> jklmnopq 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 20549 Washington DC 20549 (1)+TABLE OF CONTENTS"(>CONSOLIDATED BALANCE SHEETS&dCONSOLIDATED STATEMENTS OF COMP&QCONSOLIDATED STATEMENT OF STOCK&CONSOLIDATED STATEMENTS OF CASH& 10Note 4 Investment Securities& 10Note 4 Investment Securi (1)&8 10Note 4 Investment Securi (2)&}e 10Note 4 Investment Securi (3)&{ 10Note 4 Investment Securi (4)&u 10Note 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)&5)Derivative and Other Hedgin (2)&CDerivative and Other Hedgin (3)&PXDerivative and Other Hedgin (4)&$nDerivative and Other Hedgin (5)&Derivative and Other Hedgin (6)&Derivative and Other Hedgin (7)& 20Assets Pledged to Counterpar&I 20Assets Pledged to Counte (1)& 20Assets Pledged to Counte (2)&&Assets Pledged from Counterpart&U<Offsetting Assets and Liabiliti&[Offsetting Assets and Liabi (1)&zOffsetting Assets and Liabi (2)&Note 9 Net Income Loss Per Comm&Accumulated Other Comprehensive&Accumulated Other Comprehen (1)&Accumulated Other Comprehen (2) Market Information#Market Information (1)SMarket Information (2)~Market Information (3)vMarket Information (4)%Item 6 Selected Financial Data%`Item 6 Selected Financial (1)%PItem 6 Selected Financial (2)&6, 37Interest Income and Asset Yi&:H 37Interest Income and Asse (1)XLeverage&vInterest Expense and Cost of Fu&Interest Expense and Cost o (1)&Interest Expense and Cost o (2)&Interest Expense and Cost o (3)& 41Net Spread and Dollar Roll I&Gain Loss on Sale of Investment& 42 Gain Loss on Derivative Ins>0Estimated Taxable IncomePDebt Capital dRepurchase Agreements (1)tInterest Rate RiskSpread Risk&wItem 6 Exhibits and Financial S
l
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 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)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }%}$ }
AGNC Investment Corp.10Q
11/03/2017Washington, D.C. 20549
Delaware
261701984'(State or Other Jurisdiction of(I.R.S. Employer&Incorporation or Organization)Identification No.)
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/(Tsg[7YMA=PF0*8X>
@
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }U}$}6}}$
AGNC Investment Corp.10Q
11/03/2017Washington, 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)CONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 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)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
11/03/2017TABLE OF CONTENTS
PART I.
FINANCIAL INFORMATION
Item 1.Financial Statements~
Item 2.,
$Management's Discussion and Analysis~
v80of Financial Condition and Results of OperationsItem 3.0(Quantitative and Qualitative Disclosures~
About Market RiskItem 4.Controls and Procedures~
PART II.OTHER INFORMATIONItem 1.Legal Proceedings~
Item 1A.Risk Factors~
Item 2./'Unregistered Sales of Equity Securities~
and Use of ProceedsItem 3.'Defaults upon Senior Securities~
Item 4.Mine Safety Disclosures~
Item 5.Other Information~
Item 6.Exhibits~
Signatures~
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Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }I;}$
J
AGNC Investment Corp.10Q
11/03/2017#CONSOLIDATED BALANCE SHEETS
September 30, 2017
December 31, 2016(Unaudited)Assets:3
+Agency securities, at fair value (including~
&
~
F
2*pledged securities of $47,997 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~
6~
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~
~
1)Receivable for securities sold (including~
&~
V91pledged securities of $149 and $21, respectively)DE
lznbVh1k)b.Y !"#$%&'()*+,./0123456789:;<=>?6 .Receivable under reverse repurchase agreements~
* ~
x !%Goodwill and other intangible assets,~
!!!~
!!"net#Other assets~
#&##~
#>#$Total assets~
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$x$%Liabilities:%%%&Repurchase agreements~
&&&~
&O&''Federal Home Loan Bank advances '''~
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*v** **+%Derivative liabilities, at fair value~
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,0(Obligation to return securities borrowed~
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at fair value.0&Accounts payable and other liabilities~
000~
0N01Total liabilities~
1u11~
112Stockholders' equity:2223%8.000% Series A Cumulative Redeemable 333~
33.4&Preferred Stock (aggregate liquidation05(preference of $0 and $173, respectively)6%7.750% Series B Cumulative Redeemable~
666~
66.7&Preferred Stock (aggregate liquidation8preference of $175).9&7.000% Series C FixedtoFloating Rate~
999 99:%Cumulative Redeemable Preferred Stock,;$(aggregate liquidation preference of"<$325 and $0, respectively)2=*Common stock  $0.01 par value; 600 shares~
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Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }8}$
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AGNC Investment Corp.10Q
11/03/20177/CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
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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)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }2}$ }
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+////////// /
///
///////////////////AGNC Investment Corp.10Q
11/03/20176.CONSOLIDATED STATEMENT OF STOCKHOLDERS' EQUITY
! "

%8.000% Series A Cumulative Redeemable

%7.750% Series B Cumulative Redeemable
.
&7.000% Series C FixedtoFloating Rate
Common Stock
Additional
Retained
Accumulated
TotalPreferred StockPreferred Stock %Cumulative Redeemable Preferred Stock
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Amount
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~
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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)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }:}$
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AGNC Investment Corp.10Q
11/03/2017%CONSOLIDATED STATEMENTS OF CASH FLOWS
'
Nine Months Ended September 30,~
~
Operating activities:
Net income (loss)~
~
2*Adjustments to reconcile net income (loss)5to net cash provided by operating activities:.&Amortization of premiums and discounts~
j~
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~
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~
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~
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~
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~
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///~
/Y/50Net payments on reverse repurchase agreements~
0B00~
0021*Net proceeds from (payments on) derivative~
111~
112instruments+3#Purchases of REIT equity securities~
333 3344,Proceeds from sale of REIT equity securities 444~
445%Purchase of AGNC Mortgage Management, 555~
5V5!6LLC, net of cash acquired.7&(Increase) decrease in restricted cash~
7F77~
7 7*8"pledged for derivative instruments09(Net cash provided by (used in) investing~
999~
9I9:
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CNCC CC0D(Net proceeds from common stock issuances~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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11/03/2017( 10Note 4. Investment Securities
September 30, 2017
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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11/03/2017( 10Note 4. Investment Securities
September 30, 2017Agency RMBS
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11/03/2017( 10Note 4. Investment Securities
December 31, 2016Agency RMBS
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AGNC Investment Corp.10Q
11/03/2017( 10Note 4. Investment Securities
September 30, 2017
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11/03/2017( 10Note 4. Investment Securities
September 30, 2017
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11/03/2017( 10Note 4. Investment Securities
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AGNC Investment Corp.10Q
11/03/2017<4 13Gains and Losses on Sale of Investment Securities
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11/03/2017<4 13Gains and Losses on Sale of Investment Securities
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11/03/2017Repurchase Agreements
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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11/03/2017SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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11/03/2017SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
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11/03/2017SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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11/03/2017SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
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11/03/2017SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
September 30, 2017
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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Spread Risk!Item 6 Exhibits and Financial SU }a/}$
AGNC Investment Corp.10Q
11/03/2017A9______________________ 20Assets Pledged to Counterparties
September 30, 2017( Assets Pledged to CounterpartiesRepurchase Agreements 1!Debt of Consolidated VIEs
Derivative Agreements
!Prime Broker Agreements 2
Total Agency RMBS  fair value~
~
~
~
~
2/
'U.S. Treasury securities  fair value 3
~

~

~
.&Accrued interest on pledged securities~
"~
~
~
~
6,$Restricted cash and cash equivalents~
 ~
~
~
Total~
~
~
~
~
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/0 h\PD8<.>QvjB=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }0.}$
AGNC Investment Corp.10Q
11/03/2017A9______________________ 20Assets 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~
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~
j%U.S. Treasury securities  fair value~


~
.&Accrued interest on pledged securities~
~
~
~
~
,$Restricted cash and cash equivalents~
 ~
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~
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~
~
~
~
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/4h\PD8<)Iznb:=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 4 Investment Securi (5)! 13Gains and Losses on Sale of 13Gains and Losses on Sal (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Derivative and Other Hedgin (6)!Derivative and Other Hedgin (7)! 20Assets Pledged to Counterpar! 20Assets Pledged to Counte (1)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1)!Offsetting Assets and Liabi (2)!Note 9 Net Income Loss Per Comm!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
Leverage!Interest Expense and Cost of Fu!Interest Expense and Cost o (1)!Interest Expense and Cost o (2)!Interest Expense and Cost o (3)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }2}$
AGNC Investment Corp.10Q
11/03/2017A9______________________ 20Assets Pledged to Counterparties
September 30, 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
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~
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~
~
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~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 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)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
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!!!!!!!!!! !
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!!!!!!!!AGNC Investment Corp.10Q
11/03/2017*"Assets Pledged from Counterparties
September 30, 2017
December 31, 2016Assets Pledged to AGNC'Reverse Repurchase Agreements 1Derivative Agreements
Repurchase Agreements
Total%Reverse Repurchase AgreementsDerivative AgreementsRepurchase Agreements
Total Agency RMBS  fair value
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$
$
$
$
$~
:~
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%U.S. Treasury securities  fair value
~


~
~
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~
~
~
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~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 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)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
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"
AGNC Investment Corp.10Q
11/03/2017)!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 2September 30, 2017
3+Interest rate swap and swaption agreements,~
$ ~
~
~
f~
Fat fair value 1%TBA securities, at fair value~
^  ~
^
~
 6.Receivable under reverse repurchase agreements~
*  ~
*
~
~
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$ ~
~
.~
~
F
December 31, 2016
3+Interest rate swap and swaption agreements,~
Z
$ ~
Z
~
~
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 ~
~
 6.Receivable under reverse repurchase agreements~
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~
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~
~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 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)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread Risk!Item 6 Exhibits and Financial SU }a/}$
"
AGNC Investment Corp.10Q
11/03/2017)!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
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the Consolidated Balance Sheets
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Financial InstrumentsCollateral Pledged 2September 30, 2017
.&Interest rate swap agreements, at fair~
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$ ~
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~
~
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 ~
~
~
Repurchase agreements~
 ~
~
~
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~
.~
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December 31, 2016
.&Interest rate swap agreements, at fair~
$ ~
~
~
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^  ~
^
~
~
/'Repurchase agreements and FHLB advances~
~  ~
~
~
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~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 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)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
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%
AGNC Investment Corp.10Q
11/03/2017)!Offsetting Assets and Liabilities
September 30, 2017
December 31, 2016Level 1Level 2
Level 3
Level 1Level 2Level 3Assets:
Agency securities
$
~
&
$
$
~
F
$
5Agency securities transferred to consolidated ~

~
VIEs'Credit risk transfer securities ~
6

~
NonAgency securities ~

~
 U.S. Treasury securities  

~
 REIT equity securities~


  Interest rate swaps ~

~
 Swaptions ~

~
Z TBA securities ~
^

~
U.S. Treasury futures~
v 

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

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

~
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~~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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)!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 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)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
11/03/20172*Note 9. Net Income (Loss) Per Common Share
(
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'
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~
~
~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 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)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
11/03/20175Accumulated 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 June 30, 2017
~
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~
$OCI before reclassifications~
 ~
%Amounts reclassified from accumulated~
 ~
OCI( Balance as of September 30, 2017~
$ ~
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~
2$OCI before reclassifications~
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~
~
*OCI( Balance as of September 30, 2016~
~
~
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 ~
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 ~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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!Accumulated Other Comprehensive!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 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)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
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2
AGNC Investment Corp.10Q
11/03/20175Accumulated Other Comprehensive Income (Loss)
(
Three Months Ended September 30,
%
Line Item in the Consolidated *
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~
%
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~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 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)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
11/03/20175Accumulated Other Comprehensive Income (Loss)
'
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market Information (1)Market Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 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)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
11/03/2017Market Information
&
Interest Rate/Security Price 1
Sept. 30, 2016
Dec. 31, 2016
Mar. 31, 2017
June 30, 2017
Sept. 30, 2017
Sept. 30, 2017
Sept. 30, 2017
vs
vs
June 30, 2017
Dec. 31, 2016
LIBOR:
1Month
0.53%
0.77%
0.98%
1.22%
1.23%
+0.01
bps
+0.46bps3Month
0.85%
1.00%
1.15%
1.30%
1.33%
+0.03
bps
+0.33bps6Month
1.24%
1.31%
1.42%
1.45%
1.51%
+0.06
bps
+0.20bps$U.S. Treasury Security Rate:
2Year U.S. Treasury
0.76%
1.20%
1.26%
1.38%
1.48%
+0.10
bps
+0.28bps3Year U.S. Treasury
0.87%
1.46%
1.50%
1.55%
1.61%
+0.06
bps
+0.15bps5Year U.S. Treasury
1.15%
1.92%
1.93%
1.89%
1.93%
+0.04
bps
+0.01bps10Year U.S. Treasury
1.61%
2.43%
2.39%
2.30%
2.33%
+0.03
bps
0.10bps30Year U.S. Treasury
2.33%
3.05%
3.02%
2.84%
2.86%
+0.02
bps
0.19bps Interest Rate Swap Rate:
2Year Swap
1.01%
1.46%
1.62%
1.61%
1.73%
+0.12
bps
+0.27bps3Year Swap
1.07%
1.68%
1.81%
1.74%
1.84%
+0.10
bps
+0.16bps5Year Swap
1.18%
1.96%
2.06%
1.95%
2.00%
+0.05
bps
+0.04bps10Year Swap
1.46%
2.32%
2.39%
2.27%
2.28%
+0.01
bps
0.04bps30Year Swap
1.78%
2.57%
2.65%
2.53%
2.52%
0.01
bps
0.05bps( 30Year Fixed Rate Agency Price:
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 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)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
11/03/2017Market Information
September 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:
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 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)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
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,
AGNC Investment Corp.10Q
11/03/2017Market Information
September 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%~
2~
z3 ~
f3
31%101.2%
2.98%
2.13%~
9%3.0%~
V~
2Y ~
*Y
36%102.8%
3.49%
2.18%~
10%3.5%~
,~
". ~
.
89%103.3%
3.95%
2.49%~
11%4.0%~
>"~
# ~
#
89%103.9%
4.40%
2.68%~
F12%4.5%~
~
~
98%104.4%
4.87%
3.02%~
V12%? 5.0%~
~
~
20%103.2%
6.64%
4.64%~
14%Total ? 15year~
:~
2 ~
55%103.0%
3.78%
2.40%~
11%20year
? 3.0%~
*~
& ~
>
31%
99.4%
3.55%
3.10%~
9%3.5%~
~
~
:
75%102.1%
4.05%
3.00%~
11%4.0%~
~
~
51%104.2%
4.55%
2.95%~
&12%4.5%~
~
~
99%106.5%
4.89%
2.95%~
J11%? 5.0%~
~
~
%106.0%
5.93%
3.33%~
17%Total 20year:~
~
~
B
62%101.8%
4.02%
3.02%~
11%30year:
3.0%~
w~
x ~
vx
1%100.2%
3.58%
2.96%~
6%Dlwk_3P)X,c8 !"#$%&'()*+ 3.5% ~
~
j ~
^
51% 104.7%
4.04%
2.84% ~
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!4.49%!
!2.94%!~
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"3.24%"~
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$$$~
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$36%$$109.8%$
$6.19%$
$3.35%$~
$$$14%%
Total 30year%~
%Z=%%~
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%44%%%105.2%%
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%2.90%%~
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%8%&Total fixed rate&~
&^$&&~
&P&& ~
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&47%&&104.7%&
&4.12%&
&2.80%&~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (2)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 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)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
11/03/2017Market Information
December 31, 2016!Includes Net TBA Position!Excludes Net TBA Position1)Fixed Rate Agency RMBS and TBA Securities Par Value Amortized
Fair Value
'% Lower Loan Balance & HARP 1,2 AmortizedWeighted AverageProjected Life
Cost
Cost Basis
WAC 3
Yield 4
Age (Months)
CPR 4
Fixed rate
? 15year
? 2.5%~
6L~
FM ~
L
26%101.7%
2.96%
2.05%~
9%3.0%~
6~
7 ~
7
73%102.9%
3.50%
2.20%~
9%3.5%~
z3~
B5 ~
5
90%103.4%
3.95%
2.50%~
10%4.0%~
~)~
:+ ~
+
89%104.2%
4.40%
2.69%~
"11%4.5%~
v~
~
98%104.6%
4.87%
3.03%~
211%? 5.0%~
~
~
22%103.3%
6.63%
4.65%~
13%Total ? 15year~
~
~
65%103.1%
3.72%
2.37%~
10%20year
? 3.0%~
~
~ ~
31%
99.4%
3.55%
3.10%~
8%3.5%~
~
~
75%102.2%
4.06%
3.01%~
10%4.0%~
~
~
50%104.4%
4.54%
2.97%~
10%4.5%~
~
& ~
*
99%106.7%
4.90%
2.99%~
&11%? 5.0%~
~
~
%106.3%
5.94%
3.33%~
17%Total 20year:~
J~
~
63%101.9%
4.03%
3.03%~
10%30year:
? 3.0%~
zs~
t ~
r
2%100.1%
3.57%
2.97%~
j
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~
.
~
F
72% 105.4%
4.07%
2.75% ~
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!4.51%!
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"4.97%"
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#5.45%#
#3.73%#~
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$$$~
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$
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$38%$$110.0%$
$6.20%$
$3.40%$~
$$$14%%
Total 30year%~
%\%%~
%{%% ~
%
q%%
%56%%%105.4%%
%4.19%%
%2.86%%~
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%7%&Total fixed rate&~
&L&&~
&2r&& ~
&
vi&&
&58%&&104.6%&
&4.05%&
&2.73%&~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (2)Market Information (3) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 37Interest Income and Asset Yi! 37Interest Income and Asse (1)
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AGNC Investment Corp.10Q
11/03/2017Market Information
September 30, 2017
December 31, 20162*CRT and NonAgency Security Credit RatingsCRTRMBS
CMBS
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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)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
11/03/2017'Item 6. Selected Financial Data 1
)($ in millions, except per share amounts)
Balance Sheet DataSeptember 30, 2017December 31, 2016,$Investment securities, at fair value~
=~
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~
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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)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
11/03/2017'Item 6. Selected Financial Data
(
Three Months Ended September 30,
'
Nine Months Ended September 30,.&Statement of Comprehensive Income Data~
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Interest income~
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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)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
11/03/2017'Item 6. Selected Financial Data
(
Three Months Ended September 30,
'
Nine Months Ended September 30, Other Data (unaudited) *~
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~
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AGNC Investment Corp.10Q
11/03/2017*" 37Interest Income and Asset Yield
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AGNC Investment Corp.10Q
11/03/2017*" 37Interest Income and Asset Yield
3
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11/03/2017Leverage
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Net TBA Position
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Average Tangible Net Book Value
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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
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Amount
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11/03/2017A9_______________________Interest Expense and Cost of Funds
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AGNC Investment Corp.10Q
11/03/2017A9_______________________Interest Expense and Cost of Funds
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11/03/201791Gain (Loss) on Sale of Investment Securities, Net
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11/03/2017bZ 42 _______________________Gain (Loss) on Derivative Instruments and Other Securities, Net
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11/03/2017 Estimated Taxable Income
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AGNC Investment Corp.10Q
11/03/2017Debt Capital
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AGNC Investment Corp.10Q
11/03/2017Repurchase Agreements
September 30, 2017CounterParty Region!Number of CounterParties3+Percent of Agency RMBS Repurchase AgreementFunding
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AGNC Investment Corp.10Q
11/03/2017Interest Rate Risk #
Interest Rate Sensitivity 1&Percentage Change in ProjectedChange in Interest RateNet Interest Income 2Portfolio MarketTangible Net Asset
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1.1%
9.8%As of December 31, 2016100 Basis Points
9.7%
+0.6%
+4.9%50 Basis Points
1.8%
+0.5%
+4.4%+50 Basis Points
+4.1%
0.8%
6.9%+100 Basis Points
+6.2%
1.7%15.3%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/@/
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 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)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk!Item 6 Exhibits and Financial SU }}$ }}$ }a
AGNC Investment Corp.10Q
11/03/2017Spread Risk
Spread Sensitivity 1&Percentage Change in ProjectedChange in MBS Spread PortfolioTangible Net Asset
Market
Value 2,4 Value 2,3 As of September 30, 201725 Basis Points
+1.3%+12.3%10 Basis Points
+0.5%
+4.9%+10 Basis Points
0.5%
4.9%+25 Basis Points
1.3%12.3%As of December 31, 201625 Basis Points
+1.3%+12.0%10 Basis Points
+0.5%
+4.8%+10 Basis Points
0.5%
4.8%+25 Basis Points
1.3%12.0%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/BX~rf*
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??:Washington DC 20549Washington DC 20549 (1)TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASH! 10Note 4 Investment Securities! 10Note 4 Investment Securi (1)! 10Note 4 Investment Securi (2)! 10Note 4 Investment Securi (3)! 10Note 4 Investment Securi (4)! 10Note 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!Accumulated Other Comprehensive!Accumulated Other Comprehen (1)!Accumulated Other Comprehen (2)Market InformationMarket Information (1)Market Information (2)Market Information (3)Market Information (4) Item 6 Selected Financial Data Item 6 Selected Financial (1) Item 6 Selected Financial (2)! 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)! 41Net Spread and Dollar Roll I!Gain Loss on Sale of Investment! 42 Gain Loss on Derivative InsEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
11/03/2017:2Item 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 7.750%0(Series B Cumulative Redeemable Preferred/'Stock, incorporated herein by reference80to Exhibit 3.4 of Form 8A (File No. 00134057),filed May 7, 2014.DlocWK?6Bb{O7S !"#$%&'()*+,./0123456789:;<=>? *3.4 3 +Certificate of Designations of 7.00% Series!!6!.C FixedtoFloating Rate Cumulative Redeemable"","$Preferred Stock, incorporated herein##5#by reference to Exhibit 3.5 of Form 8A (File$$.$&No. 00134057), filed August 18, 2017.%%&*3.5&3&+Certificate of Elimination of 8.000% Series''0'(A Cumulative Redeemable Preferred Stock,((3(+incorporated herein by reference to Exhibit))2)*3.1 of Form 8K (File No 00134057), filed***October 26, 2017.++,*4.1,2,*Instruments defining the rights of holders4,of securities: See Article IV of our Amended..2.*and Restated Certificate of Incorporation,//4/,as amended, incorporated herein by reference0030+to Exhibit 3.1 of Form 10Q for the quarter1151ended September 30, 2016 (File No. 00134057)222filed November 7, 2016.334*4.2424*Instruments defining the rights of holders5525*of securities: See Article VI of our Third6606(Amended and Restated Bylaws, as amended,7737+incorporated herein by reference to Exhibit888803.2 of Form 10Q for the quarter ended September9949,30, 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,??1?)2016 (File No. 00134057), filed NovemberD@l[x`
r$5HRi'@ABCDEFGHIJKLMNOPQRSTUVWXYZ[\]^_@@@7, 2016.AAB*4.4B6B.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*4.5G1G)Specimen 7.00% Series C FixedtoFloatingHH,H$Rate Cumulative Redeemable PreferredII.I&Stock Certificate, incorporated hereinJJ5Jby reference to Exhibit 4.1 of Form 8A (FileKK.K&No. 00134057), filed August 18, 2017.LLM*4.6M3M+Deposit Agreement relating to 7.750% SeriesNN0N(B Cumulative Redeemable Preferred Stock,OO1O)dated May 8, 2014, among American CapitalPP:P2Agency Corp., Computershare Inc. and ComputershareQQ3Q+Trust Company, N.A., jointly as depositary,RR3R+incorporated herein by reference to ExhibitSS3S+4.2 of Form 8K (File No. 00134057), filedTTTMay 8, 2014.UUV*4.7V/V'Form of Depositary Receipt representingWW:W21/1,000th of a share of 7.750% Series B CumulativeXX,X$Redeemable Preferred Stock (includedYY4Y,as part of Exhibit 4.6), incorporated hereinZZ5Zby reference to Exhibit 4.2 of Form 8K (File[[*["No. 00134057), filed May 8, 2014.\\]*4.8]2]*Deposit Agreement relating to 7.00% Series^^6^.C FixedtoFloating Rate Cumulative Redeemable__/_'Preferred Stock, dated August 22, 2017,Dlf{c/z.
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