SPY - AGNC Investment: Deleveraging During Declines

• We have held the view that AGNC was a risky pick, as investors have only focused on yield, rather than total returns.
• Declines in book value continue to force AGNC to deleverage, showing just how important that tangible book value number is.
• The company remains sensitive to mortgage spread blowout.
• The preferred shares are now yielding a more appropriate amount for their risk.

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