FMCCO - AGNC Investment's Q4 2020 Income Statement And Earnings Projection - Part 2 (Includes BV Projection)

• I'm projecting AGNC will report a combined modest unrealized loss on available-for-sale securities and investment securities measured at FMV for the fourth quarter of 2020.
• Most generic 15-year and 30-year fixed-rate agency MBS coupons had minor-modest price fluctuations during the quarter. This included some retracement of higher coupon specified pools by quarter-end.
• Still, similar to the prior quarter, a “positive” relationship existed between fixed-rate agency MBS pricing and derivative instrument valuations during the fourth quarter of 2020.
• However, heightened prepayment risk (due to very low historical interest rates) will likely cause generic agency MBS prices to “plateau”/hover at or near current levels (this results in offsetting impacts).
• My AGNC comprehensive income projection for the fourth quarter of 2020 is stated in the “Conclusions Drawn” section. Another good quarter from an earnings and BV perspective.

For further details see: