AGNC Investment Corp. (Form: 10-Q, Received: 05/07/2018 16:17:35)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q



ý	QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2018



o	TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934

Commission file number 001-34057

AGNC INVESTMENT CORP.

(Exact name of registrant as specified in its charter)

__________________________________________________



Delaware		26-1701984
(State or Other Jurisdiction of Incorporation or Organization)		(I.R.S. Employer Identification No.)

2 Bethesda Metro Center, 12th Floor

Bethesda, Maryland 20814

(Address of principal executive offices)

(301) 968-9315

(Registrant’s telephone number, including area code)

__________________________________________________

Indicate by check mark whether the registrant (1) has filed all reports to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ý No ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes ý No ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer or a smaller reporting company. See definition of "large accelerated filer," "accelerated filer" and "smaller reporting company" in Rule 12b-2 of the Exchange Act.



Large accelerated filer	ý		Accelerated filer	¨

Non-accelerated filer	¨	(Do not check if a smaller reporting company)	Smaller Reporting Company	¨

Emerging growth company	¨

If an emerging growth company, indicate by check mark if registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ¨ No ý

The number of shares of the issuer's common stock, $0.01 par value, outstanding as of April 30, 2018 was 391,327,480 .

AGNC INVESTMENT CORP.

TABLE OF CONTENTS



PART I.	FINANCIAL INFORMATION
Item 1.	Financial Statements	2
Item 2.	Management's Discussion and Analysis of Financial Condition and Results of Operations	25
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	42
Item 4.	Controls and Procedures	45

PART II.	OTHER INFORMATION
Item 1.	Legal Proceedings	46
Item 1A.	Risk Factors	46
Item 2.	Properties	46
Item 3.	Defaults upon Senior Securities	46
Item 4.	Mine Safety Disclosures	46
Item 5.	Other Information	46
Item 6.	Exhibits	46

Signatures		48

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements

AGNC INVESTMENT CORP.

CONSOLIDATED BALANCE SHEETS

(in millions, except per share data)



	March 31, 2018			December 31, 2017
	(Unaudited)
Assets:
Agency securities, at fair value (including pledged securities of $51,434 and $53,055, respectively)	$	54,141		$	55,506
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities)	621			662
Credit risk transfer securities, at fair value	884			876
Non-Agency securities, at fair value	36			36
U.S. Treasury securities, at fair value	224			—
REIT equity securities, at fair value	42			29
Cash and cash equivalents	972			1,046
Restricted cash	386			317
Derivative assets, at fair value	410			205
Receivable under reverse repurchase agreements	10,770			10,961
Goodwill and other intangible assets, net	550			551
Other assets	185			187
Total assets	$	69,221		$	70,376
Liabilities:
Repurchase agreements	$	48,956		$	50,296
Debt of consolidated variable interest entities, at fair value	336			357
Payable for investment securities purchased	457			95
Derivative liabilities, at fair value	32			28
Dividends payable	80			80
Obligation to return securities borrowed under reverse repurchase agreements, at fair value	10,352			10,467
Accounts payable and other liabilities	670			299
Total liabilities	60,883			61,622
Stockholders' equity:
7.750% Series B Cumulative Redeemable Preferred Stock (aggregate liquidation preference of $175)	169			169
7.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (aggregate liquidation preference of $325)	315			315
Common stock - $0.01 par value; 600.0 shares authorized; 391.3 shares issued and outstanding	4			4
Additional paid-in capital	11,174			11,173
Retained deficit	(2,358		)	(2,562		)
Accumulated other comprehensive loss	(966		)	(345		)
Total stockholders' equity	8,338			8,754
Total liabilities and stockholders' equity	$	69,221		$	70,376

See accompanying notes to consolidated financial statements.

AGNC INVESTMENT CORP.

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME

(Unaudited)

(in millions, except per share data)



	Three Months Ended March 31,
	2018			2017
Interest income:
Interest income	$	431		$	296
Interest expense	206			98
Net interest income	225			198
Other gain (loss), net:
Loss on sale of investment securities, net	(2		)	(84		)
Unrealized gain (loss) on investment securities measured at fair value through net income, net	(523		)	16
Gain (loss) on derivative instruments and other securities, net	738			(40		)
Management fee income	4			4
Total other gain (loss), net:	217			(104		)
Expenses:
Compensation and benefits	10			10
Other operating expenses	8			8
Total operating expenses	18			18
Net income	424			76
Dividend on preferred stock	9			7
Net income available to common stockholders	$	415		$	69

Net income	$	424		$	76
Other comprehensive income (loss):
Unrealized gain (loss) on available-for-sale securities, net	(621		)	46
Comprehensive income (loss)	(197		)	122
Dividend on preferred stock	9			7
Comprehensive income (loss) available (attributable) to common stockholders	$	(206	)	$	115

Weighted average number of common shares outstanding - basic	391.3			331.0
Weighted average number of common shares outstanding - diluted	391.5			331.1
Net income per common share - basic and diluted	$	1.06		$	0.21
Dividends declared per common share	$	0.54		$	0.54

See accompanying notes to consolidated financial statements.

AGNC INVESTMENT CORP.

CONSOLIDATED STATEMENT OF STOCKHOLDERS' EQUITY

(Unaudited)

(in millions)



	8.000% Series A Cumulative Redeemable Preferred Stock		7.750% Series B Cumulative Redeemable Preferred Stock		7.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock		Common Stock			Additional Paid-in Capital		Retained Deficit			Accumulated Other Comprehensive Income (Loss)			Total
	8.000% Series A Cumulative Redeemable Preferred Stock		7.750% Series B Cumulative Redeemable Preferred Stock				Shares	Amount		Additional Paid-in Capital		Retained Deficit			Accumulated Other Comprehensive Income (Loss)			Total
Balance, December 31, 2016	$	167	$	169	$	—	331.0	$	3	$	9,932	$	(2,518	)	$	(397	)	$	7,356
Net income	—		—		—		—	—		—		76			—			76
Other comprehensive income:
Unrealized gain on available-for-sale securities, net	—		—		—		—	—		—		—			46			46
Preferred dividends declared	—		—		—		—	—		—		(7		)				(7		)
Common dividends declared	—		—		—		—	—		—		(179		)	—			(179		)
Balance, March 31, 2017	$	167	$	169	$	—	331.0	$	3	$	9,932	$	(2,628	)	$	(351	)	$	7,292

Balance, December 31, 2017	$	—	$	169	$	315	391.3	$	4	$	11,173	$	(2,562	)	$	(345	)	$	8,754
Net income	—		—		—		—	—		—		424			—			424
Other comprehensive loss:
Unrealized loss on available-for-sale securities, net	—		—		—		—	—		—		—			(621		)	(621		)
Stock-based compensation	—		—		—		—	—		1		—			—			1
Preferred dividends declared	—		—		—		—	—		—		(9		)	—			(9		)
Common dividends declared	—		—		—		—	—		—		(211		)	—			(211		)
Balance, March 31, 2018	$	—	$	169	$	315	391.3	$	4	$	11,174	$	(2,358	)	$	(966	)	$	8,338

See accompanying notes to consolidated financial statements.

AGNC INVESTMENT CORP.

CONSOLIDATED STATEMENTS OF CASH FLOWS

(Unaudited)

(in millions)



	Three Months Ended March 31,
	2018			2017
Operating activities:
Net income	$	424		$	76
Adjustments to reconcile net income to net cash provided by operating activities:
Amortization of premiums and discounts on mortgage-backed securities, net	69			89
Amortization of intangible assets	1			1
Stock-based compensation	1			—
Loss on sale of investment securities, net	2			84
Unrealized (gain) loss on investment securities measured at fair value through net income, net	523			(16		)
(Gain) loss on derivative instruments and other securities, net	(738		)	40
Decrease in other assets	3			125
Increase (decrease) in accounts payable and other accrued liabilities	3			(9		)
Net cash provided by operating activities	288			390
Investing activities:
Purchases of Agency mortgage-backed securities	(2,287		)	(4,573		)
Purchases of credit risk transfer and non-Agency securities	(215		)	(317		)
Proceeds from sale of Agency mortgage-backed securities	1,181			4,424
Proceeds from sale of credit risk transfer and non-Agency securities	208			193
Principal collections on Agency mortgage-backed securities	1,661			1,636
Principal collections on credit risk transfer and non-Agency securities	—			4
Payments on U.S. Treasury securities	(1,345		)	(1,748		)
Proceeds from U.S. Treasury securities	1,403			2,999
Net proceeds from (payments on) reverse repurchase agreements	231			(1,192		)
Net proceeds from (payments on) derivative instruments	466			(72		)
Purchases of REIT equity securities	(16		)	—
Net cash provided by (used in) investing activities	1,287			1,354
Financing activities:
Proceeds from repurchase arrangements	243,168			77,864
Payments on repurchase agreements	(244,507		)	(76,347		)
Payments on Federal Home Loan Bank advances	—			(3,037		)
Payments on debt of consolidated variable interest entities	(21		)	(28		)
Cash dividends paid	(220		)	(186		)
Net cash provided by (used in) financing activities	(1,580		)	(1,734		)
Net change in cash, cash equivalents and restricted cash	(5		)	10
Cash, cash equivalents and restricted cash at beginning of period	1,363			1,282
Cash, cash equivalents and restricted cash at end of period	$	1,358		$	1,292

See accompanying notes to consolidated financial statements.

AGNC INVESTMENT CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

Note 1. Basis of Presentation

The unaudited interim consolidated financial statements of AGNC Investment Corp. (referred throughout this report as the "Company," "we," "us" and "our") are prepared in accordance with U.S. generally accepted accounting principles ("GAAP") for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. In the opinion of management, all adjustments, consisting solely of normal recurring accruals, necessary for the fair presentation of financial statements for the interim period have been included. The current period’s results of operations are not necessarily indicative of results that ultimately may be achieved for the year.

Our unaudited interim consolidated financial statements include the accounts of all of our wholly-owned subsidiaries and variable interest entities for which we are the primary beneficiary. Significant intercompany accounts and transactions have been eliminated.

Adoption of Accounting Standard Updates

As of January 1, 2018, we adopted Accounting Standards Update ("ASU") 2014-09, Revenue from Contracts with Customers (Topic 606), and ASU 2016-18 , Statement of Cash Flows (Topic 230) - Restricted Cash. The adoption of ASU 2014-09 resulted in reclassification of expense reimbursements from MTGE Investment Corp. ("MTGE") from an other operating expense offset to management fee income on the consolidated statements of comprehensive income. Net income was not impacted. The adoption of ASU 2016-18 resulted in the presentation of restricted cash with cash and cash equivalents on the consolidated statements of cash flows when reconciling the total beginning and ending amounts. Our prior period results have been revised to conform to the current presentation.

Note 2 . Organization

We were organized in Delaware on January 7, 2008 and commenced operations on May 20, 2008 following the completion of our initial public offering. Our common stock is traded on The Nasdaq Global Select Market under the symbol "AGNC."

We operate to qualify to be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Internal Revenue Code"). As a REIT, we are required to distribute annually 90% of our taxable income. So long as we continue to qualify as a REIT, we will generally not be subject to U.S. Federal or state corporate taxes on our taxable income to the extent that we distribute our annual taxable income to our stockholders on a timely basis. It is our intention to distribute 100% of our taxable income, after application of available tax attributes, within the limits prescribed by the Internal Revenue Code, which may extend into the subsequent tax year.

We earn income primarily from investing in Agency residential mortgage-backed securities ("Agency RMBS") for which the principal and interest payments are guaranteed by a U.S. Government-sponsored enterprise or a U.S. Government agency. We may also invest in other types of mortgage and mortgage-related securities, such as credit risk transfer ("CRT") securities and non-Agency residential and commercial mortgage-backed securities ("non-Agency RMBS" and "CMBS," respectively), where repayment of principal and interest is not guaranteed by a U.S. Government-sponsored enterprise or U.S. Government agency. We fund our investments primarily through borrowings structured as repurchase agreements.

Our principal objective is to provide our stockholders with attractive risk-adjusted returns through a combination of monthly dividends and tangible net book value accretion. We generate income from the interest earned on our investments, net of associated borrowing and hedging costs, and net realized gains and losses on our investment and hedging activities.

Note 3 . Summary of Significant Accounting Policies

Investment Securities

Agency RMBS consist of residential mortgage pass-through securities and collateralized mortgage obligations ("CMOs") guaranteed by the Federal National Mortgage Association ("Fannie Mae"), Federal Home Loan Mortgage Corporation ("Freddie Mac," and together with Fannie Mae, the "GSEs") or the Government National Mortgage Association ("Ginnie Mae").

CRT securities are risk sharing instruments issued by the GSEs, and similarly structured transactions issued by third-party market participants, that transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the GSEs and/or third parties to private investors. Unlike Agency RMBS, full repayment of the original principal balance of CRT securities is not guaranteed by a GSE or U.S. Government agency; rather, "credit risk transfer" is achieved by writing down the outstanding principal balance of the CRT securities if credit losses on a related pool of loans exceed certain thresholds. By reducing the amount that they are obligated to repay to holders of CRT securities, the GSEs and/or other third parties offset credit losses on the related loans.

Non-Agency RMBS and CMBS (together, "Non-Agency MBS") are backed by residential and commercial mortgage loans, respectively, packaged and securitized by a private institution, such as a commercial bank. Non-Agency MBS typically benefit from credit enhancements derived from structural elements, such as subordination, overcollateralization or insurance, but nonetheless carry a higher level of credit exposure than Agency RMBS.

Mortgage-related securities may also include investments in the common stock of other publicly traded mortgage REITs, including MTGE, that primarily invest in Agency securities, non-Agency securities, other mortgage related instruments and/or real estate on a leveraged basis. As of March 31, 2018 , our investments in REIT equity securities consisted solely of MTGE common stock.

Accounting Standards Codification ("ASC") Topic 320, Investments—Debt and Equity Securities , requires that at the time of purchase, we designate a security as held-to-maturity, available-for-sale or trading, depending on our ability and intent to hold such security to maturity. Alternatively, we may elect the fair value option of accounting for such securities pursuant to ASC Topic 825, Financial Instruments . All of our securities are reported at fair value as they have either been designated as available-for-sale or trading or we have elected the fair value option of accounting. Unrealized gains and losses on securities classified as available-for-sale are reported in accumulated other comprehensive income ("OCI"). Unrealized gains and losses on securities classified as trading or for which we elected the fair value option are reported in net income through other gain (loss) during the period in which they occur. Upon the sale of a security designated as available-for-sale, we determine the cost of the security and the amount of unrealized gains or losses to reclassify out of accumulated OCI into earnings based on the specific identification method.

Prior to fiscal year 2017, we primarily designated our investment securities as available-for-sale. On January 1, 2017, we began electing the fair value option of accounting for all investment securities acquired after fiscal year 2016. In our view, this election simplifies the accounting for investment securities and more appropriately reflects the results of our operations for a particular reporting period, as the fair value changes for these assets are presented in a manner consistent with the presentation and timing of the fair value changes of our hedging instruments. We are not permitted to change the designation of securities acquired prior to January 1, 2017; accordingly, such securities will continue to be classified as available-for-sale securities until we receive full repayment of principal or we dispose of the security.

We estimate the fair value of our investment securities based on prices provided by multiple third-party pricing services and non-binding dealer quotes (collectively "pricing sources"). These pricing sources use various valuation approaches, including market and income approaches, using "Level 2" inputs. The pricing sources primarily utilize a matrix pricing technique that interpolates the estimated fair value of our Agency RMBS based on observed quoted prices for forward contracts in the Agency RMBS "to-be-announced" market ("TBA securities") of the same coupon, maturity and issuer, adjusted to reflect the specific characteristics of the pool of mortgages underlying the Agency security, which may include maximum loan balance, loan vintage, loan-to-value ratio, geography and other characteristics as may be appropriate. The pricing sources may also utilize discounted cash flow model-derived pricing techniques to estimate the fair value of investment securities. Such models incorporate market-based discount rate assumptions based on observable inputs such as recent trading activity, credit data, volatility statistics, benchmark interest rate curves and other market data that are current as of the measurement date and may include certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and loss severities. We review the pricing estimates obtained from the pricing sources and perform procedures to validate their reasonableness. Refer to Note 8 for further discussion of fair value measurements.

We evaluate our investments designated as available-for-sale for other-than-temporary impairment ("OTTI") on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired may involve judgments and assumptions based on subjective and objective factors. When a security is impaired, an OTTI is considered to have occurred if any one of the following three conditions exists as of the financial reporting date: (i) we intend to sell the security (that is, a decision has been made to sell the security), (ii) it is more likely than not that we will be required to sell the security before recovery of its amortized cost basis or (iii) we do not expect to recover the security's amortized cost basis, even if we do not intend to sell the security and it is not more likely than not that we will be required to sell the security. A general allowance for unidentified impairments in a portfolio of securities is not permitted.

Interest Income

Interest income is accrued based on the outstanding principal amount of the investment securities and their contractual terms. Premiums or discounts associated with the purchase of Agency RMBS and non-Agency MBS of high credit quality are amortized or accreted into interest income, respectively, over the projected lives of the securities, including contractual payments and estimated prepayments using the effective interest method in accordance with ASC Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs .

We estimate long-term prepayment speeds of our mortgage securities using a third-party service and market data. The third-party service provider estimates prepayment speeds using models that incorporate the forward yield curve, current mortgage rates, mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, interest rate volatility and other factors. We review the prepayment speeds estimated by the third-party service and compare the results to market consensus prepayment speeds, if available. We also consider historical prepayment speeds and current market conditions to validate the reasonableness of the third-party estimates and, based on our judgment, we may adjust the estimates. We review our actual and anticipated prepayment experience on at least a quarterly basis and effective yields are recalculated when differences arise between (i) our previously estimated future prepayments and (ii) actual prepayments to date and our current estimated future prepayments. If the actual and estimated future prepayment experience differs from our prior estimate of prepayments, we are required to record an adjustment in the current period to the amortization or accretion of premiums and discounts for the cumulative difference in the effective yield through the reporting date.

At the time we purchase CRT securities and non-Agency MBS that are not of high credit quality, we determine an effective yield based on our estimate of the timing and amount of future cash flows and our cost basis. Our initial cash flow estimates for these investments are based on our observations of current information and events and include assumptions related to interest rates, prepayment rates and the impact of default and severity rates on the timing and amount of credit losses. On at least a quarterly basis, we review the estimated cash flows and make appropriate adjustments, based on inputs and analysis received from external sources, internal models, and our judgment regarding such inputs and other factors. Any resulting changes in effective yield are recognized prospectively based on the current amortized cost of the investment as adjusted for credit impairment, if any.

Repurchase Agreements

We finance the acquisition of securities for our investment portfolio primarily through repurchase transactions under master repurchase agreements. Pursuant to ASC Topic 860, Transfers and Servicing , we account for repurchase transactions as collateralized financing transactions, which are carried at their contractual amounts (cost), plus accrued interest. Our repurchase agreements typically have maturities of less than one year, but may extend up to five years or more. Interest rates on our repurchase agreements generally correspond to one or three-month LIBOR plus or minus a fixed spread. The fair value of our repurchase agreements is assumed to equal cost as the interest rates are considered to be at market.

Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements

We borrow securities to cover short sales of U.S. Treasury securities through reverse repurchase transactions under our master repurchase agreements (see Derivative Instruments below). We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. Our reverse repurchase agreements typically have maturities of 30 days or less. The fair value of our reverse repurchase agreements is assumed to equal cost as the interest rates generally reset daily.

Derivative Instruments

We use a variety of derivative instruments to hedge a portion of our exposure to market risks, including interest rate, prepayment, extension and liquidity risks. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The primary instruments that we use are interest rate swaps, options to enter into interest rate swaps ("swaptions"), U.S. Treasury securities and U.S. Treasury futures contracts. We also use forward contracts in the Agency RMBS "to-be-announced" market, or TBA securities, to invest in and finance Agency securities as well as to periodically reduce our exposure to Agency RMBS.

We account for derivative instruments in accordance with ASC Topic 815, Derivatives and Hedging ("ASC 815"). ASC 815 requires an entity to recognize all derivatives as either assets or liabilities in our accompanying consolidated balance sheets and to measure those instruments at fair value.

Our derivative agreements generally contain provisions that allow for netting or setting off derivative assets and liabilities with the counterparty; however, we report related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative

instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. Changes in fair value of derivative instruments and periodic settlements related to our derivative instruments are recorded in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Cash receipts and payments related to derivative instruments are classified in our consolidated statements of cash flows according to the underlying nature or purpose of the derivative transaction, generally in the investing section.

The use of derivative instruments creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the contracts. Our derivative agreements require that we post or receive collateral to mitigate such risk. We also attempt to minimize our risk of loss by limiting our counterparties to major financial institutions with acceptable credit ratings, monitoring positions with individual counterparties and adjusting posted collateral as required.

Interest rate swap agreements

We use interest rate swaps to hedge the variable cash flows associated with our borrowings made under repurchase agreements. Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate based on one or three-month LIBOR ("payer swaps") with terms up to 20 years. Our swap agreements are privately negotiated in the over-the-counter ("OTC") market.

The majority of our interest rate swaps are centrally cleared through a registered commodities exchange. We value centrally cleared interest rate swaps using the daily settlement price, or fair value, determined by the clearing exchange based on a pricing model that references observable market inputs, including LIBOR, swap rates and the forward yield curve. Our centrally cleared swaps require that we post an "initial margin" amount determined by the clearing exchange, which is generally intended to be set at a level sufficient to protect the exchange from the interest rate swap's maximum estimated single-day price movement. We also exchange daily settlements of "variation margin" based upon changes in fair value, as measured by the exchange. Pursuant to rules governing central clearing activities, we recognize variation margin settlements as a direct reduction of the carrying value of the interest rate swap asset or liability.

We value non-centrally cleared swaps using a combination of third-party valuations obtained from pricing services and the swap counterparty. The third-party valuations are model-driven using observable inputs, including LIBOR, swap rates and the forward yield curve. We also consider both our own and our counterparties' nonperformance risk in estimating the fair value of our interest rate swaps. In considering the effect of nonperformance risk, we assess the impact of netting and credit enhancements, such as collateral postings and guarantees, and have concluded that our own and our counterparty risk is not significant to the overall valuation of these agreements.

Interest rate swaptions

We purchase interest rate swaptions to help mitigate the potential impact of larger, more rapid changes in interest rates on the performance of our investment portfolio. Interest rate swaptions provide us the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. Our swaption agreements typically provide us the option to enter into a pay-fixed rate interest rate swap ("payer swaptions"). We may also enter into swaption agreements that provide us the option to enter into a receive-fixed interest rate swap ("receiver swaptions").

Our interest rate swaption agreements are privately negotiated in the OTC market and are not subject to central clearing. The premium paid for interest rate swaptions is reported as an asset in our consolidated balance sheets. We estimate the fair value of interest rate swaptions using a combination of inputs from counterparty and third-party pricing models based on the fair value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option, adjusted for non-performance risk, if any. The difference between the premium paid and the fair value of the swaption is reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium paid. If we sell or exercise a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap received and the premium paid.

TBA securities

A TBA security is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS to be delivered into the contract are not known until shortly before the settlement date. We may choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting TBA position, net settling the offsetting positions for cash, and simultaneously purchasing or selling a similar TBA contract for a later settlement date (together referred to as a "dollar roll transaction"). The Agency securities

purchased or sold for a forward settlement date are typically priced at a discount to equivalent securities settling in the current month. This difference, or "price drop," is the economic equivalent to interest income on the underlying Agency securities, less an implied funding cost, over the forward settlement period (referred to as "dollar roll income"). Consequently, forward purchases of Agency securities and dollar roll transactions represent a form of off-balance sheet financing.

We account for TBA contracts as derivative instruments since either the TBA contracts do not settle in the shortest period of time possible or we cannot assert that it is probable at inception and throughout the term of the TBA contract that we will physically settle the TBA contract on the settlement date. We account for TBA dollar roll transactions as a series of derivative transactions. Gains, losses and dollar roll income associated with our TBA contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. We estimate the fair value of TBA securities based on similar methods used to value our Agency RMBS securities.

U.S. Treasury securities

We purchase and sell short U.S. Treasury securities and U.S. Treasury futures contracts to help mitigate the potential impact of changes in interest rates on the performance of our portfolio. We borrow securities to cover short sales of U.S. Treasury securities under reverse repurchase agreements. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on our accompanying consolidated balance sheets based on the value of the underlying borrowed securities as of the reporting date. Gains and losses associated with purchases and short sales of U.S. Treasury securities and U.S. Treasury futures contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

Loss Contingencies

We evaluate the existence of any pending or threatened litigation or other potential claims against the Company in accordance with ASC Topic 450, Contingencies, which requires that we assess the likelihood and range of potential outcomes of any such matters. We are the defendant in three stockholder derivative lawsuits alleging that certain of our current and former directors and officers breached fiduciary duties and wasted corporate assets relating to past renewals of the management agreement with our former external manager and the internalization of our management, which occurred on July 1, 2016. Although the outcomes of these cases cannot be predicted with certainty, we do not believe that these cases have merit or will result in a material liability, and, as of March 31, 2018 , we did not accrue a loss contingency related to these matters.

Recent Accounting Pronouncements

We consider the applicability and impact of all Accounting Standards Updates ("ASUs") issued by the Financial Accounting Standards Board. ASUs not listed below were determined to be either not applicable, are not expected to have a significant impact on our consolidated financial statements when adopted, or did not have a significant impact on our consolidated financial statements upon adoption.

ASU 2016-13, Financial Instruments - Credit Losses (Topic 326): ASU 2016-13 changes the impairment model for most financial assets and certain other instruments. Allowances for credit losses on available-for-sale debt securities will be recognized, rather than direct reductions in the amortized cost of the investments. The new model also requires the estimation of lifetime expected credit losses and corresponding recognition of allowance for losses on trade and other receivables, held-to-maturity debt securities, loans, and other instruments held at amortized cost. The ASU requires certain recurring disclosures and is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2019, with early adoption permitted for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2018. ASU 2016-13 is not expected to have a significant impact on our consolidated financial statements.

Note 4 . Investment Securities

As of March 31, 2018 and December 31, 2017 , our investment portfolio consisted of $55.7 billion and $57.1 billion of investment securities, at fair value, respectively, and $13.6 billion and $15.7 billion of TBA securities, at fair value, respectively. Our TBA position is reported at its net carrying value of $82 million and $3 million as of March 31, 2018 and December 31, 2017 , respectively, in derivative assets / (liabilities) on our accompanying consolidated balance sheets. The net carrying value of our TBA position represents the difference between the fair value of the underlying Agency security in the TBA contract and the cost basis or the forward price to be paid or received for the underlying Agency security.

As of March 31, 2018 and December 31, 2017 , our investment securities had a net unamortized premium balance of $2.6 billion and $2.7 billion , respectively, including interest and principal-only securities.

The following tables summarize our investment securities as of March 31, 2018 and December 31, 2017 , excluding TBA securities, (dollars in millions). Details of our TBA securities as of each of the respective dates are included in Note 6 .



	March 31, 2018				December 31, 2017
Investment Securities	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Agency RMBS:
Fixed rate	$	55,266	$	53,696	$	55,477	$	55,026
Adjustable rate	265		268		278		283
CMO	595		590		629		631
Interest-only and principal-only strips	202		208		213		228
Total Agency RMBS	56,328		54,762		56,597		56,168
Non-Agency RMBS	7		7		7		7
CMBS	28		29		28		29
CRT securities	848		884		834		876
Total investment securities	$	57,211	$	55,682	$	57,466	$	57,080



	March 31, 2018
	Agency RMBS									Non-Agency
Investment Securities	Fannie Mae			Freddie Mac			Ginnie Mae			RMBS			CMBS			CRT			Total
Available-for-sale securities:
Par value	$	22,893		$	7,430		$	32		$	7		$	—		$	—		$	30,362
Unamortized discount	(24		)	(3		)	—			—			—			—			(27		)
Unamortized premium	1,083			414			—			—			—			—			1,497
Amortized cost	23,952			7,841			32			7			—			—			31,832
Gross unrealized gains	13			6			1			—			—			—			20
Gross unrealized losses	(713		)	(273		)	—			—			—			—			(986		)
Total available-for-sale securities, at fair value	23,252			7,574			33			7			—			—			30,866
Securities remeasured at fair value through earnings:
Par value	13,472			9,948			—			—			29			814			24,263
Unamortized discount	(33		)	(2		)	—			—			(1		)	(1		)	(37		)
Unamortized premium	672			446			—			—			—			35			1,153
Amortized cost	14,111			10,392			—			—			28			848			25,379
Gross unrealized gains	11			5			—			—			1			37			54
Gross unrealized losses	(360		)	(256		)	—			—			—			(1		)	(617		)
Total securities remeasured at fair value through earnings	13,762			10,141			—			—			29			884			24,816
Total securities, at fair value	$	37,014		$	17,715		$	33		$	7		$	29		$	884		$	55,682
Weighted average coupon as of March 31, 2018	3.66		%	3.69		%	2.87		%	2.50		%	6.55		%	5.50		%	3.70		%
Weighted average yield as of March 31, 2018 ¹	2.88		%	2.93		%	2.02		%	3.03		%	7.36		%	5.51		%	2.93		%

________________________________


1.	Incorporates a weighted average future constant prepayment rate assumption of 7.6% based on forward rates as of March 31, 2018 .



	December 31, 2017
	Agency RMBS									Non-Agency
Investment Securities	Fannie Mae			Freddie Mac			Ginnie Mae			RMBS			CMBS			CRT			Total
Available-for-sale securities:
Par value	$	24,200		$	8,219		$	34		$	7		$	—		$	—		$	32,460
Unamortized discount	(25		)	(3		)	—			—			—			—			(28		)
Unamortized premium	1,119			447			—			—			—			—			1,566
Amortized cost	25,294			8,663			34			7			—			—			33,998
Gross unrealized gains	98			22			1			—			—			—			121
Gross unrealized losses	(325		)	(141		)	—			—			—			—			(466		)
Total available-for-sale securities, at fair value	25,067			8,544			35			7			—			—			33,653
Securities remeasured at fair value through earnings:
Par value	13,558			7,956			—			—			29			801			22,344
Unamortized discount	(34		)	—			—			—			(1		)	—			(35		)
Unamortized premium	711			415			—			—			—			33			1,159
Amortized cost	14,235			8,371			—			—			28			834			23,468
Gross unrealized gains	26			2			—			—			1			42			71
Gross unrealized losses	(70		)	(42		)	—			—			—			—			(112		)
Total securities remeasured at fair value through earnings	14,191			8,331			—			—			29			876			23,427
Total securities, at fair value	$	39,258		$	16,875		$	35		$	7		$	29		$	876		$	57,080
Weighted average coupon as of December 31, 2017	3.67		%	3.73		%	2.84		%	2.50		%	6.55		%	5.26		%	3.71		%
Weighted average yield as of December 31, 2017 ¹	2.84		%	2.87		%	2.02		%	3.08		%	7.30		%	5.19		%	2.89		%

________________________________


1.	Incorporates a weighted average future constant prepayment rate assumption of 8.4% based on forward rates as of December 31, 2017 .

As of March 31, 2018 and December 31, 2017 , our investments in CRT and non-Agency securities had the following credit ratings:



	March 31, 2018						December 31, 2017
CRT and Non-Agency Security Credit Ratings ¹	CRT		RMBS		CMBS		CRT		RMBS		CMBS
AAA	$	—	$	7	$	—	$	—	$	7	$	—
BBB	26		—		29		20		—		29
BB	139		—		—		136		—		—
B	698		—		—		691		—		—
Not Rated	21		—		—		29		—		—
Total	$	884	$	7	$	29	$	876	$	7	$	29

________________________________


1.	Represents the lowest of Standard and Poor's ("S&P"), Moody's and Fitch credit ratings, stated in terms of the S&P equivalent rating as of each date.

Our CRT securities reference the performance of loans underlying Agency RMBS issued by Fannie Mae or Freddie Mac, which were subject to their underwriting standards. As of March 31, 2018 , our CRT securities had floating and fixed rate coupons ranging from 3.7% to 8.8% , referenced to loans originated between 2012 and 2018 with weighted average coupons ranging from 3.6% to 4.4% . As of December 31, 2017 , our CRT securities had floating rate coupons ranging from 3.9% to 8.5% , referenced to loans originated between 2012 and 2017 with weighted average coupons ranging from 3.6% to 4.4% .

The actual maturities of our investment securities are generally shorter than their stated contractual maturities. Actual maturities are affected by the contractual lives of the underlying mortgages, periodic contractual principal payments and principal prepayments. As of March 31, 2018 and December 31, 2017 , the weighted average expected constant prepayment rate ("CPR") over the remaining life of our aggregate investment portfolio was 7.6% and 8.4% , respectively. Our estimates can differ materially for different securities and thus our individual holdings have a wide range of projected CPRs. The following table summarizes our investments as of March 31, 2018 and December 31, 2017 according to their estimated weighted average life classification (dollars in millions):



	March 31, 2018						December 31, 2017
Estimated Weighted Average Life of Investment Securities	Fair Value		Amortized Cost		Weighted Average Coupon	Weighted Average Yield	Fair Value		Amortized Cost		Weighted Average Coupon	Weighted Average Yield
≥ 1 year and ≤ 3 years	$	2,671	$	2,683	3.91%	2.61%	$	2,712	$	2,693	3.90%	2.67%
> 3 years and ≤ 5 years	6,283		6,395		3.23%	2.36%	7,499		7,518		3.31%	2.39%
> 5 years and ≤10 years	42,171		43,513		3.75%	2.98%	45,977		46,398		3.75%	2.95%
> 10 years	4,557		4,620		3.79%	3.52%	892		857		4.87%	4.74%
Total	$	55,682	$	57,211	3.70%	2.93%	$	57,080	$	57,466	3.71%	2.89%

The following table presents the gross unrealized loss and fair values of securities classified as available-for-sale by length of time that such securities have been in a continuous unrealized loss position as of March 31, 2018 and December 31, 2017 (in millions):



	Unrealized Loss Position For
	Less than 12 Months					12 Months or More					Total
Securities Classified as Available-for-Sale	Fair Value		Unrealized Loss			Fair Value		Unrealized Loss			Fair Value		Unrealized Loss
March 31, 2018	$	9,782	$	(133	)	$	18,946	$	(853	)	$	28,728	$	(986	)
December 31, 2017	$	3,582	$	(15	)	$	20,577	$	(451	)	$	24,159	$	(466	)

We did not recognize OTTI charges on our investment securities for the three months ended March 31, 2018 and 2017 . As of the end of each respective reporting period, a decision had not been made to sell any of our securities in an unrealized loss position and we did not believe it was more likely than not that we would be required to sell such securities before recovery of their amortized cost basis. The unrealized losses on our securities were not due to credit losses given the GSE or U.S. Government agency guarantees, but rather were due to changes in interest rates and prepayment expectations. However, as we continue to actively manage our portfolio, we may recognize additional realized losses on our investment securities upon selecting specific securities to sell.

Gains and Losses on Sale of Investment Securities

The following table is a summary of our net gain (loss) from the sale of investment securities for the three months ended March 31, 2018 and 2017 by investment classification of accounting (in millions):



	Three Months Ended March 31,
	2018									2017
Investment Securities	Available-for-Sale Securities ²			Fair Value Option Securities			Total			Available-for-Sale Securities ²			Fair Value Option Securities			Total
Investment securities sold, at cost	$	(387	)	$	(1,003	)	$	(1,390	)	$	(5,149	)	$	(219	)	$	(5,368	)
Proceeds from investment securities sold ¹	388			1,000			1,388			5,065			219			5,284
Net gain (loss) on sale of investment securities	$	1		$	(3	)	$	(2	)	$	(84	)	$	—		$	(84	)

Gross gain on sale of investment securities	$	3		$	7		$	10		$	4		$	—		$	4
Gross loss on sale of investment securities	(2		)	(10		)	(12		)	(88		)	—			(88		)
Net gain (loss) on sale of investment securities	$	1		$	(3	)	$	(2	)	$	(84	)	$	—		$	(84	)

________________________________


1.	Proceeds include cash received during the period, plus receivable for investment securities sold during the period as of period end.


2.	See Note 10 for a summary of changes in accumulated OCI.

Securitizations and Variable Interest Entities

As of March 31, 2018 and December 31, 2017 , we held investments in CMO trusts, which are VIEs. We have consolidated certain of these CMO trusts in our consolidated financial statements where we have determined we are the primary beneficiary of the trusts. All of our CMO securities are backed by fixed or adjustable-rate Agency RMBS. Fannie Mae or Freddie Mac guarantees the payment of interest and principal and acts as the trustee and administrator of their respective securitization trusts. Accordingly, we are not required to provide the beneficial interest holders of the CMO securities any financial or other support.

Our maximum exposure to loss related to our involvement with CMO trusts is the fair value of the CMO securities and interest and principal-only securities held by us, less principal amounts guaranteed by Fannie Mae and Freddie Mac.

In connection with our consolidated CMO trusts, we recognized Agency securities with a total fair value and approximate unpaid principal balance of $0.6 billion and $0.7 billion as of March 31, 2018 and December 31, 2017 , respectively, and debt with a total fair value and approximate unpaid principal balance of $0.3 billion and $0.4 billion , respectively, in our accompanying consolidated balance sheets. We re-measure our consolidated debt at fair value through earnings in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Our involvement with the consolidated trusts is limited to the Agency securities transferred by us upon the formation of the trusts and the CMO securities subsequently held by us. There are no arrangements that could require us to provide financial support to the trusts.

As of March 31, 2018 and December 31, 2017 , the fair value of our CMO securities and interest and principal-only securities was $0.8 billion and $0.9 billion , respectively, excluding the consolidated CMO trusts discussed above, or $1.1 billion and $1.2 billion , respectively, including the net asset value of our consolidated CMO trusts. Our maximum exposure to loss related to our CMO securities and interest and principal-only securities, including our consolidated CMO trusts, was $91 million and $124 million as of March 31, 2018 and December 31, 2017 , respectively.

Note 5 . Repurchase Agreements and Other Secured Borrowings

We pledge our securities as collateral under our borrowing agreements with financial institutions. Interest rates on our borrowings are generally based on LIBOR plus or minus a margin and amounts available to be borrowed are dependent upon the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries. If the fair value of our pledged securities declines, lenders will typically require us to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as "margin calls." Similarly, if the fair value of our pledged securities increases, lenders may release collateral back to us. As of March 31, 2018 , we had met all margin call requirements. For additional information regarding our pledged assets, please refer to Note 7 .

Repurchase Agreements

As of March 31, 2018 and December 31, 2017 , we had $49.0 billion and $50.3 billion , respectively, of repurchase agreements outstanding. The terms and conditions of our repurchase agreements are typically negotiated on a transaction-by-transaction basis. Our repurchase agreements with original maturities greater than one year have floating interest rates based on an index plus or minus a fixed spread. The following table summarizes our borrowings under repurchase agreements by their remaining maturities as of March 31, 2018 and December 31, 2017 (dollars in millions):



	March 31, 2018					December 31, 2017
Remaining Maturity	Repurchase Agreements		Weighted Average Interest Rate		Weighted Average Days to Maturity	Repurchase Agreements		Weighted Average Interest Rate		Weighted Average Days to Maturity
Agency repo:
≤ 1 month	$	24,939	1.79	%	14	$	19,771	1.59	%	11
> 1 to ≤ 3 months	12,881		1.70	%	57	16,150		1.50	%	50
> 3 to ≤ 6 months	3,381		1.76	%	134	7,287		1.50	%	130
> 6 to ≤ 9 months	485		2.07	%	214	2,361		1.66	%	225
> 9 to ≤ 12 months	3,678		1.96	%	297	202		1.64	%	297
> 12 to ≤ 24 months	2,267		2.29	%	596	1,700		1.84	%	468
> 24 to ≤ 36 months	1,325		2.26	%	937	2,200		1.80	%	803
> 36 to ≤ 48 months	—		—	%	—	625		1.90	%	1,141
Total Agency repo	$	48,956	1.82	%	109	$	50,296	1.57	%	116

As of March 31, 2018 and December 31, 2017 , $3.7 billion and $5.3 billion , respectively, of our Agency repurchase agreements matured overnight and none of our repurchase agreements were due on demand.

Note 6 . Derivative and Other Hedging Instruments

We hedge a portion of our interest rate risk by entering into interest rate swaps, interest rate swaptions and U.S. Treasury securities and U.S. Treasury futures contracts, primarily through short sales. We may also utilize TBA securities, options and other types of derivative instruments to hedge a portion of our risk. For additional information regarding our derivative instruments and our overall risk management strategy, please refer to the discussion of derivative and other hedging instruments in Note 3 .

Derivative and Other Hedging Instrument Assets (Liabilities), at Fair Value

The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of March 31, 2018 and December 31, 2017 (in millions):



Derivative and Other Hedging Instruments	Balance Sheet Location	March 31, 2018			December 31, 2017
Interest rate swaps	Derivative assets, at fair value	$	174		$	81
Swaptions	Derivative assets, at fair value	153			75
TBA securities	Derivative assets, at fair value	83			30
U.S. Treasury futures - short	Derivative assets, at fair value	—			19
Total derivative assets, at fair value		$	410		$	205

Interest rate swaps	Derivative liabilities, at fair value	$	(1	)	$	(1	)
TBA securities	Derivative liabilities, at fair value	(1		)	(27		)
U.S. Treasury futures - short	Derivative liabilities, at fair value	(30		)	—
Total derivative liabilities, at fair value		$	(32	)	$	(28	)

U.S. Treasury securities - long	U.S. Treasury securities, at fair value	$	224		$	—
U.S. Treasury securities - short	Obligation to return securities borrowed under reverse repurchase agreements, at fair value	(10,352		)	(10,467		)
Total U.S. Treasury securities, net at fair value		$	(10,128	)	$	(10,467	)

The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of March 31, 2018 and December 31, 2017 (dollars in millions):



	March 31, 2018					December 31, 2017
Interest Rate Swaps	Notional Amount ¹		Average Fixed Pay Rate ²	Average Receive Rate	Average Maturity (Years)	Notional Amount ¹		Average Fixed Pay Rate ²	Average Receive Rate	Average Maturity (Years)
≤ 3 years	$	21,075	1.51%	1.90%	1.5	$	21,025	1.40%	1.46%	1.5
> 3 to ≤ 5 years	8,375		1.84%	1.87%	4.1	6,825		1.82%	1.43%	4.1
> 5 to ≤ 7 years	5,075		2.16%	1.96%	6.0	5,775		2.02%	1.44%	5.9
> 7 to ≤ 10 years	7,550		2.17%	1.88%	8.9	6,650		2.10%	1.42%	9.1
> 10 years	3,175		2.49%	1.91%	12.9	3,425		2.49%	1.45%	12.9
Total	$	45,250	1.82%	1.90%	4.5	$	43,700	1.74%	1.44%	4.5

________________________________


1.	As of March 31, 2018 and December 31, 2017 , notional amount includes forward starting swaps of $2.5 billion and $4.6 billion , respectively, with an average forward start date of 0.4 and 0.3 years, respectively.


2.	Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.77% and 1.68% as of March 31, 2018 and December 31, 2017 , respectively.



Swaptions	Option					Underlying Payer Swap
Current Option Expiration Date	Cost Basis		Fair Value		Average Months to Current Option Expiration Date ¹	Notional Amount		Average Fixed Pay Rate	Average Receive Rate (LIBOR)	Average Term (Years)
March 31, 2018
≤ 1 year	$	110	$	104	7	$	5,050	2.74%	3M	8.0
> 1 year ≤ 2 years	24		29		16	1,200		2.83%	3M	8.1
> 2 year ≤ 3 years	18		20		27	500		2.78%	3M	10.0
Total	$	152	$	153	10	$	6,750	2.76%	3M	8.2
December 31, 2017
≤ 1 year	$	118	$	46	7	$	5,100	2.71%	3M	8.8
> 1 year ≤ 2 years	23		16		18	1,050		2.71%	3M	8.7
> 2 year ≤ 3 years	18		13		30	500		2.78%	3M	10.0
Total	$	159	$	75	10	$	6,650	2.72%	3M	8.9

________________________________


1.	As of March 31, 2018 and December 31, 2017 , ≤ 1 year notional amount includes $700 million of Bermudan swaptions where the options may be exercised on predetermined dates up to their final exercise date, which is six months prior to the underlying swaps' maturity date.



U.S. Treasury Securities	March 31, 2018									December 31, 2017
Maturity	Face Amount Net Long / (Short)			Cost Basis			Fair Value			Face Amount Net Long / (Short)			Cost Basis			Fair Value
5 years	$	50		$	50		$	54		$	(288	)	$	(286	)	$	(283	)
7 years	(6,451		)	(6,419		)	(6,235		)	(6,131		)	(6,106		)	(6,029		)
10 years	(4,172		)	(4,122		)	(3,947		)	(4,280		)	(4,230		)	(4,155		)
Total U.S. Treasury securities, net	$	(10,573	)	$	(10,491	)	$	(10,128	)	$	(10,699	)	$	(10,622	)	$	(10,467	)



U.S. Treasury Futures	March 31, 2018												December 31, 2017
Maturity	Notional Amount - Long (Short)			Cost Basis			Fair Value			Net Carrying Value ¹			Notional Amount - Long (Short)			Cost Basis			Fair Value			Net Carrying Value ¹
5 years	$	(730	)	$	(831	)	$	(836	)	$	(5	)	$	(730	)	$	(852	)	$	(848	)	$	4
10 years	(1,650		)	(1,974		)	(1,999		)	(25		)	(2,180		)	(2,718		)	(2,703		)	15
Total U.S. Treasury futures	$	(2,380	)	$	(2,805	)	$	(2,835	)	$	(30	)	$	(2,910	)	$	(3,570	)	$	(3,551	)	$	19

________________________________


1.	Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying U.S. Treasury security) of the U.S. Treasury futures contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.



	March 31, 2018											December 31, 2017
TBA Securities by Coupon	Notional Amount - Long (Short)			Cost Basis			Fair Value			Net Carrying Value ¹		Notional Amount - Long (Short)			Cost Basis			Fair Value			Net Carrying Value ¹
15-Year TBA securities:
2.5%	$	403		$	390		$	394		$	4	$	1,373		$	1,372		$	1,370		$	(2	)
3.0%	2,774			2,756			2,768			12		3,161			3,225			3,217			(8		)
3.5%	750			761			764			3		414			428			428			—
Total 15-Year TBA securities	3,927			3,907			3,926			19		4,948			5,025			5,015			(10		)
30-Year TBA securities:
3.0%	3,822			3,690			3,726			36		4,317			4,303			4,312			9
3.5%	3,272			3,259			3,276			17		3,932			4,027			4,034			7
4.0%	2,650			2,709			2,719			10		2,338			2,449			2,446			(3		)
4.5%	(35		)	(36		)	(36		)	—		(61		)	(65		)	(65		)	—
Total 30-Year TBA securities, net	9,709			9,622			9,685			63		10,526			10,714			10,727			13
Total TBA securities, net	$	13,636		$	13,529		$	13,611		$	82	$	15,474		$	15,739		$	15,742		$	3

________________________________


1.	Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying Agency security) of the TBA contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.

Gain (Loss) From Derivative Instruments and Other Securities, Net

The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three months ended March 31, 2018 and 2017 (in millions):



Derivative and Other Hedging Instruments	Beginning Notional Amount			Additions		Settlement, Termination, Expiration or Exercise		Ending Notional Amount			Gain/(Loss) on Derivative Instruments and Other Securities, Net ¹
Three months ended March 31, 2018:
TBA securities, net	$	15,474		43,669		(45,507	)	$	13,636		$	(292	)
Interest rate swaps	$	43,700		3,150		(1,600	)	$	45,250		663
Payer swaptions	$	6,650		1,100		(1,000	)	$	6,750		91
U.S. Treasury securities - short position	$	(10,699	)	(662	)	563		$	(10,798	)	212
U.S. Treasury securities - long position	$	—		959		(734	)	$	225		—
U.S. Treasury futures contracts - short position	$	(2,910	)	(2,909	)	3,439		$	(2,380	)	62
											$	736
Three months ended March 31, 2017:
TBA securities, net	$	10,916		36,096		(32,842	)	$	14,170		$	39
Interest rate swaps	$	37,175		1,300		(2,700	)	$	35,775		22
Payer swaptions	$	1,200		1,000		—		$	2,200		(11		)
U.S. Treasury securities - short position	$	(8,061	)	(2,558	)	1,450		$	(9,169	)	(78		)
U.S. Treasury securities - long position	$	189		303		(492	)	$	—		1
U.S. Treasury futures contracts - short position	$	(1,810	)	(1,810	)	1,810		$	(1,810	)	(12		)
											$	(39	)

________________________________


1.	Amounts above exclude other miscellaneous gains and losses recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

Note 7 . Pledged Assets

Our funding agreements require us to fully collateralize our obligations under the agreements based upon our counterparties' collateral requirements and their determination of the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, credit quality and liquidity conditions within the investment banking, mortgage finance and real estate industries. Our derivative contracts similarly require us to fully collateralize our obligations under such agreements, which will vary over time based on similar factors as well as our counterparties' determination of the value of the derivative contract. We are

typically required to post initial margin upon execution of derivative transactions, such as under our interest rate swap agreements and TBA contracts, and subsequently post or receive variation margin based on daily fluctuations in fair value. Our prime brokerage agreements, pursuant to which we receive custody and settlement services, and the clearing organizations utilized by our wholly-owned captive broker-dealer subsidiary, Bethesda Securities, LLC, also require that we post minimum daily clearing deposits. If we breach our collateral requirements, we will be required to fully settle our obligations under the agreements, which could include a forced liquidation of our pledged collateral.

Our counterparties also apply a "haircut" to our pledged collateral, which means our collateral is valued at slightly less than market value and limits the amount we can borrow against our securities. This haircut reflects the underlying risk of the specific collateral and protects our counterparty against a change in its value. Our agreements do not specify the haircut; rather haircuts are determined on an individual transaction basis. Consequently, our funding agreements and derivative contracts expose us to credit risk relating to potential losses that could be recognized if our counterparties fail to perform their obligations under such agreements. We minimize this risk by limiting our counterparties to major financial institutions with acceptable credit ratings or to registered clearinghouses and U.S. government agencies, and we monitor our positions with individual counterparties. In the event of a default by a counterparty, we may have difficulty obtaining our assets pledged as collateral to such counterparty and may not receive payments provided for under the terms of our derivative agreements. In the case of centrally cleared instruments, we could be exposed to credit risk if the central clearing agency or a clearing member defaults on its respective obligation to perform under the contract. However, we believe that the risk is minimal due to the clearing exchanges' initial and daily mark to market margin requirements, clearinghouse guarantee funds and other resources that are available in the event of a clearing member default.

Our International Swaps and Derivatives Association ("ISDA") Master Agreements contain a cross default provision under which a default under the terms of certain of our other indebtedness in excess of certain thresholds causes an event of default under the ISDA Master Agreement. Threshold amounts vary by lender. Following an event of default, we could be required to settle our obligations under the agreements. Additionally, under certain of our ISDA Master Agreements, we could be required to settle our obligations under the agreements if we fail to maintain certain minimum stockholders' equity thresholds or our REIT status or if we fail to comply with limits on our leverage up to certain specified levels. As of March 31, 2018 , the fair value of additional collateral that could be required to be posted as a result of the credit-risk-related contingent features being triggered was not material to our financial statements.

As of March 31, 2018 , our amount at risk with any counterparty related to our repurchase agreements was less than 5% of our tangible stockholders' equity and our maximum amount at risk with any counterparty related to our interest rate swap and swaption agreements, excluding centrally cleared swaps, was less than 1% of our stockholders' equity.

Assets Pledged to Counterparties

The following tables summarize our assets pledged as collateral under our funding, derivative and prime broker agreements by type, including securities pledged related to securities sold but not yet settled, as of March 31, 2018 and December 31, 2017 (in millions):



	March 31, 2018
Assets Pledged to Counterparties	Repurchase Agreements ¹		Debt of Consolidated VIEs		Derivative Agreements		Prime Broker Agreements ²		Total
Agency RMBS - fair value	$	50,996	$	621	$	202	$	410	$	52,229
U.S. Treasury securities - fair value ³	115		—		49		—		164
Accrued interest on pledged securities	151		2		1		1		155
Restricted cash and cash equivalents	49		—		331		6		386
Total	$	51,311	$	623	$	583	$	417	$	52,934



	December 31, 2017
Assets Pledged to Counterparties	Repurchase Agreements ¹		Debt of Consolidated VIEs		Derivative Agreements		Prime Broker Agreements ²		Total
Agency RMBS - fair value	$	52,497	$	662	$	221	$	519	$	53,899
U.S. Treasury securities - fair value ³	113		—		72		—		185
Accrued interest on pledged securities	153		2		1		2		158
Restricted cash and cash equivalents	35		—		281		1		317
Total	$	52,798	$	664	$	575	$	522	$	54,559

________________________________


1.	Includes $174 million and $182 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of March 31, 2018 and December 31, 2017 , respectively.


2.	Includes margin for TBAs cleared through prime brokers and other clearing deposits.


3.	Includes repledged securities received as collateral from counterparties.

The following table summarizes our securities pledged as collateral under our repurchase agreements by the remaining maturity of our borrowings, including securities pledged related to sold but not yet settled securities, as of March 31, 2018 and December 31, 2017 (in millions). For the corresponding borrowings associated with the following amounts and the interest rates thereon, refer to Note 5 .



	March 31, 2018						December 31, 2017
Securities Pledged by Remaining Maturity of Repurchase Agreements	Fair Value of Pledged Securities		Amortized Cost of Pledged Securities		Accrued Interest on Pledged Securities		Fair Value of Pledged Securities		Amortized Cost of Pledged Securities		Accrued Interest on Pledged Securities
RMBS: ^1,2
≤ 30 days	$	25,229	$	25,939	$	75	$	20,162	$	20,313	$	59
> 30 and ≤ 60 days	8,001		8,249		24		12,950		13,061		38
> 60 and ≤ 90 days	5,561		5,724		17		4,000		4,013		11
> 90 days	12,205		12,570		36		15,385		15,512		45
Total RMBS	$	50,996	$	52,482	$	152	$	52,497	$	52,899	$	153

________________________________


1.	Includes $174 million and $182 million of retained interests in our consolidated VIEs pledged as collateral under repurchase agreements as of March 31, 2018 and December 31, 2017 , respectively.


2.	March 31, 2018 amounts exclude $115 million of repledged U.S. Treasury securities received as collateral from counterparties.

The table above excludes Agency securities transferred to our consolidated VIEs. Securities transferred to our consolidated VIEs can only be used to settle the obligations of each respective VIE. However, we may pledge our retained interests in our consolidated VIEs as collateral under our repurchase agreements and derivative contracts. Please refer to Note 4 for additional information regarding our consolidated VIEs.

Assets Pledged from Counterparties

As of March 31, 2018 and December 31, 2017 , we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions).



	March 31, 2018						December 31, 2017
Assets Pledged to AGNC	Reverse Repurchase Agreements ¹		Derivative Agreements		Total		Reverse Repurchase Agreements		Derivative Agreements		Total
U.S. Treasury securities - fair value	$	10,712	$	—	$	10,712	$	10,853	$	—	$	10,853
Cash	—		247		247		—		82		82
Total	$	10,712	$	247	$	10,959	$	10,853	$	82	$	10,935

U.S Treasury securities received as collateral under our reverse repurchase agreements that we use to cover short sales of U.S. Treasury securities are accounted for as securities borrowing transactions. We recognize a corresponding obligation to return the borrowed securities at fair value on the accompanying consolidated balance sheets based on the value of the underlying borrowed securities as of the reporting date.

Cash collateral received is recognized in cash and cash equivalents with a corresponding amount recognized in accounts payable and other accrued liabilities on the accompanying consolidated balance sheets.

Offsetting Assets and Liabilities

Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff under master netting arrangements (or similar agreements), including in the event of default or in the event of bankruptcy of either party to the transactions. We present our assets and liabilities subject to such arrangements on a gross basis in our consolidated balance sheets. The following tables present information about our assets and liabilities that are subject to master netting arrangements and can potentially be offset on our consolidated balance sheets as of March 31, 2018 and December 31, 2017 (in millions):



	Offsetting of Financial and Derivative Assets
	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Consolidated Balance Sheets		Net Amounts of Assets Presented in the Consolidated Balance Sheets		Gross Amounts Not Offset in the Consolidated Balance Sheets						Net Amount
	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Consolidated Balance Sheets				Financial Instruments			Collateral Received ²			Net Amount
March 31, 2018
Interest rate swap and swaption agreements, at fair value ¹	$	327	$	—	$	327	$	(1	)	$	(243	)	$	83
TBA securities, at fair value	83		—		83		(1		)	—			82
Receivable under reverse repurchase agreements	10,770		—		10,770		(7,606		)	(3,164		)	—
Total	$	11,180	$	—	$	11,180	$	(7,608	)	$	(3,407	)	$	165

December 31, 2017
Interest rate swap and swaption agreements, at fair value ¹	$	156	$	—	$	156	$	(1	)	$	(82	)	$	73
TBA securities, at fair value	30		—		30		(22		)	—			8
Receivable under reverse repurchase agreements	10,961		—		10,961		(9,682		)	(1,279		)	—
Total	$	11,147	$	—	$	11,147	$	(9,705	)	$	(1,361	)	$	81



	Offsetting of Financial and Derivative Liabilities
	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Consolidated Balance Sheets		Net Amounts of Liabilities Presented in the Consolidated Balance Sheets		Gross Amounts Not Offset in the Consolidated Balance Sheets						Net Amount
	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Consolidated Balance Sheets				Financial Instruments			Collateral Pledged ²			Net Amount
March 31, 2018
Interest rate swap agreements, at fair value ¹	$	1	$	—	$	1	$	(1	)	$	—		$	—
TBA securities, at fair value	1		—		1		(1		)	—			—
Repurchase agreements	48,956		—		48,956		(7,606		)	(41,350		)	—
Total	$	48,958	$	—	$	48,958	$	(7,608	)	$	(41,350	)	$	—

December 31, 2017
Interest rate swap agreements, at fair value ¹	$	1	$	—	$	1	$	(1	)	$	—		$	—
TBA securities, at fair value	27		—		27		(22		)	(5		)	—
Repurchase agreements and FHLB advances	50,296		—		50,296		(9,682		)	(40,614		)	—
Total	$	50,324	$	—	$	50,324	$	(9,705	)	$	(40,619	)	$	—

________________________________


1.	Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 6 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components.


2.	Includes cash and securities pledged / received as collateral, at fair value. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable.

Note 8 . Fair Value Measurements

We determine the fair value of our financial instruments based on our estimate of the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. We typically obtain price estimates from multiple third-party pricing services and dealers or, if applicable, the clearing exchange (see Note 3 for further details.) We utilize a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. A financial instrument's categorization within the hierarchy is based upon the lowest level of input that is significant to the fair value measurement.

The three levels of valuation hierarchy are defined as follows:


•	Level 1 Inputs —Quoted prices (unadjusted) for identical unrestricted assets and liabilities in active markets that are accessible at the measurement date.


•	Level 2 Inputs —Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.


•	Level 3 Inputs —Instruments with primarily unobservable market data that cannot be corroborated.

The availability of observable inputs can vary by instrument and is affected by a wide variety of factors, including the type of instrument, whether the instrument is new and not yet established in the marketplace and other characteristics particular to the instrument. Third-party pricing sources may also use certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and loss severities, especially when estimating fair values for securities with lower levels of recent trading activity.

We make inquiries of third-party pricing sources to understand the significant inputs and assumptions they used to determine their prices. We also review third-party price estimates and perform procedures to validate their reasonableness, including an analysis of the range of estimates for each position, comparison to recent trade activity for similar securities, and for consistency with market conditions observed as of the measurement date. While we do not adjust prices we obtain from pricing sources, we will exclude prices for securities from our estimation of fair value if we determine (based on our validation procedures and our market knowledge and expertise) that the price is significantly different from what observable market data would indicate and we cannot obtain an understanding from the third-party source as to the significant inputs used to determine the price.

The validation procedures described above also influence our determination of the appropriate fair value measurement categorization. The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring

basis as of March 31, 2018 and December 31, 2017 based on their categorization within the valuation hierarchy (in millions). There were no transfers between valuation hierarchy levels during the periods presented.



	March 31, 2018						December 31, 2017
	Level 1		Level 2		Level 3		Level 1		Level 2		Level 3
Assets:
Agency securities	$	—	$	54,141	$	—	$	—	$	55,506	$	—
Agency securities transferred to consolidated VIEs	—		621		—		—		662		—
Credit risk transfer securities	—		884		—		—		876		—
Non-Agency securities	—		36		—		—		36		—
U.S. Treasury securities	224		—		—		—		—		—
REIT equity securities	42		—		—		29		—		—
Interest rate swaps	—		174		—		—		81		—
Swaptions	—		153		—		—		75		—
TBA securities	—		83		—		—		30		—
U.S. Treasury futures	—		—		—		19		—		—
Total	$	266	$	56,092	$	—	$	48	$	57,266	$	—
Liabilities:
Debt of consolidated VIEs	$	—	$	336	$	—	$	—	$	357	$	—
Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements	10,352		—		—		10,467		—		—
Interest rate swaps	—		1		—		—		1		—
TBA securities	—		1		—		—		27		—
U.S. Treasury futures	30		—		—		—		—		—
Total	$	10,352	$	338	$	—	$	10,467	$	385	$	—

Excluded from the table above are financial instruments, including cash and cash equivalents, restricted cash and cash equivalents, receivables, payables and borrowings under repurchase agreements, which are presented in our consolidated financial statements at cost. The cost basis of these instruments is determined to approximate fair value due to their short duration or, in the case of longer-term repo, due to floating rates of interest based on an index plus or minus a fixed spread which is consistent with fixed spreads demanded in the market. We estimate the fair value of these instruments using "Level 1" or "Level 2" inputs.

Note 9 . Net Income Per Common Share

Basic net income per common share includes no dilution and is computed by dividing net income applicable to common stock by the weighted-average number of common shares outstanding for the respective period. Diluted earnings per common share includes the impact of dilutive potential common shares outstanding during the period using the treasury stock method. Dilutive potential common shares outstanding include unvested restricted stock units and performance share units granted under our long-term incentive program to employees and non-employee Board of Directors. The following table presents the computations of basic and diluted net income per common share for the periods indicated (shares and dollars in millions):



	Three Months Ended March 31,
	2018		2017
Weighted average number of common shares outstanding - basic	391.3		331.0
Unvested restricted stock units and performance share units	0.2		0.1
Weighted average number of common shares outstanding - diluted	391.5		331.1
Net income available to common stockholders	$	415	$	69
Net income per common share - basic and diluted	$	1.06	$	0.21

Note 10 . Stockholders' Equity

Preferred Stock

Pursuant to our amended and restated certificate of incorporation, we are authorized to designate and issue up to 10.0 million shares of preferred stock in one or more classes or series. As of December 31, 2017 and March 31, 2018, 8,050 shares were designated as 7.750% Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock") and 13,800 shares were designated as 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock ("Series C Preferred Stock"). Shares of Series B and Series C Preferred Stock are represented by depositary shares equal to 1/1000 interest in each share of Series B and Series C Preferred Stock, respectively. As of December 31, 2017 and March 31, 2018 , we had 7,000 shares of Series B Preferred Stock and 13,000 shares of Series C Preferred Stock outstanding (represented by 7.0 million Series B depositary shares and 13.0 million Series C depositary shares outstanding, respectively) and 9,980,000 of authorized but unissued shares of preferred stock.

Holders of depository shares underlying our Series B Preferred Stock are entitled to receive cumulative cash dividends at a rate of 7.750% per annum of their $25.00 per depositary share liquidation preference. Holders of depositary shares underlying our Series C Preferred Stock are entitled to receive cumulative cash dividends at a rate of 7.00% per annum up to, and including, October 14, 2022 and thereafter at a floating rate equal to three-month LIBOR plus a spread of 5.111% per annum of their $25.00 per depositary share liquidation preference. Dividends are payable quarterly in arrears on the 15th day of each January, April, July and October. As of March 31, 2018 , we had declared all required quarterly dividends on our preferred stock.

Our preferred stock ranks senior to our common stock with respect to the payment of dividends and the distribution of assets upon a voluntary or involuntary liquidation, dissolution or winding up of the Company. Our preferred stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and ranks on parity with each other. Under certain circumstances upon a change of control, our preferred stock is convertible to shares of our common stock. Holders of our preferred stock and depository shares underlying our preferred stock have no voting rights, except under limited conditions. Beginning on May 8, 2019 and October 15, 2022, depository shares underlying our Series B and Series C Preferred Stock, respectively, will be redeemable at $25.00 per depositary share, plus accumulated and unpaid dividends (whether or not declared) exclusively at our option. We may redeem shares of our preferred stock prior to our optional redemption date under certain circumstances intended to preserve our qualification as a REIT for Federal income tax purposes.

Preferred Stock Offering and Redemption

In August 2017, we issued 13,000 shares of Series C Preferred Stock in a public offering of 13.0 million Series C depositary shares at a price of $25 per depositary share for net proceeds of $315 million , after deducting underwriting discounts and estimated offering expenses. In September 2017, we redeemed all of our issued and outstanding shares of 8.000% Series A Cumulative Redeemable Preferred Stock ("Series A Preferred Stock") for $173 million (or $25 per share liquidation preference), plus accrued and unpaid dividends, and, in October of 2017, we filed a Certificate of Elimination of our Series A Preferred Stock with the Secretary of State of the State of Delaware, which eliminated the designation of Series A Preferred Stock from our amended and restated certificate of incorporation.

Common Stock Offerings

In May 2017, we completed a public offering in which 24.5 million shares of our common stock were sold to the underwriters for proceeds of $503 million , or $20.51 per common share, net of offering costs. In September 2017, we completed a public offering in which 28.2 million shares of our common stock were sold to the underwriters for proceeds of $577 million , or $20.47 per common share, net of estimated offering costs.

At-the-Market Offering Program

In February 2017, we entered into agreements with sales agents to publicly offer and sell shares of our common stock in privately negotiated and/or at-the-market transactions from time-to-time up to an aggregate amount of $750 million of shares of our common stock. During fiscal year 2017, we sold 7.6 million shares of our common stock under the sales agreements for proceeds of $159 million , or $20.96 per common share, net of estimated offering costs. As of March 31, 2018 , $589 million of shares of our common stock remain available for issuance under this program.

Accumulated Other Comprehensive Income (Loss)

The following table summarizes changes to accumulated OCI for the three months ended March 31, 2018 and 2017 (in millions):



	Three Months Ended March 31,
Accumulated Other Comprehensive Income (Loss)	2018			2017
Beginning Balance	$	(345	)	$	(397	)
OCI before reclassifications	(620		)	(38		)
(Gain) loss amounts for available-for-sale securities reclassified from accumulated OCI to realized gain (loss) on sale of investment securities	(1		)	84
Ending Balance	$	(966	)	$	(351	)

Note 11 . Subsequent Events

On April 12, 2018 , our Board of Directors declared a monthly dividend of $0.18 per common share, payable on May 9, 2018 to common stockholders of record as of April 30, 2018 , respectively.

On May 2, 2018, we entered into an amendment to our management agreement with MTGE in connection with the proposed acquisition of MTGE by Annaly Capital Management, Inc. The transaction is expected to close in the third quarter of 2018, subject to customary closing conditions. Pursuant to the amendment, we will continue to manage MTGE through the closing of the merger and for a short transitional period following the merger. In addition to regular monthly management fees payable for ongoing service through the transition period, under the amendment we will be paid a termination fee of $41.7 million.

Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations

Management's Discussion and Analysis of Financial Condition and Results of Operations ("MD&A") is designed to provide a reader of AGNC Investment Corp.'s consolidated financial statements with a narrative from the perspective of management, and should be read in conjunction with the consolidated financial statements and accompanying notes included in this Quarterly Report on Form 10-Q for quarterly period ended March 31, 2018 . Our MD&A is presented in six sections:


•	Executive Overview


•	Financial Condition


•	Results of Operations


•	Liquidity and Capital Resources


•	Off-Balance Sheet Arrangements


•	Forward-Looking Statements

EXECUTIVE OVERVIEW

We are an internally managed Real Estate Investment Trust ("REIT"). We commenced operations on May 20, 2008 following the completion of our initial public offering. Our common stock is traded on The Nasdaq Global Select Market under the symbol "AGNC."

As a REIT, we are required to distribute annually 90% of our taxable income. So long as we continue to qualify as a REIT, we will generally not be subject to U.S. Federal or state corporate taxes on our taxable income to the extent that we distribute all our annual taxable income to our stockholders on a timely basis. It is our intention to distribute 100% of our taxable income within the time limits prescribed by the Internal Revenue Code, which may extend into the subsequent taxable year.

We earn income primarily from investing in Agency residential mortgage-backed securities ("Agency RMBS") on a leveraged basis. These investments consist of residential mortgage pass-through securities and collateralized mortgage obligations for which the principal and interest payments are guaranteed by a U.S. Government-sponsored enterprise, such as the Federal National Mortgage Association ("Fannie Mae") and the Federal Home Loan Mortgage Corporation ("Freddie Mac," and together with Fannie Mae, the "GSEs"), or by a U.S. Government agency, such as the Government National Mortgage Association ("Ginnie Mae"). We may also invest in other types of mortgage and mortgage-related residential and commercial mortgage-backed securities where repayment of principal and interest is not guaranteed by a GSE or U.S. Government agency.

The size and composition of our investment portfolio depends on the investment strategies we implement, availability of attractively priced investments, suitable financing to appropriately leverage our investment portfolio and overall market conditions. Market conditions are influenced by a variety of factors, including interest rates, prepayment expectations, liquidity, housing prices, unemployment rates, general economic conditions, government participation in the mortgage market, regulations and relative returns on other assets.

Trends and Recent Market Impacts

The key market dynamics from 2017, including low volatility, steadily increasing equity valuations, stable longer-term rates, and tighter credit spreads all reversed course dramatically during the first quarter of 2018. The yield on the 10-year U.S. Treasury note rose 33 basis points over the quarter while shorter maturity Treasury and swap rates increased 40 to 50 basis points. Consistent with the increase in rates and wider credit spreads more broadly, spreads on Agency RMBS relative to benchmarks widened close to 10 basis points and were the primary driver of our negative economic return of -2.6% for the quarter, which includes the decline of -5.4% in our tangible net book value and dividends declared during the quarter of $0.54 per common share.

Given improving underlying economic fundamentals and a reduction of quantitative easing measures by several key central banks, our core view was that interest rates were biased somewhat higher. As such, by the end of 2017, we reduced our exposure to higher rates by increasing our interest rate hedge position to 97% of our Agency repo, TBA position and other debt. We also adjusted the composition of our interest rate hedges to include a greater portion of interest rate swaptions to provide greater protection against larger interest rate increases and greater interest rate volatility. During the first quarter, we continued to add additional interest rate protection, increasing our interest rate hedge position to 103% of our funding liabilities as of March 31, 2018 . These actions minimized the impact of the increase in long-term rates during the first quarter on our tangible net book value and should continue to limit our exposure to further rate increases. Our net "duration gap," which is a measure of the risk due to

mismatches that can occur between the interest rate sensitivity of our assets and liabilities, inclusive of hedges, was 0.5 years as of March 31, 2018 , moderately higher than our net duration gap of 0.1 years as of December 31, 2017. As of March 31, 2018, our sensitivity to an instantaneous parallel increase in rates of 50 and 100 basis points, and assuming no portfolio rebalancing actions, was an estimated decline of -3.9% and -9.8%, respectively, of our tangible net book value. (See Item 3. Quantitative and Qualitative Disclosures about Market Risk in this Form 10-Q for further information on our interest rate and spread sensitivity).

The average cost of our repo funding increased by 25 basis points during the first quarter, consistent with the increase in the federal funds rate, as the Federal Reserve continued to gradually increase short-term interest rates. Over the same period, three-month LIBOR, which is linked to the receive leg of our pay fixed interest rate swaps, increased 61 basis points, and ended the quarter 49 bps higher than our average repo rate. Despite this favorable spread differential, our average total cost of funds for the first quarter, which includes repurchase agreements, the implied funding costs of our TBA securities and interest rate swaps, increased by 16 basis points to 1.68% for the quarter, as the receive legs of our interest rate swaps had not yet fully reset to the higher prevailing 3-month LIBOR rates. Our average net interest margin (including our TBA dollar roll funded assets and interest rate swap hedges and excluding "catch-up" premium amortization cost due to changes in CPR forecasts) for the first quarter decreased to 1.26%, compared to 1.36% for the fourth quarter, largely due to higher funding costs.

Our investment portfolio decreased modestly during the first quarter, while our asset composition was largely unchanged with 30-year and 15-year Agency RMBS fixed rate securities representing 78% and 18% of our investment portfolio, respectively, as of March 31, 2018. Our forecasted lifetime CPR was 7.6% as of March 31, 2018 , down from 8.4% as of December 31, 2017, in line with higher interest rates. As of March 31, 2018 , our "at risk" leverage ratio was 8.2 x our tangible equity, largely unchanged from 8.1 x as of December 31, 2017. Given the favorable funding dynamics for Agency RMBS and the attractive relative valuations between Agency RMBS and credit sensitive assets, we continue to favor levered investments in Agency RMBS over other fixed income products. Should Agency RMBS spreads continue to widen meaningfully, we would view it as an opportunity to opportunistically increase leverage.

Market Information

The following table summarizes interest rates and prices of generic fixed rate Agency RMBS as of each date presented below:



Interest Rate/Security Price ¹	Mar. 31, 2017	June 30, 2017	Sept. 30, 2017	Dec. 31, 2017	Mar. 31, 2018	Mar. 31, 2018 vs Dec. 31, 2017
LIBOR:
1-Month	0.98%	1.22%	1.23%	1.56%	1.88%	+0.32	bps
3-Month	1.15%	1.30%	1.33%	1.69%	2.31%	+0.62	bps
6-Month	1.42%	1.45%	1.51%	1.84%	2.45%	+0.61	bps
U.S. Treasury Security Rate:
2-Year U.S. Treasury	1.26%	1.38%	1.48%	1.89%	2.27%	+0.38	bps
3-Year U.S. Treasury	1.50%	1.55%	1.61%	1.98%	2.39%	+0.41	bps
5-Year U.S. Treasury	1.93%	1.89%	1.93%	2.21%	2.57%	+0.36	bps
10-Year U.S. Treasury	2.39%	2.30%	2.33%	2.41%	2.74%	+0.33	bps
30-Year U.S. Treasury	3.02%	2.84%	2.86%	2.74%	2.97%	+0.23	bps
Interest Rate Swap Rate:
2-Year Swap	1.62%	1.61%	1.73%	2.08%	2.58%	+0.50	bps
3-Year Swap	1.81%	1.74%	1.84%	2.17%	2.65%	+0.48	bps
5-Year Swap	2.06%	1.95%	2.00%	2.24%	2.71%	+0.47	bps
10-Year Swap	2.39%	2.27%	2.28%	2.40%	2.78%	+0.38	bps
30-Year Swap	2.65%	2.53%	2.52%	2.53%	2.82%	+0.29	bps
30-Year Fixed Rate Agency Price:
3.0%	$99.15	$99.88	$100.33	$100.02	$97.52	-$2.50
3.5%	$102.29	$102.70	$103.09	$102.70	$100.20	-$2.50
4.0%	$104.90	$105.12	$105.27	$104.59	$102.61	-$1.98
4.5%	$107.24	$107.27	$107.33	$106.40	$104.70	-$1.70
15-Year Fixed Rate Agency Price:
2.5%	$100.03	$100.53	$100.69	$99.88	$97.98	-$1.90
3.0%	$102.51	$102.64	$102.75	$101.88	$99.88	-$2.00
3.5%	$104.06	$104.06	$104.14	$103.23	$101.94	-$1.29
4.0%	$103.29	$103.44	$103.13	$102.72	$102.63	-$0.09

________________________________


1.	Price information is for generic instruments only and is not reflective of our specific portfolio holdings. Price information is as of 3:00 p.m. (EST) on such date and can vary by source. Prices and interest rates in the table above were obtained from Barclays. LIBOR rates were obtained from Bloomberg.

FINANCIAL CONDITION



	March 31, 2018								December 31, 2017
Investment Portfolio (Includes TBAs) ¹	Amortized Cost		Fair Value		Average Coupon		%		Amortized Cost		Fair Value		Average Coupon		%
Fixed rate Agency RMBS and TBA securities:
≤ 15-year:
≤ 15-year RMBS	$	8,916	$	8,789	3.27	%	13	%	$	8,951	$	8,933	3.31	%	12	%
15-year TBA securities	3,907		3,926		3.04	%	6	%	5,025		5,015		2.90	%	7	%
Total ≤ 15-year	12,823		12,715		3.20	%	18	%	13,976		13,948		3.16	%	19	%
20-year RMBS	712		711		3.52	%	1	%	673		687		3.48	%	1	%
30-year:
30-year RMBS	45,638		44,196		3.70	%	64	%	45,853		45,406		3.72	%	62	%
30-year TBA securities	9,622		9,685		3.44	%	14	%	10,714		10,727		3.40	%	15	%
Total 30-year	55,260		53,881		3.66	%	78	%	56,567		56,133		3.65	%	77	%
Total fixed rate Agency RMBS and TBA securities	68,795		67,307		3.57	%	97	%	71,216		70,768		3.55	%	97	%
Adjustable rate Agency RMBS	265		268		2.91	%	1	%	278		283		2.90	%	1	%
CMO Agency RMBS:
CMO	595		590		3.43	%	1	%	629		631		3.43	%	1	%
Interest-only strips	95		100		4.13	%	—	%	101		112		4.39	%	—	%
Principal-only strips	107		108		—	%	—	%	112		116		—	%	—	%
Total CMO Agency RMBS	797		798		3.45	%	1	%	842		859		3.58	%	1	%
Total Agency RMBS and TBA securities	69,857		68,373		3.56	%	99	%	72,336		71,910		3.55	%	99	%
Non-Agency RMBS	7		7		2.50	%	—	%	7		7		2.50	%	—	%
CMBS	28		29		6.55	%	—	%	28		29		6.55	%	—	%
CRT	848		884		5.50	%	1	%	834		876		5.26	%	—	%
Total investment portfolio	$	70,740	$	69,293	3.59	%	100	%	$	73,205	$	72,822	3.57	%	100	%

________________________________


1.	TBA securities are presented net of long and short positions. For further details of our TBA securities refer to Note 6 of the accompanying consolidated financial statements.

TBA securities are recorded as derivative instruments in our accompanying consolidated financial statements and our TBA dollar roll transactions represent a form of off-balance sheet financing. As of March 31, 2018 and December 31, 2017 , our TBA positions had a net carrying value of $82 million and $3 million , respectively, reported in derivative assets /(liabilities) on our accompanying consolidated balance sheets. The net carrying value represents the difference between the fair value of the underlying Agency security in the TBA contract and the contract price to be paid or received for the underlying Agency security.

As of March 31, 2018 and December 31, 2017 , the weighted average yield on our investment securities (excluding TBA securities) was 2.93% and 2.89% , respectively.

The following tables summarize certain characteristics of our fixed rate Agency RMBS portfolio, inclusive of TBAs, as of March 31, 2018 and December 31, 2017 (dollars in millions):



	March 31, 2018
	Includes Net TBA Position							Excludes Net TBA Position
Fixed Rate Agency RMBS and TBA Securities	Par Value		Amortized Cost		Fair Value		% Lower Loan Balance & HARP ^1,2	Amortized Cost Basis	Weighted Average			Projected Life CPR ⁴
Fixed Rate Agency RMBS and TBA Securities	Par Value		Amortized Cost		Fair Value		% Lower Loan Balance & HARP ^1,2	Amortized Cost Basis	WAC ³	Yield ⁴	Age (Months)	Projected Life CPR ⁴
Fixed rate
≤ 15-year
2.5%	$	1,991	$	1,998	$	1,965	47%	101.2%	2.98%	2.13%	66	9%
3.0%	5,895		5,942		5,901		39%	102.1%	3.50%	2.38%	51	9%
3.5%	2,592		2,670		2,645		65%	103.7%	3.98%	2.38%	67	10%
4.0%	1,928		2,001		1,993		89%	103.8%	4.40%	2.68%	87	11%
4.5%	200		209		208		98%	104.3%	4.87%	3.01%	90	11%
≥ 5.0%	3		3		3		23%	102.7%	6.61%	4.64%	126	13%
Total ≤ 15-year	12,609		12,823		12,715		55%	102.7%	3.75%	2.42%	66	10%
20-year
≤ 3.0%	188		187		187		31%	99.4%	3.55%	3.10%	58	8%
3.5%	352		359		359		74%	102.1%	4.05%	3.00%	61	10%
4.0%	104		108		108		74%	103.9%	4.47%	3.16%	34	10%
4.5%	52		56		55		99%	106.5%	4.90%	2.96%	88	11%
≥ 5.0%	2		2		2		—%	106.0%	5.95%	3.33%	119	16%
Total 20-year:	698		712		711		64%	102.0%	4.06%	3.05%	58	10%
30-year:
3.0%	7,015		6,889		6,858		2%	100.2%	3.58%	2.96%	46	6%
3.5%	24,235		25,155		24,398		58%	104.5%	4.04%	2.89%	37	6%
4.0%	20,473		21,706		21,140		64%	106.6%	4.47%	3.05%	32	7%
4.5%	1,218		1,312		1,289		71%	107.7%	4.97%	3.25%	66	9%
5.0%	93		100		100		65%	106.9%	5.45%	3.71%	119	9%
≥ 5.5%	88		98		96		36%	110.4%	6.18%	3.36%	138	12%
Total 30-year	53,122		55,260		53,881		53%	105.1%	4.22%	2.97%	37	7%
Total fixed rate	$	66,429	$	68,795	$	67,307	54%	104.7%	4.14%	2.88%	42	7%

________________________________


1.	Lower loan balance securities represent pools backed by an original loan balance of ≤ $150,000. Our lower loan balance securities had a weighted average original loan balance of $98,000 and $109,000 for 15-year and 30-year securities, respectively, as of March 31, 2018 .


2.	HARP securities are defined as pools backed by 100% refinance loans with LTV ≥ 80%. Our HARP securities had a weighted average LTV of 114% and 136% for 15-year and 30-year securities, respectively, as of March 31, 2018 .


3.	WAC represents the weighted average coupon of the underlying collateral.


4.	Portfolio yield incorporates a projected life CPR assumption based on forward rate assumptions as of March 31, 2018 .



	December 31, 2017
	Includes Net TBA Position							Excludes Net TBA Position
Fixed Rate Agency RMBS and TBA Securities	Par Value		Amortized Cost		Fair Value		% Lower Loan Balance & HARP ^1,2	Amortized Cost Basis	Weighted Average			Projected Life CPR ⁴
Fixed Rate Agency RMBS and TBA Securities	Par Value		Amortized Cost		Fair Value		% Lower Loan Balance & HARP ^1,2	Amortized Cost Basis	WAC ³	Yield ⁴	Age (Months)	Projected Life CPR ⁴
Fixed rate
≤ 15-year
≤ 2.5%	$	3,041	$	3,061	$	3,046	32%	101.2%	2.98%	2.13%	63	9%
3.0%	5,616		5,749		5,724		33%	102.8%	3.49%	2.18%	62	10%
3.5%	2,710		2,804		2,804		75%	103.5%	3.96%	2.42%	69	11%
4.0%	2,054		2,134		2,145		89%	103.9%	4.40%	2.68%	84	11%
4.5%	215		224		225		98%	104.3%	4.87%	3.01%	88	12%
≥ 5.0%	4		4		4		17%	102.8%	6.56%	4.47%	125	44%
Total ≤ 15-year	13,640		13,976		13,948		51%	103.0%	3.77%	2.38%	70	10%
20-year
≤ 3.0%	195		193		198		31%	99.4%	3.55%	3.10%	55	9%
3.5%	365		373		380		75%	102.1%	4.05%	3.00%	58	11%
4.0%	45		47		48		51%	104.2%	4.54%	2.96%	76	11%
4.5%	55		58		59		99%	106.5%	4.90%	2.95%	85	11%
≥ 5.0%	2		2		2		—%	106.0%	5.95%	3.32%	116	17%
Total 20-year:	662		673		687		62%	101.8%	4.02%	3.02%	61	10%
30-year:
≤ 3.0%	7,583		7,576		7,592		1%	100.2%	3.58%	2.96%	43	6%
3.5%	24,045		25,072		24,800		56%	104.6%	4.04%	2.84%	35	7%
4.0%	21,015		22,348		22,166		64%	106.5%	4.47%	2.99%	29	9%
4.5%	1,271		1,366		1,369		71%	107.4%	4.98%	3.18%	62	10%
5.0%	97		103		104		65%	106.6%	5.45%	3.69%	116	10%
≥ 5.5%	92		102		102		36%	110.0%	6.18%	3.34%	135	14%
Total 30-year	54,103		56,567		56,133		52%	105.2%	4.23%	2.93%	34	8%
Total fixed rate	$	68,405	$	71,216	$	70,768	52%	104.8%	4.15%	2.84%	40	8%

________________________________


1.	Lower loan balance securities represent pools backed by an original loan balance of ≤ $150,000. Our lower loan balance securities had a weighted average original loan balance of $97,000 and $109,000 for 15-year and 30-year securities, respectively, as of December 31, 2017 .


2.	HARP securities are defined as pools backed by 100% refinance loans with LTVs ≥ 80%. Our HARP securities had a weighted average LTV of 114% and 136% for 15-year and 30-year securities, respectively, as of December 31, 2017 .


3.	WAC represents the weighted average coupon of the underlying collateral.


4.	Portfolio yield incorporates a projected life CPR assumption based on forward rate assumptions as of December 31, 2017 .

As of March 31, 2018 and December 31, 2017 , our investments in CRT and non-Agency securities had the following credit ratings:



	March 31, 2018						December 31, 2017
CRT and Non-Agency Security Credit Ratings ¹	CRT		RMBS		CMBS		CRT		RMBS		CMBS
AAA	$	—	$	7	$	—	$	—	$	7	$	—
BBB	26		—		29		20		—		29
BB	139		—		—		136		—		—
B	698		—		—		691		—		—
Not Rated	21		—		—		29		—		—
Total	$	884	$	7	$	29	$	876	$	7	$	29

________________________________


1.	Represents the lowest of Standard and Poor's ("S&P"), Moody's and Fitch credit ratings, stated in terms of the S&P equivalent rating as of each date.

Our CRT securities reference the performance of loans underlying Agency RMBS issued by Fannie Mae or Freddie Mac, which were subject to their underwriting standards. As of March 31, 2018 , our CRT securities had floating and fixed rate coupons ranging from 3.7% to 8.8% , referenced to loans originated between 2012 and 2018 with weighted average coupons ranging from 3.6% to 4.4% . As of December 31, December 31, 2017 , our CRT securities had floating rate coupons ranging from 3.9% to 8.5% , referenced to loans originated between 2012 and 2017 with weighted average coupons ranging from 3.6% to 4.4% .

RESULTS OF OPERATIONS

Non-GAAP Financial Measures

In addition to the results presented in accordance with GAAP, our results of operations discussed below include certain non-GAAP financial information, including "economic interest income", "economic interest expense," "net spread and dollar roll income," "net spread and dollar roll income, excluding 'catch-up' premium amortization," "estimated taxable income" and the related per common share measures and certain financial metrics derived from such non-GAAP information, such as "cost of funds" and "net interest margin."

"Economic interest income" is measured as interest income (GAAP measure), adjusted to (i) exclude "catch-up" premium amortization associated with changes in CPR estimates and to (ii) include TBA dollar roll implied interest income. "Economic interest expense" is measured as interest expense (GAAP measure) adjusted to include TBA dollar roll implied interest expense and interest rate swap periodic costs. "Net spread and dollar roll income, excluding "catch-up" premium amortization" includes (i) the components of economic interest income and economic interest expense and dividends on REIT equity securities ("adjusted net interest and dollar roll income"), less (ii) total operating expenses (GAAP measure), adjusted to exclude non-recurring transaction costs (referred to as "adjusted operating expenses"), net of management fee income (GAAP measure) ("other operating income (expense), net)."

By providing such measures, in addition to the related GAAP measures, we believe we give greater transparency into the information used by our management in its financial and operational decision-making. We also believe it is important for users of our financial information to consider information related to our current financial performance without the effects of certain measures that are not necessarily indicative of our current investment portfolio performance and operations.

Specifically, in the case of "adjusted net interest and dollar roll income," we believe the inclusion of TBA dollar roll income is meaningful as TBAs, which are accounted for under GAAP as derivative instruments with gains and losses recognized in other gain (loss) in our consolidated statement of comprehensive income, are economically equivalent to holding and financing generic Agency RMBS using short-term repurchase agreements. Similarly, we believe that the inclusion of periodic interest rate swap settlements in such measure and in "economic interest expense" is meaningful as interest rate swaps are the primary instrument we use to economically hedge against fluctuations in our borrowing costs and it is more indicative of our total cost of funds than interest expense alone. In the case of "economic interest income" and "net spread and dollar roll income, excluding 'catch-up' premium amortization," we believe the exclusion of "catch-up" adjustments to premium amortization cost or benefit is meaningful as it excludes the cumulative effect from prior reporting periods due to current changes in future prepayment expectations and, therefore, exclusion of such cost or benefit is more indicative of the current earnings potential of our investment portfolio. We also believe the exclusion of issuance costs of redeemed preferred stock reported as a reduction to net income available to common stockholders under GAAP and transactions costs associated with our acquisition of AMM reported in general, administrative and other expense under GAAP is meaningful as they represent non-recurring transaction costs and are not representative of our ongoing operating costs. In the case of estimated taxable income, we believe it is meaningful information because it directly relates to the amount of dividends we are required to distribute to maintain our REIT qualification status.

However, because such measures are incomplete measures of our financial performance and involve differences from results computed in accordance with GAAP, they should be considered as supplementary to, and not as a substitute for, results computed in accordance with GAAP. In addition, because not all companies use identical calculations, our presentation of such non-GAAP measures may not be comparable to other similarly-titled measures of other companies. Furthermore, estimated taxable income can include certain information that is subject to potential adjustments up to the time of filing our income tax returns, which occurs after the end of our fiscal year.

Selected Financial Data

The following selected financial data is derived from our interim consolidated financial statements and the notes thereto. The tables below present our condensed consolidated balance sheets as of March 31, 2018 and December 31, 2017 and our condensed consolidated statements of comprehensive income and key statistics for the three months ended March 31, 2018 and 2017 (in millions, except per share amounts):



($ in Millions, Except Per Share Amounts)
Balance Sheet Data	March 31, 2018		December 31, 2017
Investment securities, at fair value	$	55,682	$	57,080
Total assets	$	69,221	$	70,376
Repurchase agreements and other debt	$	49,292	$	50,653
Total liabilities	$	60,883	$	61,622
Total stockholders' equity	$	8,338	$	8,754
Net book value per common share ¹	$	20.03	$	21.09
Tangible net book value per common share ²	$	18.63	$	19.69



	Three Months Ended March 31,
Statement of Comprehensive Income Data	2018			2017
Interest income	$	431		$	296
Interest expense	206			98
Net interest income	225			198
Other gain (loss), net	217			(104		)
Operating expenses	18			18
Net income	424			76
Dividend on preferred stock	9			7
Net income available to common stockholders	$	415		$	69

Net income	$	424		$	76
Other comprehensive income (loss)	(621		)	46
Comprehensive income (loss)	(197		)	122
Dividend on preferred stock	9			7
Comprehensive income (loss) available (attributable) to common stockholders	$	(206	)	$	115

Weighted average number of common shares outstanding - basic	391.3			331.0
Weighted average number of common shares outstanding - diluted	391.5			331.1
Net income per common share - basic and diluted	$	1.06		$	0.21
Comprehensive income per common share - basic and diluted	$	(0.53	)	$	0.35
Dividends declared per common share	$	0.54		$	0.54



	Three Months Ended March 31,
Other Data (Unaudited) *	2018		2017
Average investment securities - at par	$53,986		$42,218
Average investment securities - at cost	$56,573		$44,215
Average net TBA portfolio - at cost	$15,585		$13,460
Average total assets - at fair value	$68,781		$55,029
Average Agency repurchase agreements and other debt outstanding ³	$49,567		$39,203
Average stockholders' equity ⁴	$8,535		$7,310
Average tangible net book value "at risk" leverage ⁵	8.2:1		7.8:1
Tangible net book value "at risk" leverage (as of period end) ⁶	8.2:1		8.0:1
Economic return on tangible common equity, unannualized ⁷	(2.6	)%	1.8	%
Expenses % of average total assets, annualized	0.10	%	0.13	%
Expenses % of average assets, including average net TBA position, annualized	0.09	%	0.10	%
Expenses % of average stockholders' equity, annualized	0.84	%	0.98	%

________________________________

* Except as noted below, average numbers for each period are weighted based on days on our books and records.


1.	Net book value per common share is calculated as our total stockholders' equity, less our preferred stock liquidation preference, divided by our number of common shares outstanding as of period end.


2.	Tangible net book value per common share excludes goodwill and other intangible assets, net.


3.	Other debt includes debt of consolidated VIEs. Amount excludes U.S. Treasury repo agreements and TBA contracts.


4.	Average stockholders' equity calculated as our average month-ended stockholders' equity during the period.

Average tangible net book value "at risk" leverage is calculated by dividing the sum of our daily weighted average mortgage borrowings outstanding (Agency repo, other debt and TBA securities (at cost)) for the period by the sum of our average stockholders' equity less our average investment in REIT equity securities, goodwill and other intangible assets, net for the period. Leverage excludes U.S. Treasury repurchase agreements.

"At risk" leverage as of period end is calculated by dividing the sum of our mortgage borrowings outstanding and our receivable/payable for unsettled investment securities as of period end (at cost) by the sum of our total stockholders' equity less the fair value of investments in REIT equity securities, goodwill and other intangible assets, net at period end. Leverage excludes U.S. Treasury repurchase agreements.


7.	Economic return on tangible common equity represents the sum of the change in our tangible net book value per common share and our dividends declared on common stock during the period over our beginning tangible net book value per common share.

Economic Interest Income and Asset Yields

The following table summarizes our economic interest income (a non-GAAP measure) for the three months ended March 31, 2018 and 2017 , which includes the combination of interest income (a GAAP measure) on our holdings reported as investment securities on our consolidated balance sheets, adjusted to exclude estimated "catch-up" amortization adjustments due to changes in our CPR forecast, and implied interest income on our TBA securities (dollars in millions):



	Three Months Ended March 31,
	2018					2017
	Amount			Yield		Amount			Yield
Interest income:
Cash/coupon interest income	$	500		3.70	%	$	385		3.65	%
Net premium amortization	(69		)	(0.65	)%	(89		)	(0.97	)%
Interest income (GAAP measure)	431			3.05	%	296			2.68	%
Estimated "catch-up" premium amortization (benefit) cost due to change in CPR forecast	(21		)	(0.15	)%	9			0.08	%
Interest income, excluding "catch-up" premium amortization	410			2.90	%	305			2.76	%
TBA dollar roll income - implied interest income ^1,2	120			3.08	%	90			2.69	%
Economic interest income, excluding "catch-up" amortization (non-GAAP measure) ³	$	530		2.94	%	$	395		2.74	%

Weighted average actual portfolio CPR for investment securities held during the period	8.6		%			10.7		%
Weighted average projected CPR for the remaining life of investment securities held as of period end	7.6		%			8.2		%
Average 30-year fixed rate mortgage rate as of period end ⁴	4.44		%			4.14		%
10-year U.S. Treasury rate as of period end	2.74		%			2.39		%

________________________________


1.	Reported in gain (loss) on derivatives instruments and other securities, net in the accompanying consolidated statements of operations.

Implied interest income from TBA dollar roll transactions is computed as the sum of (i) our TBA dollar roll income and (ii) our estimated TBA implied funding cost (see Economic Interest Expense and Aggregate Cost of Funds below). TBA dollar roll income represents the price differential, or "price drop," between the TBA price for current month settlement versus the TBA price for forward month settlement and is the economic equivalent to interest income on the underlying Agency securities, less an implied funding cost, over the forward settlement period. Amount is net of TBAs used for hedging purposes. Amount excludes TBA mark-to-market adjustments (see .


3.	The combined asset yield is calculated on a weighted average basis based on our average investment and TBA balances outstanding during the period and their respective yields.


4.	Source: Freddie Mac Primary Fixed Mortgage Rate Mortgage Market Survey

The principal elements impacting our economic interest income are the size of our average investment portfolio and the yield (actual or implied) on our securities. The following is a summary of the estimated impact of each of these elements on our economic interest income for the three months ended March 31, 2018 , compared to the prior year period (in millions):



Impact of Changes in the Principal Elements Impacting Economic Interest Income
Three Months Ended March 31, 2018 vs. March 31, 2017
				Due to Change in Average
	Total Increase / (Decrease)			Portfolio Size		Asset Yield
Interest Income (GAAP measure)	$	135		$	83	$	52
Estimated "catch-up" premium amortization cost due to change in CPR forecast	(30		)	—		(30		)
Interest income, excluding "catch-up" premium amortization cost	105			83		22
TBA dollar roll income - implied interest income	30			23		7
Economic interest income, excluding "catch-up" amortization (non-GAAP measure)	$	135		$	106	$	29

The size of our average investment portfolio increased 25% (at cost) from the prior year period, consisting of a 28% increase in holdings reported as investment securities and a 16% increase in TBA securities reported as derivative assets/(liabilities) on our consolidated balance sheets. The increase in our investment portfolio was primarily a function of equity issuances during 2017. The increase in our average asset yield on our investment portfolio to 2.94% for the three months ended March 31, 2018 , from 2.74% for the prior year period, was largely due to changes in asset composition as we increased our holdings of 30-year fixed rate securities relative to shorter duration assets and lower prepayment speeds in line with higher interest rates.

Leverage

Our primary measure of leverage is our tangible net book value "at risk" leverage ratio. Tangible net book value "at risk" leverage is measured as the sum of our Agency repurchase agreements and other debt used to fund our investment securities and our net TBA position (at cost) (together referred to as "mortgage borrowings") and our net receivable/payable for unsettled investment securities divided by the sum of our total stockholders' equity adjusted to exclude goodwill and other intangible assets.

We include our net TBA position in our measure of leverage because a forward contract to acquire Agency RMBS in the TBA market carries similar risks to Agency RMBS purchased in the cash market and funded with on-balance sheet liabilities. Similarly, a TBA contract for the forward sale of Agency securities has substantially the same effect as selling the underlying Agency RMBS and reducing our on-balance sheet funding commitments. (Refer to Liquidity and Capital Resources for further discussion of TBA securities and dollar roll transactions). Repurchase agreements used to fund short-term investments in U.S. Treasury securities ("U.S. Treasury repo") are excluded from our measure of leverage due to the temporary and highly liquid nature of these investments.

Our tangible net book value "at risk" leverage was 8.2 x and 8.1 x as of March 31, 2018 and December 31, 2017 , respectively. The table below presents a summary of our leverage ratios for the periods listed (dollars in millions):



	Agency Repurchase Agreements and Other Debt ¹						Net TBA Position Long/(Short) ²				Average Tangible Net Book Value "At Risk" Leverage during the Period ³	Average "At Risk" Leverage during the Period ⁴	Tangible Net Book Value "At Risk" Leverage as of Period End ³	"At Risk" Leverage as of Period End ⁵
Quarter Ended	Average Daily Amount		Maximum Daily Amount		Ending Amount		Average Daily Amount		Ending Amount			Average "At Risk" Leverage during the Period ⁴		"At Risk" Leverage as of Period End ⁵
March 31, 2018	$	49,567	$	50,645	$	49,292	$	15,585	$	13,529	8.2:1	7.7:1	8.2:1	7.6:1
December 31, 2017	$	48,122	$	51,322	$	50,653	$	18,355	$	15,739	8.1:1	7.6:1	8.1:1	7.6:1
March 31, 2017	$	39,203	$	41,221	$	39,809	$	13,460	$	14,377	7.8:1	7.2:1	8.0:1	7.4:1

________________________________


1.	Other debt includes debt of consolidated VIEs. Amounts exclude U.S. Treasury repo agreements.


2.	Daily average and ending net TBA position outstanding measured at cost.


3.	Tangible net book value "at risk" leverage includes the components of "at risk" leverage with stockholders' equity adjusted to exclude goodwill and other intangible assets, net.


4.	Average "at risk" leverage during the period was calculated by dividing the sum of our daily weighted average mortgage borrowings outstanding during the period by the sum of our average month-ended stockholders' equity less our average investment in REIT equity securities for the period.


5.	"At risk" leverage as of period end is calculated by dividing the sum of our mortgage borrowings outstanding and our receivable/payable for unsettled investment securities as of period end (at cost) by the sum of our total stockholders' equity less the fair value of investments in REIT equity securities at period end. Leverage excludes U.S. Treasury repo agreements.

Economic Interest Expense and Aggregate Cost of Funds

The following table summarizes our economic interest expense and aggregate cost of funds (non-GAAP measures) for the three months ended March 31, 2018 and 2017 (dollars in millions), which includes the combination of interest expense on Agency repurchase agreements and other debt (GAAP measure), implied interest expense on our TBA securities and periodic interest rate swap costs:



	Three Months Ended March 31,
	2018				2017
Economic Interest Expense and Aggregate Cost of Funds ¹	Amount		Cost of Funds		Amount		Cost of Funds
Repurchase agreement and other debt - interest expense (GAAP measure)	$	206	1.69	%	$	98	1.01	%
TBA dollar roll income - implied interest expense ^2,3	58		1.49	%	19		0.58	%
Economic interest expense - before interest rate swap costs ⁴	264		1.62	%	117		0.89	%
Periodic interest costs of interest rate swaps reported in gain (loss) on derivative instruments and other securities, net ⁵	9		0.06	%	45		0.34	%
Total economic interest expense (non-GAAP measure)	$	273	1.68	%	$	162	1.23	%

________________________________


1.	Amounts exclude interest rate swap termination fees and variation margin settlements paid or received, forward starting swaps or the impact of other supplemental hedges, such as swaptions and U.S. Treasury positions.


2.	Reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

The implied funding cost of TBA dollar roll transactions is determined using the price differential, or "price drop," between the TBA price for current month settlement versus the TBA price for forward month settlement and market based assumptions regarding the "cheapest-to-deliver" collateral that can be delivered to satisfy the TBA contract, such as the anticipated collateral’s weighted average coupon, weighted average maturity and projected 1-month CPR. The average implied funding cost for all TBA transactions is weighted based on our daily average TBA balance outstanding for the period.


4.	The combined cost of funds for total mortgage borrowings outstanding, before interest rate swap costs, is calculated on a weighted average basis based on average repo, other debt and TBA balances outstanding during the period and their respective cost of funds.


5.	Interest rate swap cost of funds measured as a percent of average mortgage borrowings outstanding for the period.

The principal elements impacting our economic interest expense are (i) the size of our average mortgage borrowings and interest rate swap portfolio outstanding during the period, (ii) the average interest rate (actual or implied) on our mortgage borrowings and (iii) the average net interest rate paid/received on our interest rate swaps. The following is a summary of the estimated impact of these elements on our economic interest expense for the three months ended March 31, 2018 , compared to the prior year period (in millions):



Impact of Changes in the Principal Elements of Economic Interest Expense
Three Months Ended March 31, 2018 vs. March 31, 2017
				Due to Change in Average
	Total Increase / (Decrease)			Borrowing / Swap Balance		Borrowing / Swap Rate
Repurchase agreements and other debt interest expense	$	108		$	26	$	82
TBA dollar roll income - implied interest expense	39			3		36
Periodic interest rate swap costs	(36		)	7		(43		)
Total change in economic interest expense	$	111		$	36	$	75

The average interest rate on our mortgage borrowings increased for current year periods largely due to increases in the federal funds rate, which were partly offset by the benefit of shifting a larger portion of our total Agency repo funding through our captive broker-dealer subsidiary, Bethesda Securities, LLC ("BES"). The decrease in our periodic swap costs was due to an increase in the floating rate received on our pay-fixed receive-floating interest rate swaps and a smaller swap portfolio relative to our total mortgage borrowings, partly offset by a higher average pay rate.

The table below presents a summary of the ratio of our average interest rates swaps outstanding, excluding forward starting swaps, to our average mortgage borrowings for the three months ended March 31, 2018 and 2017 (dollars in millions):



	Three Months Ended March 31,
Average Ratio of Interest Rate Swaps (Excluding Forward Starting Swaps) to Mortgage Borrowings Outstanding	2018			2017
Average Agency repo and other debt outstanding	$	49,567		$	39,203
Average net TBA portfolio outstanding - at cost	$	15,585		$	13,460
Average mortgage borrowings outstanding	$	65,152		$	52,663
Average notional amount of interest rate swaps outstanding (excluding forward starting swaps)	$	41,021		$	35,769
Ratio of average interest rate swaps to mortgage borrowings outstanding	63		%	68		%

Average interest rate swap pay-fixed rate (excluding forward starting swaps)	1.72		%	1.49		%
Average interest rate swap receive-floating rate	(1.63		)%	(0.99		)%
Average interest rate swap net pay/(receive) rate	0.09		%	0.50		%

For the three months ended March 31, 2018 and 2017 , we had an average forward starting swap balance of $3.4 billion and $0.6 billion , respectively. Forward starting interest rate swaps do not impact our economic interest expense and aggregate cost of funds until they commence accruing net interest settlements on their forward start dates. Including forward starting swaps, our average ratio of interest rate swaps outstanding to our average mortgage borrowings for the three months ended March 31, 2018 and 2017 was 68% and 69% , respectively.

Net Interest Margin

The following table presents a summary of our net interest margin (including the impact of TBA dollar roll income and interest rate swap costs and excluding "catch-up" premium amortization) for the three months ended March 31, 2018 and 2017 :



	Three Months Ended March 31,
Investment and TBA Securities - Net Interest Margin	2018		2017
Average asset yield, excluding "catch-up" premium amortization	2.94	%	2.74	%
Average aggregate cost of funds	(1.68	)%	(1.23	)%
Average net interest margin, excluding "catch-up" premium amortization	1.26	%	1.51	%

Net Spread and Dollar Roll Income

The following table presents a summary of our net spread and dollar roll income, excluding estimated "catch-up" premium amortization, per diluted common share (a non-GAAP financial measure) and a reconciliation to our net interest income (the most comparable GAAP financial measure) for the three months ended March 31, 2018 and 2017 (dollars in millions):



	Three Months Ended March 31,
	2018			2017
Net interest income (GAAP measure)	$	225		$	198
TBA dollar roll income, net ¹	62			71
Periodic interest costs of interest rate swaps, net ¹	(9		)	(45		)
Dividend income from REIT equity securities ¹	1			—
Adjusted net interest and dollar roll income	279			224
Other operating income (expense):
Management fee income	4			4
Operating expenses	(18		)	(18		)
Adjusted operating income (expense), net	(14		)	(14		)
Net spread and dollar roll income	265			210
Dividend on preferred stock	9			7
Net spread and dollar roll income available to common stockholders (non-GAAP measure)	256			203
Estimated "catch-up" premium amortization (benefit) cost due to change in CPR forecast	(21		)	9
Net spread and dollar roll income, excluding "catch-up" premium amortization, available to common stockholders (non-GAAP measure)	$	235		$	212

Weighted average number of common shares outstanding - basic	391.3			331.0
Weighted average number of common shares outstanding - diluted	391.5			331.1
Net spread and dollar roll income per common share - basic	$	0.65		$	0.61
Net spread and dollar roll income per common share - diluted	$	0.65		$	0.61
Net spread and dollar roll income, excluding "catch-up" premium amortization, per common share - basic	$	0.60		$	0.64
Net spread and dollar roll income, excluding "catch-up" premium amortization, per common share - diluted	$	0.60		$	0.64

________________________________


1.	Reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income

Net spread and dollar roll income, excluding "catch-up" premium amortization adjustments, for the three months ended March 31, 2018 decrease d $(0.04) per diluted common share, or (6)% , to $0.60 per diluted common share, compared to $0.64 per diluted common share for the prior year period, primarily due to higher funding costs.

Gain (Loss) on Investment Securities, Net

The following table is a summary of our net gain (loss) on investment securities for the three months ended March 31, 2018 and 2017 (in millions):



	Three Months Ended March 31,
Gain (Loss) on Investment Securities, Net ¹	2018			2017
Loss on sale of investment securities, net	$	(2	)	$	(84	)
Unrealized gain (loss) on investment securities measured at fair value through net income, net ²	(523		)	16
Unrealized gain (loss) on investment securities measured at fair value through other comprehensive income, net	(621		)	46
Total gain (loss) on investment securities, net	$	(1,146	)	$	(22	)

________________________________


1.	Amounts exclude gain (loss) on TBA securities, which are reported in gain (loss) on derivative instruments and other securities, net in our Consolidated Statements of Comprehensive Income.


2.	Investment securities acquired after fiscal year 2016 are measured at fair value through net income (see Note 3 of our Consolidated Financial Statements in this Form 10-Q ).

Gain (Loss) on Derivative Instruments and Other Securities, Net

The following table is a summary of our gain (loss) on derivative instruments and other securities, net for the three months ended March 31, 2018 and 2017 (in millions):



	Three Months Ended March 31,
	2018			2017
Periodic interest costs of interest rate swaps, net	$	(9	)	$	(45	)
Realized gain (loss) on derivative instruments and other securities, net:
TBA securities - dollar roll income, net	62			71
TBA securities - mark-to-market net loss	(432		)	(250		)
Payer swaptions	6			—
U.S. Treasury securities - long position	—			1
U.S. Treasury securities - short position	3			6
U.S. Treasury futures - short position	110			2
Interest rate swaps - termination fees and variation margin settlements, net	582			267
REIT equity securities	1			—
Other	—			1
Total realized gain (loss) on derivative instruments and other securities, net	332			98
Unrealized gain (loss) on derivative instruments and other securities, net:
TBA securities - mark-to-market net gain	78			218
Interest rate swaps	90			(200		)
Payer swaptions	85			(11		)
U.S. Treasury securities - short position	209			(84		)
U.S. Treasury futures - short position	(48		)	(14		)
Other	1			(2		)
Total unrealized gain (loss) on derivative instruments and other securities, net	415			(93		)
Total gain (loss) on derivative instruments and other securities, net	$	738		$	(40	)

For further details regarding our use of derivative instruments and related activity refer to Notes 3 and 6 of our Consolidated Financial Statements in this Form 10-Q .

Estimated Taxable Income

For the three months ended March 31, 2018 and 2017 , we had estimated taxable income available to common stockholders of $80 million and $30 million (or $0.20 and $0.09 per diluted common share), respectively. Income as determined under GAAP differs from income as determined under tax rules because of both temporary and permanent differences in income and expense recognition. The primary differences are (i) unrealized gains and losses on derivative instruments and other securities marked-to-market in current income for GAAP purposes, but excluded from taxable income until realized or settled, (ii) timing differences, both temporary and potentially permanent, in the recognition of certain realized gains and losses and (iii) temporary differences

related to the amortization of premiums and discounts on investments. Furthermore, our estimated taxable income is subject to potential adjustments up to the time of filing our appropriate tax returns, which occurs after the end of our fiscal year. The following is a reconciliation of our GAAP net income to our estimated taxable income for the three months ended March 31, 2018 and 2017 (dollars in millions, except per share amounts):



	Three Months Ended March 31,
	2018			2017
Net income	$	424		$	76
Estimated book to tax differences:
Premium amortization, net	(23		)	(3		)
Realized gain/loss, net	(652		)	(379		)
Net capital loss/(utilization of net capital loss carryforward)	245			276
Unrealized gain/loss, net	108			77
Other	(13		)	(10		)
Total book to tax differences	(335		)	(39		)
Estimated REIT taxable income	89			37
Dividend on preferred stock	9			7
Estimated REIT taxable income available to common stockholders	$	80		$	30
Weighted average number of common shares outstanding - basic	391.3			331.0
Weighted average number of common shares outstanding - diluted	391.5			331.1
Estimated REIT taxable income per common share - basic and diluted	$	0.20		$	0.09

Beginning cumulative non-deductible net capital loss	$	357		$	452
Net capital loss / (utilization of net capital loss carryforward)	245			276
Ending cumulative non-deductible net capital loss ¹	$	602		$	728
Ending cumulative non-deductible net capital loss per ending common share	$	1.54		$	2.20

________________________________


1.	Capital losses in excess of capital gains are not deductible from ordinary taxable income, but may be carried forward for up to five years and applied against future net capital gains. As of March 31, 2018, $0.4 B and $0.2 B of net capital losses were available through 2018 and 2023, respectively.

The following table summarizes dividends declared during the three months ended March 31, 2018 and 2017 :



	Dividends Declared per Share
Quarter Ended	Series A Preferred Stock		Series B Preferred Stock (Per Depositary Share)		Series C Preferred Stock (Per Depositary Share)		Common Stock
March 31, 2018	$	—	$	0.484375	$	0.43750	$	0.54
March 31, 2017	$	0.50000	$	0.484375	$	—	$	0.54

LIQUIDITY AND CAPITAL RESOURCES

Our primary sources of funds are borrowings under master repurchase agreements, asset sales, receipts of monthly principal and interest payments on our investment portfolio and equity offerings. We may also enter into TBA contracts to acquire or dispose of Agency RMBS and TBA dollar roll transactions to finance Agency RMBS purchases. Because the level of our borrowings can be adjusted daily, the level of cash and cash equivalents carried on our balance sheet is significantly less important than the potential liquidity available under our borrowing arrangements. Our leverage will vary periodically depending on market conditions and our assessment of risks and returns. We generally would expect our leverage to be within six to twelve times the amount of our tangible stockholders' equity. However, under certain market conditions, we may operate at leverage levels outside of this range for extended periods of time.

We currently believe that we have sufficient liquidity and capital resources available for the acquisition of additional investments, repayments on borrowings, maintenance of any margin requirements and the payment of cash dividends as required for our continued qualification as a REIT. We currently expect to distribute 100% of our taxable income so that we are not subject to U.S. Federal and state corporate income taxes. Our REIT distribution requirement of at least 90% of our taxable income limits our ability to retain earnings and thereby replenish or increase capital from operations.

Debt Capital

As of March 31, 2018 and December 31, 2017 , our mortgage borrowings consisted of the following (dollars in millions):



	March 31, 2018				December 31, 2017
Mortgage Borrowings	Amount		%		Amount		%
Repurchase agreements used to fund Agency RMBS	$	48,956	77	%	$	50,296	75	%
Debt of consolidated variable interest entities, at fair value	336		1	%	357		1	%
Total debt	49,292		78	%	50,653		76	%
Net TBA position, at cost	13,529		22	%	15,739		24	%
Total mortgage borrowings	$	62,821	100	%	$	66,392	100	%

Our tangible net book value "at risk" leverage was 8.2 x and 8.1 x as of March 31, 2018 and December 31, 2017 , respectively, measured as the sum of our total mortgage borrowings, net payable / (receivable) for unsettled investment securities divided by the sum of our total stockholders' equity adjusted to exclude goodwill and other intangible assets and investments in REIT securities.

Repurchase Agreements

As part of our investment strategy, we borrow against our investment portfolio pursuant to master repurchase agreements. We expect that the majority of our borrowings under repurchase agreements will have maturities ranging up to one year, but may have terms ranging up to five years or longer. Borrowings with maturities greater than one year typically have floating rates of interest based on LIBOR plus or minus a fixed spread.

As of March 31, 2018 , we had $49.0 billion of repurchase agreements outstanding used to fund acquisitions of investment securities with a weighted average cost of funds of 1.82% and a weighted average remaining days-to-maturity of 109 days, compared $ 50.3 billion , 1.57% and 116 days, respectively, as of December 31, 2017 .

To limit our counterparty exposure, we diversify our funding across multiple counterparties and by counterparty region. As of March 31, 2018 , we had master repurchase agreements with 46 financial institutions located throughout North America, Europe and Asia, including counterparties accessed through our wholly-owned captive broker-dealer subsidiary, BES. BES has direct access to bilateral and triparty funding, including the General Collateral Finance Repo service offered by the Fixed Income Clearing Corporation, or "FICC," which provides us greater depth and diversity of funding at favorable terms relative to traditional bilateral repurchase agreement funding. As of March 31, 2018 , $18.8 billion of our repurchase agreement funding was sourced through BES.

The table below includes a summary of our Agency RMBS repurchase agreement funding by number of repo counterparties and counterparty region as of March 31, 2018 . For further details regarding our borrowings under repurchase agreements as of March 31, 2018 , please refer to Notes 5 and 7 to our Consolidated Financial Statements in this Form 10-Q .



	March 31, 2018
Counter-Party Region	Number of Counter-Parties	Percent of Agency RMBS Repurchase Agreement Funding
North America:
FICC	1	35%
Other	26	44%
Total North America	27	79%
Europe	14	13%
Asia	5	8%
Total	46	100%

Amounts available to be borrowed under our repurchase agreements are dependent upon lender collateral requirements and the lender's determination of the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, credit quality and liquidity conditions within the investment banking, mortgage finance and real estate industries. In addition, our counterparties apply a "haircut" to our pledged collateral, which means our collateral is valued at slightly less than market value. This haircut reflects the underlying risk of the specific collateral and protects our counterparty against a change in its value, but

conversely subjects us to counterparty credit risk and limits the amount we can borrow against our investment securities. Our master repurchase agreements do not specify the haircut; rather haircuts are determined on an individual repurchase transaction basis. Throughout the three months ended March 31, 2018 , haircuts on our pledged collateral remained stable and, as of March 31, 2018 , our weighted average haircut was approximately 4.2% of the value of our collateral, inclusive of collateral funded through BES. As of March 31, 2018 , our maximum amount at risk (or the amount of our repurchase liabilities in excess of the value of collateral pledged) with any counterparty related to our repurchase agreements was less than 5% of our tangible stockholders' equity, and our top five repo counterparties represented less than 15% of our tangible stockholders' equity.

We may be required to pledge additional assets to our counterparties in the event the estimated fair value of the existing collateral pledged under our agreements declines and our counterparties demand additional collateral (a "margin call"), which may take the form of additional securities or cash. Specifically, margin calls would result from a decline in the fair value of our investment securities securing our repurchase agreements as well as due to prepayments on the mortgages securing such securities. Similarly, if the estimated fair value of our investment securities increases due to changes in interest rates or other factors, counterparties may release collateral back to us. Our repurchase agreements generally provide that the valuations of securities securing our repurchase agreements are to be obtained from a generally recognized source agreed to by the parties. In certain circumstances, however, our lenders have the sole discretion to determine the value of pledged collateral. In such instances, our lenders are required to act in good faith in making determinations of value. Our repurchase agreements generally provide that in the event of a margin call, we must provide additional securities or cash on the same business day that a margin call is made if the lender provides us notice prior to the margin notice deadline on such day.

As of March 31, 2018 , we had met all of our margin requirements and we had unrestricted cash and cash equivalents of $1.0 billion and unpledged securities of approximately $3.5 billion , including securities pledged to us and unpledged interests in our consolidated VIEs, available to meet margin calls on our repurchase agreements and other funding liabilities, derivative instruments and for other corporate purposes.

Although we believe we will have adequate sources of liquidity available to us through repurchase agreement financing to execute our business strategy, there can be no assurances that repurchase agreement financing will be available to us upon the maturity of our current repurchase agreements to allow us to renew or replace our repurchase agreement financing on favorable terms or at all. If our repurchase agreement lenders default on their obligations to resell the underlying collateral back to us at the end of the term, we could incur a loss equal to the difference between the value of the collateral and the cash we originally received.

To help manage the adverse impact of interest rate changes on the value of our investment portfolio as well as our cash flows, we utilize an interest rate risk management strategy under which we use derivative financial instruments. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing at a faster rate than the earnings of our long-term fixed rate assets during a period of rising interest rates. The primary derivative instruments that we use are interest rate swaps, interest rate swaptions, U.S. Treasury securities and U.S. Treasury futures contracts. Please refer to Notes 3 and 6 to our Consolidated Financial Statements in this Form 10-Q for further details regarding our use of derivative instruments.

As with repurchase agreements, our derivative agreements typically require that we pledge/receive collateral to/from our counterparties. Our counterparties, or the central clearing agency, typically have the sole discretion to determine the value of the derivative instruments and the value of the collateral securing such instruments. In the event of a margin call, we must provide additional collateral generally on the same or next business day. We minimize counterparty credit risk associated with our derivative instruments by limiting our counterparties to central clearing exchanges and major financial institutions with acceptable credit ratings and by monitoring positions with individual counterparties. Excluding centrally cleared derivative instruments, as of March 31, 2018 , our amount at risk with any counterparty related to our interest rate swap and swaption agreements was less than 1% of our stockholders' equity. In the case of centrally cleared derivative instruments, we could be exposed to credit risk if the central clearing agency or a clearing member defaults on its respective obligation to perform under the contract. However, we believe that the risk is minimal due to the exchanges' initial and daily mark to market margin requirements and clearinghouse guarantee funds and other resources that are available in the event of a clearing member default.

TBA Dollar Roll Transactions

TBA dollar roll transactions represent a form of off-balance sheet financing accounted for as derivative instruments. We may also use TBAs to leverage (or deleverage) our investment portfolio using long (or short) TBA contracts (see Notes 3 and 6 to our Consolidated Financial Statements in this Form 10-Q additional details on of our TBA transactions).

Under certain market conditions, it may be uneconomical for us to roll our TBA contracts into future months and we may need to take or make physical delivery of the underlying securities. If we were required to take physical delivery to settle a long TBA contract, we would have to fund our total purchase commitment with cash or other financing sources and our liquidity position could be negatively impacted. As of March 31, 2018 , we had a net long TBA position with a total market value of $13.6 billion

and a net carrying value of $82 million recognized in derivative assets/(liabilities), at fair value, on our Consolidated Balance Sheets in this Form 10-Q .

Our TBA dollar roll contracts are also subject to margin requirements governed by the Mortgage-Backed Securities Division ("MBSD") of the FICC and by our prime brokerage agreements, which may establish margin levels in excess of the MBSD. Such provisions require that we establish an initial margin based on the notional value of the TBA contract, which is subject to increase if the estimated fair value of our TBA contract or the estimated fair value of our pledged collateral declines. The MBSD has the sole discretion to determine the value of our TBA contracts and of the pledged collateral securing such contracts. In the event of a margin call, we must generally provide additional collateral on the same business day.

Settlement of our TBA obligations by taking delivery of the underlying securities as well as satisfying margin requirements could negatively impact our liquidity position. However, since we do not use TBA dollar roll transactions as our primary source of financing, we believe that we will have adequate sources of liquidity to meet such obligations.

Bethesda Securities Regulatory Capital Requirements

BES is subject to regulations of the securities business that include but are not limited to trade practices, capital structure, recordkeeping and conduct of directors, officers and employees. As a self-clearing registered broker-dealer, BES is required to maintain minimum net regulatory capital as defined by SEC Rule 15c3-1 (the "Rule"). As of March 31, 2018 , the minimum net capital required was $0.3 million and BES had excess net capital of $264.1 million. Regulatory capital in excess of the minimum required by the Rule is held to meet levels required by clearing organizations, the clearing bank and other repo counterparties.

Asset Sales and TBA Eligible Securities

We maintain a portfolio of highly liquid mortgage-backed securities. We may sell our Agency securities through the TBA market by delivering them into TBA contracts, subject to "good delivery" provisions promulgated by the Securities Industry and Financial Markets Association ("SIFMA"). We may alternatively sell Agency securities that have more unique attributes on a specified basis when such securities trade at a premium over generic TBA securities or if the securities are not otherwise eligible for TBA delivery. Since the TBA market is the second most liquid market (after the U.S. Treasury market), maintaining a significant level of Agency securities eligible for TBA delivery enhances our liquidity profile and provides price support for our TBA eligible securities at or above generic TBA prices. As of March 31, 2018 , approximately 90% of our fixed rate Agency RMBS portfolio was eligible for TBA delivery.

Equity Capital

To the extent we raise additional equity capital we may use cash proceeds from such transactions to purchase additional investment securities, make scheduled payments of principal and interest on our funding liabilities and/or for other general corporate purposes. There can be no assurance, however, that we will be able to raise additional equity capital at any particular time or on any particular terms. Furthermore, when the trading price of our common stock is significantly less than our estimate of our current tangible net book value per common share, among other conditions, we may repurchase shares of our common stock, subject to the provisions of a stock repurchase program in effect at such time.

OFF-BALANCE SHEET ARRANGEMENTS

As of March 31, 2018 , we did not maintain relationships with unconsolidated entities or financial partnerships, such as entities often referred to as structured finance, or special purpose or variable interest entities, established to facilitate off-balance sheet arrangements or other contractually narrow or limited purposes. Additionally, as of March 31, 2018 , we had not guaranteed obligations of unconsolidated entities or entered into a commitment or intent to provide funding to such entities.

FORWARD-LOOKING STATEMENTS

This document contains forward looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. These forward looking statements are based on estimates, projections, beliefs and assumptions of our management as of the date of this Quarterly Report on Form 10-Q and involve risks and uncertainties in predicting future results and conditions. Our actual performance could differ materially from those projected or anticipated in any forward looking statements due to a variety of factors, including, without limitation, changes in interest rates, the yield curve or prepayment rates; the availability and terms of financing; changes in the market value of our assets; the effectiveness of our risk mitigation strategies; conditions in the market for Agency and other mortgage securities; or legislative or regulatory changes that affect our status as a REIT or our exemption from the Investment Company Act of 1940 or that affect the GSE’s or secondary mortgage market in which we participate. A discussion of risks and uncertainties that could cause actual results to differ from any of our forward looking statements is

included in our most recent Annual Report on Form 10-K and this document under Item 1A. Risk Factors . We caution readers not to place undue reliance on our forward looking statements.

Item 3. Quantitative and Qualitative Disclosures about Market Risk

Market risk is the exposure to loss resulting from changes in market factors such as interest rates, foreign currency exchange rates, commodity prices and equity prices. The primary market risks that we are exposed to are interest rate, prepayment, spread, liquidity, extension and credit risk.

Interest Rate Risk

Interest rates are highly sensitive to many factors, including fiscal and monetary policies and domestic and international economic and political considerations, as well as other factors beyond our control. We are subject to interest rate risk in connection with our assets and related financing obligations. Subject to maintaining our qualification as a REIT, we engage in a variety of interest rate management techniques to mitigate the influence of interest rate changes on our net interest income and fluctuations of our net asset value.

We seek to hedge interest rate risk with respect to both the fixed income nature of our assets and short-term, variable rate nature of our financing. In hedging interest rates with respect to our fixed income assets, we attempt to reduce the risk of losses on the value of our investments that may result from changes in interest rates in the broader markets. In utilizing interest rate hedges with respect to our financing, we attempt to improve risk-adjusted returns and, where possible, to obtain a favorable spread between the yield on our assets and the cost of our financing. The principal instruments that we use to hedge our interest rate risk are interest rate swaps, swaptions, U.S. Treasury securities and U.S. Treasury futures contracts.

Our operating results depend in large part on differences between the income earned on our assets and our cost of borrowing and hedging activities. The costs associated with our borrowings are generally based on prevailing market interest rates. During a period of rising interest rates, our borrowing costs generally will increase while the yields earned on our existing portfolio of leveraged fixed-rate assets will largely remain static. This can result in a decline in our net interest margin. The severity of any such decline would depend on our asset, liability and hedge composition at the time, as well as the magnitude and duration of the interest rate increase.

Changes in the level of interest rates can also affect the rate of mortgage prepayments and the value of our assets. Our hedging techniques are highly complex and are partly based on assumed levels of prepayments of our assets. If prepayments are slower or faster than assumed, the maturity our investments will also differ from our expectations, which could reduce the effectiveness of our hedging strategies and may cause losses on such transactions and adversely affect our cash flow.

Primary measures of an instrument's price sensitivity to interest rate fluctuations are its duration and convexity. Duration measures the estimated percentage change in market value of our assets or our hedge portfolio that would be caused by a parallel change in short and long-term interest rates. The duration of our assets changes with interest rates and tends to increase when interest rates rise and decrease when interest rates fall. This "negative convexity" generally increases the interest rate exposure of our investment portfolio in excess of what is measured by duration alone.

We estimate the duration and convexity of our assets using both a third-party risk management system and market data. We review the duration estimates from the third-party model and may make adjustments based on our judgment to better reflect any unique characteristics and market trading conventions associated with certain types of securities.

The table below quantifies the estimated changes in (i) net interest income (including periodic interest costs on our interest rate swaps); (ii) the fair value of our investment portfolio (including derivatives and other securities used for hedging purposes); and (iii) our tangible net book value as of March 31, 2018 and December 31, 2017 should interest rates go up or down by 50 and 100 basis points, assuming instantaneous parallel shifts in the yield curve and including the impact of both duration and convexity. All changes in income and value in the table below are measured as percentage changes from the base interest rate scenario. The base interest rate scenario assumes interest rates and prepayment projections as of March 31, 2018 and December 31, 2017 .

To the extent that these estimates or other assumptions do not hold true, which is likely in a period of high volatility, actual results could differ materially from our projections. Moreover, if different models were employed in the analysis, materially different projections could result. Lastly, while the table below reflects the estimated impact of interest rate changes on a static portfolio, we actively manage our portfolio and we continuously adjust the size and composition of our asset and hedge portfolio.



Interest Rate Sensitivity ¹
	Percentage Change in Projected
Change in Interest Rate	Net Interest Income ²	Portfolio Market Value ^3,4	Tangible Net Asset Value ^3,5
As of March 31, 2018
-100 Basis Points	-7.1%	-0.1%	-1.4%
-50 Basis Points	-2.8%	+0.1%	+1.2%
+50 Basis Points	+0.7%	-0.4%	-3.9%
+100 Basis Points	+1.6%	-1.0%	-9.8%

As of December 31, 2017
-100 Basis Points	-10.4%	-1.0%	-9.1%
-50 Basis Points	-3.9%	-0.2%	-1.9%
+50 Basis Points	+0.4%	-0.2%	-2.0%
+100 Basis Points	+0.2%	-0.7%	-6.6%

________________________________


1.	Interest rate sensitivity is derived from models that are dependent on inputs and assumptions provided by third parties, assumes there are no changes in mortgage spreads and assumes a static portfolio. Actual results could differ materially from these estimates.

Represents the estimated dollar change in net interest income expressed as a percent of net interest income based on asset yields and cost of funds as of such date. It includes the effect of periodic interest costs on our interest rate swaps, but excludes costs associated with our forward starting swaps and other supplemental hedges, such as swaptions and U.S. Treasury securities. Amounts also exclude costs associated with our TBA position and TBA dollar roll income/loss, which are accounted for as derivative instruments in accordance with GAAP. Base case scenario assumes interest rates and forecasted CPR of 7.6% and 8.4% as of March 31, 2018 and December 31, 2017 , respectively. As of March 31, 2018 , rate shock scenarios assume a forecasted CPR of 10% , 8% , 7% and 6% for the -100, -50, +50 and +100 basis points scenarios, respectively. As of December 31, 2017 , rate shock scenarios assume a forecasted CPR of 13% , 10% , 7% and 7% for such scenarios, respectively. Estimated dollar change in net interest income does not include the impact of retroactive "catch-up" premium amortization adjustments due to changes in our forecasted CPR.


3.	Includes the effect of derivatives and other securities used for hedging purposes.


4.	Estimated dollar change in investment portfolio value expressed as a percent of the total fair value of our investment portfolio as of such date.


5.	Estimated dollar change in portfolio value expressed as a percent of tangible stockholders' equity, net of the aggregate preferred stock liquidation preference, as of such date.

Prepayment Risk

Prepayment risk is the risk that our assets will be repaid at a faster rate than anticipated. Interest rates and numerous other factors affect the rate of prepayments, including housing prices, general economic conditions, loan age, size and loan-to-value ratios, and the pace of GSE buyouts of delinquent loans underlying our securities among other factors. Generally, prepayments increase during periods of falling mortgage interest rates and decrease during periods of rising mortgage interest rates. However, this may not always be the case.

If our assets prepay at a faster rate than anticipated, we may be unable to reinvest the repayments at acceptable yields. If the proceeds are reinvested at lower yields than our existing assets, our net interest income would be negatively impacted. We also amortize or accrete premiums and discounts we pay or receive at purchase relative to the stated principal of our assets into interest income over their projected lives using the effective interest method. If the actual and estimated future prepayment experience differs from our prior estimates, we are required to record an adjustment to interest income for the impact of the cumulative difference in the effective yield.

Extension Risk

Extension risk is the risk that our assets will be repaid at a slower rate than anticipated and generally increases when interest rates rise. In which case, we may have to finance our investments at potentially higher costs without the ability to reinvest principal into higher yielding securities because borrowers prepay their mortgages at a slower pace than originally expected, adversely impacting our net interest margin, and thus our net interest income.

Spread Risk

Spread risk is the risk that the market spread between the yield on our assets and the yield on benchmark interest rates linked to our interest rate hedges, such as U.S. Treasury rates and interest rate swap rates, may vary. The inherent spread risk associated with our investment securities and the resulting fluctuations in fair value of these securities can occur independent of interest rates and may relate to other factors impacting the mortgage and fixed income markets, such as actual or anticipated monetary policy actions by the Fed, liquidity, or changes in required rates of return on different assets. Our strategies are generally

not specifically designed to protect against spread risk, thus while we use interest rate swaps and other hedges to attempt to protect against moves in interest rates, our hedges will typically not protect our net book value against spread risk and our tangible net book value could decline if spreads widen.

The table below quantifies the estimated changes in the fair value of our assets, net of hedges, and our tangible net book value as of March 31, 2018 and December 31, 2017 should spreads widen or tighten by 10 and 25 basis points. The estimated impact of changes in spreads is in addition to our interest rate shock sensitivity included in the interest rate shock table above. The table below assumes a spread duration of 5.7 and 5.3 years as of March 31, 2018 and December 31, 2017 , respectively, based on interest rates and prices as of such dates. However, our portfolio's sensitivity of mortgage spread changes will vary with changes in interest rates and in the size and composition of our portfolio. Therefore, actual results could differ materially from our estimates.



Spread Sensitivity ¹
	Percentage Change in Projected
Change in MBS Spread	Portfolio Market Value ^2,3	Tangible Net Asset Value ^2,4
As of March 31, 2018
-25 Basis Points	+1.4%	+13.4%
-10 Basis Points	+0.6%	+5.4%
+10 Basis Points	-0.6%	-5.4%
+25 Basis Points	-1.4%	-13.4%

As of December 31, 2017
-25 Basis Points	+1.3%	+12.6%
-10 Basis Points	+0.5%	+5.0%
+10 Basis Points	-0.5%	-5.0%
+25 Basis Points	-1.3%	-12.6%

________________________________


1.	Spread sensitivity is derived from models that are dependent on inputs and assumptions provided by third parties, assumes there are no changes in interest rates and assumes a static portfolio. Actual results could differ materially from these estimates.


2.	Includes the effect of derivatives and other securities used for hedging purposes.


3.	Estimated dollar change in investment portfolio value expressed as a percent of the total fair value of our investment portfolio as of such date.


4.	Estimated dollar change in portfolio value expressed as a percent of tangible stockholders' equity, net of the aggregate preferred stock liquidation preference, as of such date.

Liquidity Risk

Our liquidity risk principally arises from financing long-term fixed rate assets with shorter-term variable rate borrowings. As of March 31, 2018 , we had unrestricted cash and cash equivalents of $1.0 billion and unpledged securities of approximately $3.5 billion available to meet margin calls on our funding liabilities and derivative contracts and for other corporate purposes. However, should the value of our collateral or the value of our derivative instruments suddenly decrease, margin calls relating to our funding liabilities and derivative agreements could increase, causing an adverse change in our liquidity position. Furthermore, there is no assurance that we will always be able to renew (or roll) our short-term funding liabilities. In addition, our counterparties have the option to increase our haircuts (margin requirements) on the assets we pledge against our funding liabilities, thereby reducing the amount that can be borrowed against an asset even if they agree to renew or roll our funding liabilities. Significantly higher haircuts can reduce our ability to leverage our portfolio or even force us to sell assets, especially if correlated with asset price declines or faster prepayment rates on our assets.

In addition, we often utilize TBA dollar roll transactions to invest in and finance Agency RMBS. Under certain conditions it may be uneconomical to roll our TBA dollar roll transactions beyond the next settlement date and we could have to take physical delivery of the underlying securities and settle our obligations for cash, which could negatively impact our liquidity position, result in defaults or force us to sell assets under adverse conditions.

Credit Risk

Credit risk is the risk that we may not receive full repayment of principal, interest or other remuneration related to credit sensitive instruments. Investments in CRT and non-Agency securities expose us to credit risk. We are also exposed to credit risk in the event our derivative counterparties do not perform under the terms of our derivative agreements or in the event our repurchase agreement counterparties default on their obligations to resell the underlying collateral back to us at the end of the repo term.

We accept credit exposure related to our credit sensitive assets at levels we deem to be prudent within the context of our overall investment strategy. We attempt to manage this risk through prudent asset selection, pre-acquisition due diligence, post-acquisition performance monitoring, and sale of assets where we identify negative credit trends. We may also manage credit risk with credit default swaps or other financial derivatives that we believe are appropriate. Additionally, we may vary the mix of our interest rate and credit sensitive assets or our duration gap to adjust our credit exposure and/or improve the return profile of our assets, such as when we believe credit performance is inversely correlated with changes in interest rates. Our credit risk related to derivative and repurchase agreement transactions is largely mitigated by limiting our counterparties to major financial institutions with acceptable credit ratings and monitoring concentration levels with any one counterparty. We also monitor and adjust the amount of collateral pledged based on changes in market value.

There is no guarantee that our efforts to manage credit risk will be successful and we could suffer losses if credit performance is worse than our expectations or our counterparties default on their obligations. As of March 31, 2018 , our amount at risk with any counterparty related to our repurchase agreements was less than 5% of our tangible stockholders' equity and our maximum amount at risk with any counterparty related to our interest rate swap and swaption agreements, excluding centrally cleared swaps, was less than 1% of our stockholders' equity.

Item 4. Controls and Procedures

We maintain disclosure controls and procedures that are designed to ensure that information required to be disclosed in our Securities Exchange Act of 1934, as amended (the "Exchange Act") reports is recorded, processed, summarized and reported within the time periods specified in the SEC's rules and forms, and that such information is accumulated and communicated to our management, including our Chief Executive Officer and Chief Financial Officer, as appropriate, to allow timely decisions regarding required disclosure based on the definition of "disclosure controls and procedures" as promulgated under the Exchange Act and the rules and regulations thereunder. In designing and evaluating the disclosure controls and procedures, management recognized that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives, and management necessarily was required to apply its judgment in evaluating the cost-benefit relationship of possible controls and procedures.

We, including our Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of our disclosure controls and procedures as of March 31, 2018 . Based on the foregoing, our Chief Executive Officer and Chief Financial Officer concluded that our disclosure controls and procedures were effective.

Changes in Internal Control over Financial Reporting

There have been no changes in our "internal control over financial reporting" (as defined in Rule 13a-15(f) of the Exchange Act) that occurred during the last fiscal quarter that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

PART II. OTHER INFORMATION

Item 1. Legal Proceedings

AGNC is named as a nominal defendant in three stockholder derivative lawsuits filed against the Company and certain of our current and former directors and officers. There have been no material changes to such matters previously disclosed in our Annual Report on Form 10-K for the year ended December 31, 2017. We believe the claims in these lawsuits lack merit, and we expect that the defendants will vigorously defend them. See also "Loss Contingencies" in Note 3 to our Consolidated Financial Statements included in this Form 10-Q .

Item 1A. Risk Factors

There have been no material changes to the risk factors previously disclosed in our Annual Report on Form 10-K for the year ended December 31, 2017.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

None.

Item 3. Defaults upon Senior Securities

None.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

None.

Item 6. Exhibits and Financial Statement Schedules

(a) Exhibit Index



Exhibit No.	Description

3.1	AGNC Investment Corp. Amended and Restated Certificate of Incorporation, as amended, filed herewith.

*3.2	AGNC Investment Corp. Third Amended and Restated Bylaws, as amended, incorporated herein by reference to Exhibit 3.2 of Form 10-Q for the quarter ended September 30, 2016 (File No. 001-34057), filed November 7, 2016.

*3.3	Certificate of Designations of 7.750% Series B Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.4 of Form 8-A (File No. 001-34057), filed May 7, 2014.

*3.4	Certificate of Designations of 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.5 of Form 8-A (File No. 001-34057), filed August 18, 2017.

*3.5	Certificate of Elimination of 8.000% Series A Cumulative Redeemable Preferred Stock, incorporated herein by reference to Exhibit 3.1 of Form 8-K (File No 001-34057), filed October 26, 2017.

*4.1	Instruments defining the rights of holders of securities: See Article IV of our Amended and Restated Certificate of Incorporation, as amended, incorporated herein by reference to Exhibit 3.1 of Form 10-Q for the quarter ended September 30, 2016 (File No. 001-34057) filed November 7, 2016.

*4.2	Instruments defining the rights of holders of securities: See Article VI of our Third Amended and Restated Bylaws, as amended, incorporated herein by reference to Exhibit 3.2 of Form 10-Q for the quarter ended September 30, 2016 (File No. 001-34057) filed November 7, 2016.

*4.3	Form of Certificate for Common Stock, incorporated herein by reference to Exhibit 4.3 of Form 10-Q for the quarter ended September 30, 2016 (File No. 001-34057), filed November 7, 2016.

*4.4	Specimen 7.750% Series B Cumulative Redeemable Preferred Stock Certificate, incorporated herein by reference to Exhibit 4.1 of Form 8-A (File No. 001-34057), filed May 7, 2014.

*4.5	Specimen 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock Certificate, incorporated herein by reference to Exhibit 4.1 of Form 8-A (File No. 001-34057), filed August 18, 2017.



*4.6	Deposit Agreement relating to 7.750% Series B Cumulative Redeemable Preferred Stock, dated May 8, 2014, among American Capital Agency Corp., Computershare Inc. and Computershare Trust Company, N.A., jointly as depositary, incorporated herein by reference to Exhibit 4.2 of Form 8-K (File No. 001-34057), filed May 8, 2014.

*4.7	Form of Depositary Receipt representing 1/1,000th of a share of 7.750% Series B Cumulative Redeemable Preferred Stock (included as part of Exhibit 4.6), incorporated herein by reference to Exhibit A of Exhibit 4.2 of Form 8-K (File No. 001-34057), filed May 8, 2014.

*4.8	Deposit Agreement relating to 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, dated August 22, 2017, among AGNC Investment Corp., Computershare Inc. and Computershare Trust Company, N.A., jointly as depositary, incorporated herein by reference to Exhibit 4.2 of Form 8-K (File No. 001-34057) filed August 22, 2017.

*4.9	Form of Depositary Receipt representing 1/1,000th of a share of 7.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (included as part of Exhibit 4.8), incorporated herein by reference to Exhibit A of Exhibit 4.2 of Form 8-K (File No. 001-34057) filed August 22, 2017.

31.1	Certification of CEO Pursuant to Section 302(a) of the Sarbanes-Oxley Act of 2002.

31.2	Certification of CFO Pursuant to Section 302(a) of the Sarbanes-Oxley Act of 2002.

32	Certification of CEO and CFO Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

101.INS**	XBRL Instance Document

101.SCH**	XBRL Taxonomy Extension Schema Document

101.CAL**	XBRL Taxonomy Extension Calculation Linkbase Document

101.LAB**	XBRL Taxonomy Extension Labels Linkbase Document

101.PRE**	XBRL Taxonomy Extension Presentation Linkbase Document

101.DEF**	XBRL Taxonomy Extension Definition Linkbase Document

________________________________

* Previously filed


**	This exhibit is being furnished rather than filed, and shall not be deemed incorporated by reference into any filing, in accordance with Item 601 of Regulation S-K


(b)	Exhibits


	See the exhibits filed herewith.


(c)	Additional financial statement schedules


	None.

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Company has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.



		AGNC I NVESTMENT C ORP .

		By:	/s/ G ARY D. K AIN
			Gary D. Kain Chief Executive Officer and Chief Investment Officer (Principal Executive Officer)
Date:	May 7, 2018

			/s/ B ERNICE E. B ELL
			Bernice E. Bell Senior Vice President and Chief Financial Officer (Principal Financial Officer)
Date:	May 7, 2018

Exhibit 3.1

AMENDED AND RESTATED

CERTIFICATE OF INCORPORATION

AGNC INVESTMENT CORP.

As amended and in effect through April 26, 2018

ARTICLE I

NAME

The name of the Corporation is AGNC Investment Corp.

ARTICLE II

ADDRESS OF REGISTERED OFFICE; NAME OF REGISTERED AGENT

The address of the registered office of the Corporation in the State of Delaware is 1209 Orange Street, in the City of Wilmington, County of New Castle. The name of its registered agent at that address is The Corporation Trust Company.

ARTICLE III

PURPOSE AND POWER

The purpose of the Corporation is to engage in any lawful act or activity for which a corporation may be organized under the General Corporation Law.

ARTICLE IV

CAPITAL STOCK

Section 4.1. Total Number of Shares of Capital Stock. The total number of shares of capital stock of all classes that the Corporation shall have authority to issue is 910,000,000 shares. The authorized stock is divided into 10,000,000 shares of preferred stock, with the par value of $0.01 each (the “Preferred Stock”), and 900,000,000 shares of common stock, with the par value of $0.01 each (the “Common Stock”). The Board of Directors of the Corporation (the “Board of Directors”) may classify any unissued shares of stock and reclassify any previously classified but unissued shares of stock from time to time, in one or more classes or series of stock.

Section 4.2 Preferred Stock. Authority is hereby expressly granted to the Board of Directors of the Corporation (the "Board of Directors"), subject to the provisions of this Article IV and to the limitations prescribed by the General Corporation Law, to authorize the issue of one or more classes of Preferred Stock and, with respect to each such class, to fix by resolution or resolutions providing for the issue of such class the voting powers, full or limited, if any, of the shares of such class, the designations, preferences and relative, participating, optional or other special rights, and qualifications, limitations or restrictions thereof. The authority of the Board of Directors with respect to each class thereof shall include, but not be limited to, the determination or fixing of the following:

(a) the designation of such class;

(b) the number of shares to compose such class, which number the Board of Directors may thereafter (except where otherwise provided in a resolution designating a particular class) increase (but not above the total number of authorized shares of the class) or decrease (but not below the number of shares thereof then outstanding);

(c) the dividend rate of such class, the conditions and dates upon which such dividends shall be payable, the relation which such dividends shall bear to the dividends payable on any other class or classes of capital stock of the Corporation and whether such dividends shall be cumulative or noncumulative;

(d) whether the shares of such class shall be subject to redemption by the Corporation and, if made subject to such redemption, the times, prices and other terms and conditions of such redemption;

(e) the terms and amount of any sinking fund provided for the purchase or redemption of the shares of such class;

(f) whether the shares of such class shall be convertible into or exchangeable for shares of any other class or classes of any capital stock or any other securities of the Corporation, and, if provision is made for conversion or exchange, the times, prices, rates, adjustments and other terms and conditions of such conversion or exchange;

(g) the extent, if any, to which the holders of shares of such class shall be entitled to vote with respect to the election of directors or otherwise;

(h) the restrictions, if any, on the issue or reissue of any additional Preferred Stock;

(i) the rights of the holders of the shares of such class upon the dissolution of, voluntary or involuntary liquidation, winding up or upon the distribution of assets of the Corporation; and

(j) the manner in which any facts ascertainable outside the resolution or resolutions providing for the issue of such class shall operate upon the voting powers, designations, preferences, rights and qualifications, limitations or restrictions of such class.

Section 4.3 Common Stock. (a) Subject to all of the rights of the holders of Preferred Stock provided for by resolution or resolutions of the Board of Directors pursuant to this Article IV or by the General Corporation Law, each holder of Common Stock shall have one vote per share of Common Stock held by such holder on all matters on which holders of Common Stock are entitled to vote and shall have the right to receive notice of and to vote at all meetings of the stockholders of the Corporation.

(b) The holders of Common Stock shall have the right to receive dividends as and when declared by the Board of Directors in its sole discretion, subject to any limitations on the declaring of dividends imposed by the General Corporation Law or the rights of holders of Preferred Stock provided for by resolution or resolutions of the Board of Directors pursuant to this Article IV.

(c) Stockholders shall not have preemptive rights to acquire additional shares of stock of any class which the Corporation may elect to issue or sell.

Section 4.4 Issuance of Rights to Purchase Securities and Other Property. Subject to all of the rights of the holders of Preferred Stock provided for by resolution or resolutions of the Board of Directors pursuant to this Article IV or by the General Corporation Law, the Board of Directors is hereby authorized to create and to authorize and direct the issuance (on either a pro rata or a non-pro rata basis) by the Corporation of rights, options and warrants for the purchase of shares of capital stock of the Corporation, other securities of the Corporation or shares or other securities of any successor in interest of the Corporation (a "Successor"), at such times, in such amounts, to such persons, for such consideration, with such form and content (including without limitation the consideration for which any shares of capital stock of the Corporation, other securities of the Corporation or shares or other securities of any Successor are to be issued) and upon such terms and conditions as it may from time to time determine, subject only to the restrictions, limitations, conditions and requirements imposed by the General Corporation Law, other applicable laws and this Certificate of Incorporation.

Section 4.5 Certificate of Incorporation and By-laws. All persons who shall acquire stock in the Corporation shall acquire the same subject to the provisions of the Certificate of Incorporation and the By-laws of the Corporation (the "By-laws").

ARTICLE V

BOARD OF DIRECTORS

Section 5.1 Power of the Board of Directors. The business and affairs of the Corporation shall be managed by or under the direction of its Board of Directors. In furtherance, and not in limitation, of the powers conferred by the General Corporation Law, the Board of Directors is expressly authorized to:

(a) adopt, amend, alter, change or repeal the By-laws; provided, however, that no By-laws hereafter adopted shall invalidate any prior act of the directors that was valid at the time such action was taken;

(b) determine the rights, powers, duties, rules and procedures that affect the power of the Board of Directors to manage and direct the business and affairs of the Corporation, including the power to designate and empower committees of the Board of Directors to elect, appoint and empower the officers and other agents of the Corporation, and to determine the time and place of, and the notice requirements for, Board meetings, as well as quorum and voting requirements for, and the manner of taking, Board action; and

(c) exercise all such powers and do all such acts as may be exercised or done by the Corporation, subject to the provisions of the General Corporation Law, this Certificate of Incorporation and the By-laws.

Section 5.2 Number of Directors. The number of directors constituting the Board of Directors shall be as specified in the By-laws of the Corporation.

Section 5.3 Classes, Election and Term. The directors shall be elected by the stockholders at each annual meeting of the stockholders for a one-year term. The term of all current directors will end at the 2009 annual meeting of stockholders. Commencing with the 2009 annual meeting of stockholders, each director shall hold office for a one-year term and until such director's successor shall have been duly elected and qualified.

Section 5.4 Vacancies. Any vacancies in the Board of Directors for any reason and any newly created directorships resulting by reason of any increase in the number of directors may be filled only by the Board of Directors, acting by a majority of the remaining directors then in office, although less than a quorum, or by a sole remaining director, and any directors so appointed shall hold office until the next annual election of directors and until their successors are duly elected and qualified.

Section 5.5 Removal of Directors. Except as may be provided in a resolution or resolutions providing for any class of Preferred Stock pursuant to Article IV hereof, with respect to any directors elected by the holders of such class, any director, or the entire Board of Directors, may be removed from office at any time with or without cause by the affirmative vote of the holders of at least sixty-six percent (66%) of the voting power of all of the shares of capital stock of the Corporation then entitled to vote generally in the election of directors, voting together as a single class.

Section 5.6 REIT Qualification. If the Corporation elects to qualify for federal income tax treatment as a REIT (as defined in Article VIII hereof), the Board of Directors shall use its reasonable best efforts to take such actions as are necessary or appropriate to preserve the qualification of the Corporation as a REIT; however, if the Board of Directors determines that it is no longer in the best interests of the Corporation to continue to be qualified as a REIT, the Board of Directors may revoke or otherwise terminate the Corporation's REIT election pursuant to Section 856(g) of the Code (as defined in Article VIII hereof). The Board of Directors also may determine that compliance with any restriction or limitation on stock ownership and transfers set forth in Article VIII hereof is no longer required for REIT qualification.

ARTICLE VI

STOCKHOLDER ACTION

Except as may be provided in a resolution or resolutions providing for any class of Preferred Stock pursuant to Article IV hereof, any action required or permitted to be taken by the stockholders of the Corporation must be effected at a duly called annual or special meeting of such holders and may not be effected by any consent in writing by such holders. Meetings of stockholders may be held within or without the State of Delaware, as the By-laws may provide. Elections of directors need not be by written ballot, unless otherwise provided in the By-laws of the Corporation.

ARTICLE VII

INDEMNIFICATION

Section 7.1 Right to Indemnification. Each person who was or is made a party or is threatened to be made a party to or is otherwise involved in any action, suit or proceeding, whether civil, criminal, administrative or investigative (hereinafter a "proceeding"), by reason of the fact:

(a) that he or she is or was a director or officer of the Corporation, or

(b) that he or she, being at the time a director or officer of the Corporation, is or was serving at the request of the Corporation as a director, trustee, officer, employee or agent of another corporation or of a partnership, joint venture, trust or other enterprise (collectively, "another enterprise" or "other enterprise"),

whether either in case (a) or in case (b) the basis of such proceeding is alleged action or inaction (x) in an official capacity as a director or officer of the Corporation, or as a director, trustee, officer, employee or agent of such other enterprise, or (y) in any other capacity related to the Corporation or such other enterprise while so serving as a director, trustee, officer, employee or agent, shall be indemnified and held harmless by the Corporation to the fullest extent not prohibited by Section 145 of the General Corporation Law, (or any successor provision or provisions, respectively) as the same exists or may hereafter be amended, respectively (but, in the case of any amendment to Section 145 of the General Corporation Law, with respect to actions taken prior to such amendment, only to the extent that such amendment permits the Corporation to provide broader indemnification rights than permitted prior thereto), against all expense, liability and loss (including, without limitation,

attorneys' fees, judgments, fines, ERISA excise taxes or penalties and amounts paid in settlement) reasonably incurred or suffered by such person in connection therewith if such person satisfied the applicable level of care to permit such indemnification under the General Corporation Law; provided however, that nothing in this Article VII shall indemnify any person to the extent that such person has committed willful misfeasance, bad faith, gross negligence or reckless disregard involved in the conduct of such person's duties to or for the Corporation. The persons indemnified by this Article VII are hereinafter referred to as "indemnities." Such indemnification as to such alleged action or inaction shall continue as to an indemnitee who has after such alleged action or inaction ceased to be a director or officer of the Corporation, or director, officer, employee or agent of another enterprise; and shall inure to the benefit of the indemnitee's heirs, executors and administrators. The right to indemnification conferred in this Article VII: (i) shall be a contract right; (ii) shall not be affected adversely as to any indemnitee by any amendment of this Certificate with respect to any action or inaction occurring prior to such amendment; and (iii) shall, subject to any requirements imposed by law and the By-laws, include the right to be paid by the Corporation the expenses incurred in defending any such proceeding in advance of its final disposition.

Section 7.2. Relationship to Other Rights and Provisions Concerning Indemnification. The rights to indemnification and to the advancement of expenses conferred in this Article VII shall not be exclusive of any other right which any person may have or hereafter acquire under any statute, this Certificate, By-laws, agreement, vote of stockholders or disinterested directors or otherwise. The By-laws may contain such other provisions concerning indemnification, including provisions specifying reasonable procedures relating to and conditions to the receipt by indemnitees of indemnification, provided that such provisions are not inconsistent with the provisions of this Article VII.

Section 7.3 Agents and Employees. The Corporation may, to the extent authorized from time to time by the Board of Directors, grant rights to indemnification, and to the advancement of expenses, to any agent of the Corporation (or any person serving at the Corporation's request as a director, trustee, officer, employee or agent of another enterprise) or to persons who are or were a director, officer, employee or agent of any of the Corporation's affiliates, predecessor or subsidiary corporations or of a constituent corporation absorbed by the Corporation in a consolidation or merger or who is or was serving at the request of such affiliate, predecessor or subsidiary corporation or of such constituent corporation as a director, officer, employee or agent of another enterprise, in each case as determined by the Board of Directors to the fullest extent of the provisions of this Article VII in cases of the indemnification and advancement of expenses of directors and officers of the Corporation, or to any lesser extent (or greater extent, if permitted by law) determined by the Board of Directors.

ARTICLE VIII

RESTRICTION ON TRANSFER AND OWNERSHIP OF SHARES

Section 8.1 Definitions. For the purpose of this Article VIII, the following terms shall have the following meanings:

Aggregate Stock Ownership Limit. The term “Aggregate Stock Ownership Limit” shall mean not more than 9.8 percent (in value or in number of shares, whichever is more restrictive) of the aggregate of the outstanding shares of Capital Stock, subject to the Board of Directors' power under Section 8.2.8 hereof to increase or decrease such percentage. The value and number of the outstanding shares of Capital Stock shall be determined by the Board of Directors of the Corporation in good faith, which determination shall be conclusive for all purposes hereof. For the purposes of determining the percentage ownership of Capital Stock by any Person, shares of Capital Stock that may be acquired upon conversion, exchange or exercise of any securities of the Corporation directly or constructively held by such Person, but not Capital Stock issuable with respect to the conversion exchange or exercise of securities for the Corporation held by other Persons shall be deemed to be outstanding prior to conversion, exchange or exercise.

Beneficial Ownership. The term “Beneficial Ownership” shall mean ownership of Capital Stock by a Person, whether the interest in the shares of Capital Stock is held directly or indirectly (including by a nominee), and shall include interests that would be treated as owned through the application of Section 544 of the Code, as modified by Sections 856(h)(1)(B) and 856(h)(3) of the Code. The terms “Beneficial Owner,” “Beneficially Owns” and “Beneficially Owned” shall have the correlative meanings.

Business Day. The term “Business Day” shall mean any day, other than a Saturday or Sunday, that is neither a legal holiday nor a day on which banking institutions in New York City are authorized or required by law, regulation or executive order to close.

Capital Stock . The term “Capital Stock” shall mean all classes or series of stock of the Corporation, including, without limitation, Common Stock and Preferred Stock.

Charitable Beneficiary. The term “Charitable Beneficiary” shall mean one or more beneficiaries of the Trust as determined pursuant to Section 8.3.6, provided that each such organization must be described in Section 501(c)(3) of the

Code and contributions to each such organization must be eligible for deduction under each of Sections 170(b)(1)(A), 2055 and 2522 of the Code.

Certificate of Incorporation. The term “Certificate of Incorporation” shall mean the Certificate of Incorporation of the Corporation.

Code. The term “Code” shall mean the Internal Revenue Code of 1986, as amended from time to time.

Common Stock Ownership Limit. The term “Common Stock Ownership Limit” shall mean not more than 9.8 percent (in value or in number of shares, whichever is more restrictive) of the aggregate of the outstanding shares of Common Stock, subject to the Board of Directors' power under Section 8.2.8 hereof to increase or decrease such percentage. The number and value of the outstanding shares of Common Stock of the Corporation shall be determined by the Board of Directors of the Corporation in good faith, which determination shall be conclusive for all purposes hereof. For purposes of determining the percentage ownership of Common Stock by any Person, shares of Common Stock that may be acquired upon conversion, exchange or exercise of any securities of the Corporation directly or constructively held by such Person, but not Common Stock issuable with respect to the conversion, exchange or exercise of securities for the Corporation held by other Persons, shall be deemed to be outstanding prior to conversion, exchange or exercise.

Constructive Ownership. The term “Constructive Ownership” shall mean ownership of Capital Stock by a Person, whether the interest in the shares of Capital Stock is held directly or indirectly (including by a nominee), and shall include interests that would be treated as owned actually or constructively through the application of Section 318(a) of the Code, as modified by Section 856(d)(5) of the Code. The terms “Constructive Owner,” “Constructively Owns” and “Constructively Owned” shall have the correlative meanings.

Excepted Holder. The term “Excepted Holder” shall mean a Person for whom an Excepted Holder Limit is created by the Certificate of Incorporation or by the Board of Directors pursuant to Section 8.2.7.

Excepted Holder Limit. The term “Excepted Holder Limit” shall mean, provided that the affected Excepted Holder agrees to comply with the requirements established by the Certificate of Incorporation or by the Board of Directors pursuant to Section 7.2.7 and subject to adjustment pursuant to Section 8.2.8, the percentage limit established for an Excepted Holder by the Board of Directors pursuant to Section 8.2.7.

Initial Date. The term “Initial Date” shall mean the date upon which the Amended and Restated Certificate of Incorporation containing this Article VIII are filed with the Delaware Secretary of State.

Market Price. The term “Market Price” on any date shall mean, with respect to any class or series of outstanding shares of Capital Stock, the Closing Price for such Capital Stock on such date. The “Closing Price” on any date shall mean the last reported sale price for such Capital Stock, regular way, or, in case no such sale takes place on such day, the average of the closing bid and asked prices, regular way, for such Capital Stock, in either case as reported in the principal consolidated transaction reporting system with respect to securities listed or admitted to trading on Nasdaq or, if such Capital Stock is not listed or admitted to trading on Nasdaq, as reported on the principal consolidated transaction reporting system with respect to securities listed on the principal national securities exchange on which such Capital Stock is listed or admitted to trading or, if such Capital Stock is not listed or admitted to trading on any national securities exchange, the last quoted price, or, if not so quoted, the average of the high bid and low asked prices in the over-the-counter market, as reported by the National Association of Securities Dealers, Inc. Automated Quotation System or, if such system is no longer in use, the principal other automated quotation system that may then be in use or, if such Capital Stock is not quoted by any such organization, the average of the closing bid and asked prices as furnished by a professional market maker making a market in such Capital Stock selected by the Board of Directors of the Corporation or, in the event that no trading price is available for such Capital Stock, the fair market value of the Capital Stock, as determined in good faith by the Board of Directors of the Corporation.

General Corporation Law. The term “General Corporation Law” shall mean the Delaware General Corporation Law, as amended from time to time.

Nasdaq. The term “Nasdaq” shall mean The NASDAQ Stock Market, Inc.

Person. The term “Person” shall mean an individual, corporation, partnership, limited liability company, estate, trust (including a trust qualified under Sections 401(a) or 501(c)(17) of the Code), a portion of a trust permanently set aside for or to be used exclusively for the purposes described in Section 642(c) of the Code, association, private foundation within the meaning of Section 509(a) of the Code, joint stock company or other entity and also includes a group as that term is used for purposes of Section 13(d)(3) of the Securities Exchange Act of 1934, as amended, and a group to which an Excepted Holder Limit applies.

Prohibited Owner. The term “Prohibited Owner” shall mean, with respect to any purported Transfer (or other event), any Person who, but for the provisions of Section 8.2.1, would Beneficially Own or Constructively Own shares of

Capital Stock in violation of the provisions of 8.2.1(a) and, if appropriate in the context, shall also mean any Person who would have been the record owner of the shares of Capital Stock that the Prohibited Owner would have so owned.

REIT. The term “REIT” shall mean a real estate investment trust within the meaning of Section 856 of the Code.

Restriction Termination Date. The term “Restriction Termination Date” shall mean the first day after the Initial Date on which the Corporation determines pursuant to Section 5.6 of the Certificate of Incorporation that it is no longer in the best interests of the Corporation to attempt to, or continue to, qualify as a REIT or that compliance with the restrictions and limitations on Beneficial Ownership, Constructive Ownership and Transfers of shares of Capital Stock set forth herein is no longer required in order for the Corporation to qualify as a REIT.

Transfer. The term “Transfer” shall mean any issuance, sale, transfer, gift, assignment, devise or other disposition, as well as any other event that causes any Person to acquire Beneficial Ownership or Constructive Ownership, or any agreement to take any such actions or cause any such events, of Capital Stock or the right to vote or receive dividends on Capital Stock, including (a) the granting or exercise of any option (or any disposition of any option), (b) any disposition of any securities or rights convertible into or exchangeable for Capital Stock or any interest in Capital Stock or any exercise of any such conversion or exchange right and (c) Transfers of interests in other entities that result in changes in Beneficial or Constructive Ownership of Capital Stock; in each case, whether voluntary or involuntary, whether owned of record, Constructively Owned or Beneficially Owned and whether by operation of law or otherwise. The terms “Transferring” and “Transferred” shall have the correlative meanings.

Trust. The term “Trust” shall mean any trust provided for in Section 8.3.1.

Trustee. The term “Trustee” shall mean the Person unaffiliated with the Corporation and a Prohibited Owner, that is appointed by the Corporation to serve as trustee of the Trust.

Section 8.2 Capital Stock.

Section 8.2.1 Ownership Limitations. During the period commencing on the Initial Date and prior to the Restriction Termination Date:

(a) Basic Restrictions.

(i) (1) No Person, other than an Excepted Holder, shall Beneficially Own or Constructively Own either shares of Capital Stock in excess of the Aggregate Stock Ownership Limit or shares of Common Stock in excess of the Common Stock Ownership Limit and (2) no Excepted Holder shall Beneficially Own or Constructively Own shares of Capital Stock in excess of the Excepted Holder Limit for such Excepted Holder.

(ii) No Person shall Beneficially or Constructively Own shares of Capital Stock to the extent that such Beneficial or Constructive Ownership of Capital Stock would result in the Corporation being “closely held” within the meaning of Section 856(h) of the Code (without regard to whether the ownership interest is held during the last half of a taxable year), or otherwise failing to qualify as a REIT (including, but not limited to, Beneficial or Constructive Ownership to the extent that such Beneficial or Constructive Ownership would result in the Corporation owning (actually or Constructively) a 9.9% interest in a tenant that is described in Section 856(d)(2)(B) of the Code (for this purpose, a tenant from whom the Corporation (or an entity owned or controlled by the Corporation) derives (and is expected to continue to derive) a sufficiently small amount of revenue such that, in the opinion of the Board of Directors of the Corporation, rent from such tenant would not adversely affect the Corporation’s ability to qualify as a REIT, shall not be treated as a tenant of the Corporation)).

(iii) Notwithstanding any other provisions contained herein, no Person shall Transfer of shares of Capital Stock (whether or not such Transfer is the result of a transaction entered into through the facilities of Nasdaq or any other national securities exchange or automated inter-dealer quotation system) that, if effective, would result in the Capital Stock being Beneficially Owned by less than 100 Persons (determined under the principles of Section 856(a)(5) of the Code).

(b) Transfer in Trust. If any Transfer of shares of Capital Stock (whether or not such Transfer is the result of a transaction entered into through the facilities of Nasdaq or any other national securities exchange or automated inter-dealer quotation system) occurs which, if effective, would result in any Person Beneficially Owning or Constructively Owning shares of Capital Stock in violation of Section 8.2.1(a),

(i) then that number of shares of Capital Stock the Beneficial or Constructive Ownership of which otherwise would cause such Person to violate Section 8.2.1(a) (rounded up to the nearest whole share) shall be automatically transferred to a Trust for the benefit of a Charitable Beneficiary, as described in Section 8.3, effective as of the

close of business on the Business Day prior to the date of such Transfer (or other event), and such Person shall acquire no rights in such shares of Capital Stock; or

(ii) if the transfer to the Trust described in clause (i) of this sentence would not be effective for any reason to prevent the violation of Section 8.2.1(a), then the Transfer of that number of shares of Capital Stock that otherwise would cause any Person to violate Section 8.2.1(a) shall be void ab initio, and the intended transferee shall acquire no rights in such shares of Capital Stock.

(iii) In determining which shares of Capital Stock are to be transferred to a Trust in accordance with this Section 8.2.1(b) and Section 8.3 hereof, shares shall be so transferred to a Trust in such manner that minimizes the aggregate value of the shares that are transferred to the Trust (except to the extent that the Board of Directors determines that the shares transferred to the Trust shall be those directly or indirectly held or Beneficially Owned or Constructively Owned by a Person or Persons that caused or contributed to the application of this Section 8.2.1(b)), and to the extent not inconsistent therewith, on a pro rata basis.

(iv) To the extent that, upon a transfer of shares of Capital Stock pursuant to this Section 8.2.1(b), a violation of Section 8.2.1(a) would nonetheless be continuing, (for example where the ownership of shares of Capital Stock by a single Trust would result in the Capital Stock being beneficially owned (determined under the principles of Section 856(a)(5) of the Code) by less than 100 persons), the shares of Capital Stock shall be transferred to that number of Trusts, each having a distinct Trustee and a Charitable Beneficiary or Beneficiaries that are distinct from those of each other Trust, such that there is no violation of Section 8.2.1(a).

Section 8.2.2 Remedies for Breach. If the Board of Directors of the Corporation or any duly authorized committee thereof (or other designees if permitted by the General Corporation Law) shall at any time determine in good faith that a Transfer or other event has taken place that results in a violation of Section 8.2.1(a) or that a Person intends to acquire or has attempted to acquire Beneficial Ownership or Constructive Ownership of any shares of Capital Stock in violation of Section 8.2.1(a) (whether or not such violation is intended), the Board of Directors or a committee thereof (or other designees if permitted by the General Corporation Law) shall take such action as it deems advisable to refuse to give effect to or to prevent such Transfer or other event, including, without limitation, causing the Corporation to redeem shares of Capital Stock, refusing to give effect to such Transfer on the books of the Corporation or instituting proceedings to enjoin such Transfer or other event; provided, however, that any Transfer or attempted Transfer or other event in violation of Section 8.2.1(a) shall automatically result in the transfer to the Trust described above and, where applicable, such Transfer (or other event) shall be void ab initio as provided above irrespective of any action (or non-action) by the Board of Directors or a committee thereof.

Section 8.2.3 Notice of Restricted Transfer. Any Person who acquires or attempts or intends to acquire Beneficial Ownership or Constructive Ownership of shares of Capital Stock that will or may violate Section 8.2.1(a) or any Person who would have owned shares of Capital Stock that resulted in a transfer to the Trust pursuant to the provisions of Section 8.2.1(b) shall immediately give written notice to the Corporation of such event, or in the case of such a proposed or attempted transaction, give at least 15 days prior written notice, and shall provide to the Corporation such other information as the Corporation may request in order to determine the effect, if any, of such Transfer on the Corporation’s qualification as a REIT.

Section 8.2.4 Owners Required to Provide Information . From the Initial Date and prior to the Restriction Termination Date:

(a) every owner of more than five percent (or such lower percentage as required by the Code or the Treasury Regulations promulgated thereunder) in number or value of the outstanding shares of Capital Stock, within 30 days after the end of each taxable year, shall give written notice to the Corporation stating the name and address of such owner, the number of shares of Capital Stock and other shares of the Capital Stock Beneficially Owned and a description of the manner in which such shares are held. Each such owner shall provide to the Corporation such additional information as the Corporation may request in order to determine the effect, if any, of such Beneficial Ownership on the Corporation’s qualification as a REIT and to ensure compliance with the Aggregate Stock Ownership Limit and the Common Stock Ownership Limit; and

(b) each Person who is a Beneficial or Constructive Owner of Capital Stock and each Person (including the stockholder of record) who is holding Capital Stock for a Beneficial or Constructive Owner shall provide to the Corporation such information as the Corporation may request, in good faith, in order to determine the Corporation’s qualification as a REIT and to comply with requirements of any taxing authority or governmental authority or to determine such compliance and to ensure compliance with the Aggregate Stock Ownership Limit and the Common Stock Ownership Limit.

Section 8.2.5 Remedies Not Limited. Subject to Section 5.6 of the Certificate of Incorporation, nothing contained in this Section 8.2 shall limit the authority of the Board of Directors of the Corporation to take such other

action as it deems necessary or advisable to protect the Corporation and the interests of its stockholders in preserving the Corporation’s qualification as a REIT.

Section 8.2.6 Ambiguity. In the case of an ambiguity in the application of any of the provisions of this Section 8.2, Section 8.3 or any definition contained in Section 8.1, the Board of Directors of the Corporation shall have the power to determine the application of the provisions of this Section 8.2 or Section 8.3 or any such definition with respect to any situation based on the facts known to it. In the event Section 8.2 or Section 8.3 requires an action by the Board of Directors and the Certificate of Incorporation fails to provide specific guidance with respect to such action, the Board of Directors shall have the power to determine the action to be taken so long as such action is not contrary to the provisions of Sections 8.1, 8.2 or 8.3. Absent a decision to the contrary by the Board of Directors (which the Board of Directors may make in its sole and absolute discretion), if a Person would have (but for the remedies set forth in Section 8.2.1) acquired Beneficial Ownership or Constructive Ownership of Capital Stock in violation of Section 8.2.1, such remedies (as applicable) shall apply first to the shares of Capital Stock that, but for such remedies, would have been actually owned by such Person, and second to shares of Capital Stock which, but for such remedies, would have been Beneficially Owned or Constructively Owned (but not actually owned) by such Person, pro rata among the Persons who actually own such shares of Capital Stock based upon the relative number of the shares of Capital Stock held by each such Person.

Section 8.2.7 Exceptions.

(a) Subject to Section 8.2.1, the Board of Directors of the Corporation, in its sole discretion, may exempt (prospectively or retroactively) a Person from the Aggregate Stock Ownership Limit, the Common Stock Ownership Limit, or both such limits and may establish or increase an Excepted Holder Limit for such Person if:

(i) the Board of Directors obtains such representations and undertakings from such Person as are reasonably necessary to ascertain that no individual’s Beneficial or Constructive Ownership of such shares of Capital Stock will violate Section 8.2.1(a)(ii);

(ii) such Person does not and represents that it will not own, actually or Constructively, an interest in a tenant of the Corporation (or a tenant of any entity owned or controlled by the Corporation) that would cause the Corporation to own, actually or Constructively, more than a 9.9% interest (as set forth in Section 856(d)(2)(B) of the Code) in such tenant and the Board of Directors obtains such representations and undertakings from such Person as are reasonably necessary to ascertain this fact; and

(iii) such Person agrees that any violation or attempted violation of such representations or undertakings (or other action which is contrary to the restrictions contained in Sections 8.2.1 through 8.2.6) will result in such shares of Capital Stock being automatically transferred to a Trust in accordance with Sections 8.2.1(b) and 8.3.

(b) Prior to granting any exception pursuant to Section 8.2.7(a), the Board of Directors of the Corporation may require a ruling from the Internal Revenue Service, or an opinion of counsel, in either case in form and substance satisfactory to the Board of Directors in its sole discretion, as it may deem necessary or advisable in order to determine or ensure the Corporation’s qualification as a REIT. Notwithstanding the receipt of any ruling or opinion, the Board of Directors may impose such conditions or restrictions as it deems appropriate in connection with granting such exception.

(c) Subject to Section 8.2.1(a)(ii), an underwriter or placement agent that participates in a public offering or a private placement of Capital Stock (or securities convertible into or exchangeable for Capital Stock) may Beneficially Own or Constructively Own shares of Capital Stock (or securities convertible into or exchangeable for Capital Stock) in excess of the Aggregate Stock Ownership Limit, the Common Stock Ownership Limit, or both such limits, but only to the extent necessary to facilitate such public offering or private placement.

(d) The Board of Directors may only reduce the Excepted Holder Limit for an Excepted Holder: (i) with the written consent of such Excepted Holder at any time, or (ii) pursuant to the terms and conditions of the agreements and undertakings entered into with such Excepted Holder in connection with the establishment of the Excepted Holder Limit for that Excepted Holder. No Excepted Holder Limit shall be reduced to a percentage that is less than the Aggregate Stock Ownership Limit or the Common Stock Ownership Limit, as the case may be.

Section 8.2.8 Change in Aggregate Stock Ownership Limit and Common Stock Ownership Limit. The Board of Directors may from time to time increase or decrease the Aggregate Stock Ownership Limit and Common Stock Ownership Limit; provided, however, that a decreased Aggregate Stock Ownership Limit or Common Stock Ownership Limit will not be effective for any Person whose percentage ownership of Capital Stock or Common Stock, as the case may be, is in excess of such decreased Aggregate Stock Ownership Limit or Common Stock Ownership Limit until such time as such Person's percentage of Capital Stock or Common Stock, as the case may be, equals or falls below the decreased Aggregate Stock Ownership Limit or Common Stock Ownership, but until such time as such Person's percentage of Capital Stock or Common Stock, as the case may be, falls below such decreased Aggregate Stock Ownership Limit or Common Stock Ownership Limit, any further acquisition of Capital Stock or Common Stock will be in violation of the Aggregate Stock

Ownership Limit or Common Stock Ownership Limit and, provided further, that the new Aggregate Stock Ownership Limit or Common Stock Ownership Limit would not allow five or fewer individuals (as defined in Section 542(a)(2) of the Code and taking into account all Excepted Holders) to Beneficially Own more than 49.9% in value of the outstanding Capital Stock. If the Board of Directors changes the Common Stock Ownership Limit and/or Aggregate Stock Ownership Limit, it will (i) notify each stockholder of record of any such change, and (ii) publicly announce any such change, in each case at least 30 days prior to the effective date of such change.

Section 8.2.9 Legend. Each certificate for shares of Capital Stock shall bear substantially the following legend:

“The shares of any class or series of the Corporation’s stock (the “Capital Stock”) represented by this certificate are subject to restrictions on Beneficial Ownership, Constructive Ownership and Transfer (as each such capitalized term is defined in the Corporation’s Certificate of Incorporation, as the same may be amended from time to time (the "Certificate of Incorporation")) for the purpose of the Corporation's maintenance of its status as a real estate investment trust (a “REIT”) under the Internal Revenue Code of 1986, as amended (the “Code”). Subject to certain further restrictions and except as expressly provided in the Certificate of Incorporation, (i) no Person (as defined in the Certificate of Incorporation) may Beneficially Own or Constructively Own shares of the Corporation’s common stock, par value $0.01 per share (the “Common Stock”) in excess of 9.8% (in value or number of shares, whichever is more restrictive) of the total outstanding shares of Common Stock unless such Person is an Excepted Holder (as defined in the Certificate of Incorporation), in which case the Excepted Holder Limit (as defined in the Certificate of Incorporation) shall be applicable; (ii) no Person may Beneficially Own or Constructively Own shares of Capital Stock in excess of 9.8% (in value or number of shares, whichever is more restrictive) of the total outstanding shares of Capital Stock, unless such Person is an Excepted Holder, in which case the Excepted Holder Limit shall be applicable; (iii) no Person may Beneficially Own or Constructively Own shares of Capital Stock that would result in the Corporation being “closely held” under Section 856(h) of the Code or otherwise cause the Corporation to fail to qualify as a REIT; and (iv) no Person may Transfer shares of Capital Stock if such Transfer would result in the Capital Stock of the Corporation being owned by fewer than 100 Persons. Any Person who Beneficially Owns or Constructively Owns, or attempts to Beneficially Own or Constructively Own shares of Capital Stock which causes or will cause a Person to Beneficially Own or Constructively Own shares of Capital Stock in excess or in violation of the above limitations must immediately notify the Corporation. If any of the above restrictions on Beneficial Ownership, Constructive Ownership or Transfer are violated, the shares of Capital Stock represented hereby will be automatically transferred to a Trust (as defined in the Certificate of Incorporation) for the benefit of one or more Charitable Beneficiaries (as defined in the Certificate of Incorporation). In addition, the Board of Directors shall take such action as it deems advisable to refuse to give effect to or to prevent such Transfer or other event, including, without limitation, causing the Corporation to redeem shares of Capital Stock; provided, however, that any Transfer or attempted Transfer or other event in violation of the above restrictions on Beneficial Ownership, Constructive Ownership and Transfer shall automatically result in the above transfer to the Trust and, where applicable, such Transfer (or other event) shall be void ab initio as provided above irrespective of any action (or non-action) by the Board of Directors. The Board of Directors may, pursuant to Section 8.2.8 of the Certificate of Incorporation, increase or decrease the percentage of Common Stock or Capital Stock that a person may Beneficially Own or Constructively Own.

A copy of the Certificate of Incorporation, including the above restrictions on Beneficial Ownership, Constructive Ownership and Transfer, will be furnished to each holder of Capital Stock on request and without charge. Requests for such a copy may be directed to the Secretary of the Corporation at its principal office.”

Instead of the foregoing legend, the certificate may state that the Corporation will furnish a full statement about certain restrictions on transferability to a stockholder on request and without charge.

Section 8.3 Transfer of Capital Stock in Trust.

Section 8.3.1 Ownership in Trust. Upon any purported Transfer or other event described in Section 8.2.1(a) that would result in a transfer of shares of Capital Stock to a Trust, such shares of Capital Stock shall be deemed to have been transferred to the Trustee as trustee of a Trust for the exclusive benefit of one or more Charitable Beneficiaries. Such transfer to the Trustee shall be deemed to be effective as of the close of business on the Business Day prior to the purported Transfer or other event that results in the transfer to the Trust pursuant to Section 8.2.1(b). The Trustee shall be appointed by the Corporation and shall be a Person unaffiliated with the Corporation and any Prohibited Owner. Each Charitable Beneficiary shall be designated by the Corporation as provided in Section 8.3.6.

Section 8.3.2 Status of Shares Held by the Trustee. Shares of Capital Stock held by the Trustee shall continue to be issued and outstanding shares of Capital Stock of the Corporation. The Prohibited Owner shall have no rights in the shares of Capital Stock held by the Trustee. The Prohibited Owner shall not benefit economically from ownership of any shares held in trust by the Trustee, shall have no rights to dividends or other distributions and shall not possess any rights to vote or other rights attributable to the shares held in the Trust.

Section 8.3.3 Dividend and Voting Rights. The Trustee shall have all voting rights and rights to dividends or other distributions with respect to shares of Capital Stock held in the Trust, which rights shall be exercised for the exclusive benefit of the Charitable Beneficiary. Any dividend or other distribution paid to a Prohibited Owner prior to the discovery by the Corporation that the shares of Capital Stock have been transferred to the Trustee shall be paid with respect to such shares of Capital Stock by the Prohibited Owner to the Trustee upon demand and any dividend or other distribution authorized but unpaid shall be paid when due to the Trustee. Any dividend or distribution so paid to the Trustee shall be held in trust for the Charitable Beneficiary. The Prohibited Owner shall have no voting rights with respect to shares held in the Trust and, subject to the General Corporation Law, effective as of the date that the shares of Capital Stock have been transferred to the Trustee, the Trustee shall have the authority (at the Trustee’s sole discretion) (i) to rescind as void any vote cast by a Prohibited Owner prior to the discovery by the Corporation that the shares of Capital Stock have been transferred to the Trustee and (ii) to recast such vote in accordance with the desires of the Trustee acting for the benefit of the Charitable Beneficiary; provided, however, that if the Corporation has already taken irreversible corporate action, then the Trustee shall not have the authority to rescind and recast such vote. Notwithstanding the provisions of this Article VIII, until the Corporation has received notification that shares of Capital Stock have been transferred into a Trust, the Corporation shall be entitled to rely on its share transfer and other stockholder records for purposes of preparing lists of stockholders entitled to vote at meetings, determining the validity and authority of proxies and otherwise conducting votes of stockholders.

Section 8.3.4 Sale of Shares by Trustee. Within 20 days of receiving notice from the Corporation that shares of Capital Stock have been transferred to the Trust, the Trustee of the Trust shall sell the shares held in the Trust to a person, designated by the Trustee, whose ownership of the shares will not violate the ownership limitations set forth in Section 8.2.1(a). Upon such sale, the interest of the Charitable Beneficiary in the shares sold shall terminate and the Trustee shall distribute the net proceeds of the sale to the Prohibited Owner and to the Charitable Beneficiary as provided in this Section 8.3.4. The Prohibited Owner shall receive the lesser of (i) the price paid by the Prohibited Owner for the shares or, if the Prohibited Owner did not give value for the shares in connection with the event causing the shares to be held in the Trust (e.g., in the case of a gift, devise or other such transaction), the Market Price of the shares on the day of the event causing the shares to be held in the Trust and (ii) the price per share received by the Trustee (net of any commissions and other expenses of sale) from the sale or other disposition of the shares held in the Trust. The Trustee may reduce the amount payable to the Prohibited Owner by the amount of dividends and distributions paid to the Prohibited Owner and owned by the Prohibited Owner to the Trustee pursuant to Section 8.3.3 of this Article VIII. Any net sales proceeds in excess of the amount payable to the Prohibited Owner shall be immediately paid to the Charitable Beneficiary. If, prior to the discovery by the Corporation that shares of Capital Stock have been transferred to the Trustee, such shares are sold by a Prohibited Owner, then (a) such shares shall be deemed to have been sold on behalf of the Trust and (b) to the extent that the Prohibited Owner received an amount for such shares that exceeds the amount that such Prohibited Owner was entitled to receive pursuant to this Section 8.3.4, such excess shall be paid to the Trustee upon demand.

Section 8.3.5 Purchase Right in Stock Transferred to the Trustee. Shares of Capital Stock transferred to the Trustee shall be deemed to have been offered for sale to the Corporation, or its designee, at a price per share equal to the lesser of (i) the price per share in the transaction that resulted in such transfer to the Trust (or, in the case of a devise or gift, the Market Price at the time of such devise or gift) and (ii) the Market Price on the date the Corporation, or its designee, accepts such offer. The Corporation may reduce the amount payable to the Prohibited Owner by the amount of dividends and distributions paid to the Prohibited Owner and owed by the Prohibited Owner to the Trustee pursuant to Section 8.3.3 of this Article VIII. The Corporation may pay the amount of such reduction to the Trustee for the benefit of the Charitable Beneficiary. The Corporation shall have the right to accept such offer until the Trustee has sold the shares held in the Trust pursuant to Section 8.3.4. Upon such a sale to the Corporation, the interest of the Charitable Beneficiary in the shares sold shall terminate and the Trustee shall distribute the net proceeds of the sale to the Prohibited Owner and any dividends or other distributions held by the Trustee shall be paid to the Charitable Beneficiary.

Section 8.3.6 Designation of Charitable Beneficiaries. By written notice to the Trustee, the Corporation shall designate one or more nonprofit organizations to be the Charitable Beneficiary of the interest in the Trust such that (i) the shares of Capital Stock held in the Trust would not violate the restrictions set forth in Section 8.2.1(a) in the hands of such Charitable Beneficiary and (ii) each such organization must be described in Section 501(c)(3) of the Code and contributions to each such organization must be eligible for deduction under each of Sections 170(b)(1)(A), 2055 and 2522 of the Code.

Section 8.4 Nasdaq Transactions. Nothing in this Article VIII shall preclude the settlement of any transaction entered into through the facilities of Nasdaq or any other national securities exchange or automated inter-dealer quotation system. The fact that the settlement of any transaction occurs shall not negate the effect of any other provision of this Article VIII and any transferee in such a transaction shall be subject to all of the provisions and limitations set forth in this Article VIII.

Section 8.5 Enforcement. The Corporation is authorized specifically to seek equitable relief, including injunctive relief, to enforce the provisions of this Article VIII.

Section 8.6 Non-Waiver. No delay or failure on the part of the Corporation or the Board of Directors in exercising any right hereunder shall operate as a waiver of any right of the Corporation or the Board of Directors, as the case may be, except to the extent specifically waived in writing.

Section 8.7 Severability. If any provision of this Article VIII or any application of any such provision is determined to be invalid by any federal or state court having jurisdiction over the issues, the validity of the remaining provisions shall not be affected and other applications of such provisions shall be affected only to the extent necessary to comply with the determination of such court.

ARTICLE IX

LIMITATION ON LIABILITY OF DIRECTORS

A director of the Corporation shall, to the maximum extent now or hereafter permitted by Section 102(b)(7) of the General Corporation Law (or any successor provision or provisions), have no personal liability to the Corporation or its stockholders for monetary damages for breach of fiduciary duty as a director, except to the extent such director has committed willful misfeasance, bad faith, gross negligence or reckless disregard of such director's duties involved in the conduct of the office of director.

ARTICLE X

COMPROMISE

Whenever a compromise or arrangement is proposed between this Corporation and its creditors or any class of them and/or between this Corporation and its stockholders or any class of them, any court of equitable jurisdiction within the State of Delaware may, on the application in a summary way of this Corporation or of any creditor or stockholder thereof or on the application of any receiver or receivers appointed for this Corporation under the provisions of Section 291 of the General Corporation Law, trustees in dissolution or of any receiver or receivers appointed for this Corporation under the provisions of Section 279 of the General Corporation Law, order a meeting of the creditors or class of creditors, and/or of the stockholders or class of stockholders of this Corporation, as the case may be, to be summoned in such manner as the said court directs. If a majority in number representing three fourths in value of the creditors or class of creditors, and/or of the stockholders or class of stockholders of this Corporation, as the case may be, agree to any compromise or arrangement and to any reorganization of this Corporation as consequence of such compromise or arrangement, the said compromise or arrangement and the said reorganization shall, if sanctioned by the court to which the said application has been made, be binding on all the creditors or class of creditors, and/or on all the stockholders or class of stockholders, of this Corporation, as the case may be, and also on this Corporation.

ARTICLE XI

AMENDMENT OF BY-LAWS

The Board of Directors shall have power to adopt, amend, alter, change and repeal any By-laws by a vote of the majority of the Board of Directors then in office. In addition to any requirements of the General Corporation Law (and notwithstanding the fact that a lesser percentage may be specified by the General Corporation Law), any adoption, amendment, alteration, change or repeal of any By-laws by the stockholders of the Corporation shall require the affirmative vote of the holders of at least sixty-six percent (66%) of the combined voting power of all of the shares of all classes of capital stock of the Corporation then entitled to vote generally in the election of directors.

ARTICLE XII

AMENDMENT OF CERTIFICATE OF INCORPORATION

The Corporation hereby reserves the right to amend, alter, change or repeal any provision contained in this Certificate of Incorporation. Except as may be provided in a resolution or resolutions providing for any class of Preferred Stock pursuant to Article IV hereof and which relate to such class of Preferred Stock and except as provided in Article IV hereof, any such amendment, alteration, change or repeal shall require the affirmative vote of both (a) a majority of the

members of the Board of Directors then in office and (b) a majority of the combined voting power of all of the shares of all classes of capital stock of the Corporation then entitled to vote generally in the election of directors.

By a vote of the majority of the Board of Directors then in office, the Board of Directors may adopt a resolution providing that at any time prior to the filing of the amendment with the Secretary of State, notwithstanding authorization of the proposed amendment by the stockholders, the Board of Directors may abandon such proposed amendment without further action by the stockholders.

Notwithstanding anything contained in this Certificate of Incorporation to the contrary, the affirmative vote of the holders of at least sixty-six percent (66%) of the combined voting power of all of the shares of all classes of capital stock of the Corporation then entitled to vote shall be required to amend, repeal or adopt any provision inconsistent with Article V herein.

ARTICLE XIII

MISCELLANEOUS

Section 13.1 Books and Records. The books of the Corporation may be kept (subject to any provision contained in the General Corporation Law) outside the State of Delaware at such place or places as may be designated from time to time by the Board of Directors or in the By-laws of the Corporation.

Section 13.2 Section 203. The Corporation expressly elects not to be governed by Section 203 of the General Corporation Law.

Exhibit 31.1

AGNC Investment Corp.

Certification Pursuant to Section 302(a)

of the Sarbanes-Oxley Act of 2002

I, Gary D. Kain, certify that:


1.	I have reviewed this Quarterly Report on Form 10-Q of AGNC Investment Corp.;


2.	Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;


3.	Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;


4.	The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:


(a)	Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;


(b)	Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;


(c)	Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and


(d)	Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an Annual Report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and


5.	The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors:


(a)	All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and


(b)	Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.



Date:	May 7, 2018

	/s/ G ARY D. K AIN
	Gary D. Kain
	Chief Executive Officer and Chief Investment Officer (Principal Executive Officer)

Exhibit 31.2

AGNC Investment Corp.

Certification Pursuant to Section 302(a)

of the Sarbanes-Oxley Act of 2002

I, Bernice E. Bell, certify that:


1.	I have reviewed this Quarterly Report on Form 10-Q of AGNC Investment Corp;


2.	Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;


3.	Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;


4.	The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:


(a)	Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entitles, particularly during the period in which this report is being prepared;


(b)	Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;


(c)	Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and


(d)	Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an Annual Report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and


5.	The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors:


(a)	All significant deficiencies and material weakness in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and


(b)	Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.



Date:	May 7, 2018

	/s/ B ERNICE E. B ELL
	Bernice E. Bell
	Senior Vice President and Chief Financial Officer (Principal Financial Officer)

Exhibit 32

AGNC Investment Corp.

Certification of CEO and CFO Pursuant to 18 U.S.C. Section 1350,

as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

We, Gary D. Kain, Chief Executive Officer and Chief Investment Officer, and Bernice E. Bell, Senior Vice President and Chief Financial Officer of AGNC Investment Corp. (the “Company”), certify pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. Section 1350 that:


1.	The Quarterly Report on Form 10-Q of the Company for the quarter ended March 31, 2018 (the “Report”) fully complies with the requirements of Section 13(a) of the Securities Exchange Act of 1934 (15 U.S.C. 78m); and


2.	The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.



	/s/ G ARY D. K AIN
Name:	Gary D. Kain
Title:	Chief Executive Officer and Chief Investment Officer (Principal Executive Officer)
Date:	May 7, 2018

	/s/ B ERNICE E. B ELL
Name:	Bernice E. Bell
Title:	Senior Vice President and Chief Financial Officer (Principal Financial Officer)
Date:	May 7, 2018

A signed original of this written statement required by Section 906 has been provided to the Company and will be retained by the Company and furnished to the Securities and Exchange Commission or its staff upon request.