Help me out on this one because I am trying to see what AGNC management is looking at with respect to book value. ARR has a similar long duration low coupon portfolio and the BV dropped 7.8% from Dec 31 to Feb 12. Apply that to the $31.64 Dec 31 BV for AGNC and you get $29.17 at Feb 12 which was a low for MBS. They have come back a bit so say the current BV is $29.50 to $30 range. My take is it was trading around 10% over BV when they went for the SPO. Unfortunately this means it has a ways to drop. Thoughts?
Difficult to predict since many factors can have an effect on Book Value. From a pure interest rate standpoint, we know that investment assets were valued on the last date of the quarter or 12/31 (Balance Sheet is always "as of" a give date. The US 30 Year Mortgage Rate was 3.35%, today it stands at 3.56%. A quick calculation I use is (3.35% / 3.56%) times todays price of $32.78 or a estimated book value of 30.84.
so BV is lower than SPO price, if higher they do buybacks. to me it seems doubtful that anything significant happened with BV (maybe slightly lower) or upcoming dividend declaration, or they would have a hard time selling the SPO. Thoughts?