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Checking rate sensitivity at the mREITs

Published 07/06/2017, 10:50 AM
© Reuters.  Checking rate sensitivity at the mREITs
  • A former investment banker now providing some insights on Twitter, @FormerFinancial offers up this helpful chart of how far book values might drop on a 100 basis point parallel shift in rates.
  • CYS Investments (NYSE:CYS), AGNC Investment (NASDAQ:AGNC), and Annaly Capital (NYSE:NLY) are the purest-plays to rate exposure, and can expect a 14%-16% decline in book value.
  • Those less rate-exposed (and thus more credit-exposed) are Ellington Financial (NYSE:EFC) - a partnership, not a REIT, Dynex Capital (NYSE:DX), MFA Financial (NYSE:MFA), and Two Harbors (NYSE:TWO). Book values for these players would drop 1.5%-4%.
  • Somewhere in the middle are Chimera (NYSE:CIM), Invesco (NYSE:IVR), AG Mortgage (NYSE:MITT), MTGE Investment (NASDAQ:MTGE), Western Asset (NYSE:WMC), Armour Residential (NYSE:ARR), and Capstead Mortgage (NYSE:CMO).
  • ETFs: MORL, REM, MORT
  • Now read: This 8% Dividend Yield Needs An Upgrade


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