> Z[\]^_`a 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 20549Washington DC 20549 (1)*TABLE OF CONTENTS)=
Balance SheetaIncome StatementLShareholders Equity
Cash Flows#!Note 4 Investment Securities#;Note 4 Investment Securi (1)#&Note 4 Investment Securi (2)#SNote 4 Investment Securi (3)#hNote 4 Investment Securi (4)#Note 4 Investment Securi (5)&' 13Gains and Losses on Sale of %> 13Gains and Losses on Sal (1)VRepurchase Agreements&3Derivative and Other Hedging In&Derivative and Other Hedgin (1)&Derivative and Other Hedgin (2)&(.Derivative and Other Hedgin (3)&CDerivative and Other Hedgin (4)&XDerivative and Other Hedgin (5)&ADerivative and Other Hedgin (6)&Derivative and Other Hedgin (7)& 20Assets Pledged to Counterpar& 20Assets Pledged to Counte (1)& 20Assets Pledged to Counte (2)&
Assets Pledged from Counterpart&#Offsetting Assets and Liabiliti&BOffsetting Assets and Liabi (1)&aOffsetting Assets and Liabi (2)&Note 9 Net Income Loss Per Comm& 26Accumulated Other Comprehens& 26Accumulated Other Compre (1)& 26Accumulated Other Compre (2):Market InformationMarket Information (1),7Market Information (2)hMarket Information (3)Market Information (4)WBalance Sheet (1)Income Statement (1)%}Item 6 Selected Financial Data& 37Interest Income and Asset Yi&' 37Interest Income and Asse (1)7Leverage&\TInterest Expense and Cost of Fu&8oInterest Expense and Cost o (1)&Interest Expense and Cost o (2)&~Interest Expense and Cost o (3)&Net Spread and Dollar Roll Inco&Gain Loss on Sale of Investment&Gain Loss on Derivative Instrum!
Dividends and Income Taxes%c(Dividends and Income Taxes (1),;Debt Capital NRepurchase Agreements (1)(]Interest Rate RiskpSpread Risk&(Item 6 Exhibits and Financial S
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest 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)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }%}$ }
AGNC Investment Corp.10Q
08/03/2017Washington, D.C. 20549
Delaware
261701984'(State or Other Jurisdiction of(I.R.S. Employer&Incorporation or Organization)Identification No.)
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/(Tsg[7YMA=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }U}$}6}}$
AGNC Investment Corp.10Q
08/03/2017Washington, 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 ?$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/,sg[}TH<=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }y
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$
AGNC Investment Corp.10Q
08/03/2017TABLE OF CONTENTS
PART I.
FINANCIAL INFORMATION
Item 1.Financial Statements~
Item 2.,
$Management's Discussion and Analysis~
r80of Financial Condition and Results of OperationsItem 3.0(Quantitative and Qualitative Disclosures~
About Market RiskItem 4.Controls and Procedures~
PART II.OTHER INFORMATIONItem 1.Legal Proceedings~
Item 1A.Risk Factors~
Item 2./'Unregistered Sales of Equity Securities~
and Use of ProceedsItem 3.'Defaults upon Senior Securities~
Item 4.Mine Safety Disclosures~
Item 5.Other Information~
Item 6.Exhibits~
Signatures~
Dlxl`
@"##""!!
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest 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)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }I;}$
H
AGNC Investment Corp.10Q
08/03/2017
Balance Sheet
June 30, 2017
December 31, 2016(Unaudited)Assets:3
+Agency securities, at fair value (including~
~
F
2*pledged securities of $41,263 and $43,943,
respectively)5Agency securities transferred to consolidated~
~
1)variable interest entities, at fair value(pledged securities)0(Credit risk transfer securities, at fair~
~
value7/NonAgency securities, at fair value (including~
~~
7/pledged securities of $0 and $90, respectively)/'U.S. Treasury securities, at fair value ~
/'(including pledged securities of $0 and$173, respectively)%REIT equity securities, at fair value~
!Cash and cash equivalents~
~
,$Restricted cash and cash equivalents~
~
*( Derivative assets, at fair value~
Z~
1)Receivable for securities sold (including~
~
V91pledged securities of $348 and $21, respectively)D2
lpd{D~<+uAl !"#$%&'()*+,./0123456789:;<=>?6 .Receivable under reverse repurchase agreements~
u ~
x !%Goodwill and other intangible assets,~
!!!~
!!"net#Other assets~
#V##~
#>#$Total assets~
$v$$~
$x$%Liabilities:%%%&Repurchase agreements~
&Jb&&~
&O&''Federal Home Loan Bank advances '''~
'v/'.(&Debt of consolidated variable interest~
(V((~
(2()entities, at fair value(* Payable for securities purchased~
*V** **+%Derivative liabilities, at fair value~
+&++~
++,Dividends payable~
,,,~
,
,0(Obligation to return securities borrowed~
p~
Rw,.$under reverse repurchase agreements,
/at0
fair value.1&Accounts payable and other liabilities~
111~
1N12Total liabilities~
222~
223Stockholders' equity:333/4'Preferred stock  $0.01 par value; 10.04445shares authorized:6%Redeemable Preferred Stock; $0.01 par~
6B66~
6B607(value; 6.9 shares issued and outstanding,8$(aggregate liquidation preference of~
9r2:*Common stock  $0.01 par value; 600 shares:::;authorized;6<.355.6 and 331.0 shares issued and outstanding,~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }6}$
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AGNC Investment Corp.10Q
08/03/2017Income Statement
#
Three Months Ended June 30,
!
Six Months Ended June 30,~
~
~
~
Interest income:
Interest income~
~
~
6
~
Interest expense~
~
~
J~
"Net interest income~
~
f~
~
vOther gain (loss), net:
5Gain (loss) on sale of investment securities,~
>~
~
~
net0(Unrealized gain on investment securities~
& ~
f~
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~
securities, netManagement fee income~
~
Total other loss, net:~
~
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f ~
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* ~
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 Other operating expenses~
~
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6~
V Total operating expenses~
B~
~
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&Net income (loss)~
b~
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest 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)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }2}U}$ }
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***
*******************AGNC Investment Corp.10Q
08/03/2017Shareholders' Equity
Preferred Stock
Common Stock
Additional
Retained
Accumulated
Total
PaidinDeficit
Other
Capital
Comprehensive
Shares
Amount
Shares
Amount
Income (Loss)"Balance, December 31, 2015@~
Bu@
~
~
~
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~
~
#Other comprehensive income:
%Unrealized gain on availableforsale   

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

 ~
~~
~net"Repurchase of common stock  

~
2  ~
2$Preferred dividends declared
~
~
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~
~
Balance, June 30, 2016@~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??;Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTS
Balance SheetIncome StatementShareholders EquityNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }:}$
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AGNC Investment Corp.10Q
08/03/2017
Cash Flows
!
Six Months Ended June 30,~
~
Operating activities:
Net income (loss)~
~
0(Adjustments to reconcile net loss to net.&cash provided by operating activities:.&Amortization of premiums and discounts~
~
r*"on mortgagebacked securities, net7/Amortization of accumulated other comprehensive ~
~1)loss on interest rate swaps dedesignatedas qualifying hedges)!Amortization of intangible assets~
 Stock based compensation~
5(Gain) loss on sale of investment securities,~
~
.net0(Unrealized gain on investment securities~
~
2*measured at fair value through net income,net0(Loss on derivative instruments and other~
F~
~securities, net Decrease in other assets~
~
b.&Increase in accounts payable and other~
F~
&D lsg]v\'8<h !"#$%&'()*+,./0123456789:;<=>? accrued liabilities1!)Net cash provided by operating activities~
!
!!~
!
!"Investing activities:"""6#.Purchases of Agency mortgagebacked securities~
#^r##~
##8$0Purchases of credit risk transfer and nonAgency~
$v$$ $$%
securities4&,Proceeds from sale of Agency mortgagebacked~
&Rw&&~
&&'
securities2(*Proceeds from sale of credit risk transfer~
((( ((!)and nonAgency securities7*/Principal collections on Agency mortgagebacked~
*2**~
*9*+
securities5,Principal collections on credit risk transfer~
,,,~
,&,!and nonAgency securities.%Purchases of U.S. Treasury securities~
...~
..6/.Proceeds from sale of U.S. Treasury securities~
/fk//~
/.//0'Net proceeds from (payments on) reverse~
000~
0.01repurchase agreements.2&Net payments on derivative instruments~
222~
2~2+3#Purchases of REIT equity securities~
333 3344,Proceeds from sale of REIT equity securities 444~
44850Increase in restricted cash and cash equivalents 555~
55'6Other investing cash flows, net~
666 6617)Net cash provided by investing activities~
777~
778Financing activities:8889%Proceeds from repurchase arrangements~
9.
99~
9679):!Payments on repurchase agreements~
:B::~
:.:5;Proceeds from Federal Home Loan Bank advances ;;;~
; ;3<+Payments on Federal Home Loan Bank advances~
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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08/03/2017%Note 4. Investment Securities
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08/03/2017%Note 4. Investment Securities
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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AGNC Investment Corp.10Q
08/03/2017%Note 4. Investment Securities
June 30, 2017
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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08/03/2017%Note 4. Investment Securities
June 30, 2017
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08/03/2017%Note 4. Investment Securities
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AGNC Investment Corp.10Q
08/03/2017<4 13Gains and Losses on Sale of Investment Securities
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08/03/2017<4 13Gains and Losses on Sale of Investment Securities
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08/03/2017Repurchase Agreements
June 30, 2017
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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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 13Gains and Losses on Sal (1)Repurchase 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)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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08/03/2017SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment 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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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AGNC Investment Corp.10Q
08/03/2017A9______________________ 20Assets Pledged to Counterparties
December 31, 2016( Assets Pledged to Counterparties/'Repurchase Agreements and FHLB Advances!Debt of Consolidated VIEs
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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AGNC Investment Corp.10Q
08/03/2017A9______________________ 20Assets Pledged to Counterparties
June 30, 2017
December 31, 20160(Securities Pledged by Remaining Maturity( Fair Value of Pledged Securities Amortized
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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08/03/2017*"Assets Pledged from Counterparties
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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08/03/201780 26Accumulated Other Comprehensive Income (Loss)
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08/03/201780 26Accumulated Other Comprehensive Income (Loss)
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest 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)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }'}$ }m}$ }}$ }m}$ }m} $ }
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AGNC Investment Corp.10Q
08/03/2017Market Information
&
Interest Rate/Security Price 1
June 30, 2016
Sept. 30, 2016
Dec. 31, 2016
Mar. 31, 2017
June 30, 2017
June 30, 2017
June 30, 2017
vs
vs
Mar. 31, 2017
Dec. 31, 2016
LIBOR:
1Month
0.47%
0.53%
0.77%
0.98%
1.22%
+0.24
bps
+0.45bps3Month
0.65%
0.85%
1.00%
1.15%
1.30%
+0.15
bps
+0.30bps6Month
0.92%
1.24%
1.31%
1.42%
1.45%
+0.03
bps
+0.14bps$U.S. Treasury Security Rate:
2Year U.S. Treasury
0.59%
0.76%
1.20%
1.26%
1.38%
+0.12
bps
+0.18bps3Year U.S. Treasury
0.70%
0.87%
1.46%
1.50%
1.55%
+0.05
bps
+0.09bps5Year U.S. Treasury
1.01%
1.15%
1.92%
1.93%
1.89%
0.04
bps
0.03bps10Year U.S. Treasury
1.49%
1.61%
2.43%
2.39%
2.30%
0.09
bps
0.13bps30Year U.S. Treasury
2.31%
2.33%
3.05%
3.02%
2.84%
0.18
bps
0.21bps Interest Rate Swap Rate:
2Year Swap
0.74%
1.01%
1.46%
1.62%
1.61%
0.01
bps
+0.15bps3Year Swap
0.81%
1.07%
1.68%
1.81%
1.74%
0.07
bps
+0.06bps5Year Swap
0.99%
1.18%
1.96%
2.06%
1.95%
0.11
bps
0.01bps10Year Swap
1.38%
1.46%
2.32%
2.39%
2.27%
0.12
bps
0.05bps30Year Swap
1.84%
1.78%
2.57%
2.65%
2.53%
0.12
bps
0.04bps( 30Year Fixed Rate Agency Price:
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest 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)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/03/2017Market Information
June 30, 2017
December 31, 2016.&Investment Portfolio (Includes TBAs) 1Amortized Cost
Fair Value
Average Coupon
%Amortized Cost
Fair ValueAverage Coupon %2*Fixed rate Agency RMBS and TBA securities:
? 15year:
? 15year RMBS~
2~
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@ %~
F %~
~
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Z %15year TBA securities~
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@ %~
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2"~
!(\@ %~
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J~
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V %~
~
HzG @ %~
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~
ףp=
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~
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30year RMBS~
~
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~
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~
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^ %~
~
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B %
Total 30year~
~
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{~
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Z~
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~
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~
Gz@ %~
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*~
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest 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)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/03/2017Market Information
June 30, 2017!Includes Net TBA Position!Excludes Net TBA Position1)Fixed Rate Agency RMBS and TBA Securities Par Value Amortized
Fair Value
'% Lower Loan Balance & HARP 1,2 AmortizedWeighted AverageProjected Life
Cost
Cost Basis
WAC 3
Yield 4
Age (Months)
CPR 4
Fixed rate
? 15year
2.5%~
1~
2 ~
2
34%101.2%
2.98%
2.14%~
9%3.0%~
b=~
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53%102.9%
3.49%
2.18%~
10%3.5%~
f/~
0 ~
v1
89%103.3%
3.95%
2.50%~
11%4.0%~
$~
& ~
&
89%104.0%
4.40%
2.68%~
:12%4.5%~
~
~
98%104.5%
4.87%
3.02%~
J12%? 5.0%~
~
~
21%103.1%
6.63%
4.67%~
13%Total ? 15year~
~
J ~
v
65%103.0%
3.79%
2.41%~
10%20year
? 3.0%~
J~
F ~
^
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99.4%
3.55%
3.10%~
9%3.5%~
B~
b ~
75%102.1%
4.06%
3.00%~
11%4.0%~
~
~
50%104.3%
4.54%
2.96%~
11%4.5%~
~
~
99%106.5%
4.89%
2.96%~
>11%? 5.0%~
~
~
%106.0%
5.92%
3.34%~
17%Total 20year:~
N~
~
62%101.9%
4.03%
3.02%~
10%30year:
3.0%~
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k ~
k
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3.58%
2.96%~
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E ~
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4.06%
2.76% ~
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&&&~
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest 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)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }1}
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AGNC Investment Corp.10Q
08/03/2017Market Information
December 31, 2016!Includes Net TBA Position!Excludes Net TBA Position1)Fixed Rate Agency RMBS and TBA Securities Par Value Amortized
Fair Value
'% Lower Loan Balance & HARP 1,2 AmortizedWeighted AverageProjected Life
Cost
Cost Basis
WAC 3
Yield 4
Age (Months)
CPR 4
Fixed rate
? 15year
? 2.5%~
6L~
FM ~
L
26%101.7%
2.96%
2.05%~
9%3.0%~
6~
7 ~
7
73%102.9%
3.50%
2.20%~
9%3.5%~
z3~
B5 ~
5
90%103.4%
3.95%
2.50%~
10%4.0%~
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:+ ~
+
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%~
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t ~
r
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3.57%
2.97%~
j
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~
.
~
F
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4.07%
2.75% ~
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$$$14%%
Total 30year%~
%\%%~
%{%% ~
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%4.19%%
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%7%&Total fixed rate&~
&L&&~
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&
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest 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)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }2}$
AGNC Investment Corp.10Q
08/03/2017Market Information
June 30, 2017
December 31, 20162*CRT and NonAgency Security Credit RatingsCRTRMBS
CMBS
CRTRMBSCMBS~
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest 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)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }1}$
AGNC Investment Corp.10Q
08/03/2017
Balance Sheet 1
)($ in millions, except per share amounts)
Balance Sheet Data
June 30, 2017December 31, 2016,$Investment securities, at fair value~
~
Total assets
~
v
~
x
0(Repurchase agreements, Federal Home Loan~
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.$Bank advances and other debtTotal liabilities~
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest 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)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }2}$

AGNC Investment Corp.10Q
08/03/2017Income Statement
#
Three Months Ended June 30,
!
Six Months Ended June 30,.&Statement of Comprehensive Income Data~
~
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1)! 37Interest Income and Asset Yi! 37Interest 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)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/03/2017'Item 6. Selected Financial Data
#
Three Months Ended June 30,
!
Six Months Ended June 30, Other Data (unaudited) *~
~
~
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.&Average investment securities  at par~
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'Average investment securities  at cost
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R
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&Average stockholders' equity 5~
v~
x ~
nt
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%
%( Average net interest rate spreadffffff? %~
%
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zG? %3+Average net interest rate spread, including\(\? %(\? %
333333? %
? % TBA dollar roll income 9)!Average coupon (as of period end)
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@ %
ףp=
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ףp@ %
Q@ %
q=
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@ %~
.DYlvj^RU&}#V3 !"#$%&'()*+,./01 )Economic return on tangible common equity @ % N/A
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N/A ! unannualized 12%"Average "at risk" leverage 13"
"7.4:1""
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7.3:1""
"7.1:1"1#)Average tangible net book value "at risk"#
#8.0:1###N/A##
#
7.9:1##
#N/A#$leverage 150%("At risk" leverage (as of period end) 14%
%7.5:1%%
%7.2:1%%
%
7.5:1%%
%7.2:1%2&*Tangible net book value "at risk" leverage&
&8.1:1&&&N/A&&
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8.1:1&&
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest 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)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }0}$ }$}$ } }$} $ }
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AGNC Investment Corp.10Q
08/03/2017*" 37Interest Income and Asset Yield
#
Three Months Ended June 30,
!
Six Months Ended June 30,~
~
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Amount
YieldAmount
YieldAmount
YieldAmount
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Cash/coupon interest income~
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6 \(\@ %~
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest 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)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }a}$
AGNC Investment Corp.10Q
08/03/2017*" 37Interest Income and Asset Yield
3
+Impact of Changes in the Principal Elements!Impacting Interest Income0(Periods ended June 30, 2017 vs. June 30,~
Due to Change in AverageTotal Increase / Portfolio
Asset
(Decrease)Size
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest 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)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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############AGNC Investment Corp.10Q
08/03/2017Leverage
Mortgage Borrowings 1
Net TBA Position
'
Average Tangible Net Book Value
Average
2
*Tangible Net Book Value "At Risk" Leverage
"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 3Period End 5
Amount
Daily Amount
Amount
Amount
Amount
June 30, 2017~
`~
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8.1:1!
"7.5:1March 31, 2017~
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
Leverage!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/03/2017A9_______________________Interest Expense and Cost of Funds
#
Three Months Ended June 30,
!
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~
~
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.&Adjusted Net Interest Expense and CostAmount% 1 Amount
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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AGNC Investment Corp.10Q
08/03/2017A9_______________________Interest Expense and Cost of Funds
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+Impact of Changes in the Principal Elements( of Adjusted Net Interest Expense0(Periods ended June 30, 2017 vs. June 30,~
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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08/03/2017A9_______________________Interest Expense and Cost of Funds
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08/03/2017A9_______________________Interest Expense and Cost of Funds
#
Three Months Ended June 30,
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Six Months Ended June 30,80Average Ratio of Interest Rate Swaps Outstanding~
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~
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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AGNC Investment Corp.10Q
08/03/2017Debt Capital
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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AGNC Investment Corp.10Q
08/03/2017Repurchase Agreements
June 30, 2017CounterParty Region!Number of CounterParties/'Percent of Repurchase Agreement Funding
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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AGNC Investment Corp.10Q
08/03/2017Interest Rate Risk #
Interest Rate Sensitivity 1&Percentage Change in ProjectedChange in Interest RateNet Interest Income 2Portfolio MarketTangible Net Asset
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AGNC Investment Corp.10Q
08/03/2017Spread Risk
Spread Sensitivity 1&Percentage Change in ProjectedChange in MBS Spread PortfolioTangible Net Asset
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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 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm! 26Accumulated Other Comprehens! 26Accumulated Other Compre (1)! 26Accumulated Other Compre (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4)Balance Sheet (1)Income Statement (1) Item 6 Selected Financial Data! 37Interest Income and Asset Yi! 37Interest 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)!Net Spread and Dollar Roll Inco!Gain Loss on Sale of Investment!Gain Loss on Derivative InstrumDividends and Income Taxes Dividends and Income Taxes (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/03/2017:2Item 6. Exhibits and Financial Statement Schedules
Exhibit No.
Description*3.12*AGNC Investment Corp. Amended and Restated
1
)Certificate of Incorporation, as amended,3+incorporated herein by reference to Exhibit803.1 of Form 10Q for the quarter ended September530, 2016 (File No. 00134057), filed November7, 2016.*3.2/'AGNC Investment Corp. Third Amended and1)Restated Bylaws, as amended, incorporated2*herein by reference to Exhibit 3.2 of Form0(10Q for the quarter ended September 30,1)2016 (File No. 00134057), filed November7, 2016.*3.3%Certificate of Designations of 8.000%0(Series A Cumulative Redeemable Preferred/'Stock, incorporated herein by reference7/to Exhibit 3.1 of Form 8K (File No 00134057),filed April 3, 2012.DlocWK?6Bb{O7S !"#$%&'()*+,./0123456789:;<=>? *3.4  %Certificate of Designations of 7.750%!!0!(Series B Cumulative Redeemable Preferred""/"'Stock, incorporated herein by reference##8#0to Exhibit 3.4 of Form 8A (File No. 00134057),$$$filed May 7, 2014.%%&*4.1&2&*Instruments defining the rights of holders''4',of securities: See Article IV of our Amended((2(*and Restated Certificate of Incorporation,))4),as amended, incorporated herein by reference**3*+to Exhibit 3.1 of Form 10Q for the quarter++5+ended September 30, 2016 (File No. 00134057),,,filed November 7, 2016..*4.2.2.*Instruments defining the rights of holders//2/*of securities: See Article VI of our Third0000(Amended and Restated Bylaws, as amended,1131+incorporated herein by reference to Exhibit228203.2 of Form 10Q for the quarter ended September3343,30, 2016 (File No. 00134057) filed November4447, 2016.556*4.36:62Form of Certificate for Common Stock, incorporated7727*herein by reference to Exhibit 4.3 of Form8808(10Q for the quarter ended September 30,9919)2016 (File No. 00134057), filed November:::7, 2016.;;<*4.4<6<.Specimen 8.000% Series A Cumulative Redeemable==1=)Preferred Stock Certificate, incorporated>>2>*herein by reference to Exhibit 4.1 of Form??0?(8K (File No. 00134057), filed April 3,Dlgz(:_G[h<$0I@ABCDEFGHIJKLMNOPQRSTUVWXYZ[\]^_@@~
@rAAB*4.5B6B.Specimen 7.750% Series B Cumulative RedeemableCC1C)Preferred Stock Certificate, incorporatedDD2D*herein by reference to Exhibit 4.1 of FormEE4E,8A (File No. 00134057), filed May 7, 2014.FFG*4.6G3G+Deposit Agreement, dated May 8, 2014, amongHH4H,American Capital Agency Corp., ComputershareIII%Inc. and Computershare Trust Company,JJ1J)N.A., jointly as depositary, incorporatedKK2K*herein by reference to Exhibit 4.2 of FormLL4L,8K (File No. 00134067), filed May 8, 2014.MMN*4.7N0N(Form of Depositary Receipt, incorporatedOO2O*herein by reference to Exhibit 4.3 of FormPP4P,8K (File No. 00134067), filed May 8, 2014.QQ~
R*R1R)Form of AGNC Investment Corp. 2016 EquitySS2S*and Incentive Compensation Plan RestrictedTTT%Stock Unit Agreement for NonEmployeeUU"UDirectors, filed herewith.VV~
W:W0W(AGNC Investment Corp. Code of Ethics andXX.X&Conduct, adopted, July 20, 2017, filedYYY herewith.ZZ[?@[7[/Certification of CEO Pursuant to Section 302(a)\\*\"of the SarbanesOxley Act of 2002.]]^333333?@^7^/Certification of CFO Pursuant to Section 302(a)__*_"of the SarbanesOxley Act of 2002.D{
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