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Update: The Future Price Of AGNC Raw Data

Jul. 26, 2012 9:12 AM ET
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James Shell's Blog
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1. Current course, Stable spread
Share Increases/Quarter 40,000,000
Effective Leverage 7.84
Spread Stability 1
Income Efficiency 0.93
Dividend Payout 0.96
Yield 0.18
Spread Base Level 1
Quarter Actual Price Offering No Offering
2011-1 29.2 31.11
2011-2 29.74 31.11
2011-3 29.71 31.11
2011-4 28.06 31.11
2012-1 30.07 27.78
2012-2 35 35.00 35.00
2012-3 36.04 38.32
2012-4 35.67 38.32
2013-1 35.34 38.32
2013-2 35.03 38.32
2013-3 34.76 38.32
2013-4 34.50 38.32
2014-1 34.27 38.32

2. Interest Rate Decay, With and Without Share Issuances
Share Growth/Quarter 0
Effective Leverage 7.84
Spread Stability 0.98
Income Efficiency 0.93
Dividend Payout 0.96
Yield 0.18
Yield Decay 1
Quarter Actual Price With Offerings Without Offerings
2011-1 29.2 31.11
2011-2 29.74 31.11
2011-3 29.71 31.11
2011-4 28.06 31.11
2012-1 30.07 27.78
2012-2 35 35.00 35
2012-3 34.61 36.80
2012-4 33.45 36.07
2013-1 32.32 35.34
2013-2 31.21 34.64
2013-3 30.14 33.94
2013-4 29.10 33.27
2014-1 28.10 32.60

3. Interest Rate Spread Slow Increase
Share Growth/Quarter 0
Effective Leverage 7.84
Spread Stability 1.02
Income Efficiency 0.93
Dividend Payout 0.96
Yield 0.18
yield decay 1
Quarter Actual Price Offering No Offering
2011-1 29.2 31.11
2011-2 29.74 31.11
2011-3 29.71 31.11
2011-4 28.06 31.11
2012-1 30.07 27.78
2012-2 35 35.00 35.00
2012-3 37.50 39.87
2012-4 37.99 40.66
2013-1 38.59 41.48
2013-2 39.27 42.31
2013-3 40.03 43.15
2013-4 40.86 44.02
2014-1 41.76741264 44.89655621

4. Stable Rates/Higher Leverage
Share Growth/Quarter 0
Effective Leverage 9.00
Spread Stability 1
Income Efficiency 0.93
Dividend Payout 0.96
Yield 0.18
Yield Stability 0.98
Quarter Actual Price With Offerings Without Offerings
2011-1 29.2 31.11
2011-2 29.74 31.11
2011-3 29.71 31.11
2011-4 28.06 31.11
2012-1 30.07 27.78
2012-2 35 35.00 35.00
2012-3 37.38 38.32
2012-4 37.72 38.32
2013-1 38.03 38.32
2013-2 38.31 38.32
2013-3 38.57 38.32
2013-4 38.82 38.32
2014-1 39.05 38.32

5. Decaying Yield
AGNC Price Model Enter Values Here
Share Growth/Quarter 40000000
Effective Leverage 7.84
Spread Stability 0.98
Income Efficiency 0.93
Dividend Payout 0.96
Yield 0.18
Yield Stability 0.97
Quarter Actual Price With Offerings Without Offerings
2011-1 29.2 31.11111111
2011-2 29.74 31.11111111
2011-3 29.71 31.11111111
2011-4 28.06 31.11111111
2012-1 30.07 27.77777778
2012-2 35 35 35
2012-3 37.55240285 38.31877842
2012-4 38.10161666 38.31877842
2013-1 38.71781089 38.31877842
2013-2 39.39772802 38.31877842
2013-3 40.13909137 38.31877842
2013-4 40.94040072 38.31877842
2014-1 41.80078424 38.31877842

Dividend Yield Calculations: I updated the "current" dividend yields to reflect the 1.25 dividend that AGNC declared in the second quarter.

1. Current course, Stable spread
Quarter Actual Div Stream/Offering Div Stream No Offering
2011-1 1.4
2011-2 1.4
2011-3 1.4
2011-4 1.4
2012-1 1.25
2012-2 1.25 1.25 1.25
2012-3 1.62181407 1.724345029
2012-4 1.605125577 1.724345029
2013-1 1.590126097 1.724345029
2013-2 1.576516966 1.724345029
2013-3 1.564071411 1.724345029
2013-4 1.552613315 1.724345029
2014-1 1.542003257 1.724345029
2. Interest Rate Decay, With and Without Share Issuances
Quarter Actual With Offerings Without Offerings
2011-1 1.4
2011-2 1.4
2011-3 1.4
2011-4 1.4
2012-1 1.25
2012-2 1.25 1.25 1.25
2012-3 1.557590233 1.656060966
2012-4 1.505238775 1.622939747
2013-1 1.454190779 1.590480952
2013-2 1.404548892 1.558671333
2013-3 1.356372486 1.527497906
2013-4 1.309690853 1.496947948
2014-1 1.264512037 1.467008989
3. Interest Rate Spread Slow Increase
Quarter Actual With Offerings Without Offerings
2011-1 1.4
2011-2 1.4
2011-3 1.4
2011-4 1.4
2012-1 1.25
2012-2 1.25 1.25 1.25
2012-3 1.687335358 1.794008568
2012-4 1.709690176 1.82988874
2013-1 1.736395864 1.866486514
2013-2 1.766999502 1.903816245
2013-3 1.801188229 1.94189257
2013-4 1.838747378 1.980730421
2014-1 1.879533569 2.020345029
4. Stable Rates/Higher Leverage
Quarter Actual With Offerings Without Offerings
2011-1 1.4
2011-2 1.4
2011-3 1.4
2011-4 1.4
2012-1 1.25
2012-2 1.25 1.25 1.25
2012-3 1.682282383 1.724345029
2012-4 1.697337935 1.724345029
2013-1 1.711132793 1.724345029
2013-2 1.723869708 1.724345029
2013-3 1.735705622 1.724345029
2013-4 1.746764567 1.724345029
2014-1 1.757146316 1.724345029
5. Decaying Yield
Quarter Actual With Offerings Without Offerings
2011-1 1.4
2011-2 1.4
2011-3 1.4
2011-4 1.4
2012-1 1.25
2012-2 1.25 1.25 1.25
2012-3 1.659500843 1.724345029
2012-4 1.650096052 1.724345029
2013-1 1.643246408 1.724345029
2013-2 1.638661125 1.724345029
2013-3 1.63610656 1.724345029
2013-4 1.635393298 1.724345029
2014-1 1.636366689 1.724345029

Disclosure: I am long AGNC.

Additional disclosure: I am also long ARR, CYS, IVR, TWO

Seeking Alpha's Disclosure: Past performance is no guarantee of future results. No recommendation or advice is being given as to whether any investment is suitable for a particular investor. Any views or opinions expressed above may not reflect those of Seeking Alpha as a whole. Seeking Alpha is not a licensed securities dealer, broker or US investment adviser or investment bank. Our analysts are third party authors that include both professional investors and individual investors who may not be licensed or certified by any institute or regulatory body.

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