Seeking Alpha
Long-term horizon, dividend investing, mREITs, BDCs
Profile| Send Message|
( followers)  

Summary

  • I am projecting AGNC will report interest income of $480 million for the first quarter of 2014.
  • I am projecting AGNC will report an interest expense of $105 million for the first quarter of 2014.
  • I am projecting AGNC will report a net gain (loss) on sale of agency securities of ($350) million for the first quarter of 2014.
  • Part 2 of the article will project the remaining accounts that make up AGNC's net income (loss) account.

Author's Note: This three-part article is a very detailed look at AGNC's income statement. I perform this detailed analysis for readers who anticipate/want such an analysis performed each quarter. For readers who just want the summarized account projections, I would suggest to scroll down to the "Conclusions Drawn" section at the bottom of each part of the article.

Focus of Article:

The focus of this article is to provide a detailed projection of American Capital Agency Corp.'s (NASDAQ:AGNC) income statement for the first quarter of 2014. Prior to results being provided to the public in early May (via the company's quarterly press release), I would like to analyze AGNC's income statement for the first quarter of 2014 and provide readers a general direction on how I believe this recent quarter has panned out.

Due to the length of the material covered in this article, I believe it is necessary to break AGNC's income statement projection for the first quarter of 2014 into three parts. This article will be broken-down by the following categories within the income statement:

A) Net Income (Loss) (PARTS 1, 2)

B) Other Comprehensive Income (Loss) (OCI/(OCL)) (PART 3)

C) Comprehensive Income (Loss) (A + B Combined) (PART 3)

Side Note: Predicting a company's accounting figures within the mortgage real estate investment trust (mREIT) sector is usually more difficult when compared to other sectors due to the various hedging and asset portfolio strategies that are implemented by management each quarter. As such, there are several assumptions used when performing such an analysis. AGNC's actual reported values may differ materially from my projected values within this article due to unforeseen circumstances. This could occur because management deviates from a company's prior business strategy and pursues a new strategy that was not previously disclosed. Readers should be aware as such. All projections within this article are my personal estimates and should not solely be used for any investor's buying or selling decisions. All actual reported figures that are above my ranges within this article will be deemed a positive sign in my judgment. All actual reported figures that are below my ranges within this article will be deemed a negative sign in my judgment. Unless otherwise noted, all figures below are for the "three-months ended" (quarterly) timeframe.

A) Net Income (Loss):

- Net Income (Loss) Estimate of ($412) Million; Range ($812) - ($12) Million

- Net Income (Loss) of ($1.17) Per Share (Excluding OCI/(OCL)); Range ($2.30) - ($0.04) Per Share

- Confidence Within Range = Moderate

- See Red Reference "A" in Table 1 Below Next to the March 31, 2014 Column

Let us first look at AGNC's quarterly income statements for the trailing twelve-months going back to the first quarter of 2013 (ACTUAL) and my projection for the first quarter of 2014 (ESTIMATE) regarding the company's net income (loss) amount. This information is provided in Table 1 below.

Table 1 - AGNC Quarterly Income Statement and Net Income (Loss) Per Share Projection

(click to enlarge)

(Source: Table created entirely by myself, partially using data obtained from AGNC's quarterly investor presentation slides)

Table 1 above is the main source of summarized data regarding AGNC's net income (loss) amount. As such, all material accounts within Table 1 will be separately analyzed and discussed in corresponding order to the boxed blue references next to the March 31, 2014 column. PART 1 of this article will include an analysis on the following income statement accounts: 1) interest income; 2) interest expense; and 3) gain (loss) on sale of agency securities, net. PART 2 of this article will include an analysis on the following income statement accounts: 4) gain (loss) on derivative instruments and other securities, net and 5) management fees.

1) Interest Income:

- Estimate of $480 Million; Range $405 - $555 Million

- Confidence Within Range = Moderate to High

- See Boxed Blue Reference "1" in Table 1 Above and Table 2 Below Next to the March 31, 2014 Column

AGNC's interest income is comprised of the following two sub-accounts: a) cash interest income and b) premium amortization, net. I show my projection for these two figures in Table 2 below. Some past (ACTUAL) figures within Table 2 are derived from AGNC's SEC submissions via the company's 10-Q or 10-K where applicable. This excludes all recalculated figures and ratios. As such, there will not be an identical sheet AGNC provides that matches the data I have prepared in Table 2 below. I have gathered specific information derived from multiple tables/charts for a more detailed analysis of AGNC's cash interest income and premium amortization, net accounts.

Table 2 - AGNC Quarterly Interest Income Projection

(click to enlarge)

(Source: Table created entirely by myself, partially using AGNC data obtained from the SEC's EDGAR Database)

Two assumptions should be noted within Table 2 above when projecting AGNC's cash interest income figure for the first quarter of 2014. First, I am projecting AGNC's "average agency securities, at cost" balance to increase (decrease) by ($6.4) billion when compared to the fourth quarter of 2013 ($70.6 billion versus $77.0 billion). This is mainly due to the fact AGNC's "total agency securities, at cost" balance (not shown in Table 2) was only $67.0 billion as of 12/31/2013. AGNC aggressively reduced the company's MBS portfolio during the fourth quarter of 2013. As such, the beginning balance for the first quarter of 2014 was materially lower when compared to the beginning balance for the fourth quarter of 2013 ($67.0 billion versus $85.8 billion).

However, one should notice my projected average agency securities, at cost balance for the first quarter of 2014 is $3.6 billion higher than the balance as of 12/31/2013. In regards to the first quarter of 2014, some analysts have anticipated most companies within the mREIT sector had increased leverage ratios to enhance valuation gains due to the fact mortgage-backed security ('MBS') prices rose in most of the coupon rates and maturities during the quarter (as will be further discussed in PART 3 of the article). AGNC had already begun to implement this particular strategy as of 12/31/2013. This was shown within AGNC's off-balance sheet "to-be-announced" ('TBA') MBS and forward settling MBS derivative sub-account. While AGNC had a modest net long (short) TBA MBS and forward settling MBS position of ($7.3) billion as of 9/30/2013, the company had a net long (short) TBA MBS and forward settling MBS position of $2.1 billion as of 12/31/2013. Since TBA contracts with a long position are basically an extension of the balance sheet, this increases AGNC's "at risk" leverage and amount of assets eventually owned. Since MBS prices increased during the quarter (with the exception of a few coupon rates with 15-year maturities), I am assuming AGNC had a higher average MBS balance for the first quarter of 2014 when compared to the amount shown as of 12/31/2013.

Second, I am projecting a weighted average coupon rate increase (decrease) of 4 basis points ('bps') for the first quarter of 2014 when compared to the fourth quarter of 2013 (3.63% versus 3.59%). This is due to two factors. The first factor was partially addressed above with the net long (short) TBA MBS and forward settling MBS position. Out of AGNC's net long (short) TBA MBS and forward settling MBS position of $2.1 billion as of 12/31/2013, ($4.1) billion of this balance was for 15-year maturities with a weighted average coupon of only 2.92% while $6.4 billion was for 30-year maturities with a weighted average coupon of 4.06%. In other words, AGNC was aggressively selling the company's lowest fixed-rate agency MBS coupons to mitigate BV erosion in a rising interest rate environment. This leads us to the second factor. As AGNC continued to sell-off the company's lowest fixed-rate agency MBS coupons, management most likely used the proceeds to "re-roll" the portfolio into higher yielding coupons. This would include the continued "rebalancing" of AGNC's proportion of 15 and 30-year fixed-rate agency MBS coupons. Typically, the coupon offered on a 15-year fixed-rate agency MBS is lower when compared to a 30-year fixed-rate agency MBS (with all other variables being the same). Since, as of 12/31/2013, AGNC was net (short) the 15-year fixed-rate agency MBS and net long the 30-year fixed-rate agency MBS, the company's weighted average coupon rate for the quarter should slightly benefit from these positions.

To reiterate, I am projecting AGNC's average agency securities, at cost balance to increase (decrease) by ($6.4) billion when compared to the fourth quarter of 2013. However, I am also projecting a weighted average coupon rate increase (decrease) of 4 bps when compared to the prior quarter. Still using Table 2 above as a reference, I am projecting a cash interest income increase (decrease) of ($54) million for the first quarter of 2014 when compared to the fourth quarter of 2013 ($605 million versus $659 million).

The second component of AGNC's interest income account is the company's premium amortization, net figure. Again using Table 2 as a reference, AGNC's premium amortization, net expense for the third quarter of 2013 was $168 million. However, AGNC's premium amortization, net expense for the fourth quarter of 2013 decreased to only $117 million. This occurred for two reasons. The first reason for this material drop was the modest rise in mortgage interest rates/U.S. Treasury yields during the fourth quarter of 2013. During a rising interest rate environment, a drop in prepayments will occur because a greater proportion of homeowners have mortgages that generally have lower interest rates when compared to the current market. The attractiveness of a mortgage refinance dissipates. As a result, prepayment risk lowers and extension risk increases. As such, the average useful life of AGNC's MBS portfolio "extends" further out into the future. When this type of environment is present, the quarterly premium amortization, net account decreases because there is generally more time to expense premium costs over the estimated life of the MBS. Furthermore, since MBS prices have materially decreased over the past several quarters, most new MBS purchases have an initial cost basis at a lower price premium than the weighted average cost basis of the portfolio (in some lower coupons a price discount is currently present). The second reason for the material drop was due to the fact AGNC had a quarterly average agency security balance of $77.0 billion for the fourth quarter of 2013 versus an average balance of $86.4 billion for the third quarter of 2013.

I am projecting a premium amortization, net expense of $125 million for the first quarter of 2014. During the first quarter of 2014, mortgage interest rates/U.S. Treasury yields first modestly decreased but then reversed course and increased over the last month of the quarter. Therefore, the likelihood of most mortgages being refinanced first modestly increased but then slightly decreased. As such, most likely a moderately higher conditional prepayment rate ('CPR') occurred on AGNC's MBS portfolio during most of the quarter. Due to the quarterly average agency securities balance increase (decrease) of ($6.4) billion but the higher projected CPR, I believe a minor increase in AGNC's premium amortization, net expense occurred.

Still using Table 2 above as a reference, I am projecting an overall premium amortization, net expense increase (decrease) of $8 million for the first quarter of 2014 when compared to the fourth quarter of 2013 ($125 million versus $117 million). Therefore, I am projecting an average asset yield increase (decrease) of (10) bps for the first quarter of 2014 when compared to the fourth quarter of 2013 (2.72% versus 2.82%). When my projections for the cash interest income and premium amortization, net expense sub-accounts are combined, I am projecting AGNC's interest income to increase (decrease) by ($62) million for the first quarter of 2014 when compared to the fourth quarter of 2013 ($480 million versus $542 million).

2) Interest Expense:

- Estimate of $105 Million; Range $80 - $130 Million

- Confidence Within Range = High

- See Boxed Blue Reference "2" in Table 1 Above and Table 3 Below Next to the March 31, 2014 Column

Now let us take a look at AGNC's interest expense account. I show my projection for this figure in Table 3 below. Some past (ACTUAL) figures within Table 3 are derived from AGNC's SEC submissions via the company's 10-Q or 10-K where applicable. This excludes all recalculated figures and ratios. As such, there will not be an identical sheet AGNC provides that matches the data I have prepared in Table 3 below. I have gathered specific information derived from multiple tables/charts for a more detailed analysis of AGNC's interest expense account.

Table 3 - AGNC Quarterly Interest Expense Projection

(click to enlarge)

(Source: Table created entirely by myself, partially using AGNC data obtained from the SEC's EDGAR Database [link provided below Table 2])

Recalculating AGNC's quarterly interest expense is pretty straightforward. One takes the quarterly average of AGNC's outstanding repurchase agreements and multiplies this amount by the quarterly average of AGNC's cost of funds rate. Once this figure is calculated, one needs to back out a portion of the quarterly interest expense in relation to AGNC's interest rate swaps. This reclassified amount is represented within AGNC's gain (loss) on derivative instruments and other securities, net account. As mentioned earlier, this account will be projected in PART 2 of the article. The ending calculation is AGNC's quarterly interest expense figure.

Two assumptions should be noted within Table 3 above when projecting AGNC's quarterly interest expense figure for the first quarter of 2014. First, let us calculate an appropriate quarterly "average repurchase agreements" balance. Based on an earlier calculated projection within AGNC's interest income account (see Table 2 above), I am projecting the company will have a quarterly average agency securities balance of $70.6 billion for the first quarter of 2014. Having this balance established, I can now project the quarterly average of AGNC's outstanding repurchase agreements. If one takes the quarterly average agency securities balance and divides this figure by the quarterly average of AGNC's outstanding repurchase agreements balance, a calculated "ratio of average agency securities versus average repurchase agreements" is known. This ratio had been between 1.08 - 1.13 during the past four quarters. For the first quarter of 2014, I am using a ratio of 1.10 to project the quarterly average of AGNC's outstanding repurchase agreements balance. Therefore, by using a quarterly average agency securities balance of $70.6 billion and the ratio of average agency securities versus average repurchase agreements of 1.10, the quarterly average of AGNC's outstanding repurchase agreements is calculated to be $64.2 billion. This is a projected increase (decrease) of ($7.1) billion when compared to the balance for the fourth quarter of 2013.

Second, let us now obtain a suitable quarterly "average cost of funds rate." I am projecting an increase (decrease) of 9 bps to AGNC's average cost of funds rate for the first quarter of 2014 when compared to the fourth quarter of 2013 (1.34% versus 1.25%). This quarterly increase is mainly attributed to the increase in the average fixed pay rate on all newly acquired interest rate swaps with similar maturities. However, as mentioned earlier, all interest expense in relation to AGNC's interest rate swaps are reclassified out of this account and into the gain (loss) on derivative instruments and other securities, net account. As such, a portion of the quarterly average cost of funds rate is not in relation to AGNC's outstanding repurchase agreements. AGNC's interest expense, in relation to the company's outstanding repurchase agreements, is based on a small fixed rate percentage and a variable rate percentage based on the London Interbank Offered Rate (LIBOR).

AGNC's weighted average interest rate on the company's outstanding repurchase agreements was 0.45% as of 12/31/2013 versus 0.44% as of 9/30/2013. Even though mortgage interest rates/U.S. Treasury yields first modestly decreased then slightly increased during the first quarter of 2014, LIBOR continued to slightly decrease throughout the quarter across the 1, 3, 6, and 12-month maturities. Therefore, the variable interest rate percentage on AGNC's repurchase agreements should also slightly decrease during the first quarter of 2014. Furthermore, I am making the assumption the weighted average maturity on AGNC's outstanding repurchase agreements as of 12/31/2013 will remain relatively unchanged throughout the first quarter of 2014.

Now that we have determined AGNC's average repurchase agreements balance and average cost of funds rate for the quarter, let us calculate the company's interest expense for the first quarter of 2014. Still using Table 3 as a reference, after a reclassification of ($113) million for the net periodic interest costs of interest rate swaps expense, I am projecting AGNC's interest expense to increase (decrease) by ($15) million for the first quarter of 2014 when compared to the fourth quarter of 2013 ($105 million versus $120 million).

3) Gain (Loss) on Sale of Agency Securities, Net:

- Estimate of ($350) Million; Range ($750) - $50 Million

- Confidence Within Range = Moderate

- See Boxed Blue Reference "3" in Table 1 Above and Table 4 Below Next to the March 31, 2014 Column

AGNC's gain (loss) on sale of agency securities, net account can be somewhat difficult to accurately project. Through detailed research and data compilation, one can project (to a reasonable degree) how management "should" act within any given quarter regarding purchases and sales. However, I stress beforehand this will not be an "exact science" each quarter. There will be some variances that occur in a quarter if more/less sales and/or purchases actually occur versus originally projected. Additionally, unanticipated quarterly changes in the percentage of coupons/maturities held within the MBS portfolio would cause a slight deviation in asset valuations. During AGNC's last earnings call presentation, management shed some clarity on the company's intended strategy regarding MBS sales when mortgage interest rates/U.S. Treasury yields either moved higher or lower. However, several assumptions still need to be made.

Side Note: When I research and prepare my analysis regarding AGNC's income statement, I take into consideration the wide array of possibilities that can occur within the gain (loss) on sale of agency securities, net account. As such, this particular account is DIRECTLY tied to AGNC's "unrealized gain (loss) on available-for-sale securities, net" account discussed in PART 3 of the article. Therefore, if AGNC's gain (loss) on sale of agency securities, net actual amount is above or below my projected figure/range, the variance is automatically offset in the company's unrealized gain (loss) on available-for-sale securities, net account. Since both accounts would offset each other, let us say my projected gain (loss) on sale of agency securities, net amount is lower than the actual results. If this were the case, then my projected unrealized gain (loss) on available-for-sale securities, net amount will automatically be higher by the exact same amount. If this situation occurs, my COMBINED projected figures would be accurately represented regardless. This happened regarding my projected gain (loss) on sale of agency securities, net and unrealized gain (loss) on available-for-sale securities, net accounts for the third quarter of 2013 (projections for the fourth quarter of 2013 were highly accurate within each separate account). When combining both these accounts together, I projected a valuation gain (loss) of $330 million for the third quarter of 2013. My projected range for these two combined accounts was ($220) - $880 million. AGNC reported a combined realized and unrealized valuation gain (loss) of $100 million for the third quarter of 2013. As such, actual results for both accounts, when combined, were comfortably within my stated range. If one solely looked at each account separately, there would be a material deviation between my projected and actual results. However, in my opinion, both these accounts should really be looked at as one combined account. The unrealized gain (loss) on available-for-sale securities, net account has an immediate impact on BV while the gain (loss) on sale of agency securities, net account is merely a reclassification out of the unrealized account. As such, I believe both accounts should be looked upon as one combined amount. Readers should understand this notion ahead of time.

Let us now take a look at AGNC's gain (loss) on sale of agency securities, net account in detail. I show my projection for this figure in Table 4 below. Some past (ACTUAL) figures within Table 4 are derived from AGNC's SEC submissions via the company's 10-Q or 10-K where applicable. This excludes all recalculated figures and ratios. As such, there will not be an identical sheet AGNC provides that matches the data I have prepared in Table 4 below. I have gathered specific information derived from multiple tables/charts for a more detailed analysis of AGNC's gain (loss) on sale of agency securities, net account.

Table 4 - AGNC's Quarterly Gain (Loss) on Sale of Agency Securities, Net Projection

(click to enlarge)

(Source: Table created entirely by myself, partially using AGNC data obtained from the SEC's EDGAR Database [link provided below Table 2])

I am making the assumption AGNC continued the company's MBS sales strategy that was originally implemented in prior quarters. This strategy was discussed within AGNC's interest income account above. To quickly reiterate, I believe AGNC continued to sell a modest portion of the company's lowest fixed-rate agency MBS coupons within both the 15 and 30-year maturities. The proceeds from these sales allowed AGNC to continue to re-roll the portfolio into higher fixed-rate agency MBS coupons.

Through past research and analysis, I determined for most of 2012 and the first-half of 2013 AGNC increased the company's proportion of lower fixed-rate agency MBS coupons due to the extremely low interest rate environment that occurred during that timeframe. Therefore, if management continued to sell a portion of AGNC's lowest fixed-rate agency MBS coupons in the first quarter of 2014, the company most likely continued to sustain realized valuation losses. This occurs because a cumulative running unrealized loss for a particular MBS is reclassified to a realized loss upon its sale. In a net rising interest rate environment (which occurred over the past several quarters), the MBS sales price on the lowest fixed-rate agency MBS coupons will generally be less than the initial cost basis.

It should also be noted that additional losses would be incurred on these MBS sales due to the unamortized premium balances that have yet to be expensed. I state this assumption because if AGNC only recently purchased the lowest fixed-rate agency MBS coupons (say within the past several quarters), these securities would most likely still have an unamortized premium balance remaining on the books that must be written-off/expensed upon its sale. This assumes the MBS sales price is below the unamortized cost basis. When these assumptions are put together, this would cause a continued modest to material net valuation loss within the gain (loss) on sale of agency securities, net account. This would remain the case even if MBS prices increased during the first quarter of 2014.

However, this net valuation loss would be slightly offset to an extent. There is one footnote within AGNC's quarterly SEC submissions which is important to mention here. AGNC states the "proceeds from sale of MBS sold" figure includes all cash received during the period plus any receivable for agency securities sold during the period. In other words, all cash interest income received on MBS sales in a given quarter are reclassified out of the cash interest income account and recognized within the gain (loss) on sale of agency securities, net account. Because of this reclassification, the gain (loss) on sale of agency securities, net account will always start off with a slightly positive balance before taking into consideration the true gain (loss) on AGNC's quarterly MBS sales.

Still using Table 4 above as a reference, since I am anticipating a decrease in quarterly MBS sales, I have projected an "agency MBS sold, at cost" amount of ($17.5) billion. The more important aspect to take from Table 4 is not the amount of agency securities sold, but whether a gain (loss) occurred from the quarterly MBS sales. As projected earlier, most of AGNC's lowest fixed-rate agency MBS coupons that were sold during the first quarter of 2014 most likely had a modest to material realized valuation loss that would be slightly offset by the quarterly cash interest income received prior to the sale.

Finally, to calculate a proper figure regarding this account, I use a "proceeds from agency MBS sold versus agency MBS sold, at cost" ratio to project the amount of gain (loss) that would occur in the first quarter of 2014. I have fractionally increased this ratio from 0.968 in the fourth quarter of 2013 to 0.980 for the first quarter of 2014. As such, I am projecting a "proceeds from agency MBS sold" amount of $17.2 billion for the first quarter of 2014. Therefore, I am projecting AGNC's gain (loss) on sale of agency securities, net account to increase (decrease) by $317 million for the first quarter of 2014 when compared to the fourth quarter of 2013 (($350) million versus ($667) million).

Side Note: Just to reiterate, all regular MBS UNREALIZED gain (loss) figures are excluded from AGNC's net income (loss) and are represented in AGNC's OCI/(OCL) section which will be discussed in PART 3 of the article. All TBA MBS and forward settling agency security gain (loss) figures are accounted for under the gain (loss) on derivative instruments and other securities, net account which will be discussed in PART 2 of the article.

Brief Discussion of MTGE's MBS Portfolio:

I also see general similarities between AGNC and its sister company American Capital Mortgage Investment Company (NASDAQ:MTGE) regarding agency MBS portfolio strategies. As such, I see somewhat similar projections between AGNC's and MTGE's interest income, interest expense, and gain (loss) on sale of agency securities, net accounts for the first quarter of 2014 (proportionally speaking). However, MTGE also had a non-agency MBS portfolio. MTGE's non-agency MBS portfolio has different valuation methods performed which are mainly based on specific indexes and simulated models. Due to this fact, MTGE also has a "gain (loss) on sale of non-agency securities, net" account that needs to be incorporated into the company's income statement. A discussion of MTGE's non-agency MBS portfolio is beyond the scope of this article.

Conclusions Drawn (PART 1):

To sum up all the information above, I am projecting AGNC will report the following income statement figures for the first quarter of 2014 (refer back to Table 1 at the beginning of the article):

1) Quarterly Interest Income of $480 Million

2) Quarterly Interest Expense of $105 Million

3) Quarterly Gain (Loss) on Sale of Agency Securities, Net of ($350) Million

I am projecting AGNC will report a reduced interest income figure when compared to the prior quarter. I am projecting a ($62) million increase (decrease) in this account mainly due to the following factors regarding AGNC's MBS portfolio during the first quarter of 2014 (when compared to the fourth quarter of 2013): 1) minor decrease in the average agency securities balance; 2) minor increase in the weighted average coupon rate; and 3) minor decrease in the average asset yield due to a slightly higher premium amortization, net expense.

I am projecting AGNC will also report a reduced interest expense figure when compared to the prior quarter. I am projecting a ($15) million reduction in this account due to the modest decrease in AGNC's quarterly average outstanding repurchase agreements for the first quarter of 2014.

I am projecting AGNC will report a less severe loss on the company's MBS sales when compared to the prior quarter. I am projecting AGNC's gain (loss) on sale of agency securities, net account to increase (decrease) by $317 million due to the assumption management continued to sell the company's lowest fixed-rate agency MBS coupons which would result in a modest net realized valuation loss. This modest net realized valuation loss would be slightly offset by the intra-quarter cash interest income received on each particular MBS that was sold up to the date of sale.

Final Note: PART 1 of this article is only a PARTIAL analysis of AGNC's income statement for the first quarter of 2014. As such, a "full" conclusion regarding AGNC's income statement will not be provided yet. PART 2 of this article will just pick up where PART 1's analysis ends. PART 2 of this article will discuss AGNC's projected gain (loss) on derivative instruments and other securities, net account (including four "sub-accounts") and the company's "management fees" account. PART 2 will also discuss AGNC's projected net income (loss) and earnings per share ('EPS') amounts. PART 3 of this article will discuss AGNC's projected OCI/(OCL) and comprehensive income (loss) accounts. PART 3 will also summarize AGNC's entire statement of comprehensive income (loss) and the major points throughout PARTS 1, 2, and 3 of the article. This will be followed by a detailed projection of AGNC's BV as of 3/31/2014 which will be available to readers prior to the company's earnings press release for the first quarter of 2014 (early May).

Source: American Capital Agency's Upcoming Q1 2014 Income Statement Projection - Part 1