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AGNC Investment Corp.10Q
08/06/2018FINANCIAL CONDITION
June 30, 2018
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AGNC Investment Corp.10Q
08/06/2018FINANCIAL CONDITION
June 30, 2018!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
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AGNC Investment Corp.10Q
08/06/2018FINANCIAL CONDITION
December 31, 2017!Includes Net TBA Position!Excludes Net TBA Position1)Fixed Rate Agency RMBS and TBA Securities Par Value Amortized
Fair Value
'% Lower Loan Balance & HARP 1,2 AmortizedWeighted AverageProjected Life
Cost
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WAC 3
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Age (Months)
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AGNC Investment Corp.10Q
08/06/2018FINANCIAL CONDITION
June 30, 2018
December 31, 20172*CRT and NonAgency Security Credit RatingsCRTRMBS
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08/06/2018Selected Financial Data 1
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Balance Sheet Data
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AGNC Investment Corp.10Q
08/06/2018Selected Financial Data
#
Three Months Ended June 30,
!
Six Months Ended June 30,.&Statement of Comprehensive Income Data~
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AGNC Investment Corp.10Q
08/06/2018Selected Financial Data
#
Three Months Ended June 30,
!
Six Months Ended June 30, Other Data (Unaudited) *~
~
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~
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8.0:1
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8.1:1
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8.1:1
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08/06/20181)Economic Interest Income and Asset Yields
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08/06/20181)Economic Interest Income and Asset Yields
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08/06/20181)Gain (Loss) on Investment Securities, Net
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative InstrNote 7 Pledged Assets!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Income an (1)!Liquidity and Capital Resources!Economic Interest Expense and A!Economic Interest Expense a (1)!Economic Interest Expense a (2)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment SecuritEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/06/2018G?Gain (Loss) on Derivative Instruments and Other Securities, Net
#
Three Months Ended June 30,
!
Six Months Ended June 30,~
~
~
~
0(Periodic interest costs of interest rate~
~
v~
~
swaps, net6.Realized gain (loss) on derivative instruments
"and other securities, net:0(TBA securities  dollar roll income, net~
~
v~
~
0(TBA securities  marktomarket net gain~
R~
b~
~
z(loss)Payer swaptions~
z ~
0(U.S. Treasury securities  long position   ~
1)U.S. Treasury securities  short position~
~
~
~
.&U.S. Treasury futures  short position~
~
~
~
.&Interest rate swaps  termination fees~
~
~
2~
%and variation margin settlements, netREIT equity securities~
~

Other ~
~
0(Total realized gain (loss) on derivative~
~
~
~
%instruments and other securities, net80Unrealized gain (loss) on derivative instruments
"and other securities, net:0(TBA securities  marktomarket net gain~
b~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative InstrNote 7 Pledged Assets!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Income an (1)!Liquidity and Capital Resources!Economic Interest Expense and A!Economic Interest Expense a (1)!Economic Interest Expense a (2)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate Risk
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AGNC Investment Corp.10Q
08/06/2018 Estimated Taxable Income
#
Three Months Ended June 30,
!
Six Months Ended June 30,~
~
~
~
Net income~
~
b~
6~
*
"Estimated book to tax differences:
!Premium amortization, net~
~
~
N~
Realized gain/loss, net~
~
~
^~
4,Net capital loss/(utilization of net capital~
~
b~
~
loss carryforward)!Unrealized gain/loss, net~
J~
~
~
Other ~
~
~
%Total book to tax differences~
2~
v~
~
%Estimated REIT taxable income~
~
~
&~
j#Dividend on preferred stock~
&~
~
J~
:/'Estimated REIT taxable income available~
~
~
~
2to common stockholders0(Weighted average number of common sharesfffffNy@fffffu@ 33333x@
,u@outstanding  basic0(Weighted average number of common shares33333Sy@u@ fffffx@
fffff.u@outstanding  diluted0(Estimated REIT taxable income per commonp=
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative InstrNote 7 Pledged Assets!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Income an (1)!Liquidity and Capital Resources!Economic Interest Expense and A!Economic Interest Expense a (1)!Economic Interest Expense a (2)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate Risk
Spread RiskU }}$
AGNC Investment Corp.10Q
08/06/2018 Estimated Taxable Income
$
Dividends Declared per Share
Quarter Ended Series A Preferred Stock0(Series B Preferred Stock (Per Depositary 0
(Series C Preferred Stock (Per Depositary
Common StockShare)
Share)
March 31, 2018
$
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HzG?
June 30, 2018 ?
?
HzG?
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative InstrNote 7 Pledged Assets!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Income an (1)!Liquidity and Capital Resources!Economic Interest Expense and A!Economic Interest Expense a (1)!Economic Interest Expense a (2)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Repurchase Agreements (1)Interest Rate Risk
Spread RiskU }1}$ }$}$}$ }
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AGNC Investment Corp.10Q
08/06/2018Debt Capital
June 30, 2018
December 31, 2017Mortgage BorrowingsAmount % Amount
%1)Repurchase agreements used to fund Agency~
~
%~
~
. %
RMBS.&Debt of consolidated variable interest~
 %~
~
%entities, at fair value
Total debt~
~
%~
v~
2 %!Net TBA position, at cost~
6~
v %~
~
b %!Total mortgage borrowings~
6~
%~
b
~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative InstrNote 7 Pledged Assets!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Income an (1)!Liquidity and Capital Resources!Economic Interest Expense and A!Economic Interest Expense a (1)!Economic Interest Expense a (2)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalInterest Rate Risk
Spread RiskU }}$ }}$ }$4
AGNC Investment Corp.10Q
08/06/2018Repurchase Agreements
June 30, 2018CounterParty Region!Number of CounterParties3+Percent of Agency RMBS Repurchase AgreementFunding
North America:
FICC~
40%
Other~
j41%Total North America~
n81%Europe~
:12%Asia~
7%
Total~
100%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/6th\ [Cd=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative InstrNote 7 Pledged Assets!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Income an (1)!Liquidity and Capital Resources!Economic Interest Expense and A!Economic Interest Expense a (1)!Economic Interest Expense a (2)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)
Spread RiskU }U}$ }}$ }}$ }0
AGNC Investment Corp.10Q
08/06/2018Interest Rate Risk #
Interest Rate Sensitivity 1&Percentage Change in ProjectedChange in Interest RateNet Interest Income 2Portfolio MarketTangible Net Book
Value 3,4
Value 3,5As of June 30, 2018100 Basis Points
7.2%
%
0.1%50 Basis Points
2.6%
+0.2%
+2.0%+50 Basis Points
+2.0%
0.5%
4.9%+100 Basis Points
+3.7%
1.2%11.8%As of December 31, 2017100 Basis Points10.4%
1.0%
9.1%50 Basis Points
3.9%
0.2%
1.9%+50 Basis Points
+0.4%
0.2%
2.0%+100 Basis Points
+0.2%
0.7%
6.6%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/@'
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??8AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSCONSOLIDATED BALANCE SHEETS!CONSOLIDATED STATEMENTS OF COMP!CONSOLIDATED STATEMENT OF STOCK!CONSOLIDATED STATEMENTS OF CASHNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!Gains and Losses on Sale of (1)Repurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative InstrNote 7 Pledged Assets!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Selected Financial DataSelected Financial Data (1)Selected Financial Data (2)!Economic Interest Income and As!Economic Interest Income an (1)!Liquidity and Capital Resources!Economic Interest Expense and A!Economic Interest Expense a (1)!Economic Interest Expense a (2)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements (1)Interest Rate RiskU }U}$ }}$ }a
AGNC Investment Corp.10Q
08/06/2018Spread Risk
Spread Sensitivity 1&Percentage Change in ProjectedChange in MBS Spread PortfolioTangible Net Asset
Market
Value 2,4 Value 2,3As of June 30, 201825 Basis Points
+1.5%+14.0%10 Basis Points
+0.6%
+5.6%+10 Basis Points
0.6%
5.6%+25 Basis Points
1.5%14.0%As of December 31, 201725 Basis Points
+1.3%+12.6%10 Basis Points
+0.5%
+5.0%+10 Basis Points
0.5%
5.0%+25 Basis Points
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