AGNCO - AGNC Investment's Q1 2021 Income Statement And Earnings Projection - Part 2 (Includes 3/31/2021 And Current BV Projection)

• I am projecting AGNC will report a combined notable unrealized loss on available-for-sale securities and investment securities measured at FMV for the first quarter of 2021 (MBS investments).
• Lower coupon generic 15- and 30-year fixed-rate agency MBS coupons had notable price decreases during the quarter. This included some weakness within higher coupon specified pools by quarter-end.
• This two-part article also highlights to readers the heightened importance of understanding the relationship between AGNC’s MBS/investment portfolio and the company’s derivatives instruments regarding changes in quarterly valuations.
• One of the key metrics to track regarding an agency mREIT’s performance during the first quarter of 2021 is each company’s hedging coverage ratio and weighted average negative duration.
• My AGNC quarterly comprehensive income projection is stated in the “Conclusions Drawn” section.  AGNC should report another good quarter from an earnings and BV perspective and outperform sub-sector peers.

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