Annaly Capital's BV, Dividend, And Valuation Compared To 19 MREIT Peers (Post Q1 2016 Earnings) - Part 2

| About: Annaly Capital (NLY)

Summary

This article compares Annaly's recent dividend per share rates, yield percentages, and several dividend sustainability metrics to nineteen mREIT peers.

This article also explains why the company had a stable dividend for the second quarter of 2016 (which I previously correctly projected).

This includes an analysis of its quarterly estimated REIT taxable income, estimated core earnings, and normalized core earnings which impact the company's dividend sustainability.

This article also discusses Annaly's projected performance during the second quarter of 2016 when compared to the company’s fixed-rate agency mREIT peers.

My current buy, sell, or hold recommendation and near-term dividend sustainability projection for Annaly is stated in the "Conclusions Drawn" section of the article.

Author's Note: PART 1 of this article analyzed Annaly Capital Management Inc.'s (NYSE:NLY) recent results and compared several of the company's metrics to seventeen mortgage real estate investment trust (mREIT) peers. PART 1 also showed how NLY's discount to book value ("BV") as of 3/31/2016 compared to the seventeen other mREIT peers. PART 1 helps lead to a better understanding of the topics and analysis that will be discussed in PART 2. The link to PART 1's analysis is provided below:

Annaly Capital's BV, Dividend, And Valuation Compared To 17 mREIT Peers (Post Q1 2016 Earnings) - Part 1

This two-part article is a very detailed analysis comparing NLY to many mREIT peers. I am writing this two-part article due to the continued requests that such an analysis be specifically performed on the company at periodic intervals. For readers who just want the summarized conclusions/results, I would suggest to scroll down to the "Conclusions Drawn" section at the bottom of the each part of the article.

Focus of Article:

The focus of PART 2 of this article is to compare NLY's recent dividend per share rates, yield percentages, and several dividend sustainability metrics to that of nineteen mREIT peers. This analysis will show recent past data with supporting documentation within Table 4 below. The article will also discuss the company's "near-term" dividend sustainability, which is partially based on the metrics outlined in Table 4. A more "in-depth" analysis of NLY's near-term dividend sustainability will be provided in Table 5 below.

By analyzing each company's recent dividend per share rates, yield percentages, and several other dividend sustainability metrics, one will better understand which mREIT generally has a safer dividend rate going forward versus other peers which generally have a higher risk for a dividend decrease. When "backtesting" the metrics within this analysis, the results have continued to be proven reliable. This is not the only data that should be examined to initiate a position within a particular stock/sector or project future dividend per share rates. However, I believe this analysis would be a good "starting point" to begin a discussion on the topic. At the end of this article, there will be a conclusion regarding the following comparisons between NLY and the nineteen mREIT peers: 1) trailing 12-month yields based on a stock price as of 6/26/2015 (for agencies) or 7/2/2015 (for hybrids and multipurpose) versus 6/24/2016 (for each respective time period; including annual dividend change); 2) annual forward yield based on a stock price as of 6/24/2016; and 3) annual forward yield based on BV as of 3/31/2016. I will also provide my current BUY, SELL, or HOLD recommendation and price target on NLY.

Side Note: I believe there are several different "classifications" when it comes to mREIT companies. For purposes of this article, I am focusing on four of them. For readers who are new to my articles or for existing readers who need a "refresher" on several different mREIT classifications, please see PART 1 of this article (link provided above).

Dividend Per Share Rates and Yield Percentages Analysis - Overview:

Let us start this analysis by first getting accustomed to the information provided in Table 4 below. This will be beneficial when comparing NLY to the nineteen mREIT peers within this analysis regarding quarterly dividend per share rates and yield percentages.

Table 4 - Dividend Per Share Rates and Yield Percentages

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(Source: Table created entirely by myself, obtaining historical stock prices from Nasdaq and each company's dividend per share rates from the SEC's EDGAR Database)

Using Table 4 above as a reference, the following information is provided (see each corresponding column): 1) dividend per share rate for the first quarter of 2016; 2) stock price as of 4/1/2016; 3) trailing 12-month dividend yield (dividend per share rate from the second quarter of 2015 through the first quarter of 2016); 4) annual forward dividend yield based on the dividend per share rate for the first quarter of 2016 using the stock price as of 4/1/2016; 5) annual forward dividend yield based on the dividend per share rate for the first quarter of 2016 using the BV as of 12/31/2015; 6) dividend per share rate for the second quarter of 2016; 7) stock price as of 6/24/2016; 8) trailing 12-month dividend yield (dividend per share rate from the third quarter of 2015 through the second quarter of 2016); 9) annual forward dividend yield based on the dividend per share rate for the second quarter of 2016 using the stock price as of 6/24/2016; 10) annual forward dividend yield based on the dividend per share rate for the second quarter of 2016 using the BV as of 3/31/2016; and 11) annual dividend increase (decrease).

It should be noted as of 6/24/2016, ARMOUR Residential REIT Inc. (NYSE:ARR), CYS Investments Inc. (NYSE:CYS), Orchid Island Capital Inc. (NYSE:ORC), Invesco Mortgage Capital Inc. (NYSE:IVR), MFA Financial Inc. (NYSE:MFA), AG Mortgage Investment Trust Inc. (NYSE:MITT), and New York Mortgage Trust, Inc. (NASDAQ:NYMT) had stock prices that "reset" lower regarding each company's monthly/quarterly dividend accrual (all quarterly dividends with the exception of ARR and ORC). In other words, each company's "ex dividend date" for the month/quarter has occurred.

NLY, American Capital Agency Corp. (NASDAQ:AGNC), Anworth Mortgage Asset Corp. (NYSE:ANH), Capstead Mortgage Corp. (NYSE:CMO), Hatteras Financial Corp. (NYSE:HTS), Arlington Asset Investment Corp. (NYSE:AI), Apollo Residential Mortgage Inc. (NYSE:AMTG), Dynex Capital Inc. (NYSE:DX), American Capital Mortgage Inv. Corp. (NASDAQ:MTGE), New Residential Investment Corp. (NYSE:NRZ), Two Harbors Investment Corp. (NYSE:TWO), and Western Asset Mortgage Capital Corp. (NYSE:WMC) had stock prices that have not reset lower in reference to each company's monthly/quarterly dividend accrual (all quarterly dividends with the exception of AGNC).

Furthermore, as of 6/27/2016, PennyMac Mortgage Investment Trust (NYSE:PMT) had yet to declare its dividend for the second quarter of 2016. However, to include this mREIT company within this analysis, I have assumed it will declare a stable dividend for the second quarter of 2016 when compared to the prior quarter. This is merely an assumption to provide comparative percentages. Readers should understand that if PMT's quarterly dividend per share rate varies when compared to the prior quarter, its trailing twelve-month and annual forward dividend yield would be slightly altered versus the percentages shown in Table 4.

Finally, technically speaking, several years ago, AI changed its "entity status" from a REIT to a C-Corp. per the Internal Revenue Code ("IRC"). However, AI still maintained many "mREIT-like characteristics", including the type of investments held by the company and the amount of annual dividend distributions paid to shareholders (which is the focus of PART 2). As such, I believe AI should still be compared to the mREIT companies within this analysis which are REIT entities per the IRC. Readers should take all these points into consideration when the analysis is presented below. Let us now begin the comparative analysis between NLY and the nineteen mREIT peers.

NLY:

Using Table 4 above as a reference, NLY declared a dividend of $0.30 per share for the first quarter of 2016. This was the tenth consecutive quarter of a stable dividend per share rate. Due to the fact that NLY aggressively reduced its dividend from $0.65 per share during the second quarter of 2011 to $0.30 per share by the fourth quarter of 2013, the company's yield percentages also materially decreased by the end of 2013, which have remained relatively stable through the second quarter of 2016.

NLY's stock traded at $10.33 per share on 4/1/2016. When calculated, this was a trailing 12-month dividend yield of 11.62%, an annual forward yield to NLY's stock price as of 4/1/2016 of 11.62%, and an annual forward yield to the company's BV as of 12/31/2015 of 10.23%. When comparing each yield percentage to NLY's agency mREIT peers, all three percentages continued to be slightly-to-modestly below average.

As was discussed in PART 1 of this article, even though management has recently slightly increased NLY's leverage, the company continued to have the lowest ratios (both on- and off-balance sheet leverage) out of the agency mREIT peers within this analysis. From charting past trends, typically lower leverage ratios within the fixed-rate agency mREIT sector generally equate to below average dividend yield percentages. Of course, there are various other factors at play regarding dividend sustainability. However, a company's leverage ratio is one "general metric" which I believe should be analyzed.

When combining this data with various other analytical metrics (several will be discussed shortly), I correctly projected in a prior AGNC dividend projection article that NLY's dividend would remain stable at $0.30 per share for the second quarter of 2016. This projection was provided in the following article:

American Capital Agency's Dividend Projection For May 2016 - June 2016

This projection was based on numerous variables at play pertaining to NLY's operations. However, I currently believe three important metrics to analyze are the company's quarterly estimated REIT taxable income ("ERTI"), estimated core earnings ("ECE"), and more recently, its normalized core earnings ("NCE"). To analyze these three metrics, Table 5 is provided below.

Table 5 - NLY Quarterly ERTI, ECE, and NCE Analysis (Q2 2015 - Q1 2016)

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(Source: Table created entirely by myself, partially using data obtained from NLY's quarterly shareholder presentation for the second quarter of 2015 - first quarter of 2016)

Using Table 5 above as a reference, NLY reported quarterly ERTI available to common shareholders of $216.3 million for the fourth quarter of 2015 (see red reference "E"). In contrast to the prior quarter, this was a nice rebound from the very low quarterly ERTI figure it reported during the third quarter of 2015. When calculated, NLY had ERTI available to common shareholders of $0.23 per share for the fourth quarter of 2015. While materially higher when compared to ERTI at only $0.11 per share for the third quarter of 2015, this was still modestly below the company's dividend of $0.30 per common share for the same time frame.

However, this figure also excluded the impact of NLY's net long "to-be-announced" ("TBA") "mortgage-backed securities" ("MBS") position that remained relatively unchanged (on a net basis) during the quarter. When including "net dollar roll" ("NDR") income of $94.9 million (see red reference "G"), the company reported ECE available to common shareholders of $311.2 million for the fourth quarter of 2015 (see red reference "I"). When calculated, NLY had ECE available to common shareholders of $0.33 per share for the fourth quarter of 2015.

When also including NLY's "catch-up" premium amortization expense adjustment of ($18.1) million (see red reference "L"), the company reported NCE available to common shareholders of $293.1 million for the fourth quarter of 2015 (see red reference "N"). When calculated, it had NCE available to common shareholders of $0.31 per share for the fourth quarter of 2015. This calculates to a dividend distributions payout ratio of 96% (see red reference "J / N"). I believe most would agree this was a slight quarterly underpayment of NCE. Simply put, NLY's quarterly NCE continued to be relatively close to the company's quarterly dividend distributions going back to the second quarter of 2015. Let us now take a look at what occurred during the first quarter of 2016.

The company reported quarterly ERTI available to common shareholders of only $22.2 million for the first quarter of 2016. This figure was a material reduction when compared to quarterly ERTI of $216.3 million for the fourth quarter of 2015. When calculated, NLY had ERTI available to common shareholders of just $0.02 per share for the first quarter of 2016. This was materially below the company's dividend of $0.30 per common share for the same time frame.

However, as discussed earlier, this figure also excluded the impact of NLY's net long TBA MBS position that remained relatively unchanged (on a net basis) for most of the quarter. When including NDR income of $83.2 million, the company reported quarterly ECE available to common shareholders of $105.4 million for the first quarter of 2016. When calculated, NLY had ECE available to common shareholders of $0.11 per share for the first quarter of 2016. I believe most would agree this was also a material quarterly overpayment.

However, when also including NLY's material catch-up premium amortization expense adjustment of $168.4 million, the company reported NCE available to common shareholders of $273.8 million for the first quarter of 2016. When calculated, it had NCE available to common shareholders of $0.30 per share for the first quarter of 2016. This calculates to a dividend distributions payout ratio of 101%. I believe most would agree this was a very minor quarterly overpayment of NCE.

With that being said, when taking a look at NLY's combined payout over the prior four quarters, the company has been able to achieve a minor net underpayment of NCE. I believe this provides strong, factual evidence as to why it continued to maintain a quarterly dividend rate of $0.30 per share over the prior four quarters. This was also one of the main reasons why I correctly projected a stable dividend of $0.30 per common share for the second quarter of 2016.

I would also highlight to readers that NLY's quarterly NCE per share amounts and payout ratios over the prior year have been notably more "steady" versus the company's quarterly ERTI and ECE figures. This is due to the fact NCE takes into account an additional Generally Accepted Accounting Principle ("GAAP") versus IRC adjustment. Dependent upon management's projected lifetime "conditional prepayment rate" ("CPR") with regard to NLY's MBS portfolio, the catch-up premium amortization expense adjustment can materially alter the company's quarterly ERTI and ECE figures. As implied above, NCE excludes/reverses this GAAP adjustment, since an entity's cost basis per the IRC is initially the purchase price of a security, not par.

Once again using Table 4 as a reference, NLY's stock traded at $10.89 per share on 6/24/2016. When calculated, this was a trailing 12-month dividend yield of 11.02%, an annual forward yield to NLY's stock price as of 6/24/2016 of 11.02%, and an annual forward yield to the company's BV as of 3/31/2016 of 10.34%. When comparing each yield percentage to NLY's agency mREIT peers, all three percentages continued to be slightly-to-modestly below average. I continue to believe NLY should have an annual forward yield slightly below the agency mREIT average.

Comparison of NLY's Trailing 12-Month Yields Based on a Stock Price as of 6/26/2015 (for Agencies) or 7/2/2015 (for Hybrids and Multipurpose) Versus 6/24/2016 (Including Annual Dividend Change), Annual Forward Yield Based on a Stock Price as of 6/24/2016, and Annual Forward Yield Based on BV as of 3/31/2016 to Nineteen Other mREIT Peers:

A large number of readers have continued to request that I provide yield percentages, dividend per share rates, and other metrics for all the mREIT stocks I currently cover. As such, partially using Table 4 above as a reference, the following metrics are provided for NLY and the nineteen other mREIT peers:

A) Trailing 12-Month Yields as of 6/26/2015 (for Agencies) or 7/2/2015 (for Hybrids and Multipurpose) Versus 6/24/2016, Respectively (Including Annual Dividend Change; Based on Lowest to Highest Percentage as of 6/26/2015 or 7/2/2015) (Good "General" Indicator of Backtesting Dividend Sustainability; Exceptions Apply):

1) NRZ: 10.20%; 14.08% (2% Dividend Increase Q2 2015 - Q2 2016)

2) TWO: 10.47%; 11.17% (12% Dividend Decrease Q2 2015 - Q2 2016)

3) MFA: 10.65%, 11.44% (Stable Dividend Q2 2015 - Q2 2016)

4) CMO: 11.57%; 10.49% (26% Dividend Decrease Q2 2015 - Q2 2016)

5) ANH: 11.60%; 12.85% (Stable Dividend Q2 2015 - Q2 2016)

6) HTS: 11.98%, 11.26% (10% Dividend Decrease Q2 2015 - Q2 2016)

7) AMTG: 12.53%; 14.16% (Stable Dividend Q2 2015 - Q2 2016)

8) IVR: 12.67%, 11.63% (11% Dividend Decrease Q2 2015 - Q2 2016)

9) NLY: 12.89%, 11.02% (Stable Dividend Q2 2015 - Q2 2016)

10) DX: 13.07%; 13.29% (13% Dividend Decrease Q2 2015 - Q2 2016)

11) PMT: 13.58%; 11.79% (23% Dividend Decrease Q2 2015 - Q2 2016)

12) MITT: 13.75%, 14.53% (21% Dividend Decrease Q2 2015 - Q2 2016)

13) AGNC: 13.84%; 12.31% (3% Dividend Decrease Q2 2015 - Q2 2016)

14) MTGE: 14.14%, 10.17% (20% Dividend Decrease Q2 2015 - Q2 2016)

15) NYMT: 14.32%; 16.11% (11% Dividend Decrease Q2 2015 - Q2 2016)

16) CYS Investments Inc. : 14.99%; 12.64% (11% Dividend Decrease Q2 2015 - Q2 2016)

17) ORC: 17.73%, 16.25% (22% Dividend Decrease Q2 2015 - Q2 2016)

18) AI: 17.80%, 18.44% (29% Dividend Decrease Q2 2015 - Q2 2016)

19) WMC: 18.04%, 20.79% (52% Dividend Decrease Q2 2015 - Q2 2016)

20) ARR: 18.69%, 14.80% (26% Dividend Decrease Q2 2015 - Q2 2016)

When comparing each company's trailing 12-month dividend yields, a general conclusion that can be drawn is that the lower a company's percentage was as of 6/26/2015 (for agencies) or 7/2/2015 (for hybrids and multipurpose), the lower the probability of a dividend decrease (or even a stable/increasing dividend) during the second half of 2015 through the second quarter of 2016. In addition, generally, the higher each company's trailing 12-month dividend yield was as of 6/26/2015 (for agencies) or 7/2/2015 (for hybrids and multipurpose), the higher the risk for future dividend decreases over the next several quarters. Again, there are some expectations to this general "trend", but I believe one can see some broad correlations in each company's trailing 12-month dividend yields.

For instance, since NRZ (rank 1), MFA (rank 3), ANH (rank 5), AMTG (rank 7), and NLY (rank 9) had a relatively low trailing 12-month dividend yield as of 6/26/2015 (for agencies) or 7/2/2015 (for hybrids and multipurpose), I do not believe it was a surprise each company either had stable or slightly increasing dividends over the prior four quarters. As one moves down this list, it is also not surprising companies like MITT (rank 12), MTGE (rank 14), ORC (rank 17), AI (rank 18), WMC (rank 19) and ARR (rank 20) had at or greater than a (20%) decrease in dividends during the second half of 2015 through the second quarter of 2016.

Regarding CMO (rank 4), this company continued to solely invest in variable-rate agency MBS. These types of securities generally have lower yields when compared to most fixed-rate MBS counterparts. When the Federal Open Market Committee ("FOMC") finally increased the Federal ("Fed") Funds Rate in December 2015 by 25 basis points ("bps"), this "squeezed" CMO's net interest margin. Along with lower long-term interest rates (which generally elevate variable-rate MBS prepayments) , this negatively impacted yields, which ultimately impacted CMO's dividend.

B) Annual Forward Yield Based on Stock Price as of 6/24/2016 (Based on Lowest to Highest Percentage) (Another Good General Indicator of Near-Term Future Dividend Sustainability; Exceptions Apply):

1) CMO: 9.55%

2) MTGE: 10.17%

3) TWO: 10.49%

4) NLY: 11.02%

5) HTS: 11.26%

6) MFA: 11.44%

7) IVR: 11.63%

8) PMT: 11.79%

9) CYS: 12.27%

10) AGNC: 12.31%

11) DX: 12.41%

12) ANH: 12.85%

13) WMC: 13.29%

14) MITT: 13.63%

15) NRZ: 14.08%

16) AMTG: 14.16%

17) ARR: 14.95%

18) NYMT: 16.11%

19) ORC: 16.25%

20) AI: 18.44%

C) Annual Forward Yield Based on BV as of 3/31/2016 (Based on Lowest to Highest Percentage) (A Very Good General Indicator of Near-Term Future Dividend Sustainability; Exceptions Apply):

1) CMO: 8.18%

2) MTGE: 8.41%

3) PMT: 9.13%

4) TWO: 9.48%

5) HTS: 9.68%

5) IVR: 9.68%

7) ANH: 10.00%

8) NLY: 10.34%

9) CYS: 10.57%

10) AGNC: 10.86%

11) MITT: 11.03%

12) DX: 11.14%

13) MFA: 11.16%

14) WMC: 11.38%

15) ARR: 11.60%

16) AMTG: 12.48%

17) AI: 13.26%

18) NRZ: 13.77%

19) NYMT: 14.79%

20) ORC: 15.26%

Side Note on Proposed NLY Acquisition of HTS (The "Merger/Exchange Offer"):

When I provided PART 1 of this article, several readers asked for my thoughts on NLY's proposed acquisition of HTS. At the time, I stated this discussion would be provided in PART 2 of this article. This proposed merger was disclosed to the public on 4/11/2016. Under the terms of the proposed merger, NLY would acquire HTS at $15.85 per common share through a combination of cash and issuance of NLY common stock (in the end, an approximate 35%/65% split, respectively).

At the time, this calculated to a premium of 24% to the sixty-day volume-weighted average price of HTS's common stock (a positive for HTS shareholders, in my opinion). This also calculated, at the time, to a price-to-book value ("BV") discount of approximately (15%) when based on HTS's estimated BV as of 2/29/2016 (a positive for NLY shareholders, in my opinion). As such, when this deal was first announced, I thought the purchase price was both attractive/fair for NLY and HTS shareholders when considering the price-to-book multiples of similar/recently proposed mergers within the mREIT sector.

On 6/15/2016, NLY announced the exchange offer was extended to 7/11/2016. While I can understand some shareholders of both companies might be "disgruntled" by the terms of the proposed merger, I believe the majority of shareholders should see the deal as being attractive/acceptable. This is just my "outside perspective" with regard to this event. I have not recently held (or currently hold) stock in either company.

Conclusions Drawn (PART 2):

PART 2 of this article compared NLY to nineteen mREIT peers with regard to recent dividend per share rates, yield percentages, and several other dividend sustainability metrics. This article also discussed NLY's near-term dividend sustainability. Using Table 4 as support, below were the recent dividend per share rates and yield percentages for the company:

NLY: $0.30 per share dividend for the second quarter of 2016; 11.02% trailing 12-month dividend yield; 11.02% annual forward yield to the company's stock price as of 6/24/2016; and 10.34% annual forward yield to the company's BV as of 3/31/2016

When combining this data with various other analytical metrics not discussed within this specific article (some factors were covered in PART 1), the following projection regarding the REIT's near-term dividend sustainability is provided:

NLY: High (80%) probability of a stable dividend for the third quarter of 2016

After NLY reports earnings for the second quarter of 2016 (in early August 2016), I will provide an exact per share rate and probability with regard to the company's dividend for the third quarter of 2016. I believe the movement of MBS prices will directly impact NLY's use of the TBA forward market (which directly impacts NDR income). As explained in PART 1 of this article, NLY's hedging coverage ratio also needs to be considered when discussing this topic.

In addition, in light of the recent quick, sharp drop in mortgage interest rates/U.S. Treasury yields, I also am projecting NLY will outperform most fixed-rate agency mREIT peers regarding BV fluctuations during the second quarter of 2016. This is mainly due to the favorable composition of NLY's MBS/investment portfolio and the company's projected low hedging coverage ratio during the second quarter of 2016.

My BUY, SELL, or HOLD Recommendation:

From the analysis provided above, including additional catalysts/factors not discussed within this article (some factors were covered in PART 1), I currently rate NLY as a SELL when I believe the company's stock is trading at less than a modest (5%) discount to CURRENT BV (BV as of 6/24/2016), a HOLD when trading at or greater than a (5%) but less than a (15%) discount to CURRENT BV, and a BUY when trading at or greater than a (15%) discount to CURRENT BV.

These ranges are a slight upgrade when compared to my last NLY article due to the recent positive catalysts/factors within the mREIT sector as a whole and several specific NLY characteristics (discussed above). My projected NLY CURRENT BV range is $11.90-12.20 per share. This range EXCLUDES the company's upcoming dividend for the second quarter of 2016.

Therefore, I currently rate NLY as a HOLD, since the stock is trading at or greater than a (5%) but less than a (15%) discount to my projected CURRENT BV. My current price target for NLY is approximately $11.40 per share. This is currently the price where my HOLD recommendation would change to a SELL. This price target is a $0.75 per share increase when compared to my last NLY article. My current entry price for NLY is approximately $10.25 per share. This is currently the price where my HOLD recommendation would change to a BUY. This entry price is also a $0.75 per share increase when compared to my last NLY article.

Along with the data presented within this article, this recommendation considers the following mREIT catalysts/factors: 1) projected future MBS price movements; 2) projected future derivative valuations; and 3) projected near-term dividend per share rates. This recommendation also considers the notably lower probability of several Fed Funds rate increases by the FOMC during 2016 (the most bullish case is now only one rate increase during 2016; more market participants now anticipate no increases) due to recent macroeconomic trends/events.

Final Note: Each investor's BUY, SELL, or HOLD decision is based on one's risk tolerance, time horizon, and dividend income goals. My personal recommendation will not fit each reader's current investing strategy. The factual information provided within this article is intended to help assist readers when it comes to investing strategies/decisions.

Disclosure: I am/we are long AGNC, MTGE.

I wrote this article myself, and it expresses my own opinions. I am not receiving compensation for it (other than from Seeking Alpha). I have no business relationship with any company whose stock is mentioned in this article.

Additional disclosure: I currently have no position in NLY, AI, AMTG, ANH, ARR, CMO, CYS, DX, HTS, IVR, MFA, MITT, NRZ, NYMT, ORC, PMT, TWO, or WMC.