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American Capital Agency Corp. Message Board

  • onion1273 onion1273 Dec 20, 2011 11:14 AM Flag

    AGNC Q1 Dividend ....

    Bloomberg predicts 1.20 dividend...
    actually predicting 4.80 for 2012

    FWIW That is from "Bloomberg Dividend Forecasts"

    Bloomberg analysts forecast dividends for over 7000 securities globally, including equities and
    ETF's, as well as dividends for indices. Seven factors are used, which incorporate all pertinent
    information about a company and its dividend. This enables analysts to reach a subjective
    decision about the dividend amounts and direction for the next three years. BDVS promotes
    transparency across the product, allowing Bloomberg users to better understand our accuracy and
    forecasting methodology.

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    • Hi Onion

      I see this post and your post recent post on MBS 4YR yields.

      Can you tell us what the 6 month and one year delta is on the 4 YR similar GSE backed MBS? And how do you see that delta, along with a delta on the borrowing side ( which I assume is about 1/4%, effect spread and thus likely dividend? Ignoring for this part of the discussion the effect of hedges etc.



      • 1 Reply to terroir2
      • Hi,

        With MBS we do not use Delta. MBS is not like a stock. Every bond is different: FNMA?, Freddie?, GNMA?...30y 20y, 15yr collateral?.. Geography distribution?, dates of origination?, history of prepayments?. And thats just straight pools. MReits also buy CMOs which are a another subset in the MBS universe. A pool of pools if you will cut into different slices or tranches that all behave differnetly under different interest rate scenarios ( intentionally)

        Price volatility and modified duration vary by pool and by tranche.

        A plain vanilla approach would be that the longer the maturity or the lower the coupon the more price volatile. but its more about the cashflows.

        For example a 20yr pool of 3.50% mortgages originated
        this year will have much more price volatility than a pool of 30yr pool of 5.50% mortgages originated in 2007.

        Because those 5.50's will be refying like a mofo.

        Then you have to consider how much of a premium was paid. If the pool is paying fast the premium will be amortized faster eating into your yield.

        I hope this helps.
        I will teach you about MBS if you guys help me with options....

    • I never have had much use for Bloomberg's sub standard information ;)

    • I never did like Bloomberg. Stuff like what they are spreading not only fertilizes the grass, but keeps a lid on the AGNC share price.

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