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Summary

  • I am projecting AGNC will report interest income of $360 million for the second quarter of 2014.
  • I am projecting AGNC will report an interest expense of $105 million for the second quarter of 2014.
  • I am projecting AGNC will report a net gain (loss) on sale of agency securities of $150 million for the second quarter of 2014.
  • Part 2 of the article will project the remaining accounts that make up AGNC's net income (loss) account (mainly the quarterly valuation changes in the company’s derivative portfolio).
  • Part 3 of the article will project the remaining accounts that make up AGNC's other comprehensive income (loss) and total comprehensive income (loss) accounts.

Author's Note: This three-part article is a very detailed look at AGNC's consolidated statement of comprehensive income. I perform this detailed analysis for readers who anticipate/want such an analysis performed each quarter (to fully understand AGNC's ongoing business operations). 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) consolidated statement of comprehensive income for the second quarter of 2014. Prior to results being provided to the public in late July (via the company's quarterly press release), I would like to analyze AGNC's consolidated statement of comprehensive income for the second 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 consolidated statement of comprehensive income projection for the second quarter of 2014 into three parts. This article will be broken-down by the following categories within AGNC's consolidated statement of comprehensive income:

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.

Consolidated Statement of Comprehensive Income Overview:

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

Table 1 - AGNC Quarterly Consolidated Statements of Comprehensive Income

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(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 June 30, 2014 column. PART 1 of this article will include an analysis on the following consolidated statement of comprehensive income 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 consolidated statement of comprehensive income accounts: 4) gain (loss) on derivative instruments and other securities, net and 5) management fees.

1) Interest Income:

- Estimate of $360 Million; Range $285 - $435 Million

- Confidence Within Range = Moderate to High

- See Boxed Blue Reference "1" in Table 1 Above and Table 2 Below Next to the June 30, 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 sub-accounts.

Table 2 - AGNC Quarterly Interest Income Projection

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

The first component of AGNC's interest income is the company's cash interest income sub-account. Two assumptions should be noted within Table 2 above when projecting AGNC's cash interest income sub-account for the second quarter of 2014. First, I am projecting AGNC's "average agency securities, at cost" balance to increase (decrease) by ($3.0) billion when compared to the first quarter of 2014 ($59.9 billion versus $62.9 billion). This is mainly due to the fact that AGNC's "total agency securities, at cost" balance (not shown in Table 2) was only $56.9 billion as of 3/31/2014. AGNC continued to aggressively reduce the company's MBS portfolio during the first quarter of 2014. As such, the beginning balance for the second quarter of 2014 was materially lower when compared to the beginning balance for the first quarter of 2014 ($56.9 billion versus $67.0 billion).

However, one should notice my projected average agency securities, at cost balance for the second quarter of 2014 is $3.0 billion higher than the balance as of 3/31/2014. In regards to the second 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 3/31/2014. 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 minor net long (short) TBA MBS and forward settling MBS position of $2.1 billion as of 12/31/2013, the company had a net long (short) TBA MBS and forward settling MBS position of $13.9 billion as of 3/31/2014. 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 higher coupon rates with 15-year maturities), I am assuming AGNC had a higher average MBS balance for the second quarter of 2014 when compared to the amount shown as of 3/31/2014 (took delivery on a greater portion of TBA MBS and forward settling MBS versus selling a greater portion of TBA MBS and forward settling MBS).

Second, I am projecting an unchanged weighted average coupon ('WAC') for the second quarter of 2014 when compared to the first quarter of 2014 (3.60% versus 3.60%). 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 $13.9 billion as of 3/31/2014, ($2.3) billion of this balance was for 15-year maturities with a WAC in the range of 3.50% while ($1.4) billion was for 30-year maturities with a WAC in the range of 4.50%. On the long side of the TBA MBS and forward settling MBS position, $4.9 billion of this balance was for 15-year maturities with a WAC in the range of 3.00% while $4.2 and $6.8 billion were for 30-year maturities with a WAC in the ranges of 3.50% and 4.00%, respectively. In other words, AGNC anticipated selling some of the company's higher fixed-rate agency MBS coupons and purchasing a modest proportion of lower fixed-rate agency MBS coupons. AGNC's WAC for the quarter should slightly decrease from this factor.

This leads us to the second factor. This involves 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 AGNC had a net long (short) TBA MBS and forward settling MBS position of $4.3 and $9.6 billion on the company's 15 and 30-year fixed-rate agency MBS, respectively, its WAC for the quarter should slightly increase from the minor proportional shift to 30-year fixed-rate MBS versus 15-year fixed-rate MBS.

To reiterate, I am projecting AGNC's average agency securities, at cost balance to increase (decrease) by ($3.0) billion when compared to the first quarter of 2014. However, I am also projecting an unchanged WAC when compared to the prior quarter. Still using Table 2 above as a reference, I am projecting a cash interest income increase (decrease) of ($31) million for the second quarter of 2014 when compared to the first quarter of 2014 ($510 million versus $541 million).

The second component of AGNC's interest income is the company's premium amortization, net sub-account. Again using Table 2 as a reference, AGNC's premium amortization, net expense for the fourth quarter of 2013 was $117 million. However, AGNC's premium amortization, net expense for the first quarter of 2014 increased to $142 million. The main reason for this modest increase was the net decrease in mortgage interest rates/U.S. Treasury yields during the first quarter of 2014. During a falling interest rate environment, generally a rise in prepayments will occur because a greater proportion of homeowners have mortgages that generally have higher interest rates when compared to the current market. The attractiveness of a mortgage refinance increases. As a result, prepayment risk increases and extension risk decreases. As such, generally the average useful life of AGNC's MBS portfolio "shortens". When this type of environment is present, the quarterly premium amortization, net account increases because there is generally less time to expense premium costs over the estimated life of the MBS. This first factor is partially offset due to the fact AGNC had a quarterly average agency security balance of $73.4 billion for the first quarter of 2014 versus an average balance of $86.5 billion for the fourth quarter of 2013.

After these two factors are taken into consideration, I am projecting a premium amortization, net expense of $150 million for the second quarter of 2014. During the second quarter of 2014, mortgage interest rates/U.S. Treasury yields modestly net decreased when compared to the end of the prior quarter. Therefore, the likelihood of most mortgages being refinanced modestly increased. As such, the probability of a moderately higher conditional prepayment rate ('CPR') existed during the second quarter of 2014. Due to the quarterly average agency securities balance increase (decrease) of ($3.0) billion but also a higher projected CPR, I believe a minor increase in AGNC's premium amortization, net expense occurred during the second quarter of 2014.

Still using Table 2 above as a reference, I am projecting an overall premium amortization, net expense increase (decrease) of $8 million for the second quarter of 2014 when compared to the first quarter of 2014 ($150 million versus $142 million). Therefore, I am projecting an average asset yield increase (decrease) of (14) basis points ('bps') for the second quarter of 2014 when compared to the first quarter of 2014 (2.40% versus 2.54%). 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 ($39) million for the second quarter of 2014 when compared to the first quarter of 2014 ($360 million versus $399 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 June 30, 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

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(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 second 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 $59.9 billion for the second 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 has continued to be within a relatively tight range of 1.08 - 1.13 during the past four quarters. For the second quarter of 2014, I am using a ratio of 1.08 to project the quarterly average of AGNC's outstanding repurchase agreements balance. Therefore, by using a quarterly average agency securities balance of $59.9 billion and the ratio of average agency securities versus average repurchase agreements of 1.08, the quarterly average of AGNC's outstanding repurchase agreements is calculated to be $55.5 billion. This is a projected increase (decrease) of ($2.0) billion when compared to the balance for the first quarter of 2014.

Second, let us now obtain a suitable quarterly "average cost of funds rate." I am projecting an increase (decrease) of 15 bps to AGNC's average cost of funds rate for the second quarter of 2014 when compared to the first quarter of 2014 (1.50% versus 1.35%). 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 0.43% as of 3/31/2014 versus 0.45% as of 12/31/2013. Even though mortgage interest rates/U.S. Treasury yields modestly net decreased during the second quarter of 2014, LIBOR continued to remain relatively flat 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 remain relatively flat during the second quarter of 2014. Furthermore, I am making the assumption the weighted average maturity on AGNC's outstanding repurchase agreements as of 3/31/2014 will remain relatively unchanged throughout the second quarter of 2014.

Now that we have determined AGNC's average repurchase agreements balance and average cost of funds rate, let us calculate the company's interest expense for the second quarter of 2014. Still using Table 3 as a reference, after a reclassification of ($105) million for the net periodic interest costs of interest rate swaps expense, I am projecting AGNC's interest expense to increase (decrease) by ($3) million for the second quarter of 2014 when compared to the first quarter of 2014 ($105 million versus $108 million).

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

- Estimate of $150 Million; Range ($150) - $450 Million

- Confidence Within Range = Moderate

- See Boxed Blue Reference "3" in Table 1 Above and Table 4 Below Next to the June 30, 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 provided some clarity on the company's intended strategy regarding MBS sales when mortgage interest rates/U.S. Treasury yields either rise or fall. However, several assumptions still need to be made.

Side Note: When I research and prepare my analysis regarding AGNC's consolidated statement of comprehensive income, 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 example was illustrated in regards to the first quarter of 2014. When combining both the realized and unrealized accounts together, I projected a valuation gain (loss) of $425 million for the first quarter of 2014. AGNC reported a combined realized and unrealized valuation gain (loss) of $502 million for the first quarter of 2014. As such, AGNC's actual results for both accounts, when combined, were comfortably within my stated range. If one solely looked at each account separately, there would have been a modest variance 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 prior to this account's analysis.

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 Quarterly Gain (Loss) on Sale of Agency Securities, Net Projection

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

There is one footnote displayed within Table 4 above 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 as a reference, I am projecting a relatively flat quarterly MBS sales figure when compared to the prior quarter. As such, I have projected an "agency MBS sold, at cost" amount of ($10.0) billion. The more important aspect to take from Table 4 above is not the amount of agency securities sold, but whether a gain (loss) occurred from the quarterly MBS sales.

As of 12/31/2013, AGNC had an accumulated OCI/(OCL) balance of ($1.09) billion. However, since AGNC recorded a realized gain (loss) on sale of agency securities, net of ($19) million and an unrealized gain (loss) on available-for-sale securities, net of $502 million during the first quarter of 2014, the company's accumulated OCI/(OCL) balance was reduced to ($566) million as of 3/31/2014 (when excluding the de-designated interest rate swaps balance). As will be detailed during PART 3 of the article, I am projecting AGNC's accumulated OCL balance once again materially decreased during the second quarter of 2014.

As such, the probability of AGNC's gain (loss) on sale of agency securities, net account recording a gain during the second quarter of 2014 should increase when compared to the prior quarter. This would be the first recorded gain within this specific account in four quarters. This would occur because a cumulative running unrealized gain (loss) for a particular MBS is reclassified to a realized gain (loss) upon its sale. In a net falling interest rate environment (which occurred over the past two quarters), the MBS sales price on most fixed-rate agency MBS coupons will generally be more than the initial cost basis. The amount of the realized gain (loss) would also be dependent on the length of time a particular MBS is held. This additional factor is directly related to the unamortized premium balances that have yet to be expensed.

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 second quarter of 2014. I have fractionally increased this ratio from 0.998 in the first quarter of 2014 to 1.015 for the second quarter of 2014. As such, I am projecting a "proceeds from agency MBS sold" amount of $10.2 billion for the second quarter of 2014. Therefore, I am projecting AGNC's gain (loss) on sale of agency securities, net account to increase (decrease) by $169 million for the second quarter of 2014 when compared to the first quarter of 2014 ($150 million versus ($19) 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 the company's OCI/(OCL) section of the consolidated statement of comprehensive income which will be discussed in PART 3 of the article. All TBA MBS and forward settling MBS 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 and NLY's MBS Portfolio:

I see some 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 second 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 consolidated statement of comprehensive income. A discussion of MTGE's non-agency MBS portfolio is beyond the scope of this article.

When it comes to AGNC's closest sector peer Annaly Capital Management Inc. (NYSE:NLY), I see several modest differences that would affect the accounts described above. I will note a few of these differences. As of 3/31/2014, 80% of NLY's fixed-rate agency MBS portfolio was in 30-year holdings whereas AGNC only had 48% of the company's MBS portfolio in 30-year holdings. As such, this piece of data helps explain why AGNC's WAC as of 3/31/2014 was 3.60% while NLY's WAC was 3.78%. However, NLY's additional 18 bps in WAC (when compared to AGNC) was offset by the company's weighted average interest rate on its outstanding repurchase agreements. NLY's weighted average interest rate on the company's outstanding repurchase agreements was 0.65% as of 3/31/2014. As stated above, AGNC's weighted average interest rate on the company's outstanding repurchase agreements was only 0.43% as of 3/31/2014. While these differing percentages would appear to basically "net themselves out" within AGNC's and NLY's consolidated statement of operations (proportionally speaking), these differences would still impact each company's interest income and interest expense accounts.

Conclusions Drawn (PART 1):

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

1) Quarterly Interest Income of $360 Million

2) Quarterly Interest Expense of $105 Million

3) Quarterly Gain (Loss) on Sale of Agency Securities, Net of $150 Million

I am projecting AGNC had a reduced interest income figure when compared to the prior quarter. I am projecting a ($39) million increase (decrease) in this account mainly due to the following factors regarding AGNC's MBS portfolio during the second quarter of 2014 (when compared to the first quarter of 2014): 1) minor decrease in the average agency securities balance; 2) no change in the WAC rate; and 3) minor decrease in the average asset yield due to a slightly higher premium amortization, net expense.

I am projecting AGNC had a reduced interest expense figure when compared to the prior quarter. I am projecting a ($3) million increase (decrease) in this account due to the slight reduction in AGNC's quarterly average outstanding repurchase agreements for the second quarter of 2014.

I am also projecting AGNC had a minor net realized gain on the company's MBS sales for the second quarter of 2014. I am projecting AGNC's gain (loss) on sale of agency securities, net account to increase (decrease) by $169 million due to the continued improvement within the company's accumulated OCI / (OCL) balance as a result from increases in most fixed-rate agency MBS prices during the second quarter of 2014. This minor net realized gain also included the intra-quarter cash interest income received on each particular MBS sold up to the date of sale.

Final Note: PART 1 of this article is only a PARTIAL analysis of AGNC's consolidated statement of comprehensive income for the second quarter of 2014. As such, a "full" conclusion regarding AGNC's consolidated statement of comprehensive income 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 main points throughout PARTS 1, 2, and 3 of the article. This will be followed by a detailed projection of AGNC's BV as of 6/30/2014 which will be available to readers prior to the company's earnings press release for the second quarter of 2014 (late July).

Source: American Capital Agency's Upcoming Q2 2014 Consolidated Statement Of Comprehensive Income Projection - Part 1

Additional disclosure: I have no position in NLY.