AAIC - AGNC Investment's Q2 2021 Income Statement And Earnings Projection - Part 1 (Recent Rise In Spread/Basis Risk)

• This series projects AGNC’s income statement for the second quarter of 2021. These projections help readers understand how some of the fixed-rate agency mREIT sector performed (valuable insight).
• I am projecting AGNC will report a notable decrease in net spread income for the second quarter of 2021 versus the prior quarter. This is due to higher amortization expense.
• I am projecting AGNC will report a very minor gain on the sale of investment securities and record a minor decrease in net spread and dollar roll income per share.
• I am projecting AGNC will report a notable loss regarding the company’s derivative instruments and other securities for the second quarter of 2021.
• Unlike the prior several quarters, through a rise in spread/basis risk, I believe AGNC will report a weaker quarterly performance from a BV perspective.

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