> 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#܈ ~~83ffff̙̙3f3fff3f3f33333f33AGNC INVESTMENT CORPBethesda Maryland 20814(TABLE OF CONTENTS9
Balance Sheet^]Income StatementzShareholders Equity
Cash Flows#]Note 4 Investment Securities#Note 4 Investment Securi (1)#Note 4 Investment Securi (2)#@Note 4 Investment Securi (3)#hXNote 4 Investment Securi (4)#mpNote 4 Investment Securi (5)&Gains and Losses on Sale of InvRepurchase Agreements&Derivative and Other Hedging In&Derivative and Other Hedgin (1)&7Derivative and Other Hedgin (2)&%Derivative and Other Hedgin (3)&xDerivative and Other Hedgin (4)&",Derivative and Other Hedgin (5)&>OGain Loss From Derivative Instr&pAssets Pledged to Counterpartie&Assets Pledged to Counterpa (1)&UAssets Pledged to Counterpa (2)&iAssets Pledged from Counterpart&Offsetting Assets and Liabiliti&Offsetting Assets and Liabi (1)%eNote 8 Fair Value Measurements&*'Note 9 Net Income Per Common Sh6:Preferred Stock&SAccumulated Other ComprehensivebMarket InformationFINANCIAL CONDITIONfFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)7.Balance Sheet (1)>Income Statement (1)CXSelected Financial Data&mEconomic 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&S&Gain Loss on Derivative Instrum~?Estimated Taxable IncomedXDebt Capital 5jRepurchase Agreements (1)yInterest Rate RiskExtension RiskSpread Risk
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
Spread RiskU }%}$ }
AGNC Investment Corp.10Q
05/03/2019AGNC INVESTMENT CORP.
Delaware
261701984'(State or Other Jurisdiction of(I.R.S. Employer&Incorporation or Organization)Identification No.)
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/(Tth\8ZNB=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7AGNC INVESTMENT CORPTABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
05/03/2019 Bethesda, Maryland 20814
Large accelerated filer
?
Accelerated filer
oNonaccelerated filer o5(Do not check if a smaller reporting company)!Smaller Reporting Company o
Emerging growth company o$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/,}qeY{RF:=PF0*8X>
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
Spread RiskU }y
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!
AGNC Investment Corp.10Q
05/03/2019TABLE OF CONTENTS
PART I.
FINANCIAL INFORMATION
Item 1.Financial Statements~
Item 2.,$Management's Discussion and Analysis~
b
8
0of 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.
Properties~
Item 3.'Defaults upon Senior Securities~
Item 4.Mine Safety Disclosures~
Item 5.Other Information~
Item 6.Exhibits~
Signatures~
$____________________________1)Created by Morningstar Document Research.Dlxl`
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTSIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
Spread RiskU }:}$ }$}$ }$
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AGNC Investment Corp.10Q
05/03/2019
Balance Sheet
March 31, 2019
December 31, 2018(Unaudited)Assets:3
+Agency securities, at fair value (including~
ҭ
~
2*pledged securities of $89,471 and $78,619,
respectively)5Agency securities transferred to consolidated~
~
1)variable interest entities, at fair value(pledged securities)0(Credit risk transfer securities, at fair~
~
.&value (including pledged securities of$$142 and $141, respectively)7/NonAgency securities, at fair value (including~
~
80pledged securities of $45 and $45, respectively)/'U.S. Treasury securities, at fair value~
~
%(including pledged securities of $121and $0, respectively)!Cash and cash equivalents~
~
fRestricted cash~
~
^ ( Derivative assets, at fair value~
~
F,$Receivable for investment securities~
~
!sold (pledged securities)D lpdzC}; f*e9 !"#$%&'()*+,./0123456789:;<=>?6 .Receivable under reverse repurchase agreements~
:? ~
T !Goodwill~
!:!!~
!:!"Other assets~
"
""~
"~"#Total assets~
#^@##~
##$Liabilities:$$$%Repurchase agreements~
%vJ%%~
%%.&&Debt of consolidated variable interest~
&*&&~
&N&'entities, at fair value3(+Payable for investment securities purchased~
(((~
(()%Derivative liabilities, at fair value~
)))~
)R)*Dividends payable~
***~
**0+(Obligation to return securities borrowed~
+.++~
+N+,,$under reverse repurchase agreements,
at fair value..&Accounts payable and other liabilities~
.n..~
../Total liabilities~
/J//~
//0Stockholders' equity:0001%7.750% Series B Cumulative Redeemable~
111~
11.2&Preferred Stock (aggregate liquidation3preference of $175).4&7.000% Series C FixedtoFloating Rate~
444~
445%Cumulative Redeemable Preferred Stock,6$(aggregate liquidation preference of~
7.8&6.875% Series D FixedtoFloating Rate~
888 889%Cumulative Redeemable Preferred Stock,:$(aggregate liquidation preference of~
;2<*Common stock  $0.01 par value; 900 shares~
<<<~
<<7=/authorized; 536.3 shares issued and outstanding">Additional paidin capital~
>>>~
>>?Retained deficit?( 3,467 ?)??( 3,433 ?)DHl2FsPhgN:x&A@ABCDEFG,@$Accumulated other comprehensive loss
@( 543 @)@
@( 943 @)"ATotal stockholders' equity~
AAA~
AʚA2B*Total liabilities and stockholders' equity~
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Balance SheetShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
Spread RiskU }8}$ }$}$ }$
7
AGNC Investment Corp.10Q
05/03/2019Income Statement
$
Three Months Ended March 31,~
~
Interest income:
Interest income~
~
Interest expense~
v~
:Net interest income~
~
Other gain (loss), net:5Gain (loss) on sale of investment securities,~
( 2 )net7/Unrealized gain (loss) on investment securities~
( 523 )2*measured at fair value through net income,net%Gain (loss) on derivative instruments( 1,000 )~
!and other securities, netManagement fee income ~
Total other gain, net:~
~
f Expenses:!Compensation and benefits~
*~
*Other operating expense~
&~
"Total operating expense~
N~
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Net income~
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#Dividend on preferred stock~
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&( 197 &)#'Dividend on preferred stock~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTS
Balance SheetIncome Statement
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
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'////////// /
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///////////////////AGNC Investment Corp.10Q
05/03/2019Shareholders' Equity
! "

%7.750% Series B Cumulative Redeemable
.
&7.000% Series C FixedtoFloating Rate
.
&6.875% Series D FixedtoFloating Rate
Common Stock
Additional
Retained
Accumulated
TotalPreferred Stock%Cumulative Redeemable Preferred Stock %Cumulative Redeemable Preferred Stock
PaidinDeficit
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Capital
Comprehensive
Shares
Amount
Income (Loss)"Balance, December 31, 2017~
~

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~
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  ~
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"!Other comprehensive loss:
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( 621 )
( 621 ")securities, net Stockbased compensation   
 ~
 ~
"$Preferred dividends declared   
  ( 9 )  ( 9 ")!Common dividends declared   
  
( 211 ) 
( 211 ")Balance, March 31, 2018~
~
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$( 2,358 )$( 966 )~
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   ~
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( 289 ")!Balance, March 31, 2019~
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Balance SheetIncome StatementShareholders EquityNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
05/03/2019
Cash Flows
$
Three Months Ended March 31,~
~
Operating activities:
Net income~
&
~
.&Adjustments to reconcile net income to2*net cash provided by operating activities:.&Amortization of premiums and discounts~
:~
*"on mortgagebacked securities, net)!Amortization of intangible assets ~
Stockbased compensation~
~
5(Gain) loss on sale of investment securities,( 60 )~
net7/Unrealized (gain) loss on investment securities( 1,060 )~
.2*measured at fair value through net income,net%(Gain) loss on derivative instruments~
( 738 )!and other securities, net+#(Increase) decrease in other assets( 35 )~
.&Increase in accounts payable and other~
.~
accrued liabilities1)Net cash provided by operating activities~
&~
Investing activities:D
lsgZxl}B9 !"#$%&'()*+,./0123456789:;<=>?6 .Purchases of Agency mortgagebacked securities ( 16,038 ) ( 2,287 )8!0Purchases of credit risk transfer and nonAgency
!( 499 !)!
!( 215 !)"
securities4#,Proceeds from sale of Agency mortgagebacked~
#ZI##~
#v#$
securities2%*Proceeds from sale of credit risk transfer~
%%%~
%B%!&and nonAgency securities7'/Principal collections on Agency mortgagebacked~
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))) ))!*and nonAgency securities,+$Payments on U.S. Treasury securities+( 7,550 +)++( 1,345 +).,&Proceeds from U.S. Treasury securities~
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,,7/Net proceeds from reverse repurchase agreements~
~
2.*Net proceeds from (payments on) derivative
.( 714 .).~
.J./instruments00(Net payments on other investing activity 0000( 16 0)01(Net cash (used in) provided by investing1( 11,287 1)1~
112
activities3Financing activities:3334%Proceeds from repurchase arrangements~
4844~
44)5!Payments on repurchase agreements5 ( 919,321 5)55 ( 244,507 5)16)Payments on debt of consolidated variable6( 13 6)66( 21 6)7interest entities28*Net proceeds from preferred stock issuance~
888 889Cash dividends paid
9( 298 9)9
9( 220 9)0:(Net cash (used in) provided by financing~
::::( 1,580 :);
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
05/03/2019%Note 4. Investment Securities
March 31, 2019
December 31, 2018Investment Securities Amortized
Fair Value
Amortized
Fair ValueCost
Cost
Agency RMBS:
Fixed rate~
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~
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
05/03/2019%Note 4. Investment Securities
March 31, 2019Agency RMBS
NonAgencyInvestment Securities
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( 166 )

  
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
05/03/2019%Note 4. Investment Securities
December 31, 2018Agency RMBS
NonAgencyInvestment SecuritiesFannieFreddie Mac
Ginnie
RMBSCMBSCRT
Total
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( 264 )

  
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
05/03/2019%Note 4. Investment Securities
March 31, 2019
December 31, 20182*CRT and NonAgency Security Credit RatingsCRTRMBS
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
05/03/2019%Note 4. Investment Securities
March 31, 2019
December 31, 20185Estimated Weighted Average Life of Investment
Fair Value Amortized
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Coupon
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
Spread RiskU }$4}$ }$} $ }$}$ }$
AGNC Investment Corp.10Q
05/03/2019%Note 4. Investment Securities
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12 Months or More
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)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 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 8 Fair Value Measurements!Note 9 Net Income Per Common ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
05/03/201991Gains and Losses on Sale of Investment Securities
$
Three Months Ended March 31,~
~
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Total
AvailableforSale$Fair Value Option Securities
Total
Securities 2
Securities 2+#Investment securities sold, at cost$( 339 )$( 4,562 )
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of Inv!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 8 Fair Value Measurements!Note 9 Net Income Per Common ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
05/03/2019Repurchase Agreements
March 31, 2019
December 31, 2018Remaining MaturityRepurchase AgreementsWeighted WeightedRepurchase AgreementsWeightedWeightedAverage Average Days
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
05/03/2019SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
0
(Derivative and Other Hedging Instruments
Balance Sheet Location
March 31, 2019
December 31, 2018Interest rate swaps( Derivative assets, at fair value~
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
05/03/2019SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
March 31, 2019
December 31, 2018Interest Rate SwapsNotionalAverageAverage
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MaturityAmount 1 Fixed PayReceiveMaturity
Rate 2
Rate
(Years)
Rate 2
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
05/03/2019SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
Swaptions
Option
Underlying Payer Swap&Current Option Expiration Date
Cost Basis
Fair Value
AverageNotionalAverage Fixed PayAverageAverage
Months to Current OptionAmountRateReceiveTerm
Expiration Date 1
Rate
(Years)
(LIBOR)March 31, 2019
? 1 year~
~
~
~
2.98 %
3M~
> 1 year ? 2 years~
J~
~
>~
2.78 %
3M~
*
Total~
f~
. ~
~
'2.94 %
3Mffffff@
December 31, 2018
? 1 year~
B~
^ ~
~
.2.96 %
3M~
> 1 year ? 2 years~
J~
: ~
J~
2.78 %
3M~
*
Total~
~
~
~
62.93 %
3M@$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/>H0VJ>2&*Ke=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
Spread RiskU }$}$ }$}$ }$} $ }$}
$ }$}$ }$}$ }$
AGNC Investment Corp.10Q
05/03/2019SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
U.S. Treasury Securities
March 31, 2019
December 31, 2018MaturityFace Amount (Short)Cost Basis 1
Fair Value
Face Amount (Short)Cost Basis 1
Fair Value5 years~
~
~
$( 703 )$( 706 )$( 713 )
7 years
( 12,990
)
( 12,976
)
( 13,285
)
( 14,357
)
( 14,325
)
( 14,410
)10 years( 5,745 )( 5,810 )
( 5,990 )
( 6,240 )( 6,224 )( 6,262 )&Total U.S. Treasury securities $( 18,615 ) $( 18,666 )
$( 19,154 )
$( 21,300 ) $( 21,255 ) $( 21,385 )$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/.=
VJ>2&jN=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
Spread RiskU }$}$ }$}$ }$} $ }$}
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!!!!!!!!!! !
!!!
!!!!!!AGNC Investment Corp.10Q
05/03/2019SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
U.S. Treasury Futures
March 31, 2019
December 31, 2018MaturityNotionalCost
Fair
Net Carrying Value 1NotionalCostFairNet Carrying Value 1Amount  Long (Short)
Basis
Value
Amount  Long (Short)
Basis
Value
10 years
$( 1,650
)
$( 2,019
)
$( 2,050
)
$( 31
)
$( 1,650
)
$( 1,969
)
$( 2,013
)
$( 44
)$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/*hVJ>2&)
uM=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
Spread RiskU }<(}$ }$}$ }$} $ }$}
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!!!!!!!!!! !
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!!!!!!!!!!!!!!!!!AGNC Investment Corp.10Q
05/03/2019SKDerivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
March 31, 2019
December 31, 2018 TBA Securities by CouponNotionalCost
Fair
Net Carrying Value 1NotionalCostFairNet Carrying Value 1Amount  Long (Short)
Basis
Value
Amount  Long (Short)
Basis
Value
15Year TBA securities:
3.0%~
~
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&
~
~
~
~
~
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~
2 ~
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~
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~
~
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~
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~
~
~
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~
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~
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~
~
~
6~
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~
Z 3.5%~
20~
^0 ~
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( 16 )~
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F0~
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(~
* ~
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~
J~
J&~
*'~
'~
r )!Total 30Year TBA securities, net~
5~
5 ~
6
~
~
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8~
9~
!Total TBA securities, net~
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~
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase 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)!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
Spread RiskU }1}$ }$}$ }}$}$ } y
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$
AGNC Investment Corp.10Q
05/03/2019IAGain (Loss) From Derivative Instruments and Other Securities, Net
0
(Derivative and Other Hedging Instruments
Beginning
Additions
Settlement, Termination,
Ending
Gain/(Loss)Notional Amount
Expiration orNotional Amount7/on Derivative Instruments and Other Securities, Exercise
Net 1*
"Three months ended March 31, 2019:
TBA securities, net~
o~
* ( 18,772
)~
j~
NInterest rate swaps~
&~
S ( 8,800
)~
( 596 )Payer swaptions~
6 
( 950
)~
'( 27 )1)U.S. Treasury securities  short position $( 21,345 )( 4,770 )~
Rs
$( 18,735 )
( 425 )0(U.S. Treasury securities  long position~
~
V
( 330
)~
/'U.S. Treasury futures contracts  short$( 1,650 )( 1,650 )~
$( 1,650 )( 31 )position $( 996 )*"Three months ended March 31, 2018: TBA securities, net~
~
V ( 45,507
)~
$( 292 )Interest rate swaps~
Ҫ~
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)~
~
^
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g~
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)~
zi~
n1)U.S. Treasury securities  short position $( 10,699 )
( 662 )~
$( 10,798 )~
R0(U.S. Treasury securities  long position
$~
( 734
)~
/'U.S. Treasury futures contracts  short$( 2,910 )( 2,909 )~
5
$( 2,380 )~
position ~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
Spread RiskU }0.}$
AGNC Investment Corp.10Q
05/03/2019( Assets Pledged to Counterparties
March 31, 2019*"Assets Pledged to Counterparties 1Repurchase Agreements 2!Debt of Consolidated VIEs
Derivative Agreements
!Prime Broker Agreements 3
Total Agency RMBS  fair value~
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~
~
~
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~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
05/03/2019( Assets Pledged to Counterparties
December 31, 2018*"Assets Pledged to Counterparties 1Repurchase Agreements 2!Debt of Consolidated VIEs
Derivative Agreements
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
05/03/2019( Assets Pledged to Counterparties
March 31, 2019
December 31, 20180(Securities Pledged by Remaining Maturity( Fair Value of Pledged Securities Amortized
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( Fair Value of Pledged Securities AmortizedAccrued$of Repurchase Agreements 1,2"Cost of Pledged Securities
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~
~
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
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!!!!!!!!!! !
!!!
!!!!!!!AGNC Investment Corp.10Q
05/03/2019*"Assets Pledged from Counterparties
March 31, 2019
December 31, 2018 Assets Pledged to AGNC 1%Reverse Repurchase AgreementsDerivative Agreements
Repurchase Agreements
Total%Reverse Repurchase AgreementsDerivative AgreementsRepurchase Agreements
Total%U.S. Treasury securities  fair value~
>~
* ~
z
~
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~
~
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~
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
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"
AGNC Investment Corp.10Q
05/03/2019)!Offsetting Assets and Liabilities
.
&Offsetting of Financial and DerivativeAssets*"Gross Amounts of Recognized Assets0(Gross Amounts Offset in the Consolidated ;
3Net Amounts of Assets Presented in the Consolidated
Gross Amounts Not Offset
Net Amount
Balance Sheets
Balance Sheets
in the
#Consolidated Balance Sheets
Financial InstrumentsCollateral Received 2March 31, 2019
3+Interest rate swap and swaption agreements,~
$ ~
$( 1 )
$( 59 )~
at fair value 1%TBA securities, at fair value~
n  ~
n
( 21 ) ~
6.Receivable under reverse repurchase agreements~
:?  ~
:?
( 17,353 )( 3,072 )~
Total~
.C
$ ~
.C
$( 17,375 )$( 3,131 )~
December 31, 2018
3+Interest rate swap and swaption agreements,~
$ ~
$$( 158 )~
at fair value 1%TBA securities, at fair value~
 ~
( 40 ) ~
6.Receivable under reverse repurchase agreements~
T  ~
T
( 17,236 )( 4,575 )~
Total~
Y
$ ~
Y
$( 17,276 )$( 4,733 )~
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti Note 8 Fair Value Measurements!Note 9 Net Income Per Common ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
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"
AGNC Investment Corp.10Q
05/03/2019)!Offsetting Assets and Liabilities
.
&Offsetting of Financial and DerivativeLiabilities/'Gross Amounts of Recognized Liabilities0(Gross Amounts Offset in the Consolidated /
'Net Amounts of Liabilities Presented in
Gross Amounts Not Offset
Net Amount
Balance Sheets
'
the Consolidated Balance Sheets
in the
#Consolidated Balance Sheets
Financial InstrumentsCollateral Pledged 2March 31, 2019
.&Interest rate swap agreements, at fair~
$ ~
$( 1 )
$
$value 1%TBA securities, at fair value~
V  ~
V
( 21 )  Repurchase agreements~
vJ  ~
vJ
( 17,353 )( 69,332 ) 
Total~
J
$ ~
J
$( 17,375 ) $( 69,332 )
$
December 31, 2018
.&Interest rate swap agreements, at fair
$
$
$
$
$
$value 1%TBA securities, at fair value~
 ~
( 40 )  Repurchase agreements~
 ~
( 17,236 )( 58,481 ) 
Total~
$ ~
$( 17,276 ) $( 58,481 )
$$____________________________DFlth\P$ ^E2%szn !1 )Created by Morningstar Document Research.0!(http://documentresearch.morningstar.com/=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 9 Net Income Per Common ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
Spread RiskU }6}$
$
AGNC Investment Corp.10Q
05/03/2019'Note 8. Fair Value Measurements
March 31, 2019
December 31, 2018Level 1Level 2
Level 3
Level 1Level 2Level 3Assets:
Agency securities
$
~
ҭ
$
$
~
$
5Agency securities transferred to consolidated ~

~
VIEs'Credit risk transfer securities ~

~
NonAgency securities ~

~
 U.S. Treasury securities~


~
 Interest rate swaps ~
^

~
 Swaptions ~
.

~
TBA securities ~
n

~

Total~
~
$
~
~
B)
$Liabilities:
!Debt of consolidated VIEs
$~
*
$
$~
N
$5Obligation to return U.S. Treasury securities~
. 

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

  TBA securities ~
V

~
U.S. Treasury futures~
~ 

~
 
Total~
~
$
~
O~
$D7lvj^R&baH8,()4:E{CEKJ !"# $!____________________________1")Created by Morningstar Document Research.0#(http://documentresearch.morningstar.com/<=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value MeasurementsPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
Spread RiskU }U5}$
AGNC Investment Corp.10Q
05/03/2019+#Note 9. Net Income Per Common Share
$
Three Months Ended March 31,~
~
0(Weighted average number of common sharesfffff@tx@
issued and outstanding/'Weighted average number of fully vested? .&restricted stock units and performanceshare units outstanding0(Weighted average number of common sharesŀ@tx@outstanding  basic4,Weighted average number of dilutive unvested??.&restricted stock units and performanceshare units outstanding0(Weighted average number of common sharesɀ@xx@outstanding  diluted3+Net income available to common stockholders~
~
~+#Net income per common share  basicQ?(\?%Net income per common share  dilutedGz?(\?$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/D l~rfZNb6Y:Y91%=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common Sh!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
Spread RiskU }}$ }}$ }U}$ }I }$ }}$ }0}$ }0
AGNC Investment Corp.10Q
05/03/2019Preferred Stock
Preferred Stock
Issuance
Depository
Carrying
Aggregate
Fixed
Optional
FixedtoFloating
FloatingDateShares
Value
Liquidation PreferenceRate
RedemptionRateAnnual RateIssued
Date 2
Conversion
and
DateOutstanding
Fixed Rate
Series BMay 8, 2014~
~
~
7.750 %May 8, 2019N/AN/A FixedtoFloating Rate 1
Series CAugust 22, 2017~
6~
~
7.000 %October 15, 2022October 15, 20223M LIBOR + 5.111%Series D
March 6, 2019"@~
~
6.875 %April 15, 2024April 15, 20243M LIBOR + 4.332%
Totalffffff=@~
~
~
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/8znbZ6(.C&!Z=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!Assets Pledged to Counterpartie!Assets Pledged to Counterpa (1)!Assets Pledged to Counterpa (2)!Assets Pledged from Counterpart!Offsetting Assets and Liabiliti!Offsetting Assets and Liabi (1) Note 8 Fair Value Measurements!Note 9 Net Income Per Common ShPreferred StockMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!Economic Interest Income and As!Economic Interest Expense and A!Liquidity and Capital Resources!Economic Interest Expense a (1)!Economic Interest Expense a (2)!Economic Interest Expense a (3)Net Interest Spread!Net Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
Spread RiskU }I;}$ }$}$ }$
AGNC Investment Corp.10Q
05/03/20195Accumulated Other Comprehensive Income (Loss)
$
Three Months Ended March 31,.&Accumulated Other Comprehensive Income~
~
(Loss)
Beginning Balance
$( 943
)
$( 345
)$OCI before reclassifications~
2
( 620 )2*(Gain) loss amounts for availableforsale~
( 1 )0(securities reclassified from accumulated91OCI to realized gain (loss) on sale of investment
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
Spread RiskU }'}$ }m}$ }m}$ }}$ }m} $ }
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AGNC Investment Corp.10Q
05/03/2019Market Information
&
Interest Rate/Security Price 1
Mar. 31, 2018
June 30, 2018
Sept. 30, 2018
Dec. 31, 2018
Mar. 31, 2019
Mar. 31, 2019
vs
Dec. 31, 2018
LIBOR:
1Month
1.88%
2.09%
2.26%
2.50%
2.49%
0.01
bps3Month
2.31%
2.34%
2.40%
2.81%
2.60%
0.21
bps$U.S. Treasury Security Rate:
2Year U.S. Treasury
2.27%
2.53%
2.82%
2.49%
2.27%
0.22
bps5Year U.S. Treasury
2.57%
2.73%
2.95%
2.51%
2.24%
0.27
bps10Year U.S. Treasury
2.74%
2.85%
3.06%
2.69%
2.41%
0.28
bps30Year U.S. Treasury
2.97%
2.98%
3.20%
3.02%
2.82%
0.20
bps Interest Rate Swap Rate:
2Year Swap
2.58%
2.79%
2.99%
2.67%
2.39%
0.28
bps5Year Swap
2.71%
2.88%
3.07%
2.58%
2.29%
0.29
bps10Year Swap
2.78%
2.93%
3.12%
2.72%
2.41%
0.31
bps30Year Swap
2.82%
2.93%
3.13%
2.85%
2.58%
0.27
bps( 30Year Fixed Rate Agency Price:
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
05/03/2019FINANCIAL CONDITION
March 31, 2019
December 31, 2018.&Investment Portfolio (Includes TBAs) 1Amortized Cost
Fair Value
Average Coupon
%Amortized Cost
Fair ValueAverage Coupon %2*Fixed rate Agency RMBS and TBA securities:
? 15year:
? 15year RMBS~
p~
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~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
05/03/2019FINANCIAL CONDITION
March 31, 2019!Includes Net TBA Position!Excludes Net TBA Position1)Fixed Rate Agency RMBS and TBA Securities Par Value Amortized
Fair Value
Specified Pool % 1 AmortizedWeighted AverageProjected Life
Cost
Cost Basis
WAC 2
Yield 3
Age (Months)
CPR 3
Fixed rate
? 15year
2.5%~
.~
b ~
"
75%101.1%
2.98%
2.11%~
610%3.0%~
$~
&% ~
%
81%101.7%
3.51%
2.45%~
9%3.5%~
G~
I ~
I
40%102.2%
4.06%
2.85%~
r12%4.0%~
F#~
B$ ~
~$
47%103.2%
4.59%
3.10%~
J12%4.5%~
Z~
r ~
r
98%103.9%
4.87%
3.00%~
12%? 5.0%~
~
~
100%102.2%
6.59%
4.60%~
*14%Total ? 15year~
6~
Z ~
55%102.1%
3.85%
2.67%~
11%20year
3.5%~
~
~
80%101.9%
4.05%
3.00%~
&11%4.0%~
*~
B ~
J
91%103.3%
4.44%
3.26%~
n11%4.5%~
~~
~
100%105.0%
5.00%
3.29%~
r13%? 5.0%~
~
~
%105.5%
5.94%
3.33%~
17%Total 20year:~
n~
~
89%103.3%
4.46%
3.16%~
12%30year:
3.0%~
/~
. ~
.
3%100.1%
3.58%
2.97%~
6%3.5%~
6~
~
Z
51%102.9%
4.07%
3.07%~
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1 ~
bF ~
H
68% 103.6%
4.57%
3.39% ~
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!
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!73%!!104.8%!
!5.00%!
!3.61%!~
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"""~
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"120%""106.5%"
"5.53%"
"3.72%"~
"""11%#? 5.5%#~
#"##~
#>## ~
#
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#50%##110.0%#
#6.18%#
#3.34%#~
#V##13%$
Total 30year$~
$0$$~
$\$$ ~
$
_$$
$61%$$103.5%$
$4.45%$
$3.31%$~
$r$$10%%Total fixed rate%~
%6%%~
%%% ~
%
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%61%%%103.3%%
%4.41%%
%3.26%%~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Interest Rate RiskExtension Risk
Spread RiskU }1}
$ }a}$ }}$ }}$ }I }$ }<}$ }}$
+
AGNC Investment Corp.10Q
05/03/2019FINANCIAL CONDITION
December 31, 2018!Includes Net TBA Position!Excludes Net TBA Position1)Fixed Rate Agency RMBS and TBA Securities Par Value Amortized
Fair Value
Specified Pool % 1 AmortizedWeighted AverageProjected Life
Cost
Cost Basis
WAC 2
Yield 3
Age (Months)
CPR 3
Fixed rate
? 15year
? 2.5%~
~
J ~
75%101.2%
2.98%
2.11%~
*
9%3.0%~
n)~
) ~
j)
75%101.7%
3.51%
2.44%~
9%3.5%~
rE~
JF ~
ZF
43%101.9%
4.07%
2.96%~
f10%4.0%~
F&~
.' ~
6'
40%103.5%
4.47%
2.96%~
10%4.5%~
~
~
99%104.0%
4.87%
3.01%~
11%? 5.0%~
~
~
100%102.4%
6.55%
4.57%~
14%Total ? 15year~
~
6 ~
^
54%102.0%
3.82%
2.68%~
10%20year
3.5%~
~
~
80%102.0%
4.05%
3.00%~
10%4.0%~
:~
Z ~
V
91%103.4%
4.45%
3.28%~
b10%4.5%~
~
~
100%105.2%
5.00%
3.35%~
f11%? 5.0%~
~
~
%105.7%
5.94%
3.34%~
16%Total 20year:~
~
* ~
89%103.4%
4.46%
3.19%~
11%30year:
? 3.0%~
1~
0 ~
0
3%100.1%
3.58%
2.97%~
6%3.5%~
*^~
jk ~
_
71%103.2%
4.06%
3.05%~
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05/03/2019FINANCIAL CONDITION
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05/03/2019
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05/03/2019Income Statement
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05/03/2019Selected Financial Data
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05/03/20191)Economic Interest Income and Asset Yields
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05/03/2019=5Economic Interest Expense and Aggregate Cost of Funds
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05/03/2019=5Economic Interest Expense and Aggregate Cost of Funds
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05/03/2019=5Economic Interest Expense and Aggregate Cost of Funds
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Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 Spread and Dollar Roll Inco!Gain Loss on Investment Securit!Gain Loss on Derivative InstrumEstimated Taxable IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
05/03/2019Net Interest Spread
$
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??7AGNC INVESTMENT CORPBethesda Maryland 20814TABLE OF CONTENTS
Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
05/03/2019)!Net Spread and Dollar Roll Income
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
05/03/20191)Gain (Loss) on Investment Securities, Net
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 IncomeDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
05/03/2019G?Gain (Loss) on Derivative Instruments and Other Securities, Net
$
Three Months Ended March 31,~
~
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~
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 InstrumDebt CapitalRepurchase Agreements (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
05/03/2019 Estimated Taxable Income
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Balance SheetIncome StatementShareholders Equity
Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 IncomeRepurchase Agreements (1)Interest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
05/03/2019Debt Capital
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Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 CapitalInterest Rate RiskExtension Risk
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AGNC Investment Corp.10Q
05/03/2019Repurchase Agreements
March 31, 2019CounterParty Region!Number of CounterParties/'Percent of Repurchase Agreement FundingNorth America:
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Cash FlowsNote 4 Investment SecuritiesNote 4 Investment Securi (1)Note 4 Investment Securi (2)Note 4 Investment Securi (3)Note 4 Investment Securi (4)Note 4 Investment Securi (5)!Gains and Losses on Sale of InvRepurchase Agreements!Derivative and Other Hedging In!Derivative and Other Hedgin (1)!Derivative and Other Hedgin (2)!Derivative and Other Hedgin (3)!Derivative and Other Hedgin (4)!Derivative and Other Hedgin (5)!Gain Loss From Derivative Instr!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 ShPreferred Stock!Accumulated Other ComprehensiveMarket InformationFINANCIAL CONDITIONFINANCIAL CONDITION (1)FINANCIAL CONDITION (2)FINANCIAL CONDITION (3)Balance Sheet (1)Income Statement (1)Selected Financial Data!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 (1)Extension Risk
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AGNC Investment Corp.10Q
05/03/2019Interest Rate Risk %
Interest Rate Sensitivity 1,2March 31, 2019December 31, 2018Change 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
1.0%10.6%
0.7%
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0.2%
2.6%
0.1%
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0.3%
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Balance SheetIncome StatementShareholders Equity
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AGNC Investment Corp.10Q
05/03/2019Extension Risk #
Interest Rate Sensitivity 1March 31, 2019December 31, 2018Change in Interest Rate&Weighted Average Projected CPR&Weighted Average Asset Yield 2&Weighted Average Projected CPR&Weighted Average Asset Yield 2
100 Basis Points
20.3%
3.01%
14.1%
3.15%50 Basis Points
15.0%
3.17%
10.3%
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3.36%6.5%
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AGNC Investment Corp.10Q
05/03/2019Spread Risk
Spread Sensitivity 1,2March 31, 2019December 31, 2018Change 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
Per Common Share
Per Common Share25 Basis Points
+1.2%+13.5%
+1.4%+14.3%10 Basis Points
+0.5%
+5.4%
+0.6%
+5.7%+10 Basis Points
0.5%
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0.6%
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