FNMFO - AGNC Investment's Q2 2021 Income Statement And Earnings Projection - Part 2 (Includes Current BV Projection Some Caution Warranted)
- I'm projecting AGNC will report a combined minor unrealized gain on on-balance sheet MBS/investments for the second quarter of 2021 (mainly fixed-rate agency MBS).
- Lower coupon generic 15-year and 30-year fixed-rate agency MBS coupons had modest-notable price increases during the quarter. However, higher coupon generic and specified pools experienced some weakness.
- 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.
- Through heightened spread/basis risk, a negative relationship developed between fixed-rate agency MBS pricing and derivative instrument valuations during the second quarter of 2021.
- My AGNC quarterly comprehensive loss projection is stated in the “Conclusions Drawn” section. AGNC will report a weaker quarter from a BV perspective. As such, some caution is warranted.
For further details see:
AGNC Investment's Q2 2021 Income Statement And Earnings Projection - Part 2 (Includes Current BV Projection, Some Caution Warranted)