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AGNC Investment Corp.10K
02/22/2019AGNC INVESTMENT CORP.
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/(Tth\8ZNB=PF0*8X>
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AGNC Investment Corp.10K
02/22/2019 Bethesda, Maryland 20814
Title of each class1
)Name of each exchange on which registered/'Common Stock, $0.01 par value per share'The Nasdaq Global Select Market%7.750% Series B Cumulative Redeemable'The Nasdaq Global Select Market
Preferred Stock%7.00% Series C FixedtoFloating Rate'The Nasdaq Global Select Market%Cumulative Redeemable Preferred Stock$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/,}qeYA3W=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??FAGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTS!Quarterly Stock Prices and Divi!Quarterly Stock Prices and (1)!Equity Compensation Plan InformPerformance Graph
Balance SheetIncome Statement!Financial StatementsManagementsMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)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!AGGREGATE CONTRACTUAL OBLIGATIOInterest Rate RiskExtension Risk
Spread RiskBalance Sheet (1)Income Statement (1)Shareholders Equity
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AGNC Investment Corp.10K
02/22/2019H@Securities registered pursuant to section 12(g) of the Act: NONE
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??FAGNC INVESTMENT CORPBethesda Maryland 20814!Securities registered pursuant !Quarterly Stock Prices and Divi!Quarterly Stock Prices and (1)!Equity Compensation Plan InformPerformance Graph
Balance SheetIncome Statement!Financial StatementsManagementsMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)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!AGGREGATE CONTRACTUAL OBLIGATIOInterest Rate RiskExtension Risk
Spread RiskBalance Sheet (1)Income Statement (1)Shareholders Equity
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AGNC Investment Corp.10K
02/22/2019TABLE OF CONTENTS
PART I.
Item 1.Business~
Item 1A.Risk Factors~
Item 1B.!
Unresolved Staff Comments~
^Item 2.
Properties~
^Item 3.Legal Proceedings~
^Item 4.Mine Safety Disclosures~
bPART II.Item 5..&Market for Registrant's Common Equity,~
f/'Related Stockholder Matters, and Issuer&Purchases of Equity SecuritiesItem 6.Selected Financial Data~
rItem 7.,$Management's Discussion and Analysis~
v80of Financial Condition and Results of OperationsItem 7A.0(Quantitative and Qualitative Disclosures~
About Market RiskItem 8..&Financial Statements and Supplementary~
DataItem 9.5Changes in and Disagreements with Accountants~
R.&on Accounting and Financial DisclosureItem 9A.Controls and Procedures~
RDlxl`<[$~RFW.e !"#$%&'()*+,./01234 Item 9B. Other Information~
R!!!" PART III.""#Item 10.3#+Directors, Executive Officers and Corporate~
#V$$
Governance%Item 11.%Executive Compensation~
%V&Item 12.0&(Security Ownership of Certain Beneficial~
&V'5'Owners and Management and Related Stockholder((Matters)Item 13.7)/Certain Relationships and Related Transactions,~
)V*!*and Director Independence+Item 14..+&Principal Accounting Fees and Services~
+V,,,PART IV..Item 15..Exhibits~
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Balance SheetIncome Statement!Financial StatementsManagementsMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)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!AGGREGATE CONTRACTUAL OBLIGATIOInterest Rate RiskExtension Risk
Spread RiskBalance Sheet (1)Income Statement (1)Shareholders Equity
Cash FlowsNote 3 Investment SecuritiesNote 3 Investment Securi (1)Note 3 Investment Securi (2)Note 3 Investment Securi (3)Note 3 Investment Securi (4)Note 3 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements (1)!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 7 Fair Value Measurements!Note 8 Net Income Per Common ShCommon Stock OfferingsAttheMarket Offering ProgramDistributions to Stockholders!Accumulated Other Comprehensive!Other LongTerm Incentive Compen!Other LongTerm Incentive Co (1)!Other LongTerm Incentive Co (2)!Note 13 Quarterly Results Unaud!Note 13 Quarterly Results U (1)
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02/22/201980Quarterly Stock Prices and Dividend Declarations
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AGNC Investment Corp.10K
02/22/2019,$Equity Compensation Plan Information
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Balance SheetIncome StatementMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)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!AGGREGATE CONTRACTUAL OBLIGATIOInterest Rate RiskExtension Risk
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02/22/2019Market Information
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Interest Rate/Security Price 1
Dec. 31, 2017
Mar. 31, 2018
June 30, 2018
Sept. 30, 2018
Dec. 31, 2018
Dec. 31, 2018
vs
Dec. 31, 2017
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1.88%
2.09%
2.26%
2.50%
+0.94
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1.69%
2.31%
2.34%
2.40%
2.81%
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2Year U.S. Treasury
1.89%
2.27%
2.53%
2.82%
2.49%
+0.60
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2.21%
2.57%
2.73%
2.95%
2.51%
+0.30
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2.41%
2.74%
2.85%
3.06%
2.69%
+0.28
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2.74%
2.97%
2.98%
3.20%
3.02%
+0.28
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2Year Swap
2.08%
2.58%
2.79%
2.99%
2.67%
+0.59
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2.24%
2.71%
2.88%
3.07%
2.58%
+0.34
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2.40%
2.78%
2.93%
3.12%
2.72%
+0.32
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2.53%
2.82%
2.93%
3.13%
2.85%
+0.32
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02/22/2019FINANCIAL CONDITION
December 31, 2018
December 31, 2017.&Investment Portfolio (Includes TBAs) 1Amortized Cost
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Balance SheetIncome Statement!Financial StatementsManagementsMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (2)FINANCIAL CONDITION (3)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)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!AGGREGATE CONTRACTUAL OBLIGATIOInterest Rate RiskExtension Risk
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02/22/2019FINANCIAL CONDITION
December 31, 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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02/22/2019FINANCIAL 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
Cost Basis
WAC 3
Yield 4
Age (Months)
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Balance SheetIncome Statement!Financial StatementsManagementsMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements!AGGREGATE CONTRACTUAL OBLIGATIOInterest Rate RiskExtension Risk
Spread RiskBalance Sheet (1)Income Statement (1)Shareholders Equity
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Balance SheetIncome Statement!Financial StatementsManagementsMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Derivative InstrumEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements!AGGREGATE CONTRACTUAL OBLIGATIOInterest Rate RiskExtension Risk
Spread RiskBalance Sheet (1)Income Statement (1)Shareholders Equity
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Balance SheetIncome Statement!Financial StatementsManagementsMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment SecuritEstimated Taxable IncomeEstimated Taxable Income (1)Debt CapitalRepurchase Agreements!AGGREGATE CONTRACTUAL OBLIGATIOInterest Rate RiskExtension Risk
Spread RiskBalance Sheet (1)Income Statement (1)Shareholders Equity
Cash FlowsNote 3 Investment SecuritiesNote 3 Investment Securi (1)Note 3 Investment Securi (2)Note 3 Investment Securi (3)Note 3 Investment Securi (4)Note 3 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements (1)!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 7 Fair Value Measurements!Note 8 Net Income Per Common ShCommon Stock OfferingsAttheMarket Offering ProgramDistributions to Stockholders!Accumulated Other Comprehensive!Other LongTerm Incentive Compen!Other LongTerm Incentive Co (1)!Other LongTerm Incentive Co (2)!Note 13 Quarterly Results Unaud!Note 13 Quarterly Results U (1)
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02/22/2019G?Gain (Loss) on Derivative Instruments and Other Securities, Net
Fiscal Year~
~
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~
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~
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~
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~
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Balance SheetIncome Statement!Financial StatementsManagementsMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)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!AGGREGATE CONTRACTUAL OBLIGATIOInterest Rate RiskExtension Risk
Spread RiskBalance Sheet (1)Income Statement (1)Shareholders Equity
Cash FlowsNote 3 Investment SecuritiesNote 3 Investment Securi (1)Note 3 Investment Securi (2)Note 3 Investment Securi (3)Note 3 Investment Securi (4)Note 3 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements (1)!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 7 Fair Value Measurements!Note 8 Net Income Per Common ShCommon Stock OfferingsAttheMarket Offering ProgramDistributions to Stockholders!Accumulated Other Comprehensive!Other LongTerm Incentive Compen!Other LongTerm Incentive Co (1)!Other LongTerm Incentive Co (2)!Note 13 Quarterly Results Unaud!Note 13 Quarterly Results U (1)
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02/22/2019 Estimated Taxable Income
Fiscal Year~
~
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~
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!Premium amortization, net~
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Balance SheetIncome Statement!Financial StatementsManagementsMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements!AGGREGATE CONTRACTUAL OBLIGATIOInterest Rate RiskExtension Risk
Spread RiskBalance Sheet (1)Income Statement (1)Shareholders Equity
Cash FlowsNote 3 Investment SecuritiesNote 3 Investment Securi (1)Note 3 Investment Securi (2)Note 3 Investment Securi (3)Note 3 Investment Securi (4)Note 3 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements (1)!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 7 Fair Value Measurements!Note 8 Net Income Per Common ShCommon Stock OfferingsAttheMarket Offering ProgramDistributions to Stockholders!Accumulated Other Comprehensive!Other LongTerm Incentive Compen!Other LongTerm Incentive Co (1)!Other LongTerm Incentive Co (2)!Note 13 Quarterly Results Unaud!Note 13 Quarterly Results U (1)
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AGNC Investment Corp.10K
02/22/2019 Estimated Taxable Income
$
Dividends Declared per Share
Quarter Ended Series A Preferred Stock0(Series B Preferred Stock (Per Depositary 0
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December 31, 2018
$
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September 30, 2018
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$?
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$?
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Balance SheetIncome Statement!Financial StatementsManagementsMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)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!AGGREGATE CONTRACTUAL OBLIGATIOInterest Rate RiskExtension Risk
Spread RiskBalance Sheet (1)Income Statement (1)Shareholders Equity
Cash FlowsNote 3 Investment SecuritiesNote 3 Investment Securi (1)Note 3 Investment Securi (2)Note 3 Investment Securi (3)Note 3 Investment Securi (4)Note 3 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements (1)!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 7 Fair Value Measurements!Note 8 Net Income Per Common ShCommon Stock OfferingsAttheMarket Offering ProgramDistributions to Stockholders!Accumulated Other Comprehensive!Other LongTerm Incentive Compen!Other LongTerm Incentive Co (1)!Other LongTerm Incentive Co (2)!Note 13 Quarterly Results Unaud!Note 13 Quarterly Results U (1)
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December 31, 2018
December 31, 2017Mortgage BorrowingsAmount % Amount
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Balance SheetIncome Statement!Financial StatementsManagementsMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)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 Capital!AGGREGATE CONTRACTUAL OBLIGATIOInterest Rate RiskExtension Risk
Spread RiskBalance Sheet (1)Income Statement (1)Shareholders Equity
Cash FlowsNote 3 Investment SecuritiesNote 3 Investment Securi (1)Note 3 Investment Securi (2)Note 3 Investment Securi (3)Note 3 Investment Securi (4)Note 3 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements (1)!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 7 Fair Value Measurements!Note 8 Net Income Per Common ShCommon Stock OfferingsAttheMarket Offering ProgramDistributions to Stockholders!Accumulated Other Comprehensive!Other LongTerm Incentive Compen!Other LongTerm Incentive Co (1)!Other LongTerm Incentive Co (2)!Note 13 Quarterly Results Unaud!Note 13 Quarterly Results U (1)
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02/22/2019Repurchase Agreements
December 31, 2018CounterParty Region!Number of CounterParties/'Percent of Repurchase Agreement FundingNorth America:
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Balance SheetIncome Statement!Financial StatementsManagementsMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)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 AgreementsInterest Rate RiskExtension Risk
Spread RiskBalance Sheet (1)Income Statement (1)Shareholders Equity
Cash FlowsNote 3 Investment SecuritiesNote 3 Investment Securi (1)Note 3 Investment Securi (2)Note 3 Investment Securi (3)Note 3 Investment Securi (4)Note 3 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements (1)!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 7 Fair Value Measurements!Note 8 Net Income Per Common ShCommon Stock OfferingsAttheMarket Offering ProgramDistributions to Stockholders!Accumulated Other Comprehensive!Other LongTerm Incentive Compen!Other LongTerm Incentive Co (1)!Other LongTerm Incentive Co (2)!Note 13 Quarterly Results Unaud!Note 13 Quarterly Results U (1)
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Fiscal Year
~
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Balance SheetIncome Statement!Financial StatementsManagementsMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)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!AGGREGATE CONTRACTUAL OBLIGATIOExtension Risk
Spread RiskBalance Sheet (1)Income Statement (1)Shareholders Equity
Cash FlowsNote 3 Investment SecuritiesNote 3 Investment Securi (1)Note 3 Investment Securi (2)Note 3 Investment Securi (3)Note 3 Investment Securi (4)Note 3 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements (1)!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 7 Fair Value Measurements!Note 8 Net Income Per Common ShCommon Stock OfferingsAttheMarket Offering ProgramDistributions to Stockholders!Accumulated Other Comprehensive!Other LongTerm Incentive Compen!Other LongTerm Incentive Co (1)!Other LongTerm Incentive Co (2)!Note 13 Quarterly Results Unaud!Note 13 Quarterly Results U (1)
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02/22/2019Interest Rate Risk %
Interest Rate Sensitivity 1,2December 31, 2018December 31, 2017Change in Interest Rate2*Estimated Change in Portfolio Market Value3+Estimated Change in Tangible Net Book Value2*Estimated Change in Portfolio Market Value3+Estimated Change in Tangible Net Book Value
Per Common Share
Per Common Share100 Basis Points
0.7%
7.3%
1.0%
9.1%50 Basis Points
0.1%
1.0%
0.2%
1.9%+50 Basis Points
0.3%
3.1%
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AGNC Investment Corp.10K
02/22/2019Extension Risk #
Interest Rate Sensitivity 1December 31, 2018December 31, 2017Change in Interest Rate&Weighted Average Projected CPR&Weighted Average Asset Yield 2&Weighted Average Projected CPR&Weighted Average Asset Yield 2
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02/22/2019Spread Risk
Spread Sensitivity 1,2December 31, 2018December 31, 2017Change in MBS Spread2*Estimated Change in Portfolio Market Value3+Estimated Change in Tangible Net Book Value2*Estimated Change in Portfolio Market Value3+Estimated Change in Tangible Net Book Value
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02/22/2019
Balance Sheet
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02/22/2019Income Statement
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02/22/2019%Note 3. Investment Securities
December 31, 2018
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02/22/2019%Note 3. Investment Securities
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02/22/2019%Note 3. Investment Securities
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Balance SheetIncome Statement!Financial StatementsManagementsMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)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!AGGREGATE CONTRACTUAL OBLIGATIOInterest Rate RiskExtension Risk
Spread RiskBalance Sheet (1)Income Statement (1)Shareholders Equity
Cash FlowsNote 3 Investment SecuritiesNote 3 Investment Securi (1)Note 3 Investment Securi (2)Note 3 Investment Securi (3)Note 3 Investment Securi (4)Note 3 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements (1)!Derivative and Other Hedging In!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 7 Fair Value Measurements!Note 8 Net Income Per Common ShCommon Stock OfferingsAttheMarket Offering ProgramDistributions to Stockholders!Accumulated Other Comprehensive!Other LongTerm Incentive Compen!Other LongTerm Incentive Co (1)!Other LongTerm Incentive Co (2)!Note 13 Quarterly Results Unaud!Note 13 Quarterly Results U (1)
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02/22/2019SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
December 31, 2018
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Balance SheetIncome Statement!Financial StatementsManagementsMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)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!AGGREGATE CONTRACTUAL OBLIGATIOInterest Rate RiskExtension Risk
Spread RiskBalance Sheet (1)Income Statement (1)Shareholders Equity
Cash FlowsNote 3 Investment SecuritiesNote 3 Investment Securi (1)Note 3 Investment Securi (2)Note 3 Investment Securi (3)Note 3 Investment Securi (4)Note 3 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements (1)!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 7 Fair Value Measurements!Note 8 Net Income Per Common ShCommon Stock OfferingsAttheMarket Offering ProgramDistributions to Stockholders!Accumulated Other Comprehensive!Other LongTerm Incentive Compen!Other LongTerm Incentive Co (1)!Other LongTerm Incentive Co (2)!Note 13 Quarterly Results Unaud!Note 13 Quarterly Results U (1)
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02/22/2019SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
Swaptions
Option
Underlying Payer Swap&Current Option Expiration Date
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AverageNotionalAverage Fixed PayAverageAverage
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Balance SheetIncome Statement!Financial StatementsManagementsMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)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!AGGREGATE CONTRACTUAL OBLIGATIOInterest Rate RiskExtension Risk
Spread RiskBalance Sheet (1)Income Statement (1)Shareholders Equity
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02/22/2019SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
U.S. Treasury Securities
December 31, 2018
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02/22/2019SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
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December 31, 2018
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02/22/2019SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
December 31, 2018
December 31, 2017 TBA Securities by CouponNotionalCost
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02/22/2019IAGain (Loss) From Derivative Instruments and Other Securities, Net
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02/22/2019( Assets Pledged to Counterparties
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Balance SheetIncome Statement!Financial StatementsManagementsMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)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!AGGREGATE CONTRACTUAL OBLIGATIOInterest Rate RiskExtension Risk
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Cash FlowsNote 3 Investment SecuritiesNote 3 Investment Securi (1)Note 3 Investment Securi (2)Note 3 Investment Securi (3)Note 3 Investment Securi (4)Note 3 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements (1)!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 7 Fair Value Measurements!Note 8 Net Income Per Common ShCommon Stock OfferingsAttheMarket Offering ProgramDistributions to Stockholders!Accumulated Other Comprehensive!Other LongTerm Incentive Co (1)!Other LongTerm Incentive Co (2)!Note 13 Quarterly Results Unaud!Note 13 Quarterly Results U (1)
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Balance SheetIncome Statement!Financial StatementsManagementsMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)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!AGGREGATE CONTRACTUAL OBLIGATIOInterest Rate RiskExtension Risk
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02/22/2019.&Other LongTerm Incentive Compensation
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Balance SheetIncome Statement!Financial StatementsManagementsMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)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!AGGREGATE CONTRACTUAL OBLIGATIOInterest Rate RiskExtension Risk
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AGNC Investment Corp.10K
02/22/2019.&Other LongTerm Incentive Compensation "
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Balance SheetIncome Statement!Financial StatementsManagementsMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)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!AGGREGATE CONTRACTUAL OBLIGATIOInterest Rate RiskExtension Risk
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Balance SheetIncome Statement!Financial StatementsManagementsMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)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!AGGREGATE CONTRACTUAL OBLIGATIOInterest Rate RiskExtension Risk
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??FAGNC INVESTMENT CORPBethesda Maryland 20814!Securities registered pursuant TABLE OF CONTENTS!Quarterly Stock Prices and Divi!Quarterly Stock Prices and (1)!Equity Compensation Plan InformPerformance Graph
Balance SheetIncome Statement!Financial StatementsManagementsMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)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!AGGREGATE CONTRACTUAL OBLIGATIOInterest Rate RiskExtension Risk
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Cash FlowsNote 3 Investment SecuritiesNote 3 Investment Securi (1)Note 3 Investment Securi (2)Note 3 Investment Securi (3)Note 3 Investment Securi (4)Note 3 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements (1)!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 7 Fair Value Measurements!Note 8 Net Income Per Common ShCommon Stock OfferingsAttheMarket Offering ProgramDistributions to Stockholders!Accumulated Other Comprehensive!Other LongTerm Incentive Compen!Other LongTerm Incentive Co (1)!Other LongTerm Incentive Co (2)!Note 13 Quarterly Results Unaud!Note 13 Quarterly Results U (1)U }}$ }6}$ }
AGNC Investment Corp.10K
02/22/2019/S/ Gary D. Kain
Signature
Title
Date/S/ Gary D. Kain%Director, Chief Executive Officer andJanuary 24, 2019Gary D. Kain5Chief Investment Officer (Principal Executive
Officer)/S/ Donna J. BlankDirectorJanuary 24, 2019Donna J. Blank/S/ Morris A. DavisDirectorJanuary 24, 2019Morris A. Davis/S/ Larry K. HarveyDirectorJanuary 24, 2019Larry K. Harvey/S/ Prue B. LaroccaDirectorJanuary 24, 2019Prue B. Larocca/S/ Paul E. MullingsDirectorJanuary 24, 2019Paul E. Mullings$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/<yma%VgMdI_C7=PF0*8X>
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