We present a new technique for transferring momentum and velocity between particles and grid with Particle-In-Cell (PIC) calculations which we call Affine-Particle-In-Cell (APIC). APIC represents particle velocities as locally affine, rather than locally constant as in traditional PIC. We show that this representation allows APIC to conserve linear and angular momentum across transfers while also dramatically reducing numerical diffusion usually associated with PIC. Notably, conservation is achieved with lumped mass, as opposed to the more commonly used Fluid Implicit Particle (FLIP) transfers which require a full mass matrix for exact conservation. Furthermore, unlike FLIP, APIC retains a filtering property of the original PIC and thus does not accumulate velocity modes on particles as FLIP does. In particular, we demonstrate that APIC does not experience velocity instabilities that are characteristic of FLIP in a number of Material Point Method (MPM) hyperelasticity calculations. Lastly, we demonstrate that when combined with the midpoint rule for implicit update of grid momentum that linear and angular momentum are exactly conserved.