrealized losses( 60 )( 30 )

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( 10 )( 2 )( 2 )( 80 )Unamortized premium~
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~

~
~
f~
~
bGross unrealized gains~
~
f

~
:~
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bGross unrealized losses( 21 )( 15 )

 ( 6 )( 42 )1)Total securities remeasured at fair value~
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AGNC Investment Corp.10Q
11/05/2019%Note 4. Investment Securities
December 31, 2018Agency RMBS
NonAgencyInvestment SecuritiesFannieFreddie Mac
Ginnie
RMBSCMBSCRT
Total
Mae
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Par value~
~
X ~
f
~
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$~
kUnamortized discount( 10 )( 2 )

  ( 12 )Unamortized premium~
B~
^

  ~
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~
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( 686 )
( 264 )

  
( 950 ),$Total availableforsale securities,~
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( 103 )Unamortized premium~
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~
~
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~
b~
~
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( 243 )

( 1 )( 12 )
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AGNC Investment Corp.10Q
11/05/2019%Note 4. Investment Securities
September 30, 2019
December 31, 20182*CRT and NonAgency Security Credit RatingsCRTRMBS
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AGNC Investment Corp.10Q
11/05/2019%Note 4. Investment Securities
September 30, 2019
December 31, 20185Estimated Weighted Average Life of Investment
Fair Value Amortized
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CostAverageAverage
Coupon
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Coupon
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AGNC Investment Corp.10Q
11/05/2019%Note 4. Investment Securities
$
Unrealized Loss Position ForLess than 12 Months
12 Months or More
Total3+Securities Classified as AvailableforSaleFair
Unrealized
Fair Value
UnrealizedFair
Unrealized
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Loss
Loss
Value
LossSeptember 30, 2019~
*$( 1 ) ~
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$( 89 )~
$( 90 )December 31, 2018~
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AGNC Investment Corp.10Q
11/05/201991Gains and Losses on Sale of Investment Securities
(
Three Months Ended September 30,~
~
Investment SecuritiesAvailableforSale$Fair Value Option Securities
Total
AvailableforSale$Fair Value Option Securities
Total
Securities 2
Securities 2+#Investment securities sold, at cost
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
Spread RiskStock Repurchase ProgramU }:}$ }$}$ }$} $ }$}
$ }$}$ }$}$ }$
AGNC Investment Corp.10Q
11/05/201991Gains and Losses on Sale of Investment Securities
'
Nine Months Ended September 30,~
~
Investment SecuritiesAvailableforSale$Fair Value Option Securities
Total
AvailableforSale$Fair Value Option Securities
Total
Securities 2
Securities 2+#Investment securities sold, at cost$( 705 ) $( 19,411 )
$( 20,116 )
$( 3,801 )$( 4,017 )$( 7,818 )0(Proceeds from investment securities sold~
~
3 ~
>
~
:~
=~
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80Net gain (loss) on sale of investment securities$( 9 )~
~
f
$( 55 )
$( 61 )$( 116 )
3+Gross gain on sale of investment securities
$~
~
~
~
2~
J3+Gross loss on sale of investment securities( 9 )( 4 )
( 13 )
( 61 )( 73 )
( 134 )80Net gain (loss) on sale of investment securities$( 9 )~
~
f
$( 55 )
$( 61 )$( 116 )$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/:pdXL@zqc3P =PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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$ } }$}$ }}$
AGNC Investment Corp.10Q
11/05/2019Repurchase Agreements
September 30, 2019
December 31, 2018Remaining MaturityRepurchase AgreementsWeighted WeightedRepurchase AgreementsWeightedWeightedAverage Average Days
AverageAverage Days
Interest
to Maturity
Interest
to MaturityRate
RateAgency repo: ? 1 month~
'{Gz@ %~
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$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/Dylth\` %]rep=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
Spread RiskStock Repurchase ProgramU }0}$ }0}$ }$} $ }
$
!
AGNC Investment Corp.10Q
11/05/2019SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
0
(Derivative and Other Hedging Instruments
Balance Sheet Location
September 30, 2019
December 31, 2018Interest rate swaps( Derivative assets, at fair value~
F~
Swaptions( Derivative assets, at fair value~
*~
TBA securities
(
Derivative assets, at fair value
~
~
%U.S. Treasury futures  short( Derivative assets, at fair value~
F 
.&Total derivative assets, at fair value~
~
F
Interest rate swaps%Derivative liabilities, at fair value$( 2 )
$
TBA securities%Derivative liabilities, at fair value( 20 )( 40
)%U.S. Treasury futures  short%Derivative liabilities, at fair value ( 44
)%Total derivative liabilities, at fair
$( 22 )
$( 84
)
value'U.S. Treasury securities  long/'U.S. Treasury securities, at fair value~
^~
( U.S. Treasury securities  short0(Obligation to return securities borrowed( 5,114 )( 21,431
),$under reverse repurchase agreements,
at fair value.&Total U.S. Treasury securities, net at$( 4,899 ) $( 21,385
)
fair value$____________________________1)Created by Morningstar Document Research.D%lVJ>2&Jg})us 0 (http://documentresearch.morningstar.com/H=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
11/05/2019SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
September 30, 2019
December 31, 20182*Pay Fixed / Receive Variable Interest RateNotionalAverageAverage
AverageNotionalAverageAverageAverage
SwapsAmount Fixed PayReceive
MaturityAmount 1 Fixed PayReceiveMaturity
Rate
Rate
(Years)
Rate 2
Rate
(Years) ? 3 years~
1.37 %1.98 %
?~
61.63 %2.62 %?> 3 to ? 5 years~
1.17 %1.90 % ~
~
2.06 %2.61 %~
> 5 to ? 7 years~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
11/05/2019SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value 2
*Pay Fixed / Receive Variable Interest Rate
September 30, 2019
December 31, 20185Swaps by Receive Index (% of Notional Amount)OIS~
> %  %
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~
:
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~
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%  %
Total~
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%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/.VJ>2&IR~V=PF0*8X>
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AGNC Investment Corp.10Q
11/05/2019SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
Swaptions
Option
Underlying Payer Swap&Current Option Expiration Date
Cost Basis
Fair Value
AverageNotionalAverage Fixed PayAverageAverage
Months to Current OptionAmountRateReceiveTerm
Expiration Date 1
Rate
(Years)
(LIBOR)September 30, 2019
? 1 year~
~
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6~
~
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~
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J~
: ~
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~
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3M@$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/>L0VJ>2&*Ga=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
11/05/2019SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
U.S. Treasury Securities
September 30, 2019
December 31, 2018Maturity Face Amount Long/(Short)Cost Basis 1
Fair Value
Face Amount Long/(Short)Cost Basis 1
Fair Value5 years~
~
~
2
$( 703 )$( 706 )$( 713 )
7 years



( 14,357
)
( 14,325
)
( 14,410
)10 years( 4,622 )( 4,707 )
( 5,103 )
( 6,240 )( 6,224 )( 6,262 )&Total U.S. Treasury securities$( 4,424 )$( 4,508 )
$( 4,899 )
$( 21,300 ) $( 21,255 ) $( 21,385 )$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/.0
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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11/05/2019SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
U.S. Treasury Futures
September 30, 2019
December 31, 2018MaturityNotionalCost
Fair
Net Carrying Value 1NotionalCostFairNet Carrying Value 1Amount
Basis
Value
Amount
Basis
Value
Long (Short)
Long (Short)10 years$( 1,000 )$( 1,320 )
$( 1,303 )
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$( 44 )$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/,r VJ>2&% 9=PF0*8X>
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11/05/2019SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
September 30, 2019
December 31, 2018 TBA Securities by CouponNotionalCost
Fair
Net Carrying Value 1NotionalCostFairNet Carrying Value 1Amount
Basis
Value
Amount
Basis
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Long (Short)
Long (Short)15Year TBA securities:
2.5%~
~
~
~
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$
$
$ 3.0%~
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~
~
~
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( 4,155 )
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%
AGNC Investment Corp.10Q
11/05/2019IAGain (Loss) From Derivative Instruments and Other Securities, Net
0
(Derivative and Other Hedging Instruments
Beginning
Additions
Settlement, Termination,
Ending
Gain/(Loss)Notional Amount
Expiration orNotional Amount7/on Derivative Instruments and Other Securities, Exercise
Net 1.
&Three months ended September 30, 2019:
TBA securities, net~
~
{ ( 33,381
)~
~
BInterest rate swaps~
~
( 75,800
)~
( 482 )Payer swaptions~
D~
RF
( 250
)~
*( 19 )Receiver swaptions
$
( 175 )~
$ 1)U.S. Treasury securities  short position$( 7,245 )( 98 )~
Z*
$( 4,633 )
( 154 )0(U.S. Treasury securities  long position~
~
( 1,278
)~
F~
/'U.S. Treasury futures contracts  short$( 1,650 )( 1,000 )~
$( 1,000 )( 40 )position $( 546 ).&Three months ended September 30, 2018: TBA securities, net~
v5~
Zf ( 66,233
)~
$( 56 )Interest rate swaps~
~
! ( 1,350
)~
~
jPayer swaptions~
W  
~
W~
z1)U.S. Treasury securities  short position $( 13,394 )( 4,402 )~
$( 16,213 )~
Z0(U.S. Treasury securities  long position
$~
b
( 682
)~
/'U.S. Treasury futures contracts  short$( 1,650 )( 1,650 )~
$( 1,650 )~
Vposition ~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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$}
$ }$}$ }$
%
AGNC Investment Corp.10Q
11/05/2019IAGain (Loss) From Derivative Instruments and Other Securities, Net
0
(Derivative and Other Hedging Instruments
Beginning
Additions
Settlement, Termination,
Ending
Gain/(Loss)Notional Amount
Expiration orNotional Amount7/on Derivative Instruments and Other Securities, Exercise
Net 1
%Nine months ended September 30, 2019:
TBA securities, net~
o~
:O ( 75,791
)~
~
Interest rate swaps~
&~
>V ( 122,825
)~
( 2,097 )Payer swaptions~
6~
o ( 2,000
)~
*( 71 )Receiver swaptions
$
( 175 )~
$ 1)U.S. Treasury securities  short position $( 21,345 )( 7,404 )~
x
$( 4,633 )( 1,084 )0(U.S. Treasury securities  long position~
~
( 1,612
)~
F~
./'U.S. Treasury futures contracts  short$( 1,650 )( 4,300 )~
ZM
$( 1,000 )
( 128 )position $( 2,979 )%Nine months ended September 30, 2018: TBA securities, net~
~
( 169,977
)~
$( 362 )Interest rate swaps~
Ҫ~
" ( 4,825
)~
~
&Payer swaptions~
g~
2 ( 2,150
)~
W~
n1)U.S. Treasury securities  short position $( 10,699 )( 10,693 )~
P
$( 16,213 )~
60(U.S. Treasury securities  long position
$~
( 1,731
)~
/'U.S. Treasury futures contracts  short$( 2,910 )( 6,209 )~
t
$( 1,650 )~
position ~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
11/05/2019( Assets Pledged to Counterparties
September 30, 2019*"Assets Pledged to Counterparties 1Repurchase Agreements 2!Debt of Consolidated VIEs
Derivative Agreements
+#Brokerage and Clearing Agreements 3
Total Agency RMBS  fair value~
V~
& ~
~
~
.
CRT  fair value
~



~
NonAgency  fair value  

 %U.S. Treasury securities  fair value~
~


~
~
.&Accrued interest on pledged securities~
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~
~
~
b,$Restricted cash and cash equivalents~
 ~
~
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Total~
~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
11/05/2019( Assets Pledged to Counterparties
December 31, 2018*"Assets Pledged to Counterparties 1Repurchase Agreements 2!Debt of Consolidated VIEs
Derivative Agreements
+#Brokerage and Clearing Agreements 3
Total Agency RMBS  fair value~
V~
~
~
~
CRT  fair value
~
6



~
6
NonAgency  fair value~


~
%U.S. Treasury securities  fair value~


~
.&Accrued interest on pledged securities~
~
~
~
,$Restricted cash and cash equivalents~
6  ~
*
~
^
Total~
~
~
~
~
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AGNC Investment Corp.10Q
11/05/2019( Assets Pledged to Counterparties
September 30, 2019
December 31, 20180(Securities Pledged by Remaining Maturity( Fair Value of Pledged Securities Amortized
Accrued
( Fair Value of Pledged Securities AmortizedAccrued$of Repurchase Agreements 1,2"Cost of Pledged Securities
Interest on
"Cost of Pledged SecuritiesInterest on
Pledged
Pledged
Securities
Securities ? 30 days~
~B~
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~
b~
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~
~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
Spread RiskStock Repurchase ProgramU }} $
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!!!!!!!AGNC Investment Corp.10Q
11/05/2019*"Assets Pledged from Counterparties
September 30, 2019
December 31, 2018 Assets Pledged to AGNC 1%Reverse Repurchase AgreementsDerivative Agreements
Repurchase Agreements
Total%Reverse Repurchase AgreementsDerivative AgreementsRepurchase Agreements
Total%U.S. Treasury securities  fair value~
^
$ ~
"
~
^~
U~
~
~
V
Cash

~
~
.
~
*

~

~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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"
AGNC Investment Corp.10Q
11/05/2019)!Offsetting Assets and Liabilities
.
&Offsetting of Financial and DerivativeAssets*"Gross Amounts of Recognized Assets0(Gross Amounts Offset in the Consolidated ;
3Net Amounts of Assets Presented in the Consolidated
Gross Amounts Not Offset
Net Amount
Balance Sheets
Balance Sheets
in the
#Consolidated Balance Sheets
Financial InstrumentsCollateral Received 2September 30, 2019
3+Interest rate swap and swaption agreements,~
n
$ ~
n
$( 1 )
$( 63 )~
nat fair value 1%TBA securities, at fair value~
 ~
( 20 ) ~
6.Receivable under reverse repurchase agreements~
6_  ~
6_
( 6,093 )  
Total~
a
$ ~
a
$( 6,114 )
$( 63 )~
*
December 31, 2018
3+Interest rate swap and swaption agreements,~
$ ~
$$( 158 )~
at fair value 1%TBA securities, at fair value~
 ~
( 40 ) ~
6.Receivable under reverse repurchase agreements~
T  ~
T
( 17,236 )( 4,575 )~
Total~
Y
$ ~
Y
$( 17,276 )$( 4,733 )~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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"
AGNC Investment Corp.10Q
11/05/2019)!Offsetting Assets and Liabilities
.
&Offsetting of Financial and DerivativeLiabilities/'Gross Amounts of Recognized Liabilities0(Gross Amounts Offset in the Consolidated /
'Net Amounts of Liabilities Presented in
Gross Amounts Not Offset
Net Amount
Balance Sheets
'
the Consolidated Balance Sheets
in the
#Consolidated Balance Sheets
Financial InstrumentsCollateral Pledged 2September 30, 2019
.&Interest rate swap agreements, at fair~
$ ~
$( 1 )$( 1 )
$value 1%TBA securities, at fair value~
R  ~
R
( 20 )  Repurchase agreements~
҇  ~
҇
( 6,093 )( 84,519 ) 
Total~
*
$ ~
*
$( 6,114 ) $( 84,520 )
$
December 31, 2018
.&Interest rate swap agreements, at fair
$
$
$
$
$
$value 1%TBA securities, at fair value~
 ~
( 40 )  Repurchase agreements~
 ~
( 17,236 )( 58,481 ) 
Total~
$ ~
$( 17,276 ) $( 58,481 )
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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%
AGNC Investment Corp.10Q
11/05/2019'Note 8. Fair Value Measurements
September 30, 2019
December 31, 2018Level 1Level 2
Level 3
Level 1Level 2Level 3Assets:
Agency securities
$
~
F
$
$
~
$
5Agency securities transferred to consolidated ~
&

~
VIEs'Credit risk transfer securities ~

~
NonAgency securities ~

~
 U.S. Treasury securities~
^ 

~
 Interest rate swaps ~
F

~
 Swaptions ~
*

~
TBA securities ~

~
U.S. Treasury futures~
F 

  
Total~
~
'
$
~
~
B)
$Liabilities:
!Debt of consolidated VIEs
$~
$
$~
N
$5Obligation to return U.S. Treasury securities~
O 

~
N  4,borrowed under reverse repurchase agreementsInterest rate swaps ~

  TBA securities ~
R

~
U.S. Treasury futures  

~
 
Total~
O~
$
~
O~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value MeasurementsSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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$
AGNC Investment Corp.10Q
11/05/20192*Note 9. Net Income (Loss) Per Common Share
(
Three Months Ended September 30,
'
Nine Months Ended September 30,~
~
~
~
0(Weighted average number of common shares~
33333@
33333߀@
33333;z@
issued and outstanding/'Weighted average number of fully vested??
?
?RSUs outstanding0(Weighted average number of common shares33333@@
fffff@
$( 219 )
~
*to common stockholders2*Net income (loss) per common share  basic$( 0.03 )?
$( 0.41 )
HzG@4,Net income (loss) per common share  diluted$( 0.03 )?
$( 0.41 )
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per Comm!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
11/05/2019Subsequent Events,
Preferred Stock
Issuance
Depositary
Carrying
Aggregate
Fixed
Optional
FixedtoFloating
FloatingDateShares
Value
Liquidation PreferenceRate
RedemptionRateAnnual RateIssued
Date 2
Conversion
and
DateOutstanding
Fixed Rate
Series BMay 8, 2014~
~
~
7.750 %May 8, 2019N/AN/A FixedtoFloating Rate 1
Series CAugust 22, 2017~
6~
~
7.000 %October 15, 2022October 15, 20223M LIBOR + 5.111%Series D
March 6, 2019"@~
~
6.875 %April 15, 2024April 15, 20243M LIBOR + 4.332%
Totalffffff=@~
~
~
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/8wk_W3%+@#W=PF0*8X>
@
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent EventsMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
11/05/20195Accumulated Other Comprehensive Income (Loss)
(
Three Months Ended September 30,
'
Nine Months Ended September 30,.&Accumulated Other Comprehensive Income~
~
~
~
(Loss)
Beginning Balance
$( 164
)
$( 1,111
)
$( 943
)
$( 345
)$OCI before reclassifications~
( 229 ) ~
( 1,014 )2*(Gain) loss amounts for availableforsale ~
~
&
~
0(securities reclassified from accumulated91OCI to realized gain (loss) on sale of investment
securitiesEnding Balance~
J$( 1,304 ) ~
J
$( 1,304 )$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/6th\PDxcQ~hh=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
11/05/2019Market Information
&
Interest Rate/Security Price 1
Sept. 30, 2018
Dec. 31, 2018
Mar. 31, 2019
June 30, 2019
Sept. 30, 2019
Sept. 30, 2019
Sept. 30, 2019
vs
vs
June 31, 2019
Dec. 31, 2018
LIBOR:
1Month
2.26%
2.50%
2.49%
2.40%
2.02%
0.38
bps
0.48bps3Month
2.40%
2.81%
2.60%
2.32%
2.09%
0.23
bps
0.72bps$U.S. Treasury Security Rate:
2Year U.S. Treasury
2.82%
2.49%
2.26%
1.75%
1.62%
0.13
bps
0.87bps5Year U.S. Treasury
2.95%
2.51%
2.23%
1.77%
1.54%
0.23
bps
0.97bps10Year U.S. Treasury
3.06%
2.68%
2.41%
2.01%
1.66%
0.35
bps
1.02bps30Year U.S. Treasury
3.21%
3.01%
2.81%
2.53%
2.11%
0.42
bps
0.90bps Interest Rate Swap Rate:
2Year Swap
2.99%
2.66%
2.38%
1.81%
1.63%
0.18
bps
1.03bps5Year Swap
3.07%
2.57%
2.28%
1.77%
1.50%
0.27
bps
1.07bps10Year Swap
3.12%
2.71%
2.41%
1.96%
1.56%
0.40
bps
1.15bps30Year Swap
3.13%
2.84%
2.58%
2.21%
1.71%
0.50
bps
1.13bps( 30Year Fixed Rate Agency Price:
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AGNC Investment Corp.10Q
11/05/2019FINANCIAL CONDITION
September 30, 2019
December 31, 2018,$Investment Portfolio (Includes TBAs)Amortized Cost
Fair Value
Average Coupon
%Amortized Cost
Fair ValueAverage Coupon %2*Fixed rate Agency RMBS and TBA securities:
? 15year:
? 15year RMBS~
n~
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f~
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d~
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V(\@ %~
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~
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 %~
8~
9zG@ %~
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Total 30year~
d~
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b %~
~
Z333333@ %~
R %7/Total fixed rate Agency RMBS and TBA securities~
~~
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~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
11/05/2019FINANCIAL CONDITION
September 30, 2019!Includes Net TBA Position!Excludes Net TBA Position1)Fixed Rate Agency RMBS and TBA Securities Par Value Amortized
Fair Value
Specified Pool % 1 AmortizedWeighted Average Projected
Cost
Cost Basis
WAC 2
Yield 3
Age (Months)
CPR 3
Fixed rate
? 15year
2.5%~
B~
r ~
v
62%101.1%
2.98%
2.11%~
N10%3.0%~
.~
/ ~
/
58%101.6%
3.52%
2.44%~
11%3.5%~
r2~
3 ~
4
53%102.3%
4.06%
2.78%~
J17%4.0%~
~
~
80%103.1%
4.60%
3.04%~
^15%4.5%~
~
~
98%103.6%
4.87%
3.00%~
13%? 5.0%~
~
~
100%102.0%
6.57%
4.57%~
>15%Total ? 15year~
f~
Z ~
60%102.1%
3.86%
2.64%~
14%20year
3.0%~
~
~
100%103.3%
3.78%
2.40%~
9%3.5%~
~
~
81%102.0%
4.05%
2.96%~
*13%4.0%~
:~
V ~
r
92%103.3%
4.44%
3.16%~
~14%4.5%~
2~
Z ~
v
100%104.8%
5.00%
3.23%~
15%? 5.0%~
~
~
%105.2%
5.94%
3.33%~
&18%Total 20year:~
~
N ~
90%103.2%
4.40%
3.05%~
13%30year:
3.0%~
\~
` ~
a
2%101.6%
3.89%
2.68%~
&13%Dlvj^2a"(:h;rG !"#$%&'()*+ 3.5% ~
J ~
S ~
6Z
70% 102.9%
4.06%
2.99% ~
12%!4.0%!~
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!4.52%!
!3.23%!~
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"92%""105.0%"
"4.98%"
"3.40%"~
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#b##~
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#92%##107.9%#
#5.50%#
#3.24%#~
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$
$$~
$"$$ ~
$
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$49%$$109.5%$
$6.18%$
$3.33%$~
$n$$13%%
Total 30year%~
%:%%~
%d%% ~
%
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%61%%%103.4%%
%4.35%%
%3.09%%~
%z%%13%&Total fixed rate&~
&&&~
&~&& ~
&
&&
&62%&&103.3%&
&4.32%&
&3.06%&~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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+
AGNC Investment Corp.10Q
11/05/2019FINANCIAL CONDITION
December 31, 2018!Includes Net TBA Position!Excludes Net TBA Position1)Fixed Rate Agency RMBS and TBA Securities Par Value Amortized
Fair Value
Specified Pool % 1 AmortizedWeighted Average Projected
Cost
Cost Basis
WAC 2
Yield 3
Age (Months)
CPR 3
Fixed rate
? 15year
? 2.5%~
~
J ~
75%101.2%
2.98%
2.11%~
*
9%3.0%~
n)~
) ~
j)
75%101.7%
3.51%
2.44%~
9%3.5%~
rE~
JF ~
ZF
43%101.9%
4.07%
2.96%~
f10%4.0%~
F&~
.' ~
6'
40%103.5%
4.47%
2.96%~
10%4.5%~
~
~
99%104.0%
4.87%
3.01%~
11%? 5.0%~
~
~
100%102.4%
6.55%
4.57%~
14%Total ? 15year~
~
6 ~
^
54%102.0%
3.82%
2.68%~
10%20year
3.5%~
~
~
80%102.0%
4.05%
3.00%~
10%4.0%~
:~
Z ~
V
91%103.4%
4.45%
3.28%~
b10%4.5%~
~
~
100%105.2%
5.00%
3.35%~
f11%? 5.0%~
~
~
%105.7%
5.94%
3.34%~
16%Total 20year:~
~
* ~
89%103.4%
4.46%
3.19%~
11%30year:
? 3.0%~
1~
0 ~
0
3%100.1%
3.58%
2.97%~
6%3.5%~
*^~
jk ~
_
71%103.2%
4.06%
3.05%~
6%Dlvj^2b#);h;q=Q !"#$%&'()* 4.0% ~
E ~
Z ~
T
61% 103.8%
4.54%
3.44% ~
b
8%!4.5%!~
!!!~
!!! ~
!
!!
!69%!!104.7%!
!4.99%!
!3.75%!~
!:!
!9%"5.0%"~
"""~
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"117%""106.8%"
"5.53%"
"3.80%"~
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#.##~
#N## ~
#
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#49%##110.5%#
#6.17%#
#3.35%#~
#N##12%$
Total 30year$~
$n$$~
$$$ ~
$
Z$$
$63%$$103.6%$
$4.41%$
$3.34%$~
$r$
$8%%Total fixed rate%~
%U%%~
%%% ~
%
o%%
%62%%%103.5%%
%4.36%%
%3.28%%~
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AGNC Investment Corp.10Q
11/05/2019FINANCIAL CONDITION
September 30, 2019
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11/05/2019Selected Financial Data 1
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Balance Sheet DataSeptember 30, 2019December 31, 2018(Unaudited),
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~
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AGNC Investment Corp.10Q
11/05/2019Selected Financial Data
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Nine Months Ended September 30,.&Statement of Comprehensive Income Data~
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AGNC Investment Corp.10Q
11/05/2019Selected Financial Data
(
Three Months Ended September 30,
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Nine Months Ended September 30, Other Data (Unaudited) *~
~
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AGNC Investment Corp.10Q
11/05/20191)Economic Interest Income and Asset Yields
(
Three Months Ended September 30,
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AGNC Investment Corp.10Q
11/05/2019=5Economic Interest Expense and Aggregate Cost of Funds
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11/05/2019'Liquidity and Capital Resources
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Average Tangible Net Book Value
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11/05/2019=5Economic Interest Expense and Aggregate Cost of Funds
(
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AGNC Investment Corp.10Q
11/05/2019=5Economic Interest Expense and Aggregate Cost of Funds
3
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11/05/2019=5Economic Interest Expense and Aggregate Cost of Funds
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11/05/2019Net Interest Spread
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11/05/2019G?Gain (Loss) on Derivative Instruments and Other Securities, Net
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11/05/2019 Estimated Taxable Income
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11/05/2019Debt Capital
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AGNC Investment Corp.10Q
11/05/2019Repurchase Agreements
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11/05/2019Interest Rate Risk %
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11/05/2019Extension Risk #
Interest Rate Sensitivity 1September 30, 2019December 31, 2018Change in Interest Rate&Weighted Average Projected CPR&Weighted Average Asset Yield 2&Weighted Average Projected CPR&Weighted Average Asset Yield 2
100 Basis Points
23.6%
2.73%
14.1%
3.15%50 Basis Points
18.5%
2.89%
10.3%
3.25%! Actual as of Period End
13.4%
3.08%7.9%
3.31%+50 Basis Points9.4%
3.18%6.5%
3.33%+100 Basis Points7.3%
3.24%5.7%
3.38%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/2{ocqvU/`=PF0*8X>
@2
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension RiskStock Repurchase ProgramU }}$ }2}$ }$4}$ }2}$ }$4
AGNC Investment Corp.10Q
11/05/2019Spread Risk
Spread Sensitivity 1,2September 30, 2019December 31, 2018Change in MBS Spread2*Estimated Change in Portfolio Market Value3+Estimated Change in Tangible Net Book Value2*Estimated Change in Portfolio Market Value3+Estimated Change in Tangible Net Book Value
Per Common Share
Per Common Share25 Basis Points
+1.2%+13.2%
+1.4%+14.3%10 Basis Points
+0.5%
+5.3%
+0.6%
+5.7%+10 Basis Points
0.5%
5.3%
0.6%
5.7%+25 Basis Points
1.2%13.2%
1.4%14.3%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/2~rfyO1sg?=PF0*8X>
@2
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??<AGNC INVESTMENT CORPBethesda Maryland 20814Bethesda Maryland 20814 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Loss Per CommSubsequent Events!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
Spread RiskU }0.}'}$ }'}$ }1}$ }0
AGNC Investment Corp.10Q
11/05/2019 Stock Repurchase Program
Settlement Date(
Total Number of Shares Purchased
(
Average Net Price Paid Per Share
0
(Total Number of Shares Purchased as Part
0
(Maximum Number of Shares That May Yet Be1)of Publicly Announced Plans or Programs 1.&Purchased Under the Publicly AnnouncedPlans or Programs.
&September 3, 2019  September 10, 2019
@
@
@
N/A
Total@@@N/A$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/,t}qeYK?=PF0*8X>
@
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