I recently addressed the significant drop in book value that one could expect on Capstead Mortgage (NYSE:CMO), essentially due to hedge ineffectiveness and a particularly strong sell-off in hybrid ARM valuations in this article. In this other article, I also looked into American Capital Agency Corp.'s (NASDAQ:AGNC) expected book value, dropping less than expected thanks to hedge effectiveness and the composition of their book.
As it turns out, CMO is not alone with a bad surprise potential. In this article, I show why one should also be expecting a significant drop in book value for Hatteras Financial (NYSE:HTS), in the order of 20%. HTS is currently trading around 23.15, while I would...
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