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Update: The Future Price Of AGNC Raw Data

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