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Author's Note: PART 3 of this article is a continuation from PART 1 and PART 2, which were discussed in previous publications. Please see PART 1 of this article for a composition and valuation analysis of American Capital Agency Corp.'s (AGNC) MBS portfolio. Please see PART 2 of this article for a composition analysis of AGNC's derivative portfolio. PART 1 and PART 2 helps lead to a better understanding of AGNC's derivative portfolio valuation analysis that will be discussed below. The links to PART 1 and PART 2 are provided below:

Focus of PART 3 of Article:

The focus of PART 3 of this article is to provide a mid-quarter update of AGNC's third quarter of 2013 derivative portfolio regarding its valuation. I feel this mid-quarter update will provide readers a general direction on how the first-half of the third quarter of 2013 has panned out regarding AGNC's overall hedging strategy. This article will focus on a detailed valuation analysis through 8/16/2013 regarding AGNC's four main derivative instruments.

In conjunction with AGNC's derivative portfolio valuation analysis specific MBS prices, swap rates, and U.S. Treasury yields will be provided. This information will assist when projecting valuation amounts on AGNC's derivative instruments as of 8/16/2013.

At the end of this article, an AGNC book value ('BV') projection as of 8/16/2013, 8/23/2013, and 8/30/2013 will also be provided.

Side Note Regarding Using Prior Quarter's Ending Derivative Balances as an Appropriate Current Quarter Starting Valuation Technique:

Prior to beginning AGNC's derivative portfolio valuation analysis, I feel a discussion regarding why I use this specific valuation technique should be addressed.

A certain "critic" in the comments section of a few of my past mREIT articles (including other authors' articles) highlighted that an mREIT will have numerous quarterly activities, which will change a derivative portfolio within any stated quarter. Therefore, this critic feels it is basically useless to even try and value an mREIT's derivative portfolio (or any account for that matter) in a current quarter. As was the case in PART 1 of this article concerning an mREIT's MBS portfolio, I would have to firmly disagree with this notion.

The asset valuations of any account on the balance sheet that represent the prior quarter's ending balances are definitive in nature. Regarding an mREIT's derivative portfolio, even if some of these instruments are exercised, expired, settled, or terminated in the current quarter, they still must be accounted for. They simply are not "washed away" and disposed of without having an accounting effect. Regarding this particular topic, all of AGNC's derivative instruments represented as of 6/30/2013 will either be "realized" or "unrealized" by the end of the current quarter on 9/30/2013.

Therefore, the only aspects left open to interpretation are the amount of derivative additions, exercises, expirations, settlements, and terminations in a given quarter (including the stated terms of the underlying swaps/swaptions and forward contracts). This is where a level of "projection" based on certain "assumptions" must be taken into consideration. AGNC's overall derivative valuation changes will be entirely accounted for in the "gain (loss) on derivative instruments, net" account within the income statement in any given quarter. The balance sheet accounts that would be affected are the "derivative assets, at fair value" and "derivative liabilities, at fair value" accounts. Through some extra research and data, one can project (to a "reasonable" degree) how management "should" act within any given quarter regarding additions, exercises, expirations, settlements, and terminations. However, this will not be an "exact science" each quarter. There will be some minor variances that arise in a given quarter if more/less additions, exercises, expirations, settlements, and/or terminations actually occur than previously projected. Additionally, a wrongly projected change in hedging durations or stated maturities would also cause a slight deviation in derivative valuations.

Nonetheless, one can still reasonably predict how management should perform regarding such activities in a specified quarter. This should be evidenced by my past articles regarding AGNC's derivative valuation projections for the second quarter of 2013. On a valuation basis, when including both realized and unrealized valuation gains (losses) regarding AGNC's derivative portfolio, my projected $1.50 billion derivative valuation gain was extremely "reasonable" when compared to AGNC's reported valuation gain. AGNC's actual derivative portfolio valuation gain was $1.44 billion, which led to a total net variance of $56 million or 4% of the account balance when compared to my projected results. Given the numerous projections and assumptions at play within this particular account, I feel my projection was pretty accurate.

AGNC's management took the appropriate steps in the second quarter of 2013 to try and minimize BV losses given its derivative portfolio as of 3/31/2013. During the first quarter of 2013, management did not necessarily act appropriately regarding minimizing BV losses through doubling its net long "to-be-announced" (TBA) MBS and forward settling agency securities position. I stated my disappointment of the increased TBA MBS and forward settling agency securities position after AGNC reported its first quarter of 2013 results. However, management correctly saw the "bigger picture" during the second quarter of 2013 and reduced its TBA MBS and forward settling agency securities position by nearly 50%. This was a wise move in a rising interest rate environment as will be shown later in the article. The following are links to my second quarter of 2013 income statement and BV articles where such derivative valuations were accurately projected:

To appropriately begin AGNC's derivative portfolio valuation analysis, this specific technique has proved to be the best methodology in my years of research and data compilation. If a similar valuation analysis was attempted without using this specific methodology, material valuation variances would most likely occur.

2) AGNC's Derivative Portfolio - Valuation Analysis:

Using PART 2's derivative portfolio composition analysis as a reference, we can now begin AGNC's derivative portfolio valuation analysis. AGNC's derivative portfolio valuation analysis through 8/16/2013 will be performed on the following four derivative instruments: a) TBA MBS and forward settling agency securities; b) interest rate swaps; 3) interest rate swaptions; and 4) U.S. Treasury securities.

Side Note: To better illustrate the nature and function of AGNC's derivative instruments, I break out each derivative instrument as being "long" or "(short)". All long positions have a "direct" relationship with AGNC's MBS portfolio. As such, if AGNC's MBS portfolio has an overall valuation gain, AGNC's derivative long positions will have a similar valuation gain. All short positions have an "inverse" relationship with AGNC's MBS portfolio. As such, if AGNC's MBS portfolio has an overall valuation gain, AGNC's derivative short positions will have an opposite valuation loss (and vice versa). This can be confusing to an average investor but I feel presenting the information this way is the best way to show the true nature of a specific derivative. If a reader becomes confused, I would suggest referring back to this particular side note to gain one's bearings. It should be noted not all of AGNC's derivative instruments are directly held for the mitigating of MBS valuation losses. AGNC holds different types of derivative instruments to offset both MBS portfolio valuation losses and the rising costs of repurchase (repo) loans regarding LIBOR.

a) Net TBA MBS and Forward Settling Agency Securities (Net Long Position):

Having established the composition of AGNC's net TBA MBS and forward settling agency securities in PART 2 of this article, we can now begin its valuation analysis. Both valuation gains (losses) and dollar roll income associated with AGNC's TBA MBS forward contracts and dollar roll transactions are recognized in the "gain (loss) on derivative instruments and other securities, net" account within the income statement. Regarding forward settling agency securities, similar valuation methods are also used when compared to AGNC's TBA MBS forward contracts. However, in some instances, additional valuation techniques may be deemed appropriate depending on the remaining length of time of the forward commitment.

For the sake of reducing redundancy within PART 3 of this article, I would refer readers to PART 1 of this article regarding specific price movements for 15-year (Table 3) and 30-year (Table 4) fixed-rate MBS across the various coupon rates. As was the case with AGNC's MBS portfolio in PART 1 of this article, these same two tables are the "cornerstone" of providing precise valuation projections for AGNC's TBA MBS and forward settling agency securities.

Using Tables 2 and 3 from PART 1 of this article, along with making several assumptions regarding AGNC's TBA MBS and forward settling agency security net changes during the current quarter, Table 13 below shows the weekly and cumulative quarterly valuation changes to AGNC's TBA MBS and forward settling agency securities through the week ending 8/16/2013.

Table 13 - AGNC Summarized Weekly and Cumulative Quarterly Valuation Gains (Losses) on its Net TBA MBS and Forward Settling Agency Securities (Through 8/16/2013)


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Using Table 13 as a reference, my overall projected quarterly TBA MBS and forward settling agency security valuation loss is approximately ($233) million through the week ending 8/16/2013. This incorporates all long and (short) positions as of 6/30/2013 including various assumptions regarding quarterly "re-rolls," settlements, and terminations.

Since valuation adjustments can occur during a specified point in time, I feel when projecting a company's mid-quarter accounting figures, all quarterly revenue and expenses should be projected for the entire quarter at any given point during the current quarter. This way, when projecting the remainder of the quarter, only valuation changes account for the newly stated figures. As such, I am projecting a quarterly dollar-roll income figure of approximately $106 million for the third quarter of 2013. Even though AGNC has materially lowered its 6/30/2013 net long TBA MBS and forward settling agency security balance when compared to 3/31/2013, the average dollar roll yield as of 6/30/2013 was 2.95% versus only a yield of 2.35% as of 3/31/2013. As mentioned in PART 2 of this analysis, as overall mortgage interest rates and U.S. Treasury yields increased, AGNC took possession of its lower coupon TBA MBS (thus converting the TBA MBS positions into regular MBS holdings) and/or also acquired new TBA MBS forward contracts having higher coupons. As such, potential dollar-roll income for the quarter should modestly increase because the weighted average yield regarding its TBA MBS and forward settling agency securities has materially risen.

Therefore, as of 8/16/2013, I am projecting a net valuation loss of approximately ($125) million regarding AGNC's net long TBA MBS and forward settling agency securities position.

It should be noted out of all the derivative instruments shown within this analysis, the net TBA MBS and forward settling agency security valuation analysis is the easiest to value yet the hardest to base certain assumptions on. My projected valuation loss of ($125) assumes AGNC has continued to gradually lower its overall exposure of this derivative instrument during the third quarter of 2013. This assumption could be proven incorrect and readers should be aware as such. However, I am currently confident this is the continued plan of AGNC's management team. If such an assumption were incorrect, AGNC would report a larger valuation loss in the neighborhood of ($250) million through the week ending 8/16/2013.

b) Interest Rate Swaps (Net Short Position):

Having established the composition of AGNC's interest rate swaps in PART 2 of this article, we can now begin its valuation analysis. AGNC values its "non-centrally cleared" swaps using a combination of inputs from counterparties and independent pricing models to estimate the net present value ('NPV') of the future cash flows of the swap using a forward interest rate yield curve in effect as of the end of the measurement period. Valuation gains (losses) are recognized in the "gain (loss) on derivative instruments and other securities, net" account within the income statement.

AGNC currently has an immaterial amount of "centrally cleared" swaps (Markit IOS total return swaps). For informational purposes, these types of swaps are valued by a particular exchange using a pricing model that incorporates underlying swap rates, overnight index swap rates, and forward LIBOR percentages to produce daily settlement prices. Due to immateriality, further mentioning of AGNC's Markit IOS total return swaps will be omitted until a brief projected valuation figure is provided at the end of this particular derivative instrument's valuation analysis.

It should be noted a reasonably projected net quarterly change in the valuation of AGNC's interest rate swaps can also be manually performed if one has the expertise to perform such a calculation and certain variables and swap rates are known. These manual calculations are a great tool to understand when comparing results to the various modeled projections. One key piece of information to obtain to begin a proper valuation of an interest rate swap is the cumulative quarterly net change of the rate paid by the fixed-rate payer of the swap.

Table 14 - Interest Rate Swap Rates (Rate Paid By Fixed-Rate Payer) (Through 8/16/2013)


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Side Note: Since the cumulative net quarterly change to LIBOR has been immaterial during the current quarter, a discussion on the net change of the receiver side of the interest rate swap will be omitted from this analysis. This includes the omission of a LIBOR table since LIBOR basically has not moved during the first half of the third quarter of 2013.

Using Table 14 as a reference, one can see as the tenor (or maturity) of an interest rate swap increases, the rate paid by the fixed-rate payer increases as well. For instance, as of 6/30/2013, the rate paid by the fixed-rate payer on a 5-year interest rate swap is 1.59% while the rate increases to 2.71% on a 10-year interest rate swap. The difference in interest rate swap percentages is the market taking into consideration the greater likelihood that interest rates in general will be at a higher rate 10 years down the road as opposed to 5 years (like most typical bonds or U.S. Treasuries).

During the third quarter of 2013, the rate paid by the fixed-rate payer has increased at a greater percentage rate the longer the interest rate swap tenor is. For instance, the rate paid by the fixed-rate payer on a 3-year interest rate swap has increased 0.07% through 8/16/2013 while the rate paid by the fixed-rate payer on a 10-year interest rate has increased 0.24%. This may not seem like a big difference to some readers. However, since the rate paid by the fixed-rate payer on a 10-year swap has increased over three times the rate paid by the fixed-year payer on a 3-year swap, the 10-year swap would have a valuation gain nearly triple when compared to the 3-year swap (generally speaking). Since AGNC has a net short position of ($55.7) billion regarding its interest rate swaps as of 6/30/2013, even subtle cumulative net quarterly percentage differences could cause material shifts to valuation gains (losses).

Table 15 below shows the weekly and cumulative quarterly valuation changes to AGNC's interest rate swaps through 8/16/2013. These valuation changes include making several assumptions regarding AGNC's interest rate swap net changes during the current quarter.

Table 15 - AGNC Summarized Weekly and Cumulative Quarterly Valuation Gains (Losses) on its Interest Rate Swaps (Through 8/16/2013)


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Using Table 15 as a reference, through 8/16/2013, I am projecting AGNC to have interest rate swap valuation gains of approximately $400 million. However, as mentioned in PART 2 of this analysis, AGNC also needs to account for quarterly net periodic interest costs relating to its interest rate swaps. These costs are the net pay rate (rate on fixed-rate payer side of the swap less the receiver rate based on LIBOR) that AGNC is currently paying on all its interest rate swaps. Through a valuation table not shown within this analysis, I am projecting AGNC will record a quarterly net periodic interest cost on its interest rate swaps of $110 million. I am also projecting a slight gain on AGNC's interest rate swaps within the Markit IOS total return swap index of $15 million (net of all interest rate swap termination fees).

Therefore, as of 8/16/2013, I am projecting a net valuation gain of approximately $305 million regarding AGNC's net short interest rate swaps position.

c) Interest Rate Swaptions (Net Short Position):

As a reminder, interest rate swaptions are basically options to enter into underlying interest rate swap contracts. Whereas interest rate swap contracts have no upfront stated costs but incur gains (losses) as swap rates fluctuate, interest rate swaptions have an implicit upfront cost upon creation of a specific interest rate swaption (like any typical option contract).

Having established the composition of AGNC's interest rate swaptions in PART 2 of this article, we can now begin its valuation analysis. AGNC values its interest rate swaptions using a combination of inputs from counterparties and independent pricing models based on the fair market value ('FMV') of the underlying interest rate swap. A further valuation of the remaining length of the option needs to be performed as well. This includes any adjustments that may need to be accounted for due to the potential "non-performance" of a particular counterparty holding the option (when applicable). Valuation gains (losses) are recognized in the "gain (loss) on derivative instruments and other securities, net" account within the income statement.

It should be noted a reasonably projected net quarterly change in the valuation of AGNC's interest rate swaptions can also be manually performed if one has the expertise to perform such a calculation and certain variables and swap rates are known. These manual calculations are a great tool to understand when comparing results to the various modeled projections. As was the case with AGNC's interest rate swaps, one key piece of information to obtain to begin a proper valuation of an interest rate swaption is the cumulative quarterly net change of the rate paid by fixed-rate payer of the underlying interest rate swap.

Table 16 below shows the weekly and cumulative quarterly valuation changes to AGNC's interest rate swaptions through 8/16/2013. These valuation changes include making several assumptions regarding AGNC's interest rate swaption net changes during the current quarter.

Table 16 - AGNC Summarized Weekly and Cumulative Quarterly Valuation Gains (Losses) on its Interest Rate Swaptions (Through 8/16/2013)


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Using Table 16 as a reference, through 8/16/2013, I am projecting AGNC to have interest rate swaption valuation gains of approximately $175 million. However, as mentioned in PART 2 of this analysis, AGNC also needs to account for all quarterly costs in relation to new interest rate swaption positions. Through, I am projecting AGNC will acquire a modest $1 billion of interest rate swaptions at an initial cost of $25 million.

Therefore, as of 8/16/2013, I am projecting a net valuation gain of approximately $150 million regarding AGNC's net short interest rate swaptions position.

d) U.S. Treasury Securities (Net Short Position):

Having established the composition of AGNC's U.S. Treasury securities in PART 2 of this article, we can now begin its valuation analysis. AGNC purchases or sells short U.S. Treasury securities and U.S. Treasury future contracts to help mitigate the potential impact of changes in mortgage interest rates hence the valuation of its MBS portfolio. AGNC borrows securities to cover short sales of U.S. Treasury securities under reverse repurchase ('repo') agreements. AGNC accounts for these instruments as "security borrowing transactions" and recognizes an obligation to return the borrowed securities at FMV on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. The valuation gains (losses) associated with purchases and short sales of U.S. Treasury securities and U.S. Treasury future contracts are recognized in the "gain (loss) on derivative instruments and other securities, net" account within the income statement.

It should be noted a reasonably projected net quarterly change in the valuation of AGNC's U.S. Treasury security and U.S. Treasury future contract valuations can also be manually performed if one has the expertise to perform such a calculation and certain variables and U.S. Treasury yields are known. One key piece of information to obtain to begin a proper valuation of a U.S. Treasury security is the cumulative quarterly net change of the yield on the various U.S. Treasury security maturities.

Table 17 - U.S. Treasury Security Yields (Through 8/16/2013)


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Using Table 17 as a reference, one can see as the maturity of a U.S. Treasury security increases, the yield increases as well. For instance, as of 6/30/2013, the yield obtained on a 5-year U.S. Treasury security is 1.41% while the yield increases to 2.52% on a 10-year U.S. Treasury security. The difference in yield percentages is the market taking into consideration the greater likelihood that U.S. Treasury yields in general will be at a higher rate 10 years down the road as opposed to 5 years (like most typical bonds or interest rate swaps).

During the third quarter of 2013, the net quarterly yield change increased at a greater percentage the longer the U.S. Treasury security maturity is. For instance, a U.S. Treasury security with a 5-year maturity increased 0.19% through 8/16/2013 while a U.S. Treasury security with a10-year maturity increased 0.32%. This may not seem like a big difference to some readers. However, subtle net quarterly yield changes can materially impact valuations through the various U.S. Treasury security maturities. A U.S. Treasury security with a 10-year maturity would have a valuation gain over 1.5x of a U.S. Treasury security with a 5-year maturity. Since AGNC has a $10.5 billion net short U.S. Treasury security position and a $2.4 billion net short U.S. Treasury future contract position (excluding $3.8 of long U.S. Treasury securities considered "non-derivative" in nature), even subtle cumulative net quarterly percentage differences could cause material shifts to valuation gains (losses).

Table 18 below shows the weekly and cumulative quarterly valuation changes to AGNC's U.S. Treasury securities and U.S. Treasury future contracts through 8/16/2013. These valuation changes include making several assumptions regarding AGNC's U.S. Treasury security and U.S. Treasury future contract net changes during the current quarter.

Table 18 - AGNC Summarized Weekly and Cumulative Quarterly Valuation Gains (Losses) on its U.S. Treasury Securities and U.S. Treasury Future Contracts (Through 8/16/2013)


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Using Table 18 as a reference, through 8/16/2013, I am projecting AGNC to have U.S. Treasury security and U.S. Treasury future contract valuation gains of approximately $239 million. However, AGNC also needs to account for quarterly interest income on all long positions and quarterly interest income reversals on all short positions. I am projecting a net interest income reversal of ($67) million.

Therefore, as of 8/16/2013, I am projecting a net valuation gain of approximately $175 million regarding AGNC's net short U.S. Treasury securities and U.S. Treasury future contracts position.

Brief Discussion of MTGE's Derivative Portfolio - Valuation Analysis:

American Capital Mortgage Investment Corp. (MTGE) had an extremely similar 6/30/2013 hedging portfolio when compared to AGNC. This is not too surprising since we established in PART 1 of this analysis that MTGE's MBS portfolio as of 6/30/2013 was pretty similar in comparison to AGNC's MBS portfolio as of 6/30/2013 regarding overall composition.

This was evidenced via Table 12 in PART 2 of this analysis. Both AGNC and MTGE has an overall hedging portfolio that covers its repo loan, other debt, and net long TBA MBS positions by 102%. AGNC and MTGE also had pretty similar average hedging durations/maturities regarding interest rate swaps, interest rate swaptions, and U.S. Treasury securities. As such, the overall hedging portfolios between MTGE and AGNC are nearly identical.

Other than the TBA MBS and forward settling securities positions as of 6/30/2013 (part of the derivative portfolio), AGNC and MTGE have basically identical derivative portfolios as of 6/30/2013. As such, MTGE's overall derivatives portfolio valuation will be proportionally similar to AGNC's.

I have similar cumulative weekly and quarterly valuation tables for MTGE regarding its TBA MBS, interest rate swaps, interest rate swaptions, and U.S. Treasury securities. However, this article's main focus is on AGNC and not MTGE. As such, MTGE's derivative portfolio valuation through the week ending 8/16/2013 will be listed below.

a) TBA MBS net valuation loss of ($5) million

b) Interest rate swap net valuation gain of $45 million

c) Interest rate swaption net valuation gain of $18 million

d) U.S. Treasury securities and U.S. Treasury future contract net valuation gain of $10 million

Therefore, MTGE's total derivative portfolio net valuation gain is projected to be approximately $68 million through 8/16/2013.

Conclusions Drawn (AGNC's Derivative Portfolio - Valuation Analysis):

Regarding the valuation of AGNC's derivative portfolio through 8/16/2013, I am projecting the following derivative instrument valuation gains (losses):

a) TBA MBS net valuation (losses) of ($125) million

b) Interest rate swap net valuation gain of $305 million

c) Interest rate swaption net valuation gain of $150 million

d) U.S. Treasury securities and U.S. Treasury future contract net valuation gain of $175 million

Therefore, AGNC's total derivative portfolio net valuation gain is projected to be $505 million through 8/16/2013.

Book Value Projection (For the Weeks Ending 8/16/2013, 8/23/2013, and 8/30/2013):

Finally, we have arrived at AGNC's projected BV per share based on PART 1's MBS portfolio valuation analysis and PART 3's derivatives portfolio valuation analysis.

Side Note to BV Projection: Prior to providing three weekly BV per share projections, it should be noted all remaining revenue and expense accounts are already projected out for the entire third quarter of 2013. I project my BV per share amounts like this because eventually the business operations will incur full quarterly activities within these revenue and expense accounts. As such, a more precise mid-quarter BV will be obtained when performing the BV projection this way. For example, instead of prorating quarterly interest income for only half of the quarter, the full quarter's worth of interest income is taken into consideration for the mid-quarter BV per share projection. The same holds true for all expense accounts not already discussed in the three parts of this analysis. In my opinion, this provides a more consistent and precise BV projection when ultimately performing this same BV projection as of 9/30/2013.

  • AGNC BV (Per Share) as of 8/16/2013: $23.50 (Range $23.00 - $24.00)
  • AGNC BV (Per Share) as of 8/23/2013: $23.49 (Range $22.99 - $23.99)
  • AGNC BV (Per Share) as of 8/30/2013: $24.92 (Range $24.52 - $25.42)

Since AGNC's stock price continues to trade at a modest discount to CURRENT BV, I would recommend a strong HOLD position in today's volatile interest rate environment. Some opportunities to purchase initial/additional shares could occur when markets oversell the mREIT sector on any given day of volatile interest rate/yield movements.

I would caution readers that AGNC's current BV per share amount changes daily. One quick, sharp move in mortgage interest rates, MBS prices, interest rate swap rates, and U.S. Treasury yields can materially change AGNC's current BV per share by material amounts. This is why I feel it is imperative readers understand how AGNC values its MBS and derivative portfolio and show how modest changes in overall rates, prices, and/or yields have a direct impact on AGNC's asset valuations (hence BV per share amount). This is why I provide readers with three weeks of BV per share amounts to illustrate how AGNC's CURRENT BV frequently changes thus causing material BV per share movements.

During the week ending 8/30/2013, mortgage interest rates and U.S. Treasury yields "reversed course" when compared to the recent gradual move higher in rates/yields over the past three weeks. This resulted in a nice "bounce-back" last week regarding MBS prices across the spectrum of coupon rates. As MBS prices began to increase, AGNC's MBS portfolio valuation losses were materially reduced. Also, AGNC's derivatives portfolio was only slightly negatively impacted from the modest movements of rates/yields last week. As such, the reduction of MBS valuation losses greatly trumped the slight decrease in valuation gains on AGNC's overall derivative portfolio. This could also be referred to as a reduction in basis risk. This was mainly a direct result of the reduction of valuation losses on AGNC's net long TBA MBS position. Therefore, I'm projecting AGNC's CURRENT BV rose nearly $1.50 per share from last week's events. For investors with a long position on AGNC and/or MTGE, last week's events provided some positive news regarding the stocks.

Final Note: An article about AGNC's third quarter of 2013 dividend range scenarios will be provided prior to AGNC's quarterly dividend declaration.

Source: American Capital Agency's Mid-Q3 2013 Book Value Projection And Derivative Portfolio Valuation Analysis - Part 3