tradetoinvest
Oct 7, 10:38 PM
$AGNC — TBV estimate
AGNC reported TBV of
$8.58/sh at June 30.
Using AGNC’s own TBV sensitivity data + its own MBS spread series:
• 5Y/10Y Treasury benchmark rose ~84bp → estimated ~10% TBV hit
• AGNC 30Y MBS spread widened ~18bp → estimated ~9% TBV hit
• Q3 earnings/carry partially offset the losses
That implies roughly
$1.6/sh of TBV destruction, putting estimated Sept. 30 TBV around ~
$7.0/sh.
The early-Oct Treasury move probably keeps current economic TBV around ~
$6.8–7.1.
At ~
$8.50 stock price, that’s roughly 1.2x estimated TBV.
So despite the big stock selloff,
$AGNC does NOT look obviously cheap vs. current TBV. The key question is whether MBS spreads/rates stabilize from here.
Q3 results on Oct. 19 should give us the real number.
TBV estimate, not reported actual; AGNC’s hedge/portfolio changes during Q3 can materially alter the result.
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