The Institutional Risk Analyst

To get a sense for the kind of price volatility you can expect to see from Treasury 10s, take a look at the response to the earnings release this week from AGNC. The REIT reported a sizable decline in book value, which resulted from rising interest rates and an inadequate hedge. The stock slid down to a 52-week low of $8.40 before triggering buying from income oriented investors. AGNC’s tangible net book value dropped by 16.9% (or $1.45 per share) down to $7.13 per share from