AGNC Investment Corp. (Nasdaq: AGNC) today announced financial results for quarter ended September 30, 2016.

THIRD QUARTER 2016 FINANCIAL HIGHLIGHTS

• $1.25 comprehensive income per common share, comprised of:
  • $1.52 net income per common share
  • $(0.27) other comprehensive loss ("OCI") per common share
    • Includes net unrealized losses on investments recognized through OCI
• $0.64 net spread and dollar roll income per common share, excluding estimated "catch-up" premium amortization cost 1
  • Includes $0.16 of dollar roll income per common share associated with the Company's $10.7 billionaverage net long position in forward purchases and sales of agency mortgage-backed securities ("MBS") in the "to-be-announced" ("TBA") market
  • Excludes $(0.02) of estimated "catch-up" premium amortization cost per common share due to change in projected constant prepayment rate ("CPR") estimates
• $22.91 net book value per common share as of September 30, 2016
  • Increased $0.69 per common share, or 3.1%, from $22.22 per common share as of June 30, 2016
• $21.23 tangible net book value per common share as of September 30, 2016
  • Excludes $555 million, or $1.68 per common share, of goodwill and other intangible assets recognized in connection with AGNC's acquisition of AGNC Mortgage Management, LLC ("AMM" and formerly known as American Capital Mortgage Management, LLC) on July 1, 2016
• $0.56 dividend declared per common share during the quarter
• 5.6% economic return on common equity for the quarter, or 22.4% annualized
  • Comprised of $0.56 dividend per common share and $0.69 increase in net book value per common share

OTHER THIRD QUARTER HIGHLIGHTS

• $62.9 billion investment portfolio as of September 30, 2016, comprised of:
  • $47.2 billion agency MBS
  • $15.6 billion TBA mortgage position
  • $0.1 billion AAA non-agency MBS and GSE credit risk transfer ("CRT") securities
• 7.7x tangible net book value "at risk" leverage as of September 30, 2016
  • Unchanged from pro-forma tangible net book value "at risk" leverage as of June 30, 2016
  • 7.6x average tangible net book value "at risk" leverage for the quarter
• 14.3% portfolio CPR for the quarter
  • 10.6% average projected portfolio life CPR as of September 30, 2016, a decrease from 10.8% projected CPR as of June 30, 2016 due to portfolio repositioning
• 1.47% annualized net interest rate spread and TBA dollar roll income for the quarter, excluding estimated "catch-up" premium amortization cost
  • Excludes -5 bps of "catch up" premium amortization cost due to change in projected CPR estimates
  • Increased from 1.38% for the prior quarter, excluding -22 bps of "catch-up" premium amortization cost

MANAGEMENT REMARKS

"AGNC generated an outstanding 22.4% annualized economic return on common equity in the third quarter, marking the fourth quarter in a row of positive economic returns for our stockholders," said Gary Kain, the Company's Chief Executive Officer, President and Chief Investment Officer. "Importantly, our financial performance in the third quarter reflects, for the first time, the recent internalization of our management, which significantly reduced our ongoing operating expenses. The reduction in our cost structure is a material and durable benefit for our stockholders and was the main driver of the improvement in our net spread and dollar roll income during the quarter. Moreover, AGNC is now positioned to be the lowest-cost provider within the residential mortgage REIT industry, which we believe is a substantial and lasting competitive advantage. In addition, the significant improvement we have seen in the funding environment should serve as a solid tailwind to our business.

"We also acquired our first GSE credit risk transfer securities in the third quarter, consistent with the broadening of our investment guidelines that we announced in September. We view the opportunity to invest in conforming mortgage credit, previously the exclusive purview of the GSEs, as a natural complement to our agency MBS holdings.

"All in all, we believe AGNC's track record of industry-leading performance, low operating cost structure, prudent risk management, stockholder-friendly practices, liquidity and scale due to its size, and alignment of management and stockholder interests provide a very compelling value proposition for our stockholders."

NET BOOK VALUE

As of September 30, 2016, the Company's net book value per common share was $22.91, an increase of $0.69per common share, or 3.1%, from its June 30, 2016 net book value per common share of $22.22. The increase in the Company's net book value per common share was primarily due to interest rate hedges outperforming agency MBS during the quarter.

As of September 30, 2016, the Company's tangible net book value per common share was $21.23. Tangible net book value per common share excludes goodwill and other intangible assets recognized by the Company in connection with the acquisition of AMM and the internalization of the Company's management on July 1, 2016.

INVESTMENT PORTFOLIO

As of September 30, 2016, the Company's investment portfolio totaled $62.9 billion, comprised of:

• $62.8 billion of agency MBS and TBA securities, including:
  • $61.2 billion of fixed-rate securities, comprised of:
    • $13.9 billion ? 15-year securities,
    • $2.3 billion 15-year net long TBA securities,
    • $0.9 billion 20-year fixed-rate securities,
    • $30.8 billion 30-year fixed-rate securities, and
    • $13.3 billion 30-year net long TBA securities (including $2.6 billion of forward purchases of agency MBS specified pools);
  • $0.4 billion of adjustable-rate securities; and
  • $1.2 billion of collateralized mortgage obligations ("CMOs"), including principal and interest-only strips; and
• $0.1 billion of AAA non-agency securities and GSE credit risk transfer securities.

As of September 30, 2016, inclusive of TBA securities, ? 15-year and 30 year fixed rate securities represented 26% and 70% of the Company's investment portfolio, respectively, largely unchanged from 26% and 69%, respectively, as of June 30, 2016.

As of September 30, 2016, the Company's fixed-rate securities, inclusive of TBA securities, had a weighted average coupon of 3.46%, compared to 3.50% as of June 30, 2016, comprised of the following weighted average coupons:

• 3.17% for ? 15-year fixed rate securities;
• 3.49% for 20-year fixed-rate securities; and
• 3.57% for 30-year fixed-rate securities.

The Company accounts for its TBA mortgage portfolio (also referred to as "dollar roll funded assets") as derivative instruments and recognizes dollar roll income in other gain (loss), net on the Company's financial statements. As of September 30, 2016, the Company's net TBA position had a total fair value and a total cost basis of $15.6 billion and $15.5 billion, respectively, and a net carrying value of $46 million reported in derivative assets/(liabilities) on the Company's balance sheet, compared to a total fair value and a total cost basis of $7.1 billion and $7.0 billion, respectively, and a net carrying value of $97 million as of June 30, 2016.

CONSTANT PREPAYMENT RATES

The Company's investment portfolio had a weighted average CPR of 14.3% for the third quarter, compared to 11.8% for the prior quarter. The weighted average projected CPR for the remaining life of the Company's agency securities held as of September 30, 2016 was 10.6%, a decrease from 10.8% as of June 30, 2016, largely due to changes in portfolio composition.

The weighted average cost basis of the Company's investment portfolio was 104.7% of par value as of September 30, 2016. Net premium amortization cost on the Company's investment portfolio for the third quarter was $(110) million, or $(0.33) per common share, including "catch-up" premium amortization cost of $(8) million, or $(0.02) per common share, due to changes in the Company's projected CPR estimates for securities acquired prior to the third quarter. This compares to net premium amortization cost for the prior quarter of $(134) million, or $(0.40) per common share, including a "catch-up" premium amortization cost of $(32) million, or $(0.10) per common share. The net unamortized premium balance as of September 30, 2016 was $2.1 billion.

The Company amortizes or accretes premiums and discounts associated with purchases of agency securities into interest income using the effective yield method over the estimated life of such securities, incorporating both actual repayments to date and projected repayments over the remaining life of the security. Faster actual or projected repayments can have a meaningful negative impact on the Company's asset yields, while slower actual or projected repayments can have a meaningful positive impact.

ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE SPREAD

The Company's average asset yield on its investment portfolio, excluding the net TBA position, (also referred to as "balance sheet funded assets") was 2.60% for the third quarter, an increase from 2.46% for the prior quarter. Excluding "catch-up" premium amortization cost, the Company's average asset yield was 2.66% for the third quarter, compared to 2.70% for the prior quarter.

For the third quarter, the Company's average cost of funds was 1.32%, a decrease from 1.46% for the prior quarter, largely due to a decline in interest rate swap costs, partially offset by modestly higher repo funding costs. The Company's average cost of funds includes the cost of agency repurchase agreements ("agency repo"), Federal Home Loan Bank ("FHLB") advances, debt of consolidated variable interest entities ("other debt") and interest rate swaps (including interest rate swaps used to hedge the Company's dollar roll funded assets) measured against the Company's daily weighted average agency repo, FHLB advances and other debt balance outstanding.

The Company's combined annualized net interest rate spread on its balance sheet and dollar roll funded assets for the quarter was 1.42%, compared to 1.16% for the prior quarter. Excluding "catch-up" premium amortization cost, the Company's combined annualized net interest rate spread on its balance sheet and dollar roll funded assets for the quarter was 1.47%, compared to 1.38% for the prior quarter.

On a per share basis, the Company recognized $0.62 per common share of net spread and dollar roll income (a non-GAAP financial measure) for the third quarter, compared to $0.46 for the prior quarter. Excluding "catch-up" premium amortization cost, the Company's net spread and dollar roll income was $0.64 per common share for the third quarter, an increase from $0.56 for the prior quarter, benefiting from lower operating costs due to the Company's management internalization and a lower average cost of funds.

A reconciliation of the Company's net interest income to net spread and dollar roll income and additional information regarding the Company's use of non-GAAP measures are included later in this release.

LEVERAGE

As of September 30, 2016, $37.6 billion of agency repo, $3.0 billion of FHLB advances and $0.5 billion of other debt were used to fund the Company's investment portfolio. The remainder, or approximately $45 million, of the Company's repurchase agreements, was used to fund purchases of U.S. Treasury securities ("U.S. Treasury repo") and is not included in the Company's leverage measurements. Inclusive of its net TBA position and net payable/(receivable) for unsettled securities, the Company's tangible net book value "at risk" leverage ratio was 7.7x as of September 30, 2016, unchanged from its pro-forma tangible net book value "at risk" leverage ratio as of June 30, 2016 adjusted for the effect of the completed AMM acquisition on July 1, 2016.

As of September 30, 2016, the Company's agency repurchase agreements had a weighted average interest rate of 0.83%, an increase from 0.78% as of June 30, 2016, and a weighted average remaining days to maturity of 199 days, a decrease from 202 days as of June 30, 2016.

As of September 30, 2016, the Company's agency repurchase agreements had remaining maturities of:

• $26.5 billion of three months or less;
• $3.6 billion from three to six months;
• $0.8 billion from six to nine months;
• $0.6 billion from nine to twelve months;
• $3.1 billion from one to three years; and
• $3.0 billion from three to five years.

As of September 30, 2016, the Company's FHLB advances had a weighted average interest rate of 0.63% and a weighted average remaining maturity of 123 days through to the termination of the Company's captive subsidiary's FHLB membership in February 2017.

HEDGING ACTIVITIES

As of September 30, 2016, 75% of the Company's outstanding balance of repurchase agreements, FHLB advances, other debt and net TBA position was hedged with interest rate swaps, swaptions and net U.S. Treasury positions, a decrease from 79% as of June 30, 2016.

As of September 30, 2016, the Company's interest rate swap position totaled $34.2 billion in notional amount, compared to $35.1 billion as of June 30, 2016. The Company's interest rate swap position as of September 30, 2016 included $2.2 billion of forward starting swaps, with an average forward start date of 0.5 years and an average remaining maturity of 6.8 years, compared to $2.7 billion, 0.7 years and 7.1 years, respectively, as of June 30, 2016.

Excluding forward starting swaps, the Company's interest rate swap portfolio had an average fixed pay rate of 1.40% and an average receive rate of 0.78% as of September 30, 2016, compared to 1.51% and 0.64%, respectively, as of June 30, 2016. Including forward starting swaps, the Company's interest rate swap portfolio had an average fixed pay rate of 1.52% and an average maturity of 3.5 years as of September 30, 2016, compared to 1.64% and 4.0 years, respectively, as of June 30, 2016.

The Company also utilizes payer swaptions and long and short positions in U.S. Treasury securities and U.S. Treasury futures to mitigate exposure to changes in interest rates. As of September 30, 2016, the Company had payer swaptions outstanding totaling $0.7 billion, compared to $1.1 billion as of June 30, 2016, and a net short U.S. Treasury position outstanding of $7.9 billion, compared to $5.5 billion as of June 30, 2016.

OTHER GAIN (LOSS), NET

For the third quarter, the Company recorded a net gain of $307 million in other gain (loss), net, or $0.93 per common share, compared to a net loss of $(312) million, or $(0.94) per common share, for the prior quarter. Other gain (loss), net for the third quarter was comprised of:

• $61 million of net realized gains on sales of agency securities;
• $204 million of net gains on interest rate swaps (excluding $7 million of net unrealized gains recognized in OCI);
• $(51) million of interest rate swap periodic interest costs;
• $(1) million of net losses on interest rate swaptions;
• $30 million of net gains on U.S. Treasury positions;
• $54 million of TBA dollar roll income;
• $13 million of net mark-to-market gains on TBA mortgage positions;
• $4 million of management fee income; and
• $(7) million of net losses on other derivative instruments and securities.

OTHER COMPREHENSIVE LOSS

During the third quarter, the Company recorded other comprehensive loss of $(90) million, or $(0.27) per common share, primarily consisting of unrealized losses on the Company's agency securities, compared to $382 million, or $1.16 per common share, of other comprehensive income for the prior quarter.

THIRD QUARTER 2016 DIVIDEND DECLARATIONS

During the third quarter, the Company's Board of Directors declared dividends of $0.20, $0.18 and $0.18 per share to common stockholders of record as of July 29, August 31 and September 30, 2016, respectively, totaling $0.56 for the quarter, which were paid on August 8, September 9 and October 7, 2016, respectively. Since its May 2008 initial public offering through the third quarter of 2016, the Company has declared a total of $6.6 billion in common stock dividends, or $34.46 per common share.

On September 16, 2016, the Company's Board of Directors declared a third quarter dividend on its 8.000% Series A Cumulative Redeemable Preferred Stock of $0.50 per share and on its 7.750% Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock") underlying its outstanding depositary shares of $0.484375 per depositary share. Each depositary share represents a 1/1,000th interest in a share of the Series B Preferred Stock. The dividends were paid on October 17, 2016 to preferred stockholders of record as of October 1, 2016.

STOCK REPURCHASE PROGRAM

The Company also announced that its Board of Directors has terminated the Company's existing stock repurchase plan that was due to expire December 31, 2016, and replaced it with a new stock repurchase plan. Under the new stock repurchase plan, the Company is authorized to repurchase up to $1 billion of its outstanding shares of common stock through December 31, 2017. The Company may repurchase shares in the open market or privately negotiated transactions or pursuant to a trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities and Exchange Act of 1934, as amended. The Company intends to only repurchase shares under the new stock repurchase plan when the repurchase price is less than its estimate of its current tangible net book value per common share.

FINANCIAL STATEMENTS, OPERATING PERFORMANCE AND PORTFOLIO STATISTICS

The following measures of operating performance include net spread and dollar roll income, net spread and dollar roll income, excluding "catch-up" premium amortization, and estimated taxable income, which are non-GAAP financial measures. Please refer to "Use of Non-GAAP Financial Information" later in this release for further discussion of non-GAAP measures.

ABOUT AGNC INVESTMENT CORP.

AGNC Investment Corp. is an internally-managed real estate investment trust that invests primarily in agency pass-through securities for which the principal and interest payments are guaranteed by a U.S. Government agency or a U.S. Government-sponsored enterprise. For further information, please refer to www.AGNC.com.