UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q 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.) 7373 Wisconsin Avenue, 22nd Floor Bethesda, Maryland 20814 (Address of principal executive offices) (301) 968-9315 (Registrant's telephone num ...

PART I. FINANCIAL INFORMATION [Item 1. Financial Statements](index=3&type=section&id=Item%201.%20Financial%20Statements) This section presents the company's unaudited consolidated financial statements, including the balance sheets, statements of comprehensive income, statements of stockholders' equity, and statements of cash flows, along with detailed notes on organization, significant accounting policies, investment securities, financing arrangements, derivative instruments, pledged assets, fair value measurements, net income per common share, and stockholders' equity [Consolidated Balance Sheets](index=3&type=section&id=Consolidated%20Balance%20Sheets) The consolidated balance sheets show a slight increase in total assets and stockholders' equity from December 31, 2023, to March 31, 2024, primarily driven by an increase in receivable under reverse repurchase agreements and a decrease in other liabilities Consolidated Balance Sheet Highlights (in millions) | Metric | March 31, 2024 | December 31, 2023 | | :------------------------------------------------------------------------------------------------ | :------------- | :---------------- | | Total Assets | $71,876 | $71,596 | | Total Liabilities | $63,298 | $63,339 | | Total Stockholders' Equity | $8,578 | $8,257 | | Agency securities, at fair value | $53,615 | $53,673 | | Repurchase agreements | $49,971 | $50,426 | [Consolidated Statements of Comprehensive Income](index=4&type=section&id=Consolidated%20Statements%20of%20Comprehensive%20Income) For the three months ended March 31, 2024, the company reported a significant turnaround from a net loss to a net income, driven by a large gain on derivative instruments and other investments, despite negative net interest income Consolidated Statements of Comprehensive Income Highlights (Three Months Ended March 31, in millions, except per share data) | Metric | 2024 | 2023 | | :-------------------------------------------------- | :----- | :----- | | Net Interest Income (Expense) | $(30) | $(98) | | Total Other Gain (Loss), net | $497 | $(31) | | Net Income (Loss) | $443 | $(151) | | Net Income (Loss) per common share - diluted | $0.59 | $(0.31) | | Dividends declared per common share | $0.36 | $0.36 | [Consolidated Statements of Stockholders' Equity](index=5&type=section&id=Consolidated%20Statements%20of%20Stockholders'%20Equity) Stockholders' equity increased from December 31, 2023, to March 31, 2024, primarily due to net income and issuance of common stock, partially offset by common and preferred dividends declared and unrealized losses on available-for-sale securities Consolidated Statements of Stockholders' Equity Highlights (in millions) | Metric | March 31, 2024 | December 31, 2023 | | :-------------------------------- | :------------- | :---------------- | | Total Stockholders' Equity | $8,578 | $8,257 | | Net Income (Q1 2024) | $443 | - | | Issuance of common stock (Q1 2024) | $241 | - | | Common dividends declared (Q1 2024) | $(254) | - | | Unrealized loss on available-for-sale securities, net (Q1 2024) | $(77) | - | [Consolidated Statements of Cash Flows](index=6&type=section&id=Consolidated%20Statements%20of%20Cash%20Flows) For the three months ended March 31, 2024, the company generated net cash from operating activities, with investing activities providing a net cash inflow, while financing activities resulted in a net cash outflow, leading to an overall increase in cash, cash equivalents, and restricted cash Consolidated Statements of Cash Flows Highlights (Three Months Ended March 31, in millions) | Metric | 2024 | 2023 | | :------------------------------------------ | :----- | :------- | | Net cash provided by operating activities | $20 | $26 | | Net cash provided by (used in) investing activities | $582 | $(11,571) | | Net cash provided by (used in) financing activities | $(500) | $12,050 | | Net change in cash, cash equivalents and restricted cash | $102 | $505 | [Notes to Consolidated Financial Statements](index=7&type=section&id=Notes%20to%20Consolidated%20Financial%20Statements) This section provides detailed explanations and disclosures for the consolidated financial statements, covering the company's organization, significant accounting policies, specifics of its investment portfolio, financing arrangements, derivative instruments, pledged assets, fair value measurements, earnings per share calculations, and stockholders' equity [Note 1. Organization](index=7&type=section&id=Note%201.%20Organization) AGNC Investment Corp. is a Delaware-organized REIT that invests primarily in Agency RMBS and other mortgage-related securities, funding investments through repurchase agreements, with the objective of generating favorable long-term stockholder returns and substantial yield - Primary investment: **Agency residential mortgage-backed securities (Agency RMBS)**[22](index=22&type=chunk) - Funding method: Collateralized borrowings structured as **repurchase agreements**[22](index=22&type=chunk) - Tax status: Operates as a **Real Estate Investment Trust (REIT)**, requiring annual distribution of **90% of taxable income**[23](index=23&type=chunk) [Note 2. Summary of Significant Accounting Policies](index=7&type=section&id=Note%202.%20Summary%20of%20Significant%20Accounting%20Policies) The company's financial statements are prepared under GAAP, with all investment securities reported at fair value. Derivatives are used to hedge market risks but are not designated as hedging instruments for accounting purposes, with fair value changes recognized in net income - Investment securities valuation: All securities reported at **fair value** on the consolidated balance sheet[31](index=31&type=chunk) - Derivative accounting: Not designated as hedging instruments under ASC 815; changes in fair value reported in **net income**[40](index=40&type=chunk) - Fair Value Measurement Hierarchy: Utilizes a **three-level hierarchy**, with the majority of financial instruments classified as **Level 2 inputs**[48](index=48&type=chunk) [Note 3. Investment Securities](index=11&type=section&id=Note%203.%20Investment%20Securities) The investment portfolio as of March 31, 2024, totaled $54.8 billion in investment securities and $8.4 billion in net TBA securities, with a weighted average coupon of 4.93% and yield of 4.52%. The portfolio saw a slight decrease in fair value from December 31, 2023 Investment Securities Highlights (in millions, except percentages) | Metric | March 31, 2024 | December 31, 2023 | | :---------------------------------------------------- | :------------- | :---------------- | | Total investment securities (at fair value) | $54,776 | $54,824 | | Net TBA securities (at fair value) | $8,405 | $5,288 | | Weighted average coupon | 4.93% | 4.86% | | Weighted average yield | 4.52% | 4.41% | | Weighted average expected constant prepayment rate (CPR) | 10.4% | 11.4% | [Note 4. Repurchase Agreements and Reverse Repurchase Agreements](index=14&type=section&id=Note%204.%20Repurchase%20Agreements%20and%20Reverse%20Repurchase%20Agreements) Repurchase agreements outstanding decreased slightly to $50.0 billion as of March 31, 2024, with a weighted average interest rate of 5.46% and average days to maturity of 21 days. Reverse repurchase agreements increased to $12.4 billion Repurchase and Reverse Repurchase Agreements Highlights (in millions, except percentages) | Metric | March 31, 2024 | December 31, 2023 | | :---------------------------------------------------- | :------------- | :---------------- | | Repurchase agreements outstanding | $49,971 | $50,426 | | Weighted average interest rate (repurchase agreements) | 5.46% | 5.60% | | Weighted average days to maturity (repurchase agreements) | 21 | 19 | | Reverse repurchase agreements outstanding | $12,424 | $11,618 | [Note 5. Derivative and Other Hedging Instruments](index=15&type=section&id=Note%205.%20Derivative%20and%20Other%20Hedging%20Instruments) The company uses various derivative instruments, primarily interest rate swaps, swaptions, U.S. Treasury securities, and futures contracts, to hedge market risks. As of March 31, 2024, total derivative assets decreased while total derivative liabilities decreased significantly, mainly due to changes in U.S. Treasury futures Derivative and Other Hedging Instruments Highlights (in millions) | Metric | March 31, 2024 | December 31, 2023 | | :------------------------------------------ | :------------- | :---------------- | | Total derivative assets, at fair value | $84 | $185 | | Total derivative liabilities, at fair value | $(65) | $(362) | | Gain (Loss) on derivative instruments and other securities, net (Q1) | $1,059 | $(544) | | Interest rate swaps (payer) notional amount | $44,396 | $44,476 | [Note 6. Pledged Assets](index=19&type=section&id=Note%206.%20Pledged%20Assets) The company pledges assets as collateral for funding and derivative agreements, with total pledged assets decreasing slightly to $53.0 billion as of March 31, 2024. The company manages counterparty risk by limiting counterparties and monitoring positions Pledged Assets Highlights (in millions) | Metric | March 31, 2024 | December 31, 2023 | | :-------------------------------- | :------------- | :---------------- | | Total assets pledged to counterparties | $53,009 | $54,075 | - Maximum amount at risk with any repurchase agreement counterparty (excluding FICC): Less than **3% of tangible stockholders' equity** (Mar 31, 2024)[92](index=92&type=chunk) - Maximum amount at risk with FICC: **5% of tangible stockholders' equity** (Mar 31, 2024)[92](index=92&type=chunk) [Note 7. Fair Value Measurements](index=22&type=section&id=Note%207.%20Fair%20Value%20Measurements) The majority of the company's financial instruments measured at fair value on a recurring basis are classified as Level 2 inputs, with U.S. Treasury securities and futures classified as Level 1. There were no transfers between valuation hierarchy levels Fair Value Measurement Hierarchy Highlights (in millions) | Metric | March 31, 2024 | December 31, 2023 | | :---------------- | :------------- | :---------------- | | Total Level 1 Assets | $1,836 | $1,540 | | Total Level 2 Assets | $54,860 | $55,009 | | Total Level 3 Assets | $0 | $0 | [Note 8. Net Income (Loss) Per Common Share](index=23&type=section&id=Note%208.%20Net%20Income%20(Loss)%20Per%20Common%20Share) Basic and diluted net income per common share for Q1 2024 was $0.59, a significant improvement from a loss of $(0.31) in Q1 2023, reflecting the company's return to profitability Net Income (Loss) Per Common Share Highlights (Three Months Ended March 31, in millions, except per share data) | Metric | 2024 | 2023 | | :---------------------------------------------------- | :----- | :----- | | Net income (loss) per common share - basic | $0.59 | $(0.31) | | Net income (loss) per common share - diluted | $0.59 | $(0.31) | | Weighted average number of common shares outstanding - diluted | 704.2 | 579.3 | [Note 9. Stockholders' Equity](index=24&type=section&id=Note%209.%20Stockholders'%20Equity) The company's preferred stock has an aggregate liquidation preference of $1,688 million. During Q1 2024, the company issued $241 million of common stock under its At-the-Market offering program, and accumulated other comprehensive loss increased due to unrealized losses on available-for-sale securities - Preferred Stock - aggregate liquidation preference: **$1,688 million** (Mar 31, 2024)[114](index=114&type=chunk) - Proceeds from common stock issuances (Q1 2024): **$241 million**[119](index=119&type=chunk) Accumulated Other Comprehensive Income (Loss) (in millions) | Metric | March 31, 2024 | December 31, 2023 | | :------------------------------------------ | :------------- | :---------------- | | Accumulated Other Comprehensive Income (Loss) - Ending Balance | $(594) | $(517) | [Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations](index=25&type=section&id=Item%202.%20Management's%20Discussion%20and%20Analysis%20of%20Financial%20Condition%20and%20Results%20of%20Operations) This section provides management's perspective on the company's financial condition and results of operations, including an executive overview of market trends, detailed analysis of financial performance, liquidity, capital resources, and off-balance sheet arrangements. It also discusses the use of non-GAAP financial measures and forward-looking statements [Executive Overview](index=26&type=section&id=Executive%20Overview) AGNC Investment Corp. is a leading provider of private capital to the U.S. housing market, primarily investing in Agency RMBS. The first quarter of 2024 saw a favorable macroeconomic environment with declining interest rate volatility, but April brought increased volatility and wider Agency RMBS spreads. Despite this, the company believes its active management and strong liquidity position it well for future opportunities - Primary investment: **Agency residential mortgage-backed securities (Agency RMBS)**[123](index=123&type=chunk) Q1 2024 Performance Highlights | Metric | Q1 2024 | | :---------------------------------------------------- | :------ | | Total comprehensive income per diluted common share | $0.48 | | Total economic return on tangible common equity | 5.7% | | Net spread and dollar roll income per diluted common share (non-GAAP) | $0.58 | | Interest rate hedge position coverage | 99% | | "At risk" leverage (as of Mar 31, 2024) | 7.1x | | Unencumbered cash and Agency RMBS (as of Mar 31, 2024) | $5.4 billion (67% of tangible stockholders' equity) | [Financial Condition](index=30&type=section&id=Financial%20Condition) As of March 31, 2024, the company's investment portfolio, including TBA securities, totaled $63.3 billion, a slight increase from December 31, 2023. The portfolio composition shifted towards higher coupon, high-quality specified pools, leading to a higher weighted average yield Investment Portfolio Highlights (in millions, except percentages) | Metric | March 31, 2024 | December 31, 2023 | | :---------------------------------------------------- | :------------- | :---------------- | | Total investment portfolio (includes TBAs) | $63,224 | $60,178 | | Weighted average coupon (total investment securities) | 4.90% | 4.88% | | Weighted average yield (investment securities, excluding TBA) | 4.52% | 4.41% | | Fixed rate Agency RMBS and TBA securities (Fair Value) | $61,215 | $58,515 | [Results of Operations](index=32&type=section&id=Results%20of%20Operations) The company's results of operations for Q1 2024 show a significant improvement in net income and comprehensive income, driven by increased economic interest income and a positive shift in derivative gains, despite a slight decrease in net spread and dollar roll income per share [Non-GAAP Financial Measures](index=32&type=section&id=Non-GAAP%20Financial%20Measures) The company uses non-GAAP measures like "economic interest income," "economic interest expense," and "net spread and dollar roll income available to common stockholders" to provide greater transparency into management's decision-making, adjusting GAAP measures for items like TBA dollar roll income and interest rate swap costs - Economic interest income: GAAP interest income adjusted for "catch-up" premium amortization and **TBA dollar roll implied interest income**[150](index=150&type=chunk) - Economic interest expense: GAAP interest expense adjusted for TBA dollar roll implied interest expense/benefit and **interest rate swap periodic cost/income**[150](index=150&type=chunk) - Net spread and dollar roll income available to common stockholders: Comprehensive income adjusted to exclude certain gains/losses and include **economic interest components**[150](index=150&type=chunk)[152](index=152&type=chunk) [Selected Financial Data](index=33&type=section&id=Selected%20Financial%20Data) The company's financial data for Q1 2024 shows a significant improvement in net income and comprehensive income compared to Q1 2023, with an increase in tangible net book value per common share and a stable "at risk" leverage ratio Selected Financial Data Highlights (in millions, except per share data) | Metric | March 31, 2024 | December 31, 2023 | | :---------------------------------------------------- | :------------- | :---------------- | | Net book value per common share | $9.57 | $9.46 | | Tangible net book value per common share | $8.84 | $8.70 | | Net income (loss) available (attributable) to common stockholders (Q1) | $412 | $(181) | | Comprehensive income (loss) available (attributable) to common stockholders (Q1) | $335 | $(39) | | Tangible net book value "at risk" leverage (as of period end) | 7.1:1 | 7.0:1 | | Economic return on tangible common equity (Q1) | 5.7% | (0.7)% | [Economic Interest Income and Asset Yields](index=35&type=section&id=Economic%20Interest%20Income%20and%20Asset%20Yields) Economic interest income increased to $716 million in Q1 2024 from $640 million in Q1 2023, primarily due to a 66 basis point increase in the average asset yield, despite a 4% decrease in the average investment portfolio size Economic Interest Income and Asset Yields (Three Months Ended March 31, in millions, except percentages) | Metric | 2024 Amount | 2024 Yield | 2023 Amount | 2023 Yield | | :---------------------------------------------------- | :---------- | :--------- | :---------- | :--------- | | Economic interest income (non-GAAP) | $716 | 4.56% | $640 | 3.90% | | Average investment portfolio (at cost), inclusive of TBAs (YoY change) | - | -4% | - | - | | Average yield on investment portfolio (excluding "catch-up" premium amortization) (YoY change) | - | +66 bps | - | - | [Leverage](index=36&type=section&id=Leverage) The company's tangible net book value "at risk" leverage ratio remained stable at 7.1x as of March 31, 2024, compared to 7.0x at December 31, 2023, reflecting a consistent approach to funding its investment portfolio Leverage Ratios (in millions) | Metric | March 31, 2024 | December 31, 2023 | | :---------------------------------------------------- | :------------- | :---------------- | | Tangible net book value "at risk" leverage (as of period end) | 7.1:1 | 7.0:1 | | Average tangible net book value "at risk" leverage during the period | 7.0:1 | 7.4:1 | | Ending Investment Securities Repurchase Agreements and Other Debt | $48,216 | $48,959 | | Ending Net TBA Position Long/(Short) | $8,405 | $5,288 | [Economic Interest Expense and Aggregate Cost of Funds](index=36&type=section&id=Economic%20Interest%20Expense%20and%20Aggregate%20Cost%20of%20Funds) Total economic interest expense increased to $220 million in Q1 2024 from $147 million in Q1 2023, with the aggregate cost of funds rising to 1.58% from 1.02%. This was driven by higher short-term interest rates, despite a decrease in average mortgage borrowings Economic Interest Expense and Aggregate Cost of Funds (Three Months Ended March 31, in millions, except percentages) | Metric | 2024 Amount | 2024 Cost of Funds | 2023 Amount | 2023 Cost of Funds | | :---------------------------------------------------- | :---------- | :----------------- | :---------- | :----------------- | | Total economic interest expense (non-GAAP) | $220 | 1.58% | $147 | 1.02% | | Average mortgage borrowings (inclusive of TBAs) (YoY change) | - | -5% | - | - | | Average interest rate on mortgage borrowings (excluding swap income) (YoY change) | - | +92 bps | - | - | | Interest rate swap periodic income, net | $(536) | (3.86)% | $(504) | (3.50)% | [Net Interest Spread](index=37&type=section&id=Net%20Interest%20Spread) The average net interest spread increased to 2.98% in Q1 2024 from 2.88% in Q1 2023, reflecting a higher average asset yield that outpaced the increase in the average aggregate cost of funds Net Interest Spread (Three Months Ended March 31, in percentages) | Metric | 2024 | 2023 | | :-------------------------- | :----- | :----- | | Average net interest spread | 2.98% | 2.88% | | Average asset yield | 4.56% | 3.90% | | Average aggregate cost of funds | (1.58)% | (1.02)% | [Net Spread and Dollar Roll Income](index=38&type=section&id=Net%20Spread%20and%20Dollar%20Roll%20Income) Net spread and dollar roll income available to common stockholders decreased to $406 million, or $0.58 per diluted common share, in Q1 2024 from $408 million, or $0.70 per diluted common share, in Q1 2023 Net Spread and Dollar Roll Income (Three Months Ended March 31, in millions, except per share data) | Metric | 2024 | 2023 | | :---------------------------------------------------- | :----- | :----- | | Net spread and dollar roll income available to common stockholders (non-GAAP) | $406 | $408 | | Net spread and dollar roll income per common share - diluted | $0.58 | $0.70 | [Gain (Loss) on Investment Securities, Net](index=38&type=section&id=Gain%20(Loss)%20on%20Investment%20Securities,%20Net) The company reported a total loss on investment securities, net, of $(639) million in Q1 2024, a significant shift from a gain of $655 million in Q1 2023, primarily due to unrealized losses on investment securities measured at fair value through net income Gain (Loss) on Investment Securities, Net (Three Months Ended March 31, in millions) | Metric | 2024 | 2023 | | :---------------------------------------------------- | :----- | :----- | | Total loss on investment securities, net | $(639) | $655 | | Unrealized (loss) gain on investment securities measured at fair value through net income, net | $(471) | $594 | | Loss on sale of investment securities, net | $(91) | $(81) | [Gain (Loss) on Derivative Instruments and Other Securities, Net](index=39&type=section&id=Gain%20(Loss)%20on%20Derivative%20Instruments%20and%20Other%20Securities,%20Net) The company recorded a substantial gain of $1,059 million on derivative instruments and other securities, net, in Q1 2024, a significant improvement from a loss of $(544) million in Q1 2023, driven by mark-to-market gains on interest rate swaps and U.S. Treasury short positions Gain (Loss) on Derivative Instruments and Other Securities, Net (Three Months Ended March 31, in millions) | Metric | 2024 | 2023 | | :---------------------------------------------------- | :------- | :------- | | Total gain (loss) on derivative instruments and other securities, net | $1,059 | $(544) | | Interest rate swaps, mark-to-market gain (loss) | $113 | $(736) | | U.S. Treasury securities - short position | $338 | $(157) | | U.S. Treasury futures contracts - short position | $186 | $(235) | [Liquidity and Capital Resources](index=40&type=section&id=Liquidity%20and%20Capital%20Resources) The company relies on unencumbered cash and securities, repurchase agreements, and TBA dollar roll financing for liquidity, aiming for leverage between six and twelve times tangible stockholders' equity. As of March 31, 2024, it maintained sufficient liquidity with $5.4 billion in unencumbered assets and a stable leverage ratio of 7.1x Liquidity and Capital Resources Highlights (in millions, except percentages) | Metric | March 31, 2024 | December 31, 2023 | | :---------------------------------------------------- | :------------- | :---------------- | | Tangible net book value "at risk" leverage ratio | 7.1x | 7.0x | | Total mortgage borrowings | $56,621 | $54,247 | | Unencumbered assets | $5.4 billion | $5.2 billion | | Weighted average haircut on repurchase agreements | 3.0% | 3.1% | [Counterparty Risk](index=41&type=section&id=Counterparty%20Risk) The company manages counterparty risk by limiting exposure to major financial institutions and registered clearinghouses, with maximum risk with any repurchase agreement counterparty (excluding FICC) less than 3% of tangible stockholders' equity - Maximum amount at risk with any repurchase agreement counterparty (excluding FICC): Less than **3% of tangible stockholders' equity** (Mar 31, 2024)[207](index=207&type=chunk) - Maximum amount at risk with FICC: **5% of tangible stockholders' equity** (Mar 31, 2024)[207](index=207&type=chunk) - Maximum amount at risk with any derivative counterparty (excluding central clearing exchanges): Less than **1% of stockholders' equity** (Mar 31, 2024)[207](index=207&type=chunk) [Asset Sales](index=42&type=section&id=Asset%20Sales) The company can generate liquidity through asset sales in the highly liquid Agency RMBS and TBA markets, but acknowledges the risk of not realizing full carrying value under certain market conditions. It manages this by maintaining a minimum level of securities trading at or near TBA values - Agency RMBS and TBA markets are **highly liquid**, enabling asset sales for liquidity[208](index=208&type=chunk) - Risk management involves maintaining a minimum level of securities that trade at or near **TBA values** to enhance portfolio liquidity[208](index=208&type=chunk) [Capital Markets](index=42&type=section&id=Capital%20Markets) Equity capital markets serve as a source for business growth and liquidity, with common stock issuances tied to accretion to tangible net book value and preferred equity issuances to acceptable hurdle rates. The company has a $1 billion stock repurchase plan with remaining capacity - Common stock issuance policy: Typically not issued unless **accretive to tangible net book value or earnings**[209](index=209&type=chunk) - Stock repurchase plan: **$1 billion remaining capacity**, expires December 31, 2024[209](index=209&type=chunk) [Off-Balance Sheet Arrangements](index=42&type=section&id=Off-Balance%20Sheet%20Arrangements) As of March 31, 2024, the company had no relationships with unconsolidated entities or financial partnerships for off-balance sheet arrangements, nor had it guaranteed obligations or committed funding to such entities - No unconsolidated entities or financial partnerships for **off-balance sheet arrangements**[210](index=210&type=chunk) - No guaranteed obligations or funding commitments to **unconsolidated entities**[210](index=210&type=chunk) [Forward-Looking Statements](index=42&type=section&id=Forward-Looking%20Statements) The report contains forward-looking statements based on management's assumptions, which involve risks and uncertainties that could cause actual results to differ materially, including changes in monetary policy, interest rates, prepayment rates, and market values - Forward-looking statements are subject to **risks and uncertainties**[211](index=211&type=chunk) - Factors affecting actual results include changes in U.S. monetary policy or interest rates, fluctuations in mortgage prepayment rates, and changes in the **market value of assets**[212](index=212&type=chunk) [Item 3. Quantitative and Qualitative Disclosures About Market Risk](index=43&type=section&id=Item%203.%20Quantitative%20and%20Qualitative%20Disclosures%20About%20Market%20Risk) This section details the company's exposure to various market risks, including interest rate, prepayment, extension, spread, liquidity, and credit risks. It outlines the strategies and instruments used to mitigate these risks and quantifies potential impacts on the investment portfolio and tangible net book value [Interest Rate Risk](index=43&type=section&id=Interest%20Rate%20Risk) The company is exposed to interest rate risk due to its fixed-income assets and variable-rate financing. It uses interest rate swaps, swaptions, and U.S. Treasury securities/futures to mitigate this risk. As of March 31, 2024, the estimated duration gap was 0.2 years, indicating a slight asset sensitivity to rising rates - Primary risk: **Interest rate risk** from fixed-income assets and variable-rate financing[215](index=215&type=chunk) - Hedging instruments: **Interest rate swaps, swaptions, U.S. Treasury securities, and U.S. Treasury futures contracts**[216](index=216&type=chunk) Interest Rate Sensitivity (Estimated Change in Tangible Net Book Value Per Common Share) | Change in Interest Rate | March 31, 2024 | December 31, 2023 | | :---------------------- | :------------- | :---------------- | | -75 Basis Points | -2.4% | -7.0% | | -50 Basis Points | -0.6% | -3.8% | | -25 Basis Points | +0.1% | -1.5% | | +25 Basis Points | -0.9% | +0.7% | | +50 Basis Points | -2.5% | +0.7% | | +75 Basis Points | -4.7% | 0.0% | - Estimated duration gap: **0.2 years** (Mar 31, 2024) vs. **-0.5 years** (Dec 31, 2023)[218](index=218&type=chunk) [Prepayment Risk and Extension Risk](index=44&type=section&id=Prepayment%20Risk%20and%20Extension%20Risk) The company faces prepayment risk (assets repaid faster than anticipated) and extension risk (assets repaid slower than anticipated), both influenced by interest rates and other factors. As of March 31, 2024, the weighted average projected CPR was 10.4%, and the weighted average asset yield was 4.52% - Prepayment risk: Assets repaid faster than anticipated, potentially leading to **reinvestment at lower yields**[224](index=224&type=chunk) - Extension risk: Assets repaid slower than anticipated, increasing **financing costs in a rising rate environment**[226](index=226&type=chunk) Prepayment and Yield Sensitivity (Investment Securities, excluding TBAs) | Change in Interest Rate | March 31, 2024 Projected CPR | March 31, 2024 Average Asset Yield | December 31, 2023 Projected CPR | December 31, 2023 Average Asset Yield | | :---------------------- | :--------------------------- | :------------------------- | :--------------------------- | :------------------------- | | Actual as of Period End | 10.4% | 4.52% | 11.4% | 4.41% | [Spread Risk](index=45&type=section&id=Spread%20Risk) The company is exposed to spread risk, where the market spread between asset yields and benchmark rates can fluctuate, potentially impacting tangible net book value. Hedges are generally not designed to protect against this risk - Risk: Fluctuations in the market spread between **asset yields and benchmark interest rates**[230](index=230&type=chunk) - Hedges: Generally not designed to protect against **spread risk**[230](index=230&type=chunk) Spread Sensitivity (Estimated Change in Tangible Net Book Value Per Common Share) | Change in MBS Spread | March 31, 2024 | December 31, 2023 | | :------------------- | :------------- | :---------------- | | -50 Basis Points | +23.7% | +23.1% | | -25 Basis Points | +11.9% | +11.6% | | -10 Basis Points | +4.7% | +4.6% | | +10 Basis Points | -4.7% | -4.6% | | +25 Basis Points | -11.9% | -11.6% | | +50 Basis Points | -23.7% | -23.1% | [Liquidity Risk](index=45&type=section&id=Liquidity%20Risk) Liquidity risk arises from financing long-term assets with shorter-term borrowings, dependent on lender willingness, collateral requirements, and fair value determinations. The company believes it has sufficient liquidity but acknowledges potential adverse impacts from sudden collateral value decreases or increased margin requirements - Primary source: Financing long-term fixed-rate assets with **shorter-term variable-rate borrowings**[234](index=234&type=chunk) - Mitigation: Believes it has **sufficient liquidity and capital resources** to execute its business strategy[236](index=236&type=chunk) - Potential adverse impact: Sudden decrease in collateral value or increase in margin requirements could **reduce liquidity**[236](index=236&type=chunk) [Credit Risk](index=46&type=section&id=Credit%20Risk) The company faces credit risk from its credit-sensitive investments (CRT, non-Agency securities) and counterparty defaults on repurchase and derivative agreements. This risk is managed through asset selection, due diligence, performance monitoring, and limiting counterparties to highly-rated institutions - Sources of credit risk: **Credit-sensitive investments (CRT, non-Agency securities)** and **counterparty defaults on repurchase and derivative agreements**[237](index=237&type=chunk) - Risk management: Asset selection, pre-acquisition due diligence, post-acquisition performance monitoring, and limiting counterparties to **major financial institutions or registered central clearinghouses**[238](index=238&type=chunk) - Maximum amount at risk with any repurchase agreement counterparty (excluding central clearing exchanges): Less than **3% of tangible stockholders' equity** (Mar 31, 2024)[238](index=238&type=chunk) - Maximum amount at risk with any derivative counterparty (excluding central clearing exchanges): Less than **1% of tangible stockholders' equity** (Mar 31, 2024)[238](index=238&type=chunk) [Item 4. Controls and Procedures](index=46&type=section&id=Item%204.%20Controls%20and%20Procedures) The company's disclosure controls and procedures were evaluated as effective as March 31, 2024, ensuring timely and accurate reporting. No material changes in internal control over financial reporting occurred during the last fiscal quarter - Disclosure controls and procedures: Evaluated as **effective** as of March 31, 2024[240](index=240&type=chunk) - Internal control over financial reporting: **No material changes** during the last fiscal quarter[241](index=241&type=chunk) PART II. OTHER INFORMATION [Item 1. Legal Proceedings](index=47&type=section&id=Item%201.%20Legal%20Proceedings) Neither the company nor its consolidated subsidiaries are currently subject to any material litigation or threatened material litigation, beyond routine proceedings in the ordinary course of business, which are not expected to have a material adverse effect - **No material litigation** or threatened litigation[243](index=243&type=chunk) - Routine litigation not expected to have a **material adverse effect**[243](index=243&type=chunk) [Item 1A. Risk Factors](index=47&type=section&id=Item%201A.%20Risk%20Factors) There have been no material changes to the risk factors previously disclosed in the company's Annual Report on Form 10-K for the year ended December 31, 2023 - **No material changes** to risk factors from the latest 10-K[244](index=244&type=chunk) [Item 2. Unregistered Sales of Equity Securities and Use of Proceeds](index=47&type=section&id=Item%202.%20Unregistered%20Sales%20of%20Equity%20Securities%20and%20Use%20of%20Proceeds) No unregistered sales of equity securities or use of proceeds to report for the period - None[245](index=245&type=chunk) [Item 3. Defaults upon Senior Securities](index=47&type=section&id=Item%203.%20Defaults%20upon%20Senior%20Securities) No defaults upon senior securities to report for the period - None[246](index=246&type=chunk) [Item 4. Mine Safety Disclosures](index=47&type=section&id=Item%204.%20Mine%20Safety%20Disclosures) Not applicable to the company's operations - Not applicable[247](index=247&type=chunk) [Item 5. Other Information](index=47&type=section&id=Item%205.%20Other%20Information) No Rule 10b5-1 trading arrangements or non-Rule 10b5-1 trading arrangements were adopted or terminated by directors or officers during the three months ended March 31, 2024 - No Rule 10b5-1 or non-Rule 10b5-1 trading arrangements adopted or terminated by **directors/officers**[248](index=248&type=chunk) [Item 6. Exhibits](index=47&type=section&id=Item%206.%20Exhibits) This section lists all exhibits filed with the Form 10-Q, including organizational documents, preferred stock certificates, deposit agreements, and certifications - Includes organizational documents, preferred stock certificates, deposit agreements, and certifications[249](index=249&type=chunk)[250](index=250&type=chunk)[251](index=251&type=chunk) SIGNATURES [Signatures](index=50&type=section&id=Signatures) The report is signed by Peter J. Federico, President and Chief Executive Officer, and Bernice E. Bell, Executive Vice President and Chief Financial Officer, on May 7, 2024 - Signed by President and CEO **Peter J. Federico** and EVP and CFO **Bernice E. Bell**[254](index=254&type=chunk) - Date: **May 7, 2024**[254](index=254&type=chunk)

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-K ☒ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934 For the year ended December 31, 2023 OR ☐ 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 Jurisdic ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended September 30, 2023 OR ☐ 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 o ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended June 30, 2023 OR ☐ 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 Oth ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended March 31, 2023 OR ☐ 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 Ot ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-K ☒ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934 For the year ended December 31, 2022 OR ☐ 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 Jurisdic ...