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Scott Kennedy

 
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  • Fifth Street Senior Floating Rate's Recent Material Equity Offering And Its Impact On NAV
    Editors' Pick • Mon, Aug. 18 FSC, FSFR 22 Comments

    Summary

    • On 8/13/2014, after FSFR reported results for the fiscal third quarter of 2014, the company announced the anticipated equity offering that was discussed in my prior article.
    • However, what surprised markets and myself was the size of the announced equity offering (22.8 million shares of common stock; over three times the size of FSFR’s initial public offering).
    • This article incorporates FSFR’s recently announced material equity offering into the financials and shows why this event will materially decrease the company’s current NAV.
    • The net issuance price of FSFR’s recently announced equity offering is $12.14 per share which is materially below the company’s NAV as of 6/30/2014 thus materially diluting existing shareholders.
    • My buy, sell, or hold recommendation for FSFR is stated in the “Conclusions Drawn” section of the article.
  • American Capital Agency Corp.'s Dividend Sustainability Analysis (Post Q2 2014 Earnings) - Part 1
    Editors' Pick • Thu, Aug. 14 MTGE, NLY, AGNC 39 Comments

    Summary

    • AGNC reported estimated REIT taxable income ("ERTI") available to common shareholders of $100 million (or $0.28 per common share) for the second quarter of 2014.
    • However, AGNC reported ERTI and net dollar roll income available to common shareholders of $238 million (or $0.67 per common share) for the second quarter of 2014.
    • AGNC had a quarterly ERTI underpayment (overpayment) of ($130) million and a quarterly payout ratio of 230%.
    • However, AGNC had a quarterly ERTI and net dollar roll underpayment (overpayment) of $8 million and a quarterly payout ratio of 96%.
    • Part 2 will discuss some additional topics/trends to consider in a general net rising (and falling) interest rate environment regarding AGNC’s, MTGE’s, and NLY’s dividend sustainability.
  • Prospect Capital Corp.'s Upcoming Fiscal Q4 2014 Net Asset Value Projection
    Fri, Aug. 8 PSEC 58 Comments

    Summary

    • I am projecting PSEC will report a modest decrease in net asset value (‘NAV’) during the fiscal fourth quarter of 2014 (NAV per share projection is stated within the article).
    • Part of the projected modest decrease in NAV during the fiscal fourth quarter of 2014 is due to the Chapter 7 Bankruptcy of New Century Transportation, Inc.
    • I am projecting PSEC will generate an economic return of 1.96% for the fiscal fourth quarter of 2014.
    • Beginning with the fiscal first quarter of 2015, PSEC will consolidate certain wholly-owned and substantially wholly-owned holding companies to be in compliance with an update to ASC 946 (ASU 2013-08).
    • My buy, sell, or hold recommendation for PSEC is stated in the “Conclusions Drawn” section of the article.
  • Fifth Street Senior Floating Rate's Upcoming Fiscal Q3 2014 Net Asset Value Projection
     • Wed, Jul. 30 FSC, KMPR, FSFR 29 Comments

    Summary

    • I am projecting FSFR will report a total increase (decrease) in net assets of $0.1 million for the fiscal nine-months ended 6/30/2014.
    • I am projecting FSFR will report a net asset value (‘NAV’) of $15.14 per share as of 6/30/2014 (net asset value range is stated within the article).
    • I am projecting FSFR will report an increase (decrease) in NAV of 0.07% and generate an economic return of 1.85% for the fiscal third quarter of 2014.
    • FSFR is in the process of forming a strategic joint venture (‘JV’) partnership with GF Funding 2014 to expand the company’s investment portfolio but needs additional financing/capital.
    • On 7/10/2014, FSFR held a special meeting of stockholders where a proposal was approved allowing the company to sell shares of its common stock at a price below current NAV.
  • Fifth Street Finance's Upcoming Fiscal Q3 2014 Net Asset Value Projection
     • Mon, Jul. 28 KMPR, FSC 51 Comments

    Summary

    • I am projecting FSC will report a total increase (decrease) in net assets of ($9.6) million for the fiscal nine-months ended 6/30/2014.
    • I am projecting FSC will report a net asset value (‘NAV’) of $9.77 per share as of 6/30/2014 (net asset value range is stated within the article).
    • FSC had an above average level of portfolio company sales/repayments/syndications which I project slightly hindered net investment income (‘NII’) during the fiscal third quarter of 2014.
    • I am projecting FSC will report an increase (decrease) in NAV of (0.44%) but generate an economic return of 2.11% for the fiscal third quarter of 2014.
    • I believe FSC will begin to increase the company’s NII beginning in the fiscal fourth quarter of 2014 due to its recently formed joint venture ('JV') partnership.
  • American Capital Agency's Upcoming Q2 2014 Book Value Projection
    Editors' Pick • Tue, Jul. 22 MTGE, NLY, AGNC 123 Comments

    Summary

    • I am projecting AGNC will report a total increase (decrease) in net common equity of $504 million for the six months ended 6/30/2014.
    • I am projecting AGNC will report an increase (decrease) in quarterly BV of 4.52% and generate an economic return of 7.19% for the second quarter of 2014.
    • My projection for AGNC’s book value per common share as of 6/30/2014 is stated in the “Conclusions Drawn” section of the article.
    • My projection for MTGE’s and NLY’s book value per common share as of 6/30/2014 is stated just above the “Conclusions Drawn” section of the article.
    • My buy, sell, or hold recommendation for AGNC, MTGE, and NLY is stated in the “Conclusions Drawn” section of the article.
  • American Capital Agency Corp.'s Upcoming Q2 2014 Consolidated Statement Of Comprehensive Income Projection - Part 3
    Wed, Jul. 16 FMCC, FNMA, MTGE 30 Comments

    Summary

    • Most 15 and 30-year fixed-rate agency MBS coupons saw a modest to material price appreciation during the second quarter of 2014.
    • I am projecting AGNC will report a net unrealized gain (loss) on available-for-sale securities of $610 million for the second quarter of 2014.
    • I am projecting AGNC will report a net unrealized gain (loss) on interest rate swaps (upon reclassification to interest expense) of $41 million for the second quarter of 2014.
    • My projection for AGNC’s comprehensive income (loss) amount for the second quarter of 2014 is stated in the “Conclusions Drawn” section of the article.
    • A future article, which will be published prior to AGNC’s quarterly press release, will project the company’s BV as of 6/30/2014.
  • American Capital Agency Corp.'s Upcoming Q2 2014 Consolidated Statement Of Comprehensive Income Projection - Part 2
    Editors' Pick • Sun, Jul. 13 MTGE, NLY, AGNC 37 Comments

    Summary

    • I am projecting AGNC will report a net gain (loss) on sale of derivative instruments and other securities of ($390) million for the second quarter of 2014.
    • I am projecting AGNC will report a management fees expense of $30 million for the second quarter of 2014.
    • My projection for AGNC’s net income (loss) and earnings per share amounts for the second quarter of 2014 are stated in the “Conclusions Drawn” section of the article.
    • Part 3 of the article will project the remaining accounts that make up AGNC's other comprehensive income (loss) and total comprehensive income (loss) amounts.
  • American Capital Agency's Upcoming Q2 2014 Consolidated Statement Of Comprehensive Income Projection - Part 1
    Editors' Pick • Tue, Jul. 8 MTGE, NLY, AGNC 37 Comments

    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.
  • American Capital Agency's Recent Book Value And Dividend Compared To Its Agency mREIT Peers - Part 2
    Tue, Jul. 1 ARR, CMO, CYS 41 Comments

    Summary

    • AGNC, along with the company’s agency mREIT peers, had a stable dividend per share rate during the second quarter of 2014.
    • Constant lowering yield percentages across the agency mREIT sector during 2013 caused a stabilization of each company's dividend per share rate during 2014.
    • AGNC continued to have yield percentages basically in-line with the agency mREIT average, thus inherently lowering the risk of dividend reductions throughout the remainder of 2014.
    • CMO, HTS, and NLY continued to have yield percentages below the agency mREIT average, while ARR and CYS continued to have yield percentages above the agency mREIT average.
    • My buy, sell, or hold recommendation on each agency mREIT company within this analysis is stated in the "conclusions drawn" section of the article.
  • Prospect Capital Corp.'s Dividend And Net Asset Value Sustainability Analysis (Post Fiscal Q3 2014 Earnings) - Part 2
    Editors' Pick • Mon, Jun. 23 PSEC 112 Comments

    Summary

    • PSEC had an annualized weighted average yield on the company's debt investments of 12.5% as of 3/31/2014, thus helping maintain its current dividend sustainability.
    • Using FMV methodologies, I have classified 96% of PSEC's investment portfolio as performing near or above expectations as of 3/31/2014 (4% of portfolio was performing slightly, modestly, or materially below expectations).
    • PSEC's investment portfolio continues to have several portfolio companies with moderate unrealized FMV losses (capital depreciation), thus slightly raising the risk of the company's future NAV sustainability.
    • My PSEC dividend per share projections for January-March 2015 and NAV per share ranges for several upcoming quarters are stated at the end of the article.
  • Prospect Capital Corp.'s Dividend And Net Asset Value Sustainability Analysis (Post Fiscal Q3 2014 Earnings) - Part 1
    Editors' Pick • Mon, Jun. 16 PSEC 144 Comments

    Summary

    • PSEC had an underpayment (overpayment) of net investment income (‘NII’) of ($16.8) million for the fiscal first three quarters of 2014 (based on GAAP methodologies).
    • PSEC had an underpayment (overpayment) of net investment company taxable income (‘ICTI’) of ($1.7) million for the fiscal first three quarters of 2014 (based on IRC methodologies).
    • Starting with PSEC’s fiscal first quarter of 2015, understanding the differences between NII and net ICTI will be heightened in regards to providing accurate future dividend projections.
    • Summarized results from Test 1 and Test 2, in regards to PSEC’s dividend sustainability, are stated within the “conclusions drawn” section of the article.
    • Part 2 of this analysis will discuss some additional topics/trends that will impact PSEC’s future dividend and net asset value ('NAV') sustainability.
  • American Capital Agency's Dividend Range Scenarios For Q2 2014
    Editors' Pick • Tue, Jun. 10 MTGE, NLY, AGNC 52 Comments

    Summary

    • AGNC’s best-case scenario is a quarterly dividend of $0.75 per share.
    • AGNC’s worst-case scenario is a quarterly dividend of $0.55 per share.
    • AGNC’s “middle-of-the-road” scenario is a quarterly dividend of $0.60-$0.70 per share.
    • AGNC’s management team implied net dollar-roll income generated from the company’s net long TBA MBS position should be considered as an added component to dividends when favorable business conditions exist.
    • My exact AGNC, MTGE, and NLY dividend per share projections for the second quarter of 2014 are stated near the end of the article.
  • American Capital Agency Corp.'s Recent Book Value And Dividend Compared To Its Agency mREIT Peers - Part 1
    Wed, Jun. 4 ARR, CMO, CYS 42 Comments

    Summary

    • AGNC had a 2.34% increase (decrease) to book value (‘BV’) and an economic return (loss) of 4.94% during the first quarter of 2014.
    • The variable-rate agency mREIT companies CMO and HTS had a 0.96% and 1.44% increase (decrease) to BV during the first quarter of 2014.
    • The fixed-rate agency mREIT companies ARR, CYS, and NLY had a (1.68%), 4.76%, and 1.40% increase (decrease) to BV during the first quarter of 2014.
    • As of 5/30/2014, CMO traded at a modest premium to BV as of 3/31/2014 while AGNC, ARR, CYS, HTS, and NLY traded at varying minor to modest discounts to BV.
    • My buy, sell, or hold recommendation on each agency mREIT company within this analysis are stated in the “conclusions drawn” section of the article.
  • American Capital Agency Corp.'s. Dividend Sustainability Analysis (Post Q1 2014 Earnings) - Part 2
       • Fri, May. 30 AGNC 78 Comments

    Summary

    • American Capital Agency’s on-balance sheet leverage ratio went from 7.3x as of 12/31/2013 to 5.9x as of 3/31/2014 (excludes TBA positions) which led to the decrease in quarterly taxable income.
    • AGNC had a cumulative net capital loss carryforward balance of ($1.79) billion for 2013 which will have both positive and negative impacts on the company’s future dividend sustainability.
    • AGNC’s at risk leverage ratio went from 7.5x as of 12/31/2013 to 7.6x as of 3/31/2014 (includes TBA positions) which led to the increase in net dollar-roll income.
    • AGNC’s management team implied that the TBA MBS's net dollar-roll income would be an added component to dividend distributions if favorable business conditions continue to persist in future quarters.
    • After combining all indicators/trends from both parts of the article, I believe AGNC and American Capital Mortgage Investment can maintain each company’s current dividend levels through the end of 2014.
  • American Capital Agency's Dividend Sustainability Analysis (Post Q1 2014 Earnings) - Part 1
    Editors' Pick • Thu, May. 22 MTGE, NLY, AGNC 90 Comments

    Summary

    • American Capital Agency reported estimated REIT taxable income (‘ERTI’) to common shareholders of $167 million (or $0.47 per common share) for the first quarter of 2014.
    • AGNC had a quarterly ERTI underpayment (overpayment) of ($65) million and a quarterly payout ratio of 139%.
    • AGNC’s "cumulative undistributed taxable income ('UTI') coverage of quarterly dividend distributions" ratio fell from a factor of 0.90 as of 12/31/2013 to a factor of 0.63 as of 3/31/2014.
    • American Capital Mortgage reported ERTI to common shareholders of $31.1 million (or $0.61 per common share) for the first quarter of 2014 with a quarterly payout ratio of 107%.
    • Part 2 will discuss some additional topics/trends to consider in a general net rising (and falling) interest rate environment regarding AGNC’s, MTGE’s, and Annaly Capital Management’s dividend sustainability.
  • Prospect Capital's Potential Financial Restatements: Explaining The Current Situation And Its Impacts - Part 2
    Editors' Pick • Thu, May. 15 PSEC 356 Comments

    Summary

    • Part 1 of this article stated Prospect Capital recently disclosed within its comprehensive report of a company’s performance (10-Q) a possible restatement of financials may occur in the future.
    • The Securities and Exchange Commission (‘SEC’) states that certain holding companies within PSEC’s control investment portfolio are deemed “wholly-owned subsidiaries” per “Generally Accepted Account Principles” (‘GAAP’) and should be consolidated.
    • Prospect Capital is currently appealing the SEC staff's initial determination but Part 2 takes a look at a “hypothetical” analysis of what changes would be performed in such a consolidation.
    • If such a consolidation is required, the presentation of Prospect Capital’s consolidated statement of assets and liabilities and consolidated statement of operations would be materially impacted (look much different).
    • Part 2 also took a look at the impact a potential restatement of financials would do to PSEC’s dividend which is based on the Internal Revenue Code (‘IRC’) methodology.
  • Prospect Capital's Potential Financial Restatements: Explaining The Current Situation And Its Impacts - Part 1
    Sat, May. 10 PSEC 268 Comments

    Summary

    • Prospect Capital recently disclosed within its comprehensive report of a company’s performance (10-Q) a possible restatement of financials may occur in the future.
    • This possible restatement focuses around the topic of “Accounting Codification Standard 946 Financial Services — Investment Companies” (‘ACS 946’).
    • The Securities and Exchange Commission (‘SEC’) states that certain holding companies within PSEC’s control investment portfolio are deemed “wholly-owned subsidiaries” per “Generally Accepted Account Principles” (‘GAAP’) and should be consolidated.
    • Prospect Capital is currently appealing the SEC staff's initial determination.
    • Part 2 of this article will "hypothetically" assess the impacts of PSEC’s restated financials where certain control investments will be consolidated (assuming the initial SEC staff determination is upheld).
  • Fifth Street Senior Floating Rate's Upcoming Fiscal Q2 2014 Net Asset Value Projection
       • Fri, May. 9 FSC, FSFR 7 Comments

    Summary

    • I am projecting Fifth Street Senior Floating Rate ('FSFR') will report a total increase (decrease) in net assets of ($0.2) million for the fiscal six-months ended 3/31/2014.
    • I am projecting FSFR will report a net asset value (‘NAV’) of $15.10 per common share as of 3/31/2014 (net asset value range is stated within article).
    • I am projecting FSFR will report an increase (decrease) in NAV of 0% but generate an economic return of 1.52% for the fiscal second quarter of 2014.
    • FSFR is in the process of forming a strategic partnership with GF Funding 2014 to obtain additional capital needed to expand the company’s investment portfolio.
    • I currently believe FSFR can sustain the company’s newly declared quarterly dividend of $0.27 per share for the next several quarters.
  • Prospect Capital's Upcoming Fiscal Q3 2014 Net Asset Value Projection
    Editors' Pick • Mon, May. 5 PSEC 61 Comments

    Summary

    • I am projecting Prospect Capital will report a total increase (decrease) in net assets of $929.4 million for the fiscal nine months ended 3/31/2014.
    • I am projecting Prospect Capital will report a minor decrease in net asset value ("NAV") as of 3/31/2014 (exact NAV per share projection and range is stated within the article).
    • I am projecting Prospect Capital will generate a minor economic return for the fiscal third quarter of 2014 (exact economic return percentage is stated within the article).
    • A material portion of Prospect Capital's loan originations occurred within the last week of the fiscal third quarter of 2014, having negative impacts on net investment income ("NII") and NAV.
    • Prospect Capital's $1.26 billion of loan originations for the fiscal third quarter of 2014 will begin having positive impacts on NII and NAV next quarter.
  • Fifth Street Finance's Upcoming Fiscal Q2 2014 Net Asset Value Projection
       • Tue, Apr. 29 FSC 20 Comments

    Summary

    • I am projecting Fifth Street Finance will report a total increase (decrease) in net assets of ($3.6) million for the fiscal six-months ended 3/31/2014.
    • I am projecting Fifth Street Finance will report a net asset value (‘NAV’) of $9.81 per common share as of 3/31/2014 (net asset value range is stated within the article).
    • I am projecting Fifth Street Finance will report an increase (decrease) in NAV of (0.41%) but generate an economic return of 2.14% for the fiscal second quarter of 2014.
    • Fifth Street Finance will have a one-time expense in relation to the early termination of the Wells Fargo Credit Facility which will impact quarterly results.
    • I currently believe Fifth Street Finance can sustain the company’s monthly dividend of $0.0833 per share.
  • American Capital Agency's Upcoming Q1 2014 Book Value Projection
    Fri, Apr. 25 MTGE, NLY, AGNC 61 Comments

    Summary

    • I am projecting American Capital Agency will report a total increase (decrease) in net common equity of $101 million for the three-months ended 3/31/2014.
    • I am projecting American Capital Agency will report a book value of $24.45 per common share as of 3/31/2014 (BV range is stated within the article).
    • I am projecting American Capital Agency will report an increase (decrease) in quarterly BV of 2.16% and generate an economic return of 4.79% for the first quarter of 2014.
    • I am projecting American Capital Mortgage will report a book value of $21.94 per common share as of 3/31/2014 (BV range is stated within the article).
    • I am projecting Annaly Capital Management will report a book value of $12.40 per common share as of 3/31/2014 (BV range is stated within the article).
  • American Capital Agency's Upcoming Q1 2014 Income Statement Projection - Part 3
    Editors' Pick • Tue, Apr. 22 FMCC, FNMA, MTGE 70 Comments

    Summary

    • I am projecting AGNC will report a net unrealized gain (loss) on available-for-sale securities of $775 million for the first quarter of 2014.
    • I am projecting AGNC will report a net unrealized gain (loss) on interest rate swaps of $45 million for the first quarter of 2014.
    • I am projecting AGNC will report other comprehensive income (loss) of $820 million for the first quarter of 2014.
    • I am projecting AGNC will report comprehensive income (loss) of $408 million for the first quarter of 2014.
    • I am projecting AGNC will report comprehensive income (loss) of $1.14 per share for the first quarter of 2014.
  • American Capital Agency's Upcoming Q1 2014 Income Statement Projection - Part 2
    Editors' Pick • Wed, Apr. 16 MTGE, AGNC 32 Comments

    Summary

    • I am projecting AGNC will report a net gain (loss) on sale of derivative instruments and other securities of ($400) million for the first quarter of 2014.
    • I am projecting AGNC will report a management fees expense of $30 million for the first quarter of 2014.
    • I am projecting AGNC will report a net income (loss) of ($412) million for the first quarter of 2014.
    • I am projecting AGNC will report earnings of ($1.17) per share for the first quarter of 2014.
    • Part 3 of the article will project AGNC's other comprehensive income (loss) amount and summarize the company's entire income statement.
  • American Capital Agency's Upcoming Q1 2014 Income Statement Projection - Part 1
    Editors' Pick • Thu, Apr. 10 MTGE, AGNC 43 Comments

    Summary

    • I am projecting AGNC will report interest income of $480 million for the first quarter of 2014.
    • I am projecting AGNC will report an interest expense of $105 million for the first quarter of 2014.
    • I am projecting AGNC will report a net gain (loss) on sale of agency securities of ($350) million for the first quarter of 2014.
    • Part 2 of the article will project the remaining accounts that make up AGNC's net income (loss) account.
  • Prospect Capital's Dividend And Net Asset Value Sustainability Analysis (Post Fiscal Q2 2014 Earnings) - Part 2
    Editors' Pick • Mon, Apr. 7 PSEC 110 Comments

    Summary

    • PSEC had an annualized weighted average yield on the company's debt investments of 12.9% as of 12/31/2013 thus helping maintain its current dividend sustainability.
    • PSEC’s NII per share should begin to increase in the intermediate future due to the cash LIBOR floor threshold ultimately being surpassed thus helping maintain the company’s future dividend sustainability.
    • PSEC’s investment portfolio continues to have several portfolio companies with moderate unrealized FMV losses (capital depreciation) thus raising the risk of the company’s future NAV sustainability.
    • I am projecting the following dividends are declared in May 2014: $0.110550 per share for October 2014; $0.110575 per share for November 2014; and $0.110600 per share for December 2014.
    • I am projecting the following NAV ranges are reported: $10.60 - $10.80 per share as of 3/31/2014; and $10.55 - $10.80 per share as of 6/30/2014 (more ranges in conclusion).
  • American Capital Agency's Recent Book Value And Dividend Compared To Its Agency mREIT Peers - Part 2
    Editors' Pick • Wed, Apr. 2 ARR, CMO, CYS 50 Comments

    Summary

    • AGNC, along with the company’s agency mREIT peers, had material dividend decreases from 2011 through the fourth quarter of 2013.
    • The severity of the dividend decreases throughout 2013 had a high correlation to each company’s recent past yield percentages.
    • CMO had the least amount of dividend reductions over the past several years because the company’s past yield percentages continued to be the lowest out of the agency mREIT sector.
    • By the fourth quarter of 2013, each agency mREIT company's yield percentages were materially lower versus the first quarter of 2013 (with the exception of CMO).
    • I feel we saw a bottom, regarding dividend per share amounts, during the fourth quarter of 2013. Dividends should remain stable or slightly increase in the upcoming quarters.
  • Prospect Capital's Dividend And Net Asset Value Sustainability Analysis (Post Fiscal Q2 2014 Earnings) - Part 1
    Editors' Pick • Wed, Mar. 26 PSEC 105 Comments

    Summary

    • PSEC had an underpayment (overpayment) of net investment income (‘NII’) of ($8.6) million for the fiscal first and second quarters of 2014 (based on GAAP methodologies).
    • PSEC had an underpayment (overpayment) of net investment company taxable income (‘ICTI') of $2.4 million for the fiscal first and second quarters of 2014 (based on IRC methodologies).
    • TEST 1 (based on PSEC’s EPS) showed some signs the current dividend could be vulnerable if this was the only factor the company looked at.
    • TEST 2 (based on PSEC’s NII per share) showed a dividend cut is a fairly low probability through at least the fiscal first-half of 2015 (through December 2014).
  • American Capital Agency's Recent Book Value And Dividend Compared To Its Agency mREIT Peers - Part 1
    Thu, Mar. 20 ARR, CMO, CYS 46 Comments

    Summary

    • AGNC had a (6.54%) decrease to book value (‘BV’) during the third and fourth quarters of 2013.
    • AGNC’s stock price as of 3/14/2014 was trading at a premium (discount) to BV as of 12/31/2013 of (5.81%).
    • The variable-rate agency mREIT companies CMO and HTS had a (2.55%) and (3.04%) decrease to BV during the third and fourth quarters of 2013, respectively.
    • The fixed-rate agency mREIT companies ARR, CYS, and NLY had a (13.87%), (10.29%), and (7.23%) decrease to BV during the third and fourth quarters of 2013, respectively.
    • As of 3/14/2014, CMO traded at a modest premium to BV as of 12/31/2013, while AGNC, ARR, CYS, HTS, and NLY traded at varying discounts to BV.
  • American Capital Agency's Mid-Q1 2014 Book Value Projection And Derivative Portfolio Valuation Analysis - Part 3
    Editors' Pick • Wed, Mar. 12 FMCC, FNMA, MTGE 49 Comments

    Summary

    • I am projecting AGNC’s derivative portfolio to have a total net valuation gain (loss) of ($550) million through the week ending 2/14/2014.
    • I am projecting MTGE’s derivative portfolio to have a total net valuation gain (loss) of ($65) million through the week ending 2/14/2014.
    • I am projecting AGNC’s book value was $25.32 per share as of 2/14/2014; $25.25 as of 2/21/2014; $25.85 as of 2/28/2014; and $25.38 as of 3/7/2014.
    • I am projecting AGNC’s stock price was trading at a premium (discount) to CURRENT BV of (13.57%) as of 3/7/2014.
  • American Capital Agency's Dividend Range Scenarios For Q1 2014
    Editors' Pick • Thu, Mar. 6 MTGE, NLY, AGNC 83 Comments

    Summary

    • AGNC's best-case scenario: Quarterly dividend of $0.75 per share (20% probability).
    • AGNC's worst-case scenario: Quarterly dividend of $0.55 per share (10% probability).
    • AGNC's “middle-of-the-road” scenario: Quarterly dividend of $0.60-$0.70 per share (70% probability).
    • MTGE's exact dividend projection for the first quarter of 2014: $0.65 per share.
    • NLY's exact dividend projection for the first quarter of 2014: $0.30 per share.
  • American Capital Agency's Mid-Q1 2014 Composition And Valuation Analysis - Part 2
    Editors' Pick • Tue, Mar. 4 MTGE, AGNC 44 Comments