AGNCO - AGNC Investment's Q1 2022 Income Statement And Earnings Projection - Part 2 (Includes Current Recommendation)

• I am projecting AGNC will report a combined extremely notable unrealized loss on the company’s on-balance sheet MBS/investments for the first quarter of 2022 (mainly fixed-rate agency MBS).
• Generic 15- and 30-year fixed-rate agency MBS coupons had extremely notable price decreases during the quarter. Higher coupon-specified pools generally experienced the same type of fluctuations.
• 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.
• My AGNC quarterly comprehensive loss projection is stated in the “Conclusions Drawn” section. With recent Fed activity/plans, I continue to project elevated spread/basis risk through the spring.
• AGNC will report a very weak quarter from a BV perspective. This trend continued in April 2022. As such, some caution continues to be warranted.

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