- Q1 net spread and dollar roll income of $0.70 per share down from $0.92 in Q3. Quarterly dividend run rate of $0.66.
- Book value per share of $25.53 slips from $25.79 estimated one month ago and $25.74 at the start of the year. Today's close of $21.47 is a 15.9% discount to March 31 book.
- Economic return for the quarter - defined as the dividend plus/minus the change in book value of 1.7%, or 7.1% annualized.
- 8.4% CPR for the quarter vs. 9% in Q4. Net interest spread of 1.64% slips 21 basis points.
- "At-risk" leverage of 6.4x down from 6.9x in Q4. The CFO notes the company is operating at its lowest leverage level in more than six years - a conscious decision made by management in light of what it expects to be significant volatility.
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Earnings call tomorrow at 11 ET
- Previously: American Capital Agency misses by $0.04 (April 27)
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AGNC flat after hours