AGNCO - AGNC Investment's Q1 2022 Income Statement And Earnings Projection - Part 1 (BV Under Notable Pressure)

• This series projects AGNC’s income statement for the first quarter of 2022. These projections help readers understand how some of the fixed-rate agency mREIT sector performed (valuable insight).
• I’m projecting AGNC will report a modest increase in net spread income for the first quarter of 2022 versus the prior quarter. This is due to lower premium amortization expense.
• I'm projecting AGNC will report a modest loss on the sale of investment securities and record a minor decrease in net spread and dollar roll income per share.
• I'm projecting AGNC will report an extremely severe MBS valuation loss which will only be partially mitigated by the company’s derivative instruments for the first quarter of 2022.
• Spread/Basis risk, especially agency MBS, notably increased during the first quarter of 2022.  Spread/Basis risk has remained high-very high during April 2022 (through 4/15/2022). Therefore, caution remains warranted.

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