> 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#܈ ~~#؈ ~~83ffff̙̙3f3fff3f3f33333f33Washington DC 20549TABLE OF CONTENTS
Balance Sheet&dNCONSOLIDATED STATEMENTS OF COMPjShareholders Equity
Cash Flows%ݸ 9Note 4 Investment Securities% 9Note 4 Investment Securi (1)%c 9Note 4 Investment Securi (2)% 9Note 4 Investment Securi (3)% 9Note 4 Investment Securi (4)%3 9Note 4 Investment Securi (5)%!E 9Note 4 Investment Securi (6)NWGains and Losses&gNote 5 Repurchase Agreements an&uDerivative 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)&YDerivative and Other Hedgin (6)&<Gain Loss From Derivative Instr&WGain Loss From Derivative I (1)&sAssets Pledged to Counterpartie&Assets Pledged to Counterpa (1)&EAssets Pledged to Counterpa (2)&Assets Pledged from Counterpart&Offsetting Assets and Liabiliti&mOffsetting Assets and Liabi (1) &Y$ 23Accumulated Other Comprehens&: 23Accumulated Other Compre (1)>LMarket InformationwsMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data&<Interest Income and Asset Yield&qPInterest Income and Asset Y (1)W_Leverage&0v 35Interest Expense and Cost of&} 35Interest Expense and Cos (1)&ǚ 35Interest Expense and Cos (2)& 35Interest Expense and Cos (3)& 37Net Spread and Dollar Roll I&tGain Loss on Sale of Agency Sec&UGain Loss on Derivative Instrum!_Dividends and Income Taxes%Dividends and Income Taxes (1)!'Other Comprehensive Income 9Repurchase Agreements
G 45Interest Rate Risk2ZSpread Risk&/lItem 6 Exhibits and Financial S
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }%}$ }
AGNC Investment Corp.10Q
05/06/2015Washington, D.C. 20549
Delaware
261701984'(State or Other Jurisdiction of(I.R.S. Employer&Incorporation or Organization)Identification No.)
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/(Tsg[7YMA=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }y
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AGNC Investment Corp.10Q
05/06/2015TABLE OF CONTENTS
PART I.
FINANCIAL INFORMATION
Item 1.Financial Statements~
Item 2.,
$Management's Discussion and Analysis~
f80of Financial Condition and Results of OperationsItem 3.0(Quantitative and Qualitative Disclosures~
About Market RiskItem 4. Controls and Proceedures~
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 Securites~
Item 4.Mine Safety Disclosures~
Item 5.Other Information~
Item 6.Exhibits~
Signatures~
Dlxl`t0 !"# $!____________________________1")Created by Morningstar Document Research.0#(http://documentresearch.morningstar.com/<=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }I;}$
A
AGNC Investment Corp.10Q
05/06/2015
Balance Sheet
March 31, 2015December 31, 2014(Unaudited)
Assets:
3+Agency securities, at fair value (including~
~
b2*pledged securities of $56,836 and $51,629,
respectively)5Agency securities transferred to consolidated~
~
1)variable interest entities, at fair value(pledged securities)/'U.S. Treasury securities, at fair value~
C~
%/'(including pledged securities of $4,328!and $2,375, respectively)%REIT equity securities, at fair value~
~
!Cash and cash equivalents~
~
Restricted cash~
R~
&( Derivative assets, at fair value~
~
b1)Receivable for securities sold (including~
2~
91pledged securities of $721 and $79, respectively)6.Receivable under reverse repurchase agreements~
1~
QOther assets~
~
Total assets~
Fv~
"D
lpdb+~e$[/} !"#$%&'()*+,./0123456789:;<=>? Liabilities: !Repurchase agreements~
!!!~
!!."&Debt of consolidated variable interest~
"V""~
""#entities, at fair value($ Payable for securities purchased~
$$$~
$.
$%%Derivative liabilities, at fair value~
%"%%~
%
%&Dividends payable~
&V&&~
&V&0'(Obligation to return securities borrowed~
'4''~
'S',($under reverse repurchase agreements,
)at*
fair value6+.Accounts payable and other accrued liabilities~
+++~
++,Total liabilities~
,,,~
,,Stockholders' equity:/.'Preferred stock  $0.01 par value; 10.0.../shares authorized:0%Redeemable Preferred Stock; $0.01 par~
0B00~
0B001(value; 6.9 shares issued and outstanding,2$(aggregate liquidation preference of~
3r44,Common stock  $0.01 par value; 600.0 shares4445authorized;+6#352.8 shares issued and outstanding~
666~
66"7Additional paidin capital~
7r77~
7r78Retained deficit~
8*88~
88.9&Accumulated other comprehensive income~
9J
99~
99":Total stockholders' equity~
:2::~
:R:2;*Total liabilities and stockholders' equity~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance SheetShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }6}$
5
AGNC Investment Corp.10Q
05/06/20157/CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
$
Three months ended March 31,~
~~
zInterest income:
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securities, netTotal other loss, net~
~
Expenses:Management fees~
z~
v+#General and administrative expenses~
~
Total expenses~
~
Net loss~
~
#Dividend on preferred stock~
~
4,Net loss attributable to common stockholders~
~
Net loss~
~
#Other comprehensive income:Do
lrfZNBz:$o`p7mX !"#$%&'()*+,./01234 %Unrealized gain on availableforsale~
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"v""~
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&&&~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMP
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }2}U}$ }
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*******************AGNC Investment Corp.10Q
05/06/2015Shareholders' Equity
Preferred Stock
Common Stock
Additional
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Accumulated
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }8}$
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AGNC Investment Corp.10Q
05/06/2015
Cash Flows
$
Three months ended March 31,~
~~
zOperating activities:
Net loss~
~
.&Adjustments to reconcile net income to2*net cash provided by operating activities:2*Amortization of agency securities premiums~
~
:and discounts, net7/Amortization of accumulated other comprehensive~
v~
1)loss on interest rate swaps dedesignatedas qualifying hedges1)(Gain) loss on sale of agency securities,~
r~
Nnet0(Loss on derivative instruments and other~
~
securities, net+#(Increase) decrease in other assets~
~
/'Increase (decrease) in accounts payable~
~
%and other accrued liabilities1)Net cash provided by operating activities~
~
Investing activities:&Purchases of agency securities~
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/'Proceeds from sale of agency securities~
n~
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lsgZzk6!> !"#$%&'()*+,./0123456789:;<=2 *Principal collections on agency securities~
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!%Purchases of U.S. Treasury securities~
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">""~
""/#'Net proceeds from (payments on) reverse~
###~
##$repurchase agreements6%.Net proceeds from other derivative instruments~
%%%~
%%+&#Purchases of REIT equity securities~
&&&~
&&4',Proceeds from sale of REIT equity securities~
'.''~
'Z'#(Increase in restricted cash~
(((~
(b(')Other investing cash flows, net~
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)&)0*(Net cash (used in) provided by investing~
*n**~
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activities,Financing activities:,,,%Proceeds from repurchase arrangements~
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J+.#Repayments on repurchase agreements~
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Q.3/+Repayments on debt of consolidated variable~
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/r/0interest entities1%Payments for common stock repurchases 111~
112Cash dividends paid~
2B22~
2V203(Net cash provided by (used in) financing~
3u33~
3"34
activities/5'Net change in cash and cash equivalents~
555~
5~5.6&Cash and cash equivalents at beginning~
666~
6~!67 of period28*Cash and cash equivalents at end of period~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }a/}$
AGNC Investment Corp.10Q
05/06/2015' 9Note 4. Investment Securities
March 31, 2015
Agency MBS Amortized
Gross
Gross
Fair ValueCost
Unrealized
Unrealized
Gain
Loss
Fixed rate~
~
F ~
~
Adjustable rate~
~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
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Spread Risk!Item 6 Exhibits and Financial SU }a/}$
AGNC Investment Corp.10Q
05/06/2015' 9Note 4. Investment Securities
December 31, 2014
Agency MBS Amortized
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Gross
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Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
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AGNC Investment Corp.10Q
05/06/2015' 9Note 4. Investment Securities
March 31, 2015
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Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
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AGNC Investment Corp.10Q
05/06/2015' 9Note 4. Investment Securities
December 31, 2014
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Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
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05/06/2015' 9Note 4. Investment Securities
March 31, 2015
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Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
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05/06/2015' 9Note 4. Investment Securities
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
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Spread Risk!Item 6 Exhibits and Financial SU }%}$
AGNC Investment Corp.10Q
05/06/2015' 9Note 4. Investment Securities
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Unrealized Loss Position ForLess than 12 Months
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
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05/06/2015Gains and Losses
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Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
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AGNC Investment Corp.10Q
05/06/20154,Note 5. Repurchase Agreements and Other Debt
March 31, 2015
December 31, 2014Remaining MaturityRepurchase AgreementsWeighted WeightedRepurchase AgreementsWeightedWeightedAverage Average Days
AverageAverage Days
Interest
to Maturity
Interest
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
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05/06/2015SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
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Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
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AGNC Investment Corp.10Q
05/06/2015SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
March 31, 2015!Payer Interest Rate SwapsNotionalAverageAverage
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
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AGNC Investment Corp.10Q
05/06/2015SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
December 31, 2014!Payer Interest Rate SwapsNotionalAverageAverage
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }} $ }
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AGNC Investment Corp.10Q
05/06/2015SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
Payer Swaptions
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }} $ }
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05/06/2015SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
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05/06/2015SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
March 31, 2015
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }} $
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05/06/2015SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
March 31, 2015
December 31, 2014 TBA Securities by CouponNotionalCost
Market
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Amount  Long (Short) 1Basis 2Value 3
15Year TBA securities:
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~
~
~
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~
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 Total 15Year TBAs~
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March 31, 2015December 31, 2014 TBA Securities by IssuerNotionalCost
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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 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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
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AGNC Investment Corp.10Q
05/06/2015^V_____________________Gain (Loss) From Derivative Instruments and Other Securities, Net
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
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AGNC Investment Corp.10Q
05/06/2015^V_____________________Gain (Loss) From Derivative Instruments and Other Securities, Net
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December 31, 2013
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
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05/06/2015( Assets Pledged to Counterparties
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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 from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
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AGNC Investment Corp.10Q
05/06/2015( Assets Pledged to Counterparties
March 31, 2015
December 31, 2014.&Agency Securities Pledged by Remaining( Fair Value of Pledged Securities Amortized
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Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
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AGNC Investment Corp.10Q
05/06/2015*"Assets Pledged from Counterparties
March 31, 2015
December 31, 2014Assets Pledged to AGNC%Reverse Repurchase AgreementsDerivative Agreements
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
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05/06/2015)!Offsetting Assets and Liabilities
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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 ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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)! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
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AGNC Investment Corp.10Q
05/06/2015
March 31, 2015
December 31, 2014Level 1Level 2
Level 3
Level 1Level 2Level 3Assets:
Agency securities
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
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05/06/201580 23Accumulated Other Comprehensive Income (Loss)
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Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other ComprehensMarket InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
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05/06/201580 23Accumulated Other Comprehensive Income (Loss)
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
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05/06/2015Market Information:
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Interest Rate/Security Price 1
Mar. 31, 2014
June 30, 2014
Sept. 30, 2014
Dec. 31, 2014
Mar. 31, 2015
Mar. 31, 2015
vs.
Dec. 31, 2014
LIBOR:
1Month
0.15%
0.16%
0.16%
0.17%
0.18%
+0.01
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0.23%
0.23%
0.24%
0.26%
0.27%
+0.01
bps6Month
0.33%
0.33%
0.33%
0.36%
0.40%
+0.04
bps$U.S. Treasury Security Rate:
2Year U.S. Treasury
0.43%
0.46%
0.58%
0.67%
0.56%
0.11
bps3Year U.S. Treasury
0.88%
0.86%
1.06%
1.08%
0.88%
0.20
bps5Year U.S. Treasury
1.73%
1.62%
1.78%
1.65%
1.37%
0.28
bps10Year U.S. Treasury
2.72%
2.52%
2.51%
2.17%
1.93%
0.24
bps30Year U.S. Treasury
3.56%
3.34%
3.21%
2.75%
2.54%
0.21
bps Interest Rate Swap Rate:
2Year Swap
0.55%
0.58%
0.83%
0.89%
0.81%
0.08
bps3Year Swap
1.01%
0.99%
1.31%
1.29%
1.11%
0.18
bps5Year Swap
1.81%
1.70%
1.95%
1.77%
1.53%
0.24
bps10Year Swap
2.85%
2.61%
2.65%
2.29%
2.03%
0.26
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3.54%
3.31%
3.20%
2.70%
2.39%
0.31
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
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05/06/2015Market Information:
March 31, 2015
December 31, 2014)!Agency MBS and Net TBA SecuritiesAmortized Cost
Fair Value
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Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
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Cost
Cost Basis
WAC 3
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Age (Months)
CPR 4
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~
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Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
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05/06/2015Market Information:
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }6}$
AGNC Investment Corp.10Q
05/06/2015
Balance Sheet 1
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Balance Sheet DataMarch 31, 2015December 31, 2014(unaudited)+
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }8}$ }$}$ }$
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AGNC Investment Corp.10Q
05/06/2015Selected Financial Data
$
Three Months Ended March 31,.&Statement of Comprehensive Income Data~
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Interest income
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Interest expense 2~
Z~
Net interest income~
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Comprehensive income~
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Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
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AGNC Investment Corp.10Q
05/06/2015'Interest Income and Asset Yield
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield
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05/06/2015'Interest Income and Asset Yield
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Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
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Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
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AGNC Investment Corp.10Q
05/06/2015D<_______________________ 35Interest Expense and Cost of Funds
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Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
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05/06/2015D<_______________________ 35Interest Expense and Cost of Funds
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Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
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AGNC Investment Corp.10Q
05/06/2015D<_______________________ 35Interest Expense and Cost of Funds
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }$4}$ }$}$ }$
AGNC Investment Corp.10Q
05/06/2015D<_______________________ 35Interest Expense and Cost of Funds
$
Three Months Ended March 31,0(Average Ratio of all Interest Rate Swaps~
~~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }U5}$
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AGNC Investment Corp.10Q
05/06/2015,$ 37Net Spread and Dollar Roll Income
$
Three Months Ended March 31,~
~~
zNet interest income~
~
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~
~
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f*"cost due to change in CPR forecast4,Net spread and dollar roll income, excluding~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }}$
AGNC Investment Corp.10Q
05/06/20155Gain (Loss) on Sale of Agency Securities, Net
$
Three Months Ended March 31,~
~~
z Agency MBS sold, at cost~
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Proceeds from agency MBS sold 1~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency SecDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }:}$
0
AGNC Investment Corp.10Q
05/06/2015G?Gain (Loss) on Derivative Instruments and Other Securities, Net
$
Three Months Ended March 31,~
~~
z0(Periodic interest costs of interest rate~
~
swaps, net 16.Realized gain (loss) on derivative instruments"and other securities, net:0(TBA securities  dollar roll income, net~
~
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~
~Payer swaptions~
~
Receiver swaptions~
6 0(U.S. Treasury securities  long position~
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F1)U.S. Treasury securities  short position~
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~
+#Interest rate swap termination fees~
z~
REIT equity securities~
~
N
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5Total realized gain on derivative instruments~
~
!and other securities, net80Unrealized gain (loss) on derivative instruments$and other securities, net: 20(TBA securities  marktomarket net loss~
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Interest rate swaps~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative Instrum Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }0}$
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AGNC Investment Corp.10Q
05/06/2015"Dividends and Income Taxes
$
Three Months Ended March 31,~
~~
zNet loss~
~
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!Premium amortization, net~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income TaxesOther Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }}$
AGNC Investment Corp.10Q
05/06/2015"Dividends and Income Taxes
$
Dividends Declared per Share
Quarter Ended Series A Preferred Stock0(Series B Preferred Stock (Per Depositary
Common StockShare)
March 31, 2015
?
?
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March 31, 2014? 
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Repurchase Agreements 45Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }y<}$
AGNC Investment Corp.10Q
05/06/2015"Other Comprehensive Income
$
Three Months Ended March 31,~
~~
z%Unrealized gain on availableforsale
securities, net:Unrealized gain, net~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive Income 45Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }}$ }}$ }a/
AGNC Investment Corp.10Q
05/06/2015Repurchase Agreements
March 31, 2015CounterParty Region!Number of CounterParties/'Percent of Repurchase Agreement Funding
North America~
J65%
Asia
~
12%Europe~
.23%~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements
Spread Risk!Item 6 Exhibits and Financial SU }U}$ }}$ }}$ }
AGNC Investment Corp.10Q
05/06/2015 45Interest Rate Risk #
Interest Rate Sensitivity 1&Percentage Change in ProjectedChange in Interest RateNet Interest Income 2Portfolio MarketNet Asset Value 3,5
Value 3,4As of March 31, 2015100 Basis Points20.2%
1.0%
7.1%50 Basis Points
5.7%
0.1%
1.0%+50 Basis Points
+0.5%
0.4%
2.6%+100 Basis Points
1.2%
1.0%
7.6%As of December 31, 2014100 Basis Points14.5%
0.6%
4.7%50 Basis Points
3.3%
+0.1%
+0.5%+50 Basis Points
+0.9%
0.5%
3.8%+100 Basis Points
0.4%
1.2%
9.6%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/@
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk!Item 6 Exhibits and Financial SU }U}$ }}$ }
AGNC Investment Corp.10Q
05/06/2015Spread Risk 2
*Spread Sensitivity of Agency MBS Portfolio~
&Percentage Change in Projected
Change in MBS Spread
Portfolio
Net AssetMarket Value 2,4 Value 2,3As of March 31, 201525 Basis Points
+1.3%
+9.3%10 Basis Points
+0.5%
+3.7%+10 Basis Points
0.5%
3.7%+25 Basis Points
1.3%
9.3%As of December 31, 201425 Basis Points
+1.3%
+9.8%10 Basis Points
+0.5%
+3.9%+10 Basis Points
0.5%
3.9%+25 Basis Points
1.3%
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7Washington DC 20549TABLE OF CONTENTS
Balance Sheet!CONSOLIDATED STATEMENTS OF COMPShareholders Equity
Cash Flows 9Note 4 Investment Securities 9Note 4 Investment Securi (1) 9Note 4 Investment Securi (2) 9Note 4 Investment Securi (3) 9Note 4 Investment Securi (4) 9Note 4 Investment Securi (5) 9Note 4 Investment Securi (6)Gains and Losses!Note 5 Repurchase Agreements an!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) ! 23Accumulated Other Comprehens! 23Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Selected Financial Data!Interest Income and Asset Yield!Interest Income and Asset Y (1)
Leverage! 35Interest Expense and Cost of! 35Interest Expense and Cos (1)! 35Interest Expense and Cos (2)! 35Interest Expense and Cos (3)! 37Net Spread and Dollar Roll I!Gain Loss on Sale of Agency Sec!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Other Comprehensive IncomeRepurchase Agreements 45Interest Rate Risk
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AGNC Investment Corp.10Q
05/06/2015:2Item 6. Exhibits and Financial Statement Schedules
Exhibit No.
Description*3.1%American Capital Agency Corp. Amended
2
*and Restated Certificate of Incorporation,4,as amended, incorporated herein by reference3+to Exhibit 3.1 of Form 10Q for the quarter2*ended March 31, 2012 (File No. 00134057),filed May 9, 2012.*3.24,American Capital Agency Corp. Second Amended5and Restated Bylaws, as amended, incorporated2*herein by reference to Exhibit 3.2 of Form1)10K for the year ended December 31, 20110((File No. 00134057), filed February 23,~
r*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?:MZsM5Q !"#$%&'()*+,./0123456789:;<=>? *3.4  %Certificate of Designations of 7.750%!!0!(Series B Cumulative Redeemable Preferred""/"'Stock, incorporated herein by reference##8#0to Exhibit 3.3 to 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++2+*ended March 31, 2012 (File No. 00134057),,,,filed May 9, 2012..*4.2.2.*Instruments defining the rights of holders//3/+of securities: See Article VI of our Second0000(Amended and Restated Bylaws, as amended,1131+incorporated herein by reference to Exhibit2242,3.2 of Form 10K for the year ended December335331, 2011 (File No. 00134057), filed February444 23, 2012.556*4.36:62Form of Certificate for Common Stock, incorporated7777/herein by reference to Exhibit 4.1 to Amendment8838+No. 4 to the Registration Statement on Form9919)S11 (Registration No. 333149167), filed:::May 9, 2008.;;<*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,D!lgz(:gObrE1F@ABCDEFGHIJKLMNOPQRSTUVWXYZ[\]^_@@~
@rAAB*4.5B6B.Specimen 7.750% Series B Cumulative RedeemableCC1C)Preferred Stock Certificate, incorporatedDD2D*herein by reference to Exhibit 4.1 to 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 to FormLL4L,8K (File No. 00134067), filed May 8, 2014.MMN*4.7N0N(Form of Depositary Receipt, incorporatedOO2O*herein by reference to Exhibit 4.3 to FormPP4P,8K (File No. 00134067), filed May 8, 2014.QQR?@R7R/Certification of CEO Pursuant to Section 302(a)SS*S"of the SarbanesOxley Act of 2002.TTU333333?@U7U/Certification of CFO Pursuant to Section 302(a)VV*V"of the SarbanesOxley Act of 2002.WW~
XX0X(Certification of CEO and CFO Pursuant toYY0Y(Section 906 of the SarbanesOxley Act ofZZ~
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