J.P. 摩根-美股-金融业-2019年Q1北美按揭金融预览-2019.4.23-52页.pdf

North America Equity Research23 April 2019Equity Ratings and Price TargetsMkt CapRatingPrice TargetCompanyTicker($mn)Price($)CurPrevCurEnd DatePrevEnd DateAGNC Investment Corp.AGNC US9,744.5718.17OWn/c18.00Dec-19n/cn/cAnnaly CapitalNLY US13,229.6010.07OWn/c10.50Dec-19n/cn/cApollo Commercial Real Estate FinanceARI US2,468.2618.44OWn/c18.00Dec-19n/cn/cArbor Realty TrustABR US1,375.6113.60UWn/c12.00Dec-1911.50n/cAres Commercial Real Estate Corp.ACRE US440.5415.32Nn/c15.50Dec-1915.00n/cBlackstone Mortgage TrustBXMT US4,284.9934.65Nn/c34.00Dec-19n/cn/cEssentESNT US4,488.7145.53Nn/c48.00Dec-1945.00n/cGranite Point Mortgage TrustGPMT US999.0919.15Nn/c19.50Dec-19n/cn/cKKR Real Estate FinanceKREF US1,155.3820.06Nn/c20.50Dec-19n/cn/cLadder CapitalLADR US1,760.7616.94Nn/c18.00Dec-19n/cn/cMFA FinancialMFA US3,328.427.40Nn/c7.50Dec-197.00n/cNMI HoldingsNMIH US1,778.6726.82OWn/c29.00Dec-1926.00n/cStarwood Property TrustSTWD US6,536.8922.67OWn/c23.00Dec-19n/cn/cTPG RE Finance TrustTRTX US1,409.3919.57Nn/c20.00Dec-19n/cn/cTwo HarborsTWO US3,408.7013.74OWn/c14.50Dec-19n/cn/cSource:Company data,Bloomberg,J.P.Morgan estimates.n/c=no change.All prices as of 22 Apr 19.1Q19 Mortgage Finance PreviewSlight PT Adjustments Heading into 1Q19 EarningsSpecialty&Consumer FinanceRichard Shane AC(1-415)315-Bloomberg JPMA SHANE J.P.Morgan Securities LLCMelissa Wedel,CFA(1-415)315-J.P.Morgan Securities LLCCharles Arestia(1-415)315-J.P.Morgan Securities LLCHarshav Raj(91-22)6157-J.P.Morgan India Private LimitedSee page 49 for analyst certification and important disclosures,including non-US analyst disclosures.J.P.Morgan does and seeks to do business with companies covered in its research reports.As a result,investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report.Investors should consider this report as only a single factor in making their investment decision.Mortgage finance earnings season begins on Tuesday,April 23,with BXMT reporting AMC.We are modestly adjusting price targets on select names heading into 1Q19 earnings to better reflect recent market trends and earnings outlooks.Residential REITs.Book values are expected to rebound as benchmark rates fell and mortgage spreads remained flat to modestly tighter in 1Q19.Our outlook is for dividends to remain stable for the group.Commercial REITs.We maintain a neutral outlook on the commercial REIT space as the tailwind of higher rates appears to be receding and loan spreads remain compressed.Solid credit continues to offset margin compression,allowing companies to maintain returns and current dividend levels.Private mortgage insurance.The PMI sector rebounded sharply in 1Q19 following the late year sell-off in 2018.We believe fundamentals remain compelling for the group as residential lending standards remain high and modest HPA provides solid credit support.As rates fall,we do expect persistency to decline.However,given the trend in rates,only the less seasoned vintages with less embedded HPA are likely to refinance.2North America Equity Research23 April 2019Richard Shane(1-415)315-Table 1:Summary of Forward Book Value Estimates for Residential REITsSource:J.P.Morgan estimates.Above is a summary of our forward residential MREIT book value estimate adjustments for 1Q19.We are adjusting forward book value estimates modestly heading into 1Q19 earnings after accounting for mark-to-market adjustments on MBS holdings and estimated valuation adjustments for swaps and hedging portfolios.For commercial mortgage REITs,we have made slight adjustments accounting for a modestly flatter forward LIBOR curve,given predominately floating-rate loan portfolios.1Q19 Estimate4Q18 Actual%ChangeAGNC$17.45$16.565.37%NLY$9.76$9.393.94%MFA$7.28$7.151.82%TWO$13.28$13.111.30%3North America Equity Research23 April 2019Richard Shane(1-415)315-Table 2:MBS Market InformationSource:J.P.Morgan.JPM MBS Index30-Sep-1831-Dec-1831-Mar-1915-Apr-19%Absolute%Absolute Price$99.95$101.15$102.34$101.941.20%$1.201.18%$1.19(0.39)%($0.40)L-OAS29.7033.3434.2036.393.640.852.19Interest Rate/Security Price 30-Sep-1831-Dec-1831-Mar-1915-Apr-19 Rate%Rate%LIBOR:1-Month2.26%2.50%2.49%2.47%0.24%(0.01)%(0.02)%3-Month2.40%2.81%2.60%2.59%0.41%(0.21)%(0.01)%6-Month2.60%2.88%2.66%2.64%0.27%(0.22)%(0.02)%U.S.Treasury Security Rate:2-Year U.S.Treasury2.82%2.49%2.27%2.39%(0.32)%(0.22)%0.12%3-Year U.S.Treasury2.88%2.46%2.22%2.36%(0.42)%(0.24)%0.13%5-Year U.S.Treasury2.95%2.51%2.24%2.37%(0.44)%(0.27)%0.13%10-Year U.S.Treasury3.05%2.69%2.41%2.55%(0.36)%(0.28)%0.14%30-Year U.S.Treasury3.19%3.02%2.82%2.96%(0.17)%(0.20)%0.14%Interest Rate Swap Rate:2-Year Swap2.99%2.66%2.39%2.49%(0.32)%(0.27)%0.10%3-Year Swap3.05%2.60%2.31%2.42%(0.45)%(0.28)%0.11%5-Year Swap3.06%2.58%2.29%2.41%(0.48)%(0.29)%0.12%10-Year Swap3.11%2.72%2.41%2.54%(0.39)%(0.31)%0.13%30-Year Swap3.12%2.85%2.59%2.73%(0.27)%(0.27)%0.14%15-Year Fixed Rate MBS Price:%Price%Price%Price2.50%$96.47$97.73$99.38$98.771.30%$1.261.69%$1.65(0.61)%($0.61)3.00%$98.77$99.81$100.88$100.381.05%$1.041.06%$1.06(0.50)%($0.50)3.50%$100.51$101.23$102.26$101.990.72%$0.731.01%$1.02(0.26)%($0.27)4.00%$101.99$102.35$102.98$102.860.35%$0.360.62%$0.63(0.12)%($0.13)Libor OAS-FNMA 15-YearAbsolute Absolute Absolute 2.50%1.5015.3010.7015.0013.80(4.60)4.303.00%(2.50)13.5010.1015.1016.00(3.40)5.003.50%3.4022.0022.8023.5018.600.800.704.00%6.1027.6021.9016.3021.50(5.70)(5.60)30-Year Fixed Rate MBS Price:%Price%Price%Price3.00%$95.68$97.55$99.54$98.741.95%$1.872.04%$1.99(0.80)%($0.80)3.50%$98.41$99.95$101.34$100.791.57%$1.551.39%$1.39(0.55)%($0.55)4.00%$100.97$101.93$102.84$102.460.95%$0.960.90%$0.91(0.37)%($0.38)4.50%$103.16$103.52$104.19$103.920.35%$0.360.65%$0.67(0.25)%($0.27)Libor OAS-FNMA 30-YearAbsolute Absolute Absolute 3.00%9.2015.3017.7022.206.102.404.503.50%15.9023.3020.7023.607.40(2.60)2.904.00%24.4024.0024.7033.70(0.40)0.709.004.50%36.3053.4050.6054.9017.10(2.80)4.30Q1 2019-QTDQ4 2018Q1 20194North America Equity Research23 April 2019Richard Shane(1-415)315-ResidentialResidential REITs underperformed the broader market in 1Q19 as investors rotated back toward“risk-on”trades after the 4Q18 sell-off.Consistent with this rotation,the more credit-sensitive names outperformed agency-focused stocks as the flatter yield curve dampened margin expectations.Figure 1:Residential MREIT Stock Performance 1Q19Source:Bloomberg.Heading into earnings,there are three trends that we believe may be significant for residential mortgage REITs:1.Yield curve inversion:The yield curve“officially”inverted during the quarter,but we note that there are several different“inversions”that investors are carefully watching.The 2y10y spread(typically a historical early warning sign of a recession)tightened to quarterly lows in late March but never went negative.While there was an inversion at this time,it was on different points of the curvespecifically the three-month and 10-year Treasuries.This remains a historical impending recession signal,but it may specifically have an impact on mortgage REITs,which are more sensitive to short-dated borrowing costs to fund longer dated investments.Figure 2:2Y10Y Spread HistoricalSource:Bloomberg.Figure 3:3Mo10Y Spread,1Q19Source:Bloomberg.2.Fed outlook:In late March,the Fed unveiled a more dovish outlook than many had been expecting,with the latest dot plot signaling no further rate hikes in 2019 and one possible hike in late 2020.Also noteworthy was the emphasis on both patience and flexibility on further Fed actions,opening up the possibility that the next rate move may even be down rather than up.3.Housing fundamentals and macroeconomic indicators:Consumer credit remains stableour credit card coverage reinforces that delinquencies and charge-offs are generally benign,unemployment rates are low,and the labor 4.8%5.8%9.0%11.8%13.6%0.0%2.0%4.0%6.0%8.0%10.0%12.0%14.0%16.0%NLYAGNCTWOMFASPX02550751001251502.12.22.32.42.52.62.72.82.9UST 3 MoUST 10 Yr5North America Equity Research23 April 2019Richard Shane(1-415)315-market remains tight.Initial jobless claims remain historically low(recent prints were lowest since 1969),which should be supportive for credit-focused residential REITs.6North America Equity Research23 April 2019Richard Shane(1-415)315-CommercialCommercial mortgage REIT stocks outperformed residential names in the first quarter,consistent with the risk-on equity rally following late 2018 volatility.Top performers this quarter include capital light/“make-and-sell”models(ABR,LADR)as well as STWD,which is the most diversified commercial mortgage REIT in our coverage.Figure 4:Commercial Mortgage REIT Stock Performance,1Q19Source:Bloomberg.Heading into 1Q19 earnings,there are two trends we are watching closely:1.LIBOR:CRE mortgage REITs typically underwrite loans to be tied to floating rates,traditionally LIBOR.Rates moderated slightly in 1Q19,implying some modest yield compression on CRE loans.Given continued economic stability,we expect the competitive environment that has persisted for several quarters may continue,which may further pressure yields.2.Credit performance:There are no indications currently that commercial credit is at risk of a broader slump.However,given the trend of spread compression and“late-cycle”behavior,there is increasing risk that underwriting standards may loosen in an environment where lenders chase additional yield.Last quarter several commercial mortgage REITs identified specific credit impairments in their portfolios;while we reiterate that this does not imply a broader deterioration in credit,we may begin to see differentiation among the CRE mortgage REITs in lending standards as the cycle wears on.5.3%6.8%9.6%10.4%12.0%12.3%13.6%15.8%19.0%31.5%0.0%5.0%10.0%15.0%20.0%25.0%30.0%35.0%GPMTKREFTRTXBXMTARILADRSPXSTWDACREABR7North America Equity Research23 April 2019Richard Shane(1-415)315-PMIFigure 5:PMI Stock Performance,1Q19Source:Bloomberg.PMI issuers enjoyed outsized gains in 1Q19,outperforming the S&P 500,as housing fundamentals remained supportive and demographic trends continue to favor growth in the industry.Millennials are entering peak home-purchasing age,and first-time homebuyers will more likely be in need of private mortgage insurance than more seasoned purchasers.Heading into 1Q19 earnings,we believe fundamentals are stable for both ESNT and NMIH,but we prefer NMIH given its growth trajectory and potential operating leverage in the near to medium term.Home price appreciation provides credit support,and J.P.Morgans John Sim forecasts national level appreciation of 3.3%in 2019,with growth moderating in subsequent years.While this suggests a modest deceleration of HPA going forward,we believe this scenario is supportive for PMI issuers and provides a stable economic backdrop.Figure 6:Y/Y%Change in Case-Shiller and FHFA Home Price IndicesSource:Bloomberg.13.6%27.1%44.9%0.0%5.0%10.0%15.0%20.0%25.0%30.0%35.0%40.0%45.0%50.0%SPXESNTNMIH0.00%2.50%5.00%7.50%10.00%12.50%6/1/20139/1/201312/1/20133/1/20146/1/20149/1/201412/1/20143/1/20156/1/20159/1/201512/1/20153/1/20166/1/20169/1/201612/1/20163/1/20176/1/20179/1/201712/1/20173/1/20186/1/20189/1/201812/1/20183/1/2019Case-Shiller Y/YFHFA Y/Y8North America Equity Research23 April 2019Richard Shane(1-415)315-AGNC Investment Corp.OverweightCompany DataShares O/S(th)536,30052-week range($)19.72-16.96Market cap($mn)9,744.57Exchange rate 1.00Free float(%)99.5%3M-Avg daily vol(mn)4.913M-Avg daily val($mn)87.8Volatility(90 Day)10Index S&P 500BBG BUY|HOLD|SELL 4|5|0AGNC Investment Corporation(AGNC;AGNC US)Year-end Dec($)FY17AFY18AFY19E(Prev)FY19E(Curr)FY20E(Prev)FY20E(Curr)FY21EInterest income($th)1,622,000 2,176,000 3,197,006 3,140,413 3,824,261 3,742,005-Net interest income($th)971,000 1,154,000 1,425,193 1,362,951 1,688,247 1,612,248-A income($th)914,000 1,037,000 1,315,193 1,252,951 1,576,247 1,500,248-Adj.EPS($)2.552.352.372.262.442.32-BBG EPS($)2.542.42-2.27-2.372.49BVPS($)22.3618.4719.0719.1119.2519.28-DPS($)2.162.162.222.222.282.28-NIM-P/BV 0.81.01.01.00.90.9-ROE 11.3%11.1%12.4%11.8%12.7%12.1%-Source:Company data,Bloomberg,J.P.Morgan estimates.Investment Thesis,Valuation and RisksAGNC Investment Corporation(Overweight;Price Target:$18.00)Investment ThesisWe reiterate our Overweight rating.We maintain our rating on AGNC as we believe the company offers a strong risk/reward profile heading into 2019.We believe AGNC remains one of the best-managed MREITs within our coverage universe and that the acquisition of its external manager is a long-term positive.In our view,AGNCs portfolio of agency MBS may benefit from a pause in Fed tightening in 2019,and it comprises investment in“flight to quality”assets in a possible cyclical downturn.Additionally,AGNC has the lowest beta in our coverage universe and has a higher market cap and trading liquidity than many other mortgage REITs.ValuationWe maintain our$18.00 Dec 2019 PT.Our price target is based on a 1.05x(unchanged)multiple applied to our FY19 TBVPS forecast of$17.39(from$17.35).Our multiple is at the high end of the residential mortgage REIT peer group(0.95-1.05x)given our incrementally constructive outlook on agency MBS and a compelling risk/reward profile.Residential mortgage REITs typically trade close to book value given the size and liquidity of the agency MBS market.Our target multiple reflects the possibility that tangible book value may be pressured in a rising rate environment as AGNCs agency holdings are marked to market.While AGNCs funding profile is relatively favorable,it is offset by other headwinds,including near-term uncertainty regarding future interest rate increases,the negative convexity of MBS,and the end of Fed reinvestment in MBS.Based on the 1.05x multiple and our dividend forecasts,our price target implies a total potential return of 8.8%through the end of 2019.9North America Equity Research23 April 2019Richard Shane(1-415)315-Risks to Rating and Price TargetDownside risks.We believe the greatest risk facing AGNC in the near term is uncertainty stemming from policy objectives,namely interest rate policy.If rates increase more sharply than we assume,book value could miss expectations and shares would likely trade below our price target.If rates decrease enough to spur prepayments,AGNC would incur realized losses,which may also decrease book value.If option-adjusted spreads widen and trade out of historical ranges,book value could deteriorate beyond our forecast,causing shares to trade below our price target.10North America Equity Research23 April 2019Richard Shane(1-415)315-AGNC Investment Corp.:Summary of FinancialsIncome Statement-AnnualFY18AFY19EFY20E FY21EIncome Statement-Quarterly1Q19E2Q19E3Q19E4Q19EInterest Income2,176,0003,140,4133,742,005-Interest Income736,018770,007796,767837,621Interest Expense(1,022,000)(1,777,462)(2,129,756)-Interest Expense(408,688)(434,020)(457,826)(476,928)Net Interest Income1,154,0001,362,9511,612,248-Net Interest Income327,331335,987338,941360,693Unrealized losses on swaps-Unr