> 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 20549hWashington DC 20549 (1)~*TABLE OF CONTENTS<
Balance SheetA`Income StatementxShareholders Equity
Cash Flows#Note 4 Investment Securities#Note 4 Investment Securi (1)#MNote 4 Investment Securi (2)#?Note 4 Investment Securi (3)#8UNote 4 Investment Securi (4)#mNote 4 Investment Securi (5)&Y 13Gains and Losses on Sale of W 14Repurchase Agreements&Derivative and Other Hedging In&cDerivative and Other Hedgin (1)&6Derivative and Other Hedgin (2)&9Derivative and Other Hedgin (3)&#Derivative and Other Hedgin (4)&*Derivative and Other Hedgin (5)&WGain Loss From Derivative Instr&1rGain Loss From Derivative I (1)&gGain Loss From Derivative I (2)& 19Assets Pledged to Counterpar& 19Assets Pledged to Counte (1)&* 19Assets Pledged to Counte (2)&Assets Pledged from Counterpart&Offsetting Assets and Liabiliti&Offsetting Assets and Liabi (1)7 &\Note 9 Net Income Loss Per Comm&Sm 25Accumulated Other Comprehens& 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)>OMarket Information (4)dBalance Sheet (1)yvIncome Statement (1)%Item 6 Selected Financial Data& 35Interest Income and Asset Yi&u 35Interest Income and Asse (1)Leverage&Interest Expense and Cost of Fu&Interest Expense and Cost o (1)&Interest Expense and Cost o (2)&"Interest Expense and Cost o (3)&4 38Net Spread and Dollar Roll I&MGain Loss on Sale of Investment&.^ 39 Gain Loss on Derivative Ins$y 40Dividends and Income Taxes$ 40Dividends and Income T (1)&@ 41Other Comprehensive Income LDebt CapitalkRepurchase AgreementsInterest Rate Risk9Spread Risk&Item 6 Exhibits and Financial S
l
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }%}$ }
AGNC Investment Corp.10Q
05/08/2017Washington, D.C. 20549
Delaware
261701984'(State or Other Jurisdiction of(I.R.S. Employer&Incorporation or Organization)Identification No.)
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/(Tsg[7YMA=PF0*8X>
@
l )
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }U}$}6}}$
AGNC Investment Corp.10Q
05/08/2017Washington, D.C. 20549
Large accelerated filer
?
Accelerated filer
?Nonaccelerated filer ?5(Do not check if a smaller reporting company)!Smaller Reporting Company ?
Emerging growth company ?$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/,sg[}TH<=PF0*8X>
@
l $';\<
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }y
}:}
$
AGNC Investment Corp.10Q
05/08/2017TABLE OF CONTENTS
PART I.
FINANCIAL INFORMATION
Item 1.Financial Statements~
Item 2.,
$Management's Discussion and Analysis~
n80of Financial Condition and Results of OperationsItem 3.0(Quantitative and Qualitative Disclosures~
About Market RiskItem 4.Controls and Procedures~
PART II.OTHER INFORMATIONItem 1.Legal Proceedings~
Item 1A.Risk Factors~
Item 2./'Unregistered Sales of Equity Securities~
and Use of ProceedsItem 3.'Defaults upon Senior Securities~
Item 4.Mine Safety Disclosures~
Item 5.Other Information~
Item 6.Exhibits~
Signatures~
Dlxl`
@"##""!!
l FO
\]
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }I;}$
F
AGNC Investment Corp.10Q
05/08/2017
Balance Sheet
March 31, 2017
December 31, 2016(Unaudited)Assets:3
+Agency securities, at fair value (including~
B
~
F
2*pledged securities of $41,587 and $43,943,
respectively)5Agency securities transferred to consolidated~
&~
1)variable interest entities, at fair value(pledged securities)7/NonAgency securities, at fair value (including~
~~
7/pledged securities of $0 and $90, respectively)0(Credit risk transfer securities, at fair~
~
value/'U.S. Treasury securities, at fair value ~
/'(including pledged securities of $0 and$173, respectively)!Cash and cash equivalents~
~
,$Restricted cash and cash equivalents~
n~
*( Derivative assets, at fair value~
6~
1)Receivable for securities sold (including~
~
V91pledged securities of $537 and $21, respectively)6.Receivable under reverse repurchase agreements~
2~
xD=
lpdzC}4tKo !"#$%&'()*+,./0123456789:;<=>? %Goodwill and other intangible assets,~
~
!net"Other assets~
"B""~
">"#Total assets~
#x##~
#x#$Liabilities:$$$%Repurchase agreements~
%>g%%~
%O%'&Federal Home Loan Bank advances &&&~
&v/&.'&Debt of consolidated variable interest~
'''~
'2'(entities, at fair value() Payable for securities purchased~
)
)) ))*%Derivative liabilities, at fair value~
***~
**+Dividends payable~
+
++~
+
+0,(Obligation to return securities borrowed~
,b,,~
,Rw,,$under reverse repurchase agreements,
.at/
fair value.0&Accounts payable and other liabilities~
000~
0N01Total liabilities~
1*11~
112Stockholders' equity:222/3'Preferred stock  $0.01 par value; 10.03334shares authorized:5%Redeemable Preferred Stock; $0.01 par~
5B55~
5B506(value; 6.9 shares issued and outstanding,7$(aggregate liquidation preference of~
8r29*Common stock  $0.01 par value; 600 shares999:authorized;+;#331.0 shares issued and outstanding~
;;;~
;;"<Additional paidin capital~
<2<<~
<2<=Retained deficit~
===~
==,>$Accumulated other comprehensive loss~
>>>~
>>"?Total stockholders' equity~
?q??~
?r?D1l(3W4XWI3d9mV%@ABCDE2@*Total liabilities and stockholders' equity~
@x@@~
@x@AB$C____________________________1D)Created by Morningstar Document Research.0E(http://documentresearch.morningstar.com/d~rJ=PF0*8X>
@@EEDDCC@@@@????>>>>====<<<<;;;;555511110000,,,,++++****))))''''&&&&%%%%####""""
l <r'}
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }2}$
<
AGNC Investment Corp.10Q
05/08/2017Income Statement
$
Three Months Ended March 31,~
~
Interest income:
Interest income~
~
Interest expense~
~
Net interest income~
~
Other gain (loss), net:.&Loss on sale of investment securities,~
~
net0(Unrealized gain on investment securities~
B~
.2*measured at fair value through net income,net0(Loss on derivative instruments and other~
b~
Bsecurities, netManagement fee income~
Total other loss, net:~
^~
f Expenses:Management fee expense ~
n!Compensation and benefits~
*  Other operating expenses~
~
Total operating expenses~
F~
Net income (loss)~
2~
D2
lymaYC{N3q8s !"#$%&'()*+,./0123456789:;# Dividend on preferred stock~
~
2!*Net income (loss) available (attributable)~
!!!~
!!"to common stockholders####$Net income (loss)~
$2$$~
$$#%Other comprehensive income:%%%&%Unrealized gain on availableforsale~
&&&~
&&'securities, net2(*Unrealized gain on derivative instruments, (((~
(N()net"*Other comprehensive income~
***~
*B*+Comprehensive income~
+++~
+2+#,Dividend on preferred stock~
,,,~
,,0(Comprehensive income available to common~
~
.stockholders////00(Weighted average number of common shares~
0.000ffffft@01outstanding  basic02(Weighted average number of common shares2t@222ffffft@23outstanding  diluted24*Net income (loss) per common share  basic4zG?444p=
ף45and diluted+6#Dividends declared per common share6HzG?666333333?678$9____________________________1:)Created by Morningstar Document Research.0;(http://documentresearch.morningstar.com/< #t)(Sx`0~g=PF0*8X>
@:;;::996666444422220000,,,,++++****((((&&&&$$$$!!!!
l '<G
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome Statement
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }2}U}$ }
} )$
'********** *
***
*******************AGNC Investment Corp.10Q
05/08/2017Shareholders' Equity
Preferred Stock
Common Stock
Additional
Retained
Accumulated
Total
PaidinDeficit
Other
Capital
Comprehensive
Shares
Amount
Shares
Amount
Income (Loss)"Balance, December 31, 2015@~
Bu@
~
~
~
J!"~
#%&~
')Net loss   

~
~
#Other comprehensive income:
%Unrealized gain on availableforsale   

 ~
~
securities, net2*Unrealized gain on derivative instruments,   

 ~
N~
Nnet"Repurchase of common stock  

~
2  ~
2$Preferred dividends declared
~
~
!Common dividends declared   

~
~
Balance, March 31, 2016@~
B~
.
~
~
2~
~
:~
w
"Balance, December 31, 2016@~
B~
.
~
~
2~
~
~
r
Net income   

~
2 ~
2#Other comprehensive income:
%Unrealized gain on availableforsale   

 ~
~
securities, net$Preferred dividends declared   

~
~
Dlui](% *_P9y+ *!*"*#*$*%*&*! Common dividends declared   

 ~
6  ~
6 !Balance, March 31, 2017!@!!~
!B!!~
!.! !
~
!!
!~
!2!!~
!!!~
!!!~
!q!"#$$____________________________1%)Created by Morningstar Document Research.0&(http://documentresearch.morningstar.com/xrfZ2=PF0*8X>
@c&&%%$$!!!!!!!!!!!! #$'(
l FlK
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders EquityNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }:}$
F
AGNC Investment Corp.10Q
05/08/2017
Cash Flows
$
Three Months Ended March 31,~
~
Operating activities:
Net income (loss)~
2
~
0(Adjustments to reconcile net loss to net.&cash provided by operating activities:.&Amortization of premiums and discounts~
f~
Z*"on mortgagebacked securities, net7/Amortization of accumulated other comprehensive ~
N1)loss on interest rate swaps dedesignatedas qualifying hedges)!Amortization of intangible assets~
.&Loss on sale of investment securities,~
R~
net0(Unrealized gain on investment securities~
~
2*measured at fair value through net income,net0(Loss on derivative instruments and other~
~
securities, net Decrease in other assets~
~
J/'Increase (decrease) in accounts payable~
~
2%and other accrued liabilitiesD lsgZsY$&m^k !"#$%&'()*+,./0123456789:;<=>?1 )Net cash provided by operating activities~
~
!Investing activities:!!!6".Purchases of Agency mortgagebacked securities~
"""~
"ڌ"8#0Purchases of credit risk transfer and nonAgency~
### ##$
securities4%,Proceeds from sale of Agency mortgagebacked~
%"E%%~
%6%&
securities2'*Proceeds from sale of credit risk transfer~
''' ''!(and nonAgency securities7)/Principal collections on Agency mortgagebacked~
)))~
))*
securities5+Principal collections on credit risk transfer~
+++~
++!,and nonAgency securities%Purchases of U.S. Treasury securities~
~
v6..Proceeds from sale of U.S. Treasury securities~
....~
.!.5/Net payments on reverse repurchase agreements~
/b//~
/Z/.0&Net payments on derivative instruments~
000~
00'1Other investing cash flows, net~
1:11~
1~112)Net cash provided by investing activities~
2B22~
223Financing activities:3334%Proceeds from repurchase arrangements~
4F44~
4.4)5!Payments on repurchase agreements~
5W55~
5*l556Proceeds from Federal Home Loan Bank advances 666~
6 637+Payments on Federal Home Loan Bank advances~
777~
7
718)Payments on debt of consolidated variable~
888~
889interest entities:%Payments for common stock repurchases :::~
:2:;Cash dividends paid~
;;;~
;;<%Net cash used in financing activities~
<<<~
<&</='Net change in cash and cash equivalents~
===~
==.>&Cash and cash equivalents at beginning~
>>>~
>Z>? of periodD0lFQ;8 s.xJ@ABCDE2@*Cash and cash equivalents at end of period~
@@@~
@V@AB$C____________________________1D)Created by Morningstar Document Research.0E(http://documentresearch.morningstar.com/d~rJ=PF0*8X>
@BHEEDDCC@@@@>>>>====<<<<;;;;::::88887777666655554444222211110000////....++++))))''''%%%%####""""
l
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }a/}$
AGNC Investment Corp.10Q
05/08/2017%Note 4. Investment Securities
March 31, 2017
December 31, 2016Investment Securities Amortized
Fair Value
Amortized
Fair ValueCost
Cost
Agency RMBS:
Fixed rate~
~
~
f
~
Adjustable rate~
~
~
~
CMO~
~
~
r
~
/'Interestonly and principalonly strips~
~
Z ~
2
~
Total Agency RMBS~
R~
f ~
~
NonAgency RMBS~
"~
" ~
~
CMBS~
^~
^ ~
^
~
^CRT securities~
~
~
~
#Total investment securities~
~
~
J
~
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/<xl`T9_F:.=PF0*8X>
@z/
l *
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }$4}$ }$}$ }$} $ }$}
$ }$}$ }$}$ }$}$ }$
*
AGNC Investment Corp.10Q
05/08/2017%Note 4. Investment Securities
March 31, 2017Agency RMBS
NonAgencyInvestment Securities
Fannie MaeFreddie Mac
Ginnie
RMBSCMBSCRT
Total
Mae&Availableforsale securities:
Par value~
~
j ~
~
"
$
$~
LUnamortized discount~
~

  ~
Unamortized premium~
~
~
  ~
^Amortized cost~
~
~
~
"  ~
hGross unrealized gains~
r~
~
  ~
:Gross unrealized losses~
~
r

  ~
N,$Total availableforsale securities,~
B~
6 ~
~
"  ~
Bc
at fair value3+Securities remeasured at fair value through
earnings:Par value 1~
:Q~
j

~
b~
~
WUnamortized discount~
b 

~
~
^Unamortized premium~
z~
:

 ~
.~
Amortized cost~
U~

~
^~
~
[Gross unrealized gains~
~

 ~
"~
Gross unrealized losses~
~

  ~
1)Total securities remeasured at fair value~
U~

~
^~
~
\Dlxl`TEQkBiG !"#$%&'() through earnings'!Total securities, at fair value!~
!%!!~
!ޒ!! ~
!
!!
~
!"!!~
!^!!~
!!!~
!!/"'Weighted average coupon as of March 31,""333333
@ "%""q=
ףp
@ "%" "
Gz@ "%"
"@ "%""333333@ "%""Gz@ "%""\(\
@ "%~
#3$+Weighted average yield as of March 31, 2017$$p=
ף@ $%$$Gz@ $%$ ~
$
$%$
$(\@ $%$$)\(@ $%$$ffffff@ $%$$p=
ף@ $%~
%
&$'____________________________1()Created by Morningstar Document Research.0)(http://documentresearch.morningstar.com/OA=PF0*8X>
@*))((''$$$$$$
$$$$$$$$""""""
""""""""!!!!!!
!!!!!!!!
l *F5%;
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }$4}$ }$}$ }$} $ }$}
$ }$}$ }$}$ }$}$ }$
*
AGNC Investment Corp.10Q
05/08/2017%Note 4. Investment Securities
December 31, 2016Agency RMBS
NonAgencyInvestment SecuritiesFannieFreddie Mac
Ginnie
RMBSCMBSCRT
Total
Mae
Mae&Availableforsale securities:
Par value~
~
b ~
~
$
$~
Unamortized discount~
V~

  ~
JUnamortized premium~
~

~
 ~
> Amortized cost~
.~
֤ ~
~
 ~
:Gross unrealized gains~
~
~
  ~
Gross unrealized losses~
~
6

~
 ~
J,$Total availableforsale securities,~
)~
ʢ ~
~
 ~
at fair value3+Securities remeasured at fair value through
earnings:Par value 1~


~
b~
v~
Unamortized discount~
v 

~
~
rUnamortized premium~
~
:

 ~
~
"Amortized cost~
~
:

~
^~
~
Gross unrealized gains~
r~

 ~
~
Gross unrealized losses~
~

  ~
1)Total securities remeasured at fair value~
^~
B

~
^~
~
Dlxl`TBRX.]4 !"#$%&'() through earnings'!Total securities, at fair value!~
!R.!!~
!
!! ~
!
!!
~
!!!~
!^!!~
!!!~
!!2"*Weighted average coupon as of December 31,""Q@ "%""\(\
@ "%" "
@ "%"
"\(\@ "%""333333@ "%""@ "%""zG@ "%~
#1$)Weighted average yield as of December 31,$$)\(@ $%$$(\@ $%$ ~
$
$%$
$)\(
@ $%$$)\(@ $%$$Q@ $%$$)\(@ $%%2016 2&$'____________________________1()Created by Morningstar Document Research.0)(http://documentresearch.morningstar.com/L>=PF0*8X>
@2))((''$$$$$$
$$$$$$$$""""""
""""""""!!!!!!
!!!!!!!!
l IS
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }+}$
AGNC Investment Corp.10Q
05/08/2017%Note 4. Investment Securities
March 31, 2017
December 31, 2016,$NonAgency Security Credit Ratings 1CRTRMBS
CMBS
CRTRMBSCMBSAAA
$~
"
$
$~
$
BBB


~
^


~
^
BB~
~ 

   B~
z 

~
~
 Not Rated~


  
Total~
~
" ~
^
~
~
~
^$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/2$xl`T((:FQE9=PF0*8X>
@z/
l cl
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }6} $ }
y
}$ }y
}
$ }y
}$ }y
AGNC Investment Corp.10Q
05/08/2017%Note 4. Investment Securities
March 31, 2017
December 31, 20165Estimated Weighted Average Life of Securities
Fair Value Amortized
WeightedWeighted
Fair Value AmortizedWeightedWeighted( Classified as AvailableforSaleCost
AverageAverage
CostAverageAverage
Coupon
Yield
Coupon
Yield? 1 year and ? 3 years~
~
3.90%
2.55%
~
z~
j
3.99%
2.52%> 3 years and ? 5 years~
~
3.30%
2.42%
~
z~
&
3.26%
2.40%> 5 years and ?10 years~
J~
N
3.67%
2.85%
~
J~
3.65%
2.86%
> 10 years~
:~
B
3.08%
3.06%
~
~
3.02%
3.07%
Total~
Bc~
h
3.55%
2.72%
~
~
:
3.52%
2.73%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/4Hxl`T(N^A5)=PF0*8X>
@
l ~
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }$4}$
AGNC Investment Corp.10Q
05/08/2017%Note 4. Investment Securities
$
Unrealized Loss Position ForLess than 12 Months
12 Months or More
Total3+Securities Classified as AvailableforSaleEstimated Fair
Unrealized
Estimated
UnrealizedEstimated Fair
Unrealized
Value
Loss
Fair Value
Loss
Value
LossMarch 31, 2017~
x~
Z ~
~
~
~~
NDecember 31, 2016~
~
Z ~
~
~
~
J$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/.xl`T(kaf=PF0*8X>
@
l H
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5) 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }:}$
AGNC Investment Corp.10Q
05/08/2017<4 13Gains and Losses on Sale of Investment Securities
$
Three Months Ended March 31,~
~
Investment SecuritiesAvailableforSale$Fair Value Option Securities
TotalAvailableforSale$Fair Value Option Securities
Total
Securities 2
Securities 2+#Investment securities sold, at cost~
~
~
&
~
$~
0(Proceeds from investment securities sold~
&O~
j~
O
~
6 ~
6~
80Net gain (loss) on sale of investment securities~
$~
~
$~
3+Gross gain on sale of investment securities~
$~
~
$~
3+Gross loss on sale of investment securities~
~
~
~
80Net gain (loss) on sale of investment securities~
$~
~
$~
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/:maUI=A>[tfv
6F:.=PF0*8X>
@2
l "f
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of !Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }}$ } }$}$ } $}
$ } }$}$ }$}$
"
AGNC Investment Corp.10Q
05/08/2017 14Repurchase Agreements
March 31, 2017
December 31, 2016Remaining MaturityRepurchase AgreementsWeighted WeightedRepurchase AgreementsWeightedWeightedAverage Average Days
AverageAverage Days
Interest
to Maturity
Interest
to MaturityRate
RateAgency repo: ? 1 month~
:"Gz? %~
6
~
&? %~
.> 1 to ? 3 months~
bRQ? %~
~
n(\? %~
> 3 to ? 6 months~
ףp=
? %~
~
RQ? %~
"> 6 to ? 9 months~
R9? %~
~
\(\? %~
Z> 9 to ? 12 months~
F(\? %~
r
~
zHzG? %~
> 12 to ? 24 months~
zG? %~
2
~
{Gz? %~
j> 24 to ? 36 months~
#? %~
~
R(\? %~
> 36 to ? 48 months~
ףp=
? %~
Z
~
b"Q? %~
B> 48 to   % 
~
Gz? %~
Total Agency repo~
>g? %~
~
L\(\? %~
U.S. Treasury repo: > 1 day to ? 1 month   % 
~
333333ӿ %~
F
Total~
>g? %~
~
O\(\? %~
$____________________________Dl}qeY]
&^yl_eZ !1 )Created by Morningstar Document Research.0!(http://documentresearch.morningstar.com/=PF0*8X>
@j!!
l !0
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }0}$ }0}
$
!
AGNC Investment Corp.10Q
05/08/2017SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
0
(Derivative and Other Hedging Instruments
Balance Sheet Location
March 31, 2017
December 31, 2016Interest rate swaps( Derivative assets, at fair value~
r~
Swaptions( Derivative assets, at fair value~
Z~
Z
TBA securities
(
Derivative assets, at fair value
~
n
~
%U.S. Treasury futures  short( Derivative assets, at fair value ~
"
.&Total derivative assets, at fair value~
6~
Interest rate swaps%Derivative liabilities, at fair value~
V~
^
TBA securities%Derivative liabilities, at fair value~
~
%U.S. Treasury futures  short%Derivative liabilities, at fair value~

%Total derivative liabilities, at fair~
~
value'U.S. Treasury securities  long/'U.S. Treasury securities, at fair value
$~
( U.S. Treasury securities  short0(Obligation to return securities borrowed~
v~
,$under reverse repurchase agreements,
at fair value.&Total U.S. Treasury securities, net at~
v~
fair value$____________________________1)Created by Morningstar Document Research.D
lVJ>2&Nk6 0 (http://documentresearch.morningstar.com/H=PF0*8X>
@
l
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }}$ }}$ }I } $ }
y
}$ }}$ }I }$ }y
AGNC Investment Corp.10Q
05/08/2017SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
March 31, 2017
December 31, 2016!Payer Interest Rate SwapsNotionalAverageAverage
AverageNotionalAverageAverageAverageAmount 1 Fixed PayReceive
MaturityAmount 1 Fixed PayReceiveMaturity
Rate 2
Rate 3
(Years)
Rate 2
Rate 3
(Years) ? 3 years~
5
1.21%
1.06%
?~
4
1.16%
0.92%?> 3 to ? 5 years~
a
1.72%
1.06%
ffffff@~
jt
1.62%
0.91%~
> 5 to ? 7 years~
>
1.82%
1.04%
ffffff@~
I
1.89%
0.91%@> 7 to ? 10 years~
8
1.94%
1.05%
333333"@~
3
1.90%
0.91%ffffff"@
> 10 years~
2.58%
1.05%
+@~
2.64%
0.91%+@
Total~
.
1.52%
1.06%
333333@~
D
1.48%
0.92%333333@$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/6VJ>2&*q]E,
=PF0*8X>
@
l @
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }} $ }
}$ }0}$ }I }$ }I
AGNC Investment Corp.10Q
05/08/2017SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
Payer Swaptions
Option
Underlying Payer SwapYears to ExpirationCostFair
AverageNotionalAverage Fixed PayAverageAverage
Value
Months toAmountRateReceiveTerm
Expiration
Rate
(Years)
(LIBOR)March 31, 2017
Total ? 1 year~
~
Z ~
"~
b"
3.09%
3M!@December 31, 2016
Total ? 1 year~
~
Z ~
~
3.06%
3M @$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/4*VJ>2&*Z_SG=PF0*8X>
@
l
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }*}$
AGNC Investment Corp.10Q
05/08/2017SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
U.S. Treasury Securities
March 31, 2017
December 31, 2016Maturity&Face Amount Net Long / (Short)
Cost Basis
Net
&Face Amount Net Long / (Short)
Cost BasisNet
Fair Value
Fair Value
5 years
$
$
$
~
~
~
7 years~
f~
ڿ ~
~
B~
~~
:10 years~
Z~
~
~
~
ҽ~
r+#Total U.S. Treasury securities, net~
p~
ft ~
v
~
~
~
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/0
VJ>2&}xlD=PF0*8X>
@*%
l (
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }!} $
!!!!!!!!!! !
!!!
!!!!!!!!AGNC Investment Corp.10Q
05/08/2017SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
U.S. Treasury Futures
March 31, 2017
December 31, 2016MaturityNotionalCost
Market
Net Carrying Value 4NotionalCostMarketNet Carrying Value 4Amount  Long (Short) 1Basis 2
Value 3
Amount  Long (Short) 1Basis 2Value 3
5 years
~
~
~
~
~
~
~
~
10 years~
"~
~
~
~
"~
~
~
#Total U.S. Treasury futures~
~
~
~
~
~
~~
~
" $____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/.8VJ>2&) l =PF0*8X>
@Z+
l &VPS
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }<(} $
&!!!!!!!!!! !
!!!
!!!!!!!!!!!!!!!!!!!AGNC Investment Corp.10Q
05/08/2017SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
March 31, 2017
December 31, 2016 TBA Securities by CouponNotionalCost
Market
Net Carrying Value 4NotionalCostMarketNet Carrying Value 4Amount  Long (Short) 1Basis 2
Value 3
Amount  Long (Short) 1Basis 2Value 3
15Year TBA securities:
2.5%~
~
~
~
~
~
:~
~
3.0%~
~
~
~
~
~
~
3.5%~
.~
B ~
B
~
>~
B~
B  $Total 15Year TBA securities~
!~
! ~
!
~
~
!~
2"~
!~
30Year TBA securities:
3.0%~
9~
8 ~
9
~
~
N/~
0~
.~
V 3.5%~
~3~
N4 ~
4
~
Z~
~
~
R~
4.0%~
:O~
fR ~
R
~
~
F~
J~
bJ~
4.5%~
~
v ~
v
~
~
~
 )!Total 30Year TBA securities, net~
λ~
~
~
~
҈~
~
~
!Total TBA securities, net~
j~
~
~
~
~
°~
v~
March 31, 2017December 31, 2016 TBA Securities by IssuerNotionalCost
Market
Net Carrying Value 4NotionalCostMarketNet Carrying Value 4Amount  Long (Short) 1Basis 2
Value 3
Amount  Long (Short) 1Basis 2Value 3
Fannie Mae~
~
~
~
~
f~
.~
~
Freddie Mac~
~
~
~
~
.~
~
^~
Ginnie Mae  

 ~
~
DLlVJ>2&?Y^ nG !!!"!#!$!%! TBA securities, net ~
j ~
~
~
~
~
° ~
v ~
!"$#____________________________1$)Created by Morningstar Document Research.0%(http://documentresearch.morningstar.com/pdq=PF0*8X>
@%% $$ ##
l p
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }1}$ }}$ }
}
$
AGNC Investment Corp.10Q
05/08/2017^V_____________________Gain (Loss) From Derivative Instruments and Other Securities, Net
)
!Three Months Ended March 31, 20170(Derivative and Other Hedging InstrumentsNotional Amount Additions Settlement, Termination,Notional Amount Amount ofDecember 31, 2016
Expiration orMarch 31, 2017Gain/(Loss)
Exercise
Recognized in
Income on
Derivatives 1TBA securities, net~
~
4~
~
j~
Interest rate swaps~
D~
R~
~
.~
ZPayer swaptions~
~

~
b"~
1)U.S. Treasury securities  short position~
~
~
~
p~
0(U.S. Treasury securities  long position~
~
~
R
$~
/'U.S. Treasury futures contracts  short~
~
~
J
~
~
position ~
f$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/>0K?3'+2Ql
=PF0*8X>
@"$
l Ċ
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }1}$ }}$ }
}
$
AGNC Investment Corp.10Q
05/08/2017^V_____________________Gain (Loss) From Derivative Instruments and Other Securities, Net
)
!Three Months Ended March 31, 20160(Derivative and Other Hedging InstrumentsNotional Amount Additions Settlement, Termination,Notional Amount Amount ofDecember 31, 2015
Expiration orMarch 31, 2016Gain/(Loss)
Exercise
Recognized in
Income on
Derivatives 1TBA securities, net~
q~
~
>
~
Z~
bInterest rate swaps~
6y~
~
~
~T~
NPayer swaptions~
! ~
~
Z~
1)U.S. Treasury securities  short position~
:~
~
~
~
0(U.S. Treasury securities  long position~
f~
~
$~
/'U.S. Treasury futures contracts  short~
~
~
~
~
position ~
&$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/>0K?3'+2Ql
=PF0*8X>
@"$
l
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }!} $ }
U}$}$ }
$}$ }U}$}$ }$}$
AGNC Investment Corp.10Q
05/08/2017^V_____________________Gain (Loss) From Derivative Instruments and Other Securities, Net
March 31, 2017
December 31, 2016Amount Outstanding#Net Counterparty Exposure 1
Percent of Equity+
#Weighted Average Months to MaturityAmount Outstanding#Net Counterparty Exposure 1Percent of Equity+#Weighted Average Months to Maturity#J.P. Morgan Securities, LLC~
J~
@ %~
~
.L~
V@ %~
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/(TK?3'dui]5=PF0*8X>
@
l C
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }0.}$
AGNC Investment Corp.10Q
05/08/2017A9 19______________________Assets Pledged to Counterparties
March 31, 2017( Assets Pledged to CounterpartiesRepurchase Agreements 1!Debt of Consolidated VIEs
Derivative Agreements
!Prime Broker Agreements 2
Total Agency RMBS  fair value~
އ~
& ~
~
j ~
v$
NonAgency RMBS  fair value





%U.S. Treasury securities  fair value  

 .&Accrued interest on pledged securities~
~
~
~
~
,$Restricted cash and cash equivalents~
N  ~
Z
~
~
n
Total~
~
. ~
j
~
:
~
ʦ$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/2
h\PD8<
!@Vfyj=PF0*8X>
@:'
l q
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }0.}$
AGNC Investment Corp.10Q
05/08/2017A9 19______________________Assets Pledged to Counterparties
December 31, 2016( Assets Pledged to Counterparties/'Repurchase Agreements and FHLB Advances!Debt of Consolidated VIEs
Derivative Agreements
!Prime Broker Agreements 2
Total~
Agency RMBS  fair value
~
~
~
N
~
~
$NonAgency RMBS  fair value~
j 

~
j%U.S. Treasury securities  fair value~


~
.&Accrued interest on pledged securities~
~
~
~
~
,$Restricted cash and cash equivalents~
 ~
:
~
*
Total~
~
~
~
~
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/4h\PD8<)Iznb:=PF0*8X>
@B(
l
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }2}$
AGNC Investment Corp.10Q
05/08/2017A9 19______________________Assets Pledged to Counterparties
March 31, 2017
December 31, 20160(Securities Pledged by Remaining Maturity( Fair Value of Pledged Securities Amortized
Accrued
( Fair Value of Pledged Securities AmortizedAccrued2*of Repurchase Agreements and FHLB Advances"Cost of Pledged Securities
Interest on
"Cost of Pledged SecuritiesInterest on
Pledged
Pledged
Securities
SecuritiesRMBS: 1
? 30 days~
~
0 ~
~
3~
^6~
> 30 and ? 60 days~
T~
T ~
B
~
~~
z~
^ > 60 and ? 90 days~
5~
N6 ~
*
~
?~
?~
. > 90 days~
n~
" ~
~
:~
ұ~
Total MBS~
އ~
~
~
b~
>~
!U.S. Treasury securities:
> 1 day ? 30 days  

~
~

Total~
އ~
~
~
~
~
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/>0h\PD8MC3=PF0*8X>
@=
l
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }} $
!!!!!!!!!! !
!!!
!!!!!!!!AGNC Investment Corp.10Q
05/08/2017*"Assets Pledged from Counterparties
March 31, 2017
December 31, 2016Assets Pledged to AGNC%Reverse Repurchase AgreementsDerivative Agreements
Repurchase Agreements
Total%Reverse Repurchase AgreementsDerivative AgreementsRepurchase Agreements
TotalAgency MBS  fair value
$
$
$
$
$
$~
:~
: 
%U.S. Treasury securities  fair value
~
~
J

~
f
~
Rw


~
Rw
Cash ~
*

~
* ~
~
Total~
~
r
$
~
~
Rw~
~
:~
6y $____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/.sg[Oh==PF0*8X>
@j
l "Z3
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }7}$
"
AGNC Investment Corp.10Q
05/08/2017)!Offsetting Assets and Liabilities
.
&Offsetting of Financial and DerivativeAssets*"Gross Amounts of Recognized Assets0(Gross Amounts Offset in the Consolidated ;
3Net Amounts of Assets Presented in the Consolidated
Gross Amounts Not Offset
Net Amount
Balance Sheets
Balance Sheets
in the
#Consolidated Balance Sheets
Financial InstrumentsCollateral Received 2March 31, 2017
3+Interest rate swap and swaption agreements,~
$ ~
~
~
~
at fair value 1TBA~
n  ~
n
~
~
6.Receivable under reverse repurchase agreements~
2  ~
2
~
n~
f 
Total~
f
$ ~
f
~
~
~
December 31, 2016
3+Interest rate swap and swaption agreements,~
Z
$ ~
Z
~
~
>~
Vat fair value 1TBA~
 ~
~
 6.Receivable under reverse repurchase agreements~
x  ~
x
~
6~
> 
Total~
}
$ ~
}
~
~
z~
V$____________________________Dlth\P$lQ6E)4 !1 )Created by Morningstar Document Research.0!(http://documentresearch.morningstar.com/=PF0*8X>
@@!!
l "45
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }a/}$
"
AGNC Investment Corp.10Q
05/08/2017)!Offsetting Assets and Liabilities
.
&Offsetting of Financial and DerivativeLiabilities/'Gross Amounts of Recognized Liabilities0(Gross Amounts Offset in the Consolidated /
'Net Amounts of Liabilities Presented in
Gross Amounts Not Offset
Net Amount
Balance Sheets
'
the Consolidated Balance Sheets
in the
#Consolidated Balance Sheets
Financial InstrumentsCollateral Pledged 2March 31, 2017
.&Interest rate swap agreements, at fair~
$ ~
~
~
$value 1TBA~
V  ~
V
~
 Repurchase agreements~
>g  ~
>g
~
n~
Z

Total~
>h
$ ~
>h
~
~
*
$
December 31, 2016
.&Interest rate swap agreements, at fair~
$ ~
~
~
$value 1TBA~
^ ~
^
~
~
/'Repurchase agreements and FHLB advances~
~  ~
~
~
6~

Total~
$ ~
~
~
"
$$____________________________Dlth\P$ ^H5EBM !1 )Created by Morningstar Document Research.0!(http://documentresearch.morningstar.com/=PF0*8X>
@?!!
l %WX
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }6}$
%
AGNC Investment Corp.10Q
05/08/2017
March 31, 2017
December 31, 2016Level 1Level 2
Level 3
Level 1Level 2Level 3Assets:
Agency securities
$
~
B
$
$
~
F
$
5Agency securities transferred to consolidated ~
&

~
VIEsNonAgency securities ~
~

~
'Credit risk transfer securities ~

~
 U.S. Treasury securities  

~
 Interest rate swaps ~
r

~
 Swaptions ~
Z

~
Z TBA securities ~
n

~
U.S. Treasury futures  

~
"  
Total
$~
$
~
~
$Liabilities:
!Debt of consolidated VIEs
$~
$
$~
2
$5Obligation to return U.S. Treasury securities~
b 

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

~
TBA securities ~
V

~
^ U.S. Treasury futures~


  
Total~
v~
$
~
Rw~
2
$Dl}qE$gWVKHITZZecdj !"#$ !$"____________________________1#)Created by Morningstar Document Research.0$(http://documentresearch.morningstar.com/
P=PF0*8X>
@Zk$$##""
l Vl
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) ! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }8}$
AGNC Investment Corp.10Q
05/08/20172*Note 9. Net Income (Loss) Per Common Share
$
Three Months Ended March 31,~
~
0(Weighted average number of common shares~
.ffffft@
outstanding  basic7/Unvested restricted stock units and performance? share units0(Weighted average number of common sharest@ffffft@outstanding  diluted2*Net income (loss) available (attributable)~
~
to common stockholders2*Net income (loss) per common share  basiczG?p=
ףand diluted$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/8dwk_SG[.XA5
=PF0*8X>
@
l C
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }0.}$
AGNC Investment Corp.10Q
05/08/201780 25Accumulated Other Comprehensive Income (Loss)
.
&Accumulated Other Comprehensive Income
8
0Net Unrealized Gain (Loss) on AvailableforSale
+
#Net Unrealized Gain (Loss) on Swaps
Total Accumulated(Loss)MBS
OCI
Balance'
Balance as of December 31, 2015
~
~
f
~
$OCI before reclassifications~
 ~
%Amounts reclassified from accumulated~
~
N ~
VOCI$Balance as of March 31, 2016~
~
~
:
'Balance as of December 31, 2016~
$ ~
$OCI before reclassifications~
j  ~
j%Amounts reclassified from accumulated~
R  ~
ROCI$Balance as of March 31, 2017~
$ ~
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/>0qeYMAO'BQmaU=PF0*8X>
@
!
l
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other ComprehensMarket InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }0} $ }
2
AGNC Investment Corp.10Q
05/08/201780 25Accumulated Other Comprehensive Income (Loss)
$
Three Months Ended March 31,
%
Line Item in the Consolidated *
"Statements of Comprehensive Income%Amounts Reclassified from Accumulated~
~
%
Where Net Income is Presented
OCI%(Gain) loss amounts reclassified from~
R~
2
*Realized gain (loss) on sale of investment.&accumulated OCI for availableforsale
securities, netMBS upon realization0(Periodic interest costs of interest rate ~
N
Interest expense%swaps previously designated as hedgesunder GAAP, net$ Total reclassifications~
R~
V
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/8qeYMAH:an=PF0*8X>
@b
l ,w
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }'}$ }m}$ }m}$ }}$ }m} $ }
m}$ }}
$ }
,
AGNC Investment Corp.10Q
05/08/2017Market Information
&
Interest Rate/Security Price 1
Mar. 31, 2016
June 30, 2016
Sept. 30, 2016
Dec. 31, 2016
Mar. 31, 2017
Mar. 31, 2017
vs
Dec. 31, 2016
LIBOR:
1Month
0.44%
0.47%
0.53%
0.77%
0.98%
+0.21
bps3Month
0.63%
0.65%
0.85%
1.00%
1.15%
+0.15
bps6Month
0.90%
0.92%
1.24%
1.31%
1.42%
+0.11
bps$U.S. Treasury Security Rate:
2Year U.S. Treasury
0.73%
0.59%
0.76%
1.20%
1.26%
+0.06
bps3Year U.S. Treasury
0.86%
0.70%
0.87%
1.46%
1.50%
+0.04
bps5Year U.S. Treasury
1.22%
1.01%
1.15%
1.92%
1.93%
+0.01
bps10Year U.S. Treasury
1.78%
1.49%
1.61%
2.43%
2.39%
0.04
bps30Year U.S. Treasury
2.62%
2.31%
2.33%
3.05%
3.02%
0.03
bps Interest Rate Swap Rate:
2Year Swap
0.85%
0.74%
1.01%
1.46%
1.62%
+0.16
bps3Year Swap
0.96%
0.81%
1.07%
1.68%
1.81%
+0.13
bps5Year Swap
1.18%
0.99%
1.18%
1.96%
2.06%
+0.10
bps10Year Swap
1.64%
1.38%
1.46%
2.32%
2.39%
+0.07
bps30Year Swap
2.13%
1.84%
1.78%
2.57%
2.65%
+0.08
bps( 30Year Fixed Rate Agency Price:
3.0%(\¥Y@Y@Y@QX@
X@$0.233.5%ףp=
7Z@`Z@RaZ@Y@
(\Y@$0.21D,lwk_[Ul&Ff !"#$%&'()*+ 4.0% ףp=
Z@ QZ@
ףp=Z@ QHZ@
9Z@ $0.23!4.5%!!Gz4[@!!{GJ[@!!zGa[@!!q=
ףZ@! !
(\Z@!!$0.27(" 15Year Fixed Rate Agency Price:""""""""" "
"""#2.5%##
ףp=Y@##QY@##p=
Y@##Y@# #
RY@##$0.17$3.0%$$GzZ@$$(\5Z@$$(\?Z@$$HzY@$ $
q=
ףY@$$$0.11%3.5%%%(\eZ@%%Gz~Z@%%
ףp=ZZ@%%{G
Z@% %
p=
Z@%%$0.11&4.0%&&p=
Z@&&p=
Y@&&QY@&&\(Y@& &
(\Y@&&+$0.60'($)____________________________1*)Created by Morningstar Document Research.0+(http://documentresearch.morningstar.com/
@r++**))&&%%$$##!!
l '
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }8} $ }
}$}$ }
$}$}$ } }$}$ }$}$
'
AGNC Investment Corp.10Q
05/08/2017Market Information
March 31, 2017
December 31, 2016,$Investment Portfolio (Includes TBAs)Amortized Cost
Fair Value
Average Coupon
%Amortized Cost
Fair ValueAverage Coupon %2*Fixed rate Agency RMBS and TBA securities:
? 15year:
? 15year RMBS~
2~
{Gz
@ %~
N %~
~
Gz
@ %~
Z %15year TBA securities~
!~
!
(\@ %~
%~
2"~
!(\@ %~
%Total ? 15year~
~
2
Q @ %~
^ %~
~
HzG @ %~
j %20year RMBS~
~
B
ףp=
@ %~
%~
~
Q@ %~
%30year:
30year RMBS~
~
Q
@ %~
%~
~
2
ףp=
@ %~
%30year TBA securities~
~
ffffff@ %~
V %~
~
p=
ף@ %~
B %
Total 30year~
ު~
Τ
333333
@ %~
& %~
{~
q(\@ %~
%7/Total fixed rate Agency RMBS and TBA securities~
~
>
RQ@ %~
%~
2r~
viQ@ %~
%#Adjustable rate Agency RMBS~
~
Gz@ %
 %~
~
Gz@ %~
%CMO Agency RMBS:
CMO~
~
HzG@ %~
%~
r~
HzG@ %~
%Interestonly strips~
~
:
ffffff@ %
 %~
~
^Q@ %  %Principalonly strips~
~
"
 %
 %~
"~
B  %  %Total CMO Agency RMBS~
~
>
ffffff@ %~
%~
~
"Q@ %~
%,$Total Agency RMBS and TBA securities~
~
"
RQ@ %~
%~
~
@ %~
%NonAgency RMBS~
"~
"
@ %
 %~
~
\(\@ %  %CMBS~
^~
^
333333@ %
 %~
^~
^333333@ %  %D1lwk_jtF=ibbZ !"#$%& CRT ~
~
Gz@ % ~
% ~
~
@ %  %"!Total investment portfolio!~
!N!!~
!!! !
ffffff@ !%!~
!
!%!~
!!!~
!!!!Gz@ !%!~
! !%"#$$____________________________1%)Created by Morningstar Document Research.0&(http://documentresearch.morningstar.com/xTH<=PF0*8X>
@U&&%%$$!!!!!!!!
l ,
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }1}
$ }%}$ }}$ }}$ }I }$ }<}$ }}$
,
AGNC Investment Corp.10Q
05/08/2017Market Information
March 31, 2017!Includes Net TBA Position!Excludes Net TBA Position1)Fixed Rate Agency RMBS and TBA Securities Par Value Amortized
Fair Value
'% Lower Loan Balance & HARP 1,2 AmortizedWeighted AverageProjected Life
Cost
Cost Basis
WAC 3
Yield 4
Age (Months)
CPR 4
Fixed rate
? 15year
2.5%~
V@~
@ ~
@
28%101.4%
2.97%
2.09%~
9%3.0%~
~
. ~
.
80%102.9%
3.50%
2.19%~
10%3.5%~
r4~
>6 ~
6
85%103.4%
3.95%
2.50%~
11%4.0%~
&~
( ~
^)
89%104.1%
4.40%
2.69%~
.11%4.5%~
&~
V ~
f
98%104.6%
4.87%
3.02%~
>12%? 5.0%~
~
~
21%103.2%
6.64%
4.67%~
13%Total ? 15year~
~
~
2
67%103.1%
3.77%
2.40%~
10%20year
? 3.0%~
j~
b ~
v
30%
99.4%
3.55%
3.10%~
8%3.5%~
~
~
75%102.2%
4.06%
3.00%~
10%4.0%~
~
~
50%104.4%
4.54%
2.97%~
11%4.5%~
~
~
99%106.6%
4.89%
2.98%~
211%? 5.0%~
~
~
%106.1%
5.92%
3.33%~
17%Total 20year:~
~
~
B
62%101.9%
4.03%
3.03%~
10%30year:
3.0%~
p~
&p ~
o
2%100.2%
3.58%
2.96%~
6%Dlwk_3T\0g< !"#$%&'()*+ 3.5% ~
^ ~
~
68% 105.1%
4.06%
2.79% ~
7%!4.0%!~
!!!~
!
!! ~
!
b!!
!51%!!106.9%!
!4.51%!
!2.98%!~
!!
!8%"4.5%"~
"""~
""" ~
"
&""
"87%""107.6%"
"4.97%"
"3.29%"~
""
"8%#5.0%#~
###~
### ~
#
##
#65%##106.8%#
#5.45%#
#3.72%#~
###10%$? 5.5%$~
$$$~
$$$ ~
$
$$
$39%$$110.0%$
$6.20%$
$3.39%$~
$$$14%%
Total 30year%~
%ގ%%~
%ު%% ~
%
Τ%%
%51%%%105.3%%
%4.23%%
%2.91%%~
%%
%7%&Total fixed rate&~
&.h&&~
&&& ~
&
>&&
&55%&&104.6%&
&4.11%&
&2.78%&~
&&
&8%'($)____________________________1*)Created by Morningstar Document Research.0+(http://documentresearch.morningstar.com/ [/=PF0*8X>
@RJ++**))&&&&&&
%%%%%%
$$$$$$
######
""""""
!!!!!!
l ,tBL
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }1}
$ }%}$ }}$ }}$ }I }$ }<}$ }}$
,
AGNC Investment Corp.10Q
05/08/2017Market Information
December 31, 2016!Includes Net TBA Position!Excludes Net TBA Position1)Fixed Rate Agency RMBS and TBA Securities Par Value Amortized
Fair Value
'% Lower Loan Balance & HARP 1,2 AmortizedWeighted AverageProjected Life
Cost
Cost Basis
WAC 3
Yield 4
Age (Months)
CPR 4
Fixed rate
? 15year
? 2.5%~
6L~
FM ~
L
26%101.7%
2.96%
2.05%~
9%3.0%~
6~
7 ~
7
73%102.9%
3.50%
2.20%~
9%3.5%~
z3~
B5 ~
5
90%103.4%
3.95%
2.50%~
10%4.0%~
~)~
:+ ~
+
89%104.2%
4.40%
2.69%~
"11%4.5%~
v~
~
98%104.6%
4.87%
3.03%~
211%? 5.0%~
~
~
22%103.3%
6.63%
4.65%~
13%Total ? 15year~
~
~
65%103.1%
3.72%
2.37%~
10%20year
? 3.0%~
~
~ ~
31%
99.4%
3.55%
3.10%~
8%3.5%~
~
~
75%102.2%
4.06%
3.01%~
10%4.0%~
~
~
50%104.4%
4.54%
2.97%~
10%4.5%~
~
& ~
*
99%106.7%
4.90%
2.99%~
&11%? 5.0%~
~
~
%106.3%
5.94%
3.33%~
17%Total 20year:~
J~
~
63%101.9%
4.03%
3.03%~
10%30year:
? 3.0%~
zs~
t ~
r
20%100.1%
3.57%
2.97%~
j
6%Dlwk_3Q*W+b7 !"#$%&'()*+ 3.5% ~
~
.
~
F
72% 105.4%
4.07%
2.75% ~
7%!4.0%!~
!b!!~
!!! ~
!
B!!
!61%!!107.4%!
!4.51%!
!2.92%!~
!!
!7%"4.5%"~
"z""~
""" ~
"
"""
"87%""107.6%"
"4.97%"
"3.30%"~
""
"8%#5.0%#~
###~
### ~
#
##
#65%##106.8%#
#5.45%#
#3.73%#~
###10%$? 5.5%$~
$$$~
$$$ ~
$
$$
$38%$$110.0%$
$6.20%$
$3.40%$~
$$$14%%
Total 30year%~
%\%%~
%{%% ~
%
q%%
%56%%%105.4%%
%4.19%%
%2.86%%~
%%
%7%&Total fixed rate&~
&L&&~
&2r&& ~
&
vi&&
&58%&&104.6%&
&4.05%&
&2.73%&~
&&
&8%'($)____________________________1*)Created by Morningstar Document Research.0+(http://documentresearch.morningstar.com/ [/=PF0*8X>
@RJ++**))&&&&&&
%%%%%%
$$$$$$
######
""""""
!!!!!!
l b
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }+}$
AGNC Investment Corp.10Q
05/08/2017Market Information
March 31, 2017
December 31, 2016,$NonAgency Security Credit Ratings 1CRTRMBS
CMBS
CRTRMBSCMBSAAA
$~
"
$
$~
$
BBB


~
^


~
^
BB~
~ 

   B~
z 

~
~
 Not Rated~


  
Total~
~
" ~
^
~
~
~
^$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/2wk_3 3EQ\PD=PF0*8X>
@z/
l du
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }6}$
AGNC Investment Corp.10Q
05/08/2017
Balance Sheet 1
)($ in millions, except per share amounts)
Balance Sheet DataMarch 31, 2017December 31, 2016,$Investment securities, at fair value~
~
Total assets
~
x
~
x
0(Repurchase agreements, Federal Home Loan~
n~
.$Bank advances and other debtTotal liabilities~
*~
"Total stockholders' equity~
q~
r5Net asset value per common share as of period{G4@Q+5@
end 11)Tangible net asset value per common share(\O3@3@as of period end 2$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/8'pd&F56%~rJ=PF0*8X>
@
l .SE
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }2}$
.
AGNC Investment Corp.10Q
05/08/2017Income Statement
$
Three Months Ended March 31,.&Statement of Comprehensive Income Data~
~
Interest income~
~
Interest expense 3
~
~
Net interest income~
~
Other loss, net 3~
^~
fOperating Expenses~
F~
Net income (loss)~
2~
#Dividend on preferred stock~
~
2*Net income (loss) available (attributable)~
~
to common stockholdersNet income (loss)~
2~
$Other comprehensive income 3~
~
B0(Comprehensive income available to common~
~
2stockholders#Dividend on preferred stock~
~
0(Comprehensive income available to common~
~
stockholders0(Weighted average number of common shares~
.ffffft@outstanding  basicD[lymaO~@d' ! " # $ % & ' ( ) * + ,  0 (Weighted average number of common shares t@ ffffft@ !outstanding  diluted2"*Net income (loss) per common share  basic""zG?"""p=
ף"#and diluted$%Comprehensive income per common share$$ffffff?$$${Gz?$% basic and diluted+&#Dividends declared per common share&&HzG?&&&333333?&'''''((((()*$+____________________________1,)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/ xW1S=PF0*8X>
@R*,,++&&&&$$$$""""
l 1
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1)! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }8}$ }$}$ }$
1
AGNC Investment Corp.10Q
05/08/2017'Item 6. Selected Financial Data
$
Three Months Ended March 31, Other Data (unaudited) *~
~
.&Average investment securities  at par~
~
/
'Average investment securities  at cost
~
~
F+#Average net TBA portfolio  at cost~
R~
B,$Average total assets  at fair value~
[~
v/'Average mortgage borrowings outstanding~
d~
~
&Average stockholders' equity 5~
:r~
yAverage coupon 6333333
@ %
ףp=
@ %Average asset yield 7q=
ףp@ %(\@ %Average cost of funds 8Gz %=
ףp= %( Average net interest rate spread333333? %(\? %3+Average net interest rate spread, including
ףp=
? %Gz? % TBA dollar roll income 9)!Average coupon (as of period end)\(\
@ %
ףp=
@ %.&Average asset yield (as of period end)p=
ף@ %(\@ %3+Average cost of funds (as of period end) 10333333 %ףp=
%/'Average net interest rate spread (as ofGz? %Gz? %period end)7/Economic return on common equity  unannualized333333? %? %~
.Dlvj^RNSEuvRG1 ! " # $ % & ' ( ) * + ,  . / 0 1 )Economic return on tangible common equity ? % N/A ! unannualized 12%"Average "at risk" leverage 13"
"7.2:1""
"7.0:1"1#)Average tangible net book value "at risk"#
#7.8:1###N/A#$leverage 150%("At risk" leverage (as of period end) 14%
%7.4:1%%
%7.3:1%2&*Tangible net book value "at risk" leverage&
&8.0:1&&&N/A&'(as of period end) 15*("Expenses % of average total assets((Q? (%((q=
ףp? (%/)'Expenses % of average assets, including))? )%))? )% *average net TBA position2+*Expenses % of average stockholders' equity++(\? +%++333333? +%,$.____________________________1/)Created by Morningstar Document Research.00(http://documentresearch.morningstar.com/&@y\\E9[OC=PF0*8X>
@600//..++++))))((((&&&&%%%%####""""
l 2
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }0}$ }$}$ } }$} $ }
$}$ } }
$
AGNC Investment Corp.10Q
05/08/2017*" 35Interest Income and Asset Yield
$
Three Months Ended March 31,~
~
Amount
YieldAmount
Yield#
Cash/coupon interest income~
333333
@
%
~
ףp=
@
% Net premium amortization~
ףp=
%~
(\
%Interest income~
q=
ףp@ %~
(\@
%%Weighted average actual portfolio CPR~
. %~
&
%%for securities held during the period.&Weighted average projected CPR for the~
" %~
*
%/'remaining life of securities held as of
period end0(Average 30year fixed rate mortgage rate(\@ %Gz
@
%as of period end 1/'10year U.S. Treasury rate as of periodQ@ %{Gz?
%end$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/>
0sg[Os?R)2gXL$=PF0*8X>
@
l
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }}$
AGNC Investment Corp.10Q
05/08/2017*" 35Interest Income and Asset Yield
3
+Impact of Changes in the Principal Elements!Impacting Interest Income3+Three Months Ended March 31, 2017 vs. March
31, 2016 Due to Change in AverageTotal Increase / Portfolio
Asset
(Decrease)Size
YieldInterest Income~
~
f~
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/2sg[Oc,jvN=PF0*8X>
@
l &
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }0}$ }0.}$ }0.}$ }a}$ }2}$ }}$ } }!!$ }""
########## #
###
#########AGNC Investment Corp.10Q
05/08/2017Leverage
Mortgage Borrowings 1
Net TBA Position
Average Total

%Tangible Net Book Value Average Total
"At Risk" Leverage
2
*Tangible Net Book Value "At Risk" Leverage
Long/(Short) 2.&"At Risk" Leverage during the Period 3.&"At Risk" Leverage during the Period 4
as of
as of
Quarter Ended
Average DailyMaximum
Ending
Average DailyEndingPeriod End 5Period End 4
Amount
Daily Amount
Amount
Amount
AmountMarch 31, 2017~
d~
~
n
~
R~
7.2:1
7.8:1
7.4:1!
"8.0:1December 31, 2016~
~
~
~
~
~
°
7.3:1
7.8:1
7.1:1
7.7:1March 31, 2016~
~
~
~
B~
~]
7.0:1N/A
7.3:1N/A$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/0
ui
f0]QE=PF0*8X>
@
l
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }1}$ } }$}$ }
}$
AGNC Investment Corp.10Q
05/08/2017A9_______________________Interest Expense and Cost of Funds
$
Three Months Ended March 31,~
~
.&Adjusted Net Interest Expense and CostAmount% 1 Amount
% 1
of FundsInterest expense:
/'Interest expense on mortgage borrowings~
)\(? %~
B
ffffff? %0(Periodic interest costs of interest rate   %~
N
(\? %%swaps previously designated as hedgesunder GAAP, netTotal interest expense~
)\(? %~
ףp=
? %1)Other periodic interest costs of interest~
Gz? %~
f
p=
ף? %rate swaps, net/'Total adjusted net interest expense and~
>Gz? %~
=
ףp=? %
cost of funds$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/<
h\PD8D`L*C(S:.=PF0*8X>
@
l
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }6}$
AGNC Investment Corp.10Q
05/08/2017A9_______________________Interest Expense and Cost of Funds
3
+Impact of Changes in the Principal Elements( of Adjusted Net Interest Expense3+Three Months Ended March 31, 2017 vs. March
31, 2016 Due to Change in Average#Total Increase / (Decrease) Borrowing / Swap Balance Borrowing / Swap Rate/'Interest expense on mortgage borrowings~
J~
~
z+#Periodic interest rate swap costs 1~
~
5Total change in adjusted net interest expense~
N~
~
~$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/43h\PD8qE"VJ>=PF0*8X>
@
l z!
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }:}$ }$}$ }$
AGNC Investment Corp.10Q
05/08/2017A9_______________________Interest Expense and Cost of Funds
$
Three Months Ended March 31,80Average Ratio of Interest Rate Swaps Outstanding~
~
%(Excluding Forward Starting Swaps) to'
Mortgage Borrowings Outstanding#Average mortgage borrowings~
d~
0(Average notional amount of interest rate~
.~
/0(swaps (excluding forward starting swaps)/'Average ratio of interest rate swaps to~
n %~
: %mortgage borrowings2*Weighted average pay rate on interest rateףp=
? %? %
swaps1)Weighted average receive rate on interestGz %HzG %
rate swaps1)Weighted average net pay rate on interest? %\(\? %
rate swaps$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/@ Dh\PD8M1 =PF0*8X>
@
l 3
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }:}$ }$}$ }$
AGNC Investment Corp.10Q
05/08/2017A9_______________________Interest Expense and Cost of Funds
$
Three Months Ended March 31,80Average Ratio of Interest Rate Swaps Outstanding~
~
%(Including Forward Starting Swaps) to0
(Mortgage Borrowings and Net TBA Position#Average mortgage borrowings~
d~
*"Average net TBA position  at cost~
R~
B%Total average mortgage borrowings and~
6~
Lnet TBA position0(Average notional amount of interest rate~
7~
^m3+swaps (including of forward starting swaps)/'Average ratio of interest rate swaps to~
%~
* %0(mortgage borrowings and net TBA position$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/8h\PD8DM1z=PF0*8X>
@
l +H0L
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }U5}$
+
AGNC Investment Corp.10Q
05/08/2017,$ 38Net Spread and Dollar Roll Income
$
Three Months Ended March 31,~
~
Net interest income~
~
0
(Periodic interest costs of interest rate
~
N
~
swaps, net 1 TBA dollar roll income 1~
~
Management fee income~
.&Dividend from REIT equity securities 1 ~
4,Adjusted net interest and dollar roll income~
~
zOperating expenses: Total operating expenses~
F~
)!Net spread and dollar roll income~
J~
#Dividend on preferred stock~
~
3+Net spread and dollar roll income available~
.~
to common stockholders1)Estimated "catchup" premium amortization~
&~
*"cost due to change in CPR forecast4,Net spread and dollar roll income, excluding~
R~
2*"catchup" premium amortization, availableto common stockholders0(Weighted average number of common shares~
.ffffft@Dl}qeYMav^2IS1 ! " # $ % & ' ( ) * outstanding  basic0!(Weighted average number of common shares!!t@!!!ffffft@!"outstanding  diluted4#,Net spread and dollar roll income per common##Q?###
ףp=
?#!$share  basic and diluted4%,Net spread and dollar roll income, excluding%%{Gz?%%%p=
ף?%,&$"catchup" premium amortization, per(' common share  basic and diluted$(____________________________1))Created by Morningstar Document Research.0*(http://documentresearch.morningstar.com/Y8w=PF0*8X>
@2&**))((%%%%####!!!!
l %]
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }:}$
AGNC Investment Corp.10Q
05/08/201791Gain (Loss) on Sale of Investment Securities, Net
$
Three Months Ended March 31,~
~
+#Investment securities sold, at cost~
&~
Proceeds from sale 1~
O
~
6
80Net gain (loss) on sale of investment securities~
~
3+Gross gain on sale of investment securities~
~
3+Gross loss on sale of investment securities~
~
80Net gain (loss) on sale of investment securities~
~
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/4pdXL@x {S=PF0*8X>
@
l 02qTw
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }:}$
0
AGNC Investment Corp.10Q
05/08/2017bZ 39 _______________________Gain (Loss) on Derivative Instruments and Other Securities, Net
$
Three Months Ended March 31,~
~
0(Periodic interest costs of interest rate~
N~
swaps, net6.Realized gain (loss) on derivative instruments"and other securities, net:0(TBA securities  dollar roll income, net~
~
0(TBA securities  marktomarket net gain~
~
*(loss)Payer swaptions ~
0(U.S. Treasury securities  long position~
~
1)U.S. Treasury securities  short position~
~
.&U.S. Treasury futures  short position~
~
.&Interest rate swaps  termination fees~
.~
%and CME variation margin settlements,net
Other~
~
0(Total realized gain (loss) on derivative~
~
^%instruments and other securities, net80Unrealized gain (loss) on derivative instruments"and other securities, net:0(TBA securities  marktomarket net gain~
j~
rD
lG;/#OgAYGy !"#$%&'()*+,./ (loss)!Interest rate swaps~
!!!~
!!"Payer swaptions~
""" ""1#)U.S. Treasury securities  short position~
###~
##.$&U.S. Treasury futures  short position~
$$$~
$$!%Debt of consolidated VIEs~
%%%~
%%&REIT equity securities &&&~
&&
'Other~
''' ''7(/Total unrealized loss on derivative instruments~
(((~
(J(!)and other securities, net0*(Total loss on derivative instruments and~
*b**~
*B*+other securities, net,$____________________________1.)Created by Morningstar Document Research.0/(http://documentresearch.morningstar.com/$,5N8$=PF0*8X>
@r.//..****((((''''&&&&%%%%$$$$####""""!!!!
l ,,T
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }7}$
,
AGNC Investment Corp.10Q
05/08/2017% 40Dividends and Income Taxes
$
Three Months Ended March 31,~
~
Net income (loss)~
2~
*
"Estimated book to tax differences:
!Premium amortization, net~
~
Realized gain/loss, net~
~
v4,Net capital loss/(utilization of net capital~
R~
vloss carryforward)!Unrealized gain/loss, net~
6~
Other~
%Total book to tax differences~
f~
V
%Estimated REIT taxable income~
~
F#Dividend on preferred stock~
~
/'Estimated REIT taxable income available~
z~
*to common stockholders0(Weighted average number of common shares~
.ffffft@outstanding  basic0(Weighted average number of common sharest@ffffft@outstanding  diluted0(Estimated REIT taxable income per common
ףp=
?)\(?!share  basic and dilutedD
lxl`T/xaeL !"#$%&'()*++ #Beginning cumulative nondeductible~
~
!net capital loss6".Net capital loss / (Utilization of net capital~
"R""~
"v"#loss carryforward),$$Ending cumulative nondeductible net~
$b$$~
$& $%capital loss,&$Ending cumulative nondeductible net&@&&&RQ?&,'$capital loss per ending common share($)____________________________1*)Created by Morningstar Document Research.0+(http://documentresearch.morningstar.com/umUy=PF0*8X>
@B(++**))&&&&$$$$""""
l _
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }}$
AGNC Investment Corp.10Q
05/08/2017% 40Dividends and Income Taxes
$
Dividends Declared per Share
Quarter Ended Series A Preferred Stock0(Series B Preferred Stock (Per Depositary
Common StockShare)
March 31, 2017
?
?
HzG?
March 31, 2016??
333333?$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/,xl`TxqA5)=PF0*8X>
@r
l
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)Debt CapitalRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }y<}$
AGNC Investment Corp.10Q
05/08/2017,$ 41Other Comprehensive Income (Loss)
$
Three Months Ended March 31,~
~
%Unrealized gain on availableforsale
securities, net:#Unrealized gain (loss), net~
j~
1)Reversal of prior period unrealized loss,~
R~
net, upon realization%Unrealized gain on availableforsale~
~
securities, net:.&Unrealized gain on interest rate swaps'designated as cash flow hedges:0(Reversal of prior period unrealized loss ~
N:2on interest rate swaps, net, upon reclassificationto interest expense( Total other comprehensive income~
~
B$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/@4D}qeYM084 X9=PF0*8X>
@
l H
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LRepurchase AgreementsInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }1}$ }$}$}$ }
$}$
AGNC Investment Corp.10Q
05/08/2017Debt Capital
March 31, 2017
December 31, 2016Mortgage FundingAmount % Amount
%1)Repurchase agreements used to fund Agency~
>g~
& %~
L~
" %
RMBS 1
FHLB advances   %~
v/~
%.&Debt of consolidated variable interest~
~
%~
2~
%entities, at fair value!Total mortgage borrowings~
n~
& %~
~~
: %!Net TBA position, at cost~
~
n %~
°~
Z %Total mortgage funding~
N~
%~
>4~
%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/6 }qeV:nK=PF0*8X>
@
l
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalInterest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }}$ }}$ }a/
AGNC Investment Corp.10Q
05/08/2017Repurchase Agreements
March 31, 2017CounterParty Region!Number of CounterParties/'Percent of Repurchase Agreement Funding
North America~
R70%
Europe
~
6
19%Asia~
11%~
100%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/.th\ ^B6*=PF0*8X>
@"
l
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase Agreements
Spread Risk!Item 6 Exhibits and Financial SU }U}$ }}$ }}$ }
AGNC Investment Corp.10Q
05/08/2017Interest Rate Risk #
Interest Rate Sensitivity 1&Percentage Change in ProjectedChange in Interest RateNet Interest Income 2Portfolio MarketNet Asset Value 3,5
Value 3,4As of March 31, 2017100 Basis Points
9.8%
+0.3%
+2.5%50 Basis Points
2.4%
+0.4%
+3.3%+50 Basis Points
+1.9%
0.7%
6.1%+100 Basis Points
+2.4%
1.6%13.9%As of December 31, 2016100 Basis Points
9.7%
+0.6%
+4.6%50 Basis Points
1.8%
+0.5%
+4.1%+50 Basis Points
+4.1%
0.8%
6.4%+100 Basis Points
+6.2%
1.7%14.1%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/@
Dwk_Rk/Pj=PF0*8X>
@*
l
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk!Item 6 Exhibits and Financial SU }U}$ }}$ }
AGNC Investment Corp.10Q
05/08/2017Spread Risk 3
+Spread Sensitivity of Agency RMBS Portfolio~
&Percentage Change in Projected
Change in MBS Spread
Portfolio
Net AssetMarket Value 2,4 Value 2,3As of March 31, 201725 Basis Points
+1.4%+11.5%10 Basis Points
+0.5%
+4.6%+10 Basis Points
0.5%
4.6%+25 Basis Points
1.4%11.5%As of December 31, 201625 Basis Points
+1.3%+11.0%10 Basis Points
+0.5%
+4.4%+10 Basis Points
0.5%
4.4%+25 Basis Points
1.3%11.0%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/Dl~rf*Ay"v96*=PF0*8X>
@2
l R"
,,
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 14Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Gain Loss From Derivative I (1)!Gain Loss From Derivative I (2)! 19Assets Pledged to Counterpar! 19Assets Pledged to Counte (1)! 19Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) !Note 9 Net Income Loss Per Comm! 25Accumulated Other Comprehens! 25Accumulated Other Compre (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 35Interest Income and Asset Yi! 35Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 38Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 39 Gain Loss on Derivative Ins 40Dividends and Income Taxes 40Dividends and Income T (1)! 41Other Comprehensive Income LDebt CapitalRepurchase AgreementsInterest Rate Risk
Spread RiskU }}$ }y<
AGNC Investment Corp.10Q
05/08/2017:2Item 6. Exhibits and Financial Statement Schedules
*3.2
/
'AGNC Investment Corp. Third Amended and1)Restated Bylaws, as amended, incorporated2*herein by reference to Exhibit 3.2 of Form
0
(10Q for the quarter ended September 30,1)2016 (File No. 00134057), filed November7, 2016.*3.3%Certificate of Designations of 8.000%0(Series A Cumulative Redeemable Preferred/'Stock, incorporated herein by reference7/to Exhibit 3.1 of Form 8K (File No 00134057),filed April 3, 2012.*3.4%Certificate of Designations of 7.750%0(Series B Cumulative Redeemable Preferred/'Stock, incorporated herein by reference80to Exhibit 3.3 of Form 8A (File No. 00134057),filed May 7, 2014.*4.12*Instruments defining the rights of holders4,of securities: See Article IV of our Amended2*and Restated Certificate of Incorporation,D) locWK?1lTp4_G !"#$%&'()*+,./0123456789:;<=>? 4 ,as amended, incorporated herein by reference!!3!+to Exhibit 3.1 of Form 10Q for the quarter""5"ended September 30, 2016 (File No. 00134057)###filed November 7, 2016.$$%*4.2%2%*Instruments defining the rights of holders&&2&*of securities: See Article VI of our Third''0'(Amended and Restated Bylaws, as amended,((3(+incorporated herein by reference to Exhibit))8)03.2 of Form 10Q for the quarter ended September**4*,30, 2016 (File No. 00134057) filed November+++7, 2016.,,*4.3:2Form of Certificate for Common Stock, incorporated..2.*herein by reference to Exhibit 4.3 of Form//0/(10Q for the quarter ended September 30,0010)2016 (File No. 00134057), filed November1117, 2016.223*4.4363.Specimen 8.000% Series A Cumulative Redeemable4414)Preferred Stock Certificate, incorporated5525*herein by reference to Exhibit 4.1 of Form6606(8K (File No. 00134057), filed April 3,77~
7r889*4.5969.Specimen 7.750% Series B Cumulative Redeemable::1:)Preferred Stock Certificate, incorporated;;2;*herein by reference to Exhibit 4.1 of Form<<4<,8A (File No. 00134057), filed May 7, 2014.==>*4.6>3>+Deposit Agreement, dated May 8, 2014, among??4?,American Capital Agency Corp., ComputershareD
lak.@Yr$DYA@ABCDEFGHIJKLMNOPQRSTUVWXYZ[\]^_@@@%Inc. and Computershare Trust Company,AA1A)N.A., jointly as depositary, incorporatedBB2B*herein by reference to Exhibit 4.2 of FormCC4C,8K (File No. 00134067), filed May 8, 2014.DDE*4.7E0E(Form of Depositary Receipt, incorporatedFF2F*herein by reference to Exhibit 4.3 of FormGG4G,8K (File No. 00134067), filed May 8, 2014.HHI333333$@I0I(Retention Bonus Grant Letter, dated JulyJJ0J(1, 2016, by and between American CapitalKK2K*Mortgage Management, LLC and Aaron J. Pas,LLLfiled herewith.MMNffffff$@N2N*Letter agreement, dated February 23, 2017,OO0O(by and between AGNC Mortgage Management,PP3P+LLC and Kenneth L. Pollack, filed herewith.QQ
R*10.3R1R)AGNC Mortgage Management, LLC PerformanceSS0S(Incentive Plan  MTGE, effective JanuaryTT2T*24, 2017, incorporated herein by referenceUU9U1to Exhibit 10.1 of Form 8K (File No. 00134057),VVVfiled January 27, 2017.WW
X*10.4X/X'Sales Agreement between AGNC InvestmentYY0Y(Corp. and Cantor Fitzgerald & Co., datedZZZ%February 1, 2017, incorporated herein[[5[by reference to Exhibit 1.1 of Form 8K (File\\/\'No. 00134057), filed February 1, 2017.]]
^*10.5^/^'Sales Agreement between AGNC Investment__._&Corp. and Wells Fargo Securities, LLC,D
ljd\w#p/@[C`abcdefghijklmnopqrstuvwxyz{}~``3`+dated February 1, 2017, incorporated hereinaa5aby reference to Exhibit 1.2 of Form 8K (Filebb/b'No. 00134057), filed February 1, 2017.ccd?@d7d/Certification of CEO Pursuant to Section 302(a)ee*e"of the SarbanesOxley Act of 2002.ffg333333?@g7g/Certification of CFO Pursuant to Section 302(a)hh*h"of the SarbanesOxley Act of 2002.ii~
jj0j(Certification of CEO and CFO Pursuant tokk0k(Section 906 of the SarbanesOxley Act ofll~
lJmmn 101.INS**nnXBRL Instance Documentoop 101.SCH**p/p'XBRL Taxonomy Extension Schema Documentqqr 101.CAL**r4r,XBRL Taxonomy Extension Calculation LinkbasesssDocumentttu 101.LAB**u/u'XBRL Taxonomy Extension Labels LinkbasevvvDocumentwwx 101.PRE**x,x$XBRL Taxonomy Extension PresentationyyyLinkbase Documentzz{ 101.DEF**{3{+XBRL Taxonomy Extension Definition LinkbaseDocument}~$____________________________D' l`^FAt\kSj51)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/=PF0*8X>
@
Root Entry FBook
H
!"#$%&'()*+,./0123456789:;<=>?@ABCDEFGHIJKLMNOPQRSTUVWXYZ[\]^_`abcdefghijklmnopqrstuvwxyz{}~
!"#$%&'()*+,./0123456789:;<=>?@ABCDEFGHIJKLMNOPQRSTUVWXYZ[\]^_`abcdefghijklmnopqrstuvwxyz{}~
!"#$%&'()*+,./0123456789:;<=>?@ABCDEFGHIJKLMNOPQRSTUVWXYZ[\]^_`abcdefghijklmnopqrstuvwxyz{}~