AGNC Investment's Q4 2019 Income Statement And Earnings Projection - Part 2 (Includes Dividend Sustainability Metric)

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About: AGNC Investment Corp. (AGNC), Includes: AI, AIC, AIW, ANH, ARR, CHMI, GPMT, IVR, MITT, MORL, MORT, NLY, NRZ, NYMT, NYMTN, ORC, REM, TWO
by: Scott Kennedy
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Scott Kennedy
Value, mREITs, BDCs, dividend investing
Summary

Unlike the prior three quarters, I am projecting AGNC will report a modest-notable gain regarding the company's derivative instruments and other securities for the fourth quarter of 2019.

Interest rate payer swaps and U.S. Treasury securities across most tenors/maturities experienced a minor-modest net increase in rates/yields during the quarter (steepening of the yield curve).

However, the recent decline in U.S. LIBOR likely negatively impacted AGNC's quarterly net periodic interest regarding its interest rate swaps. This trend has partially mitigated the decrease in borrowing costs.

My projection for AGNC's net income, net spread + dollar roll income, and EPS for the fourth quarter of 2019 is stated in the "Conclusions Drawn" section of the article.

Part 3 projects the net valuation fluctuations within AGNC's on-balance sheet MBS/investment portfolio (largest asset class). As such, readers should hold off on final judgment until Part 3 is provided.

Author's Note: PART 2 of this article is a continuation from PART 1 which was discussed in a previous publication. Please see PART 1 of this article for a detailed projection of AGNC Investment Corp.'s