Newcastle - A Good REIT To Invest In [View article]
You might want to look into how servicing works, and what NCT is doing in that area. NCT is structured as a REIT but they are heavily weighted towards owning servicing rights -- a very different animal from mortgage loans or RMBS. I would not consider them as a REIT from that standpoint. It's a bit like a REIT that would be loaded in IOs and long a lot of credit exposure.
Armour Residential - Book Value Estimate Leads To Further Downside [View article]
Southgent, thank you for your detailed comments. I did try to recoup BV calculations using ARR's monthly updates. Unfortunately there is simply not enough information on the value of the hedges, and the way they give net repos is ambiguous: it is not really possible to determine how to recoup the month's paydowns with their cash equivalent holdings. There was too much uncertainty there. Even though I tried to infer BV from various bon market prices and cash flows, without detailed knowledge from the bonds they own, I thought that was still much better (less room for error) than using their monthly updates. Regarding the secondary offerings, as I mentioned above for the commons I considered they were not dilutive/accretive, given that they priced closed to the then-disclosed BV. As for the preferreds, which of course reduce the BV available to the commons due to their senior position, I just did not factor them conservatively (ie for my thesis here).
Cyprus Bank Runs And mREITs: It All Depends On Swaps [View article]
I sold some positions due to the Cyprus situation. While from a fundamental standpoint many REITs are probably reasonably hedged, there is a risk that many stocks would just sell off, and I do not see any particular potential upside by holding them in the near term.
Cyprus Bank Runs And mREITs: It All Depends On Swaps [View article]
Hi, Note I am not saying the greatest danger is bank runs, but that I think it is the main way through which the situation in Cyprus could affect mREITs. And regarding the relative risks of various risks, it depends on how they are hedged, which is quite variable indeed.
Armour Residential - Book Value Estimate Leads To Further Downside [View article]
pg, thank you. I considered the idea that the prior BV would have been overstated, and that could have been an explanation on non-agency MBS maybe. However, for agency specified pools it is difficult to believe that there could be such a valuation discrepancy. These are pretty liquid securities, and dealers are quite good at pricing them. For example, most dealers send out quotesheets where they give prices/payups on various types of specifieds. In contrast, I have never seen anything equivalent on non-agencies because it's too variable. So I just don't think one can misprice these agency MBS so much. Mishedging them, however, that's a more plausible explanation in my opinion.
Armour Residential - Book Value Estimate Leads To Further Downside [View article]
I conservatively assumed they were not dilutive, because there is not enough info to figure it out really. The BV I took as a starting point was the one they published the day of the secondary (right before). Hence, not much effect presumably.
Armour Residential - Book Value Estimate Leads To Further Downside [View article]
"Sounds a lot like someone trying to short." -- that's not correct, I am short, not "trying to short". Regarding the book value, I would encourage you to read up ARR's latest officially provided BV: http://bit.ly/143ogox. The 7.31 number you quote is, I think, as of year-end 2012.
Annaly, Chimera And CreXus May Soon Combine Into One Diversified Mortgage REIT [View article]
"but in reality there is enough non Agency to buy in the first place." Really? So it would be no issue to buy $10 or $12bb in non-agencies. I am curious as to what analysis leads you to this conclusion. Are you familiar with the non-agency market?
Undervalued, 13.2% Dividend Payer Armour Residential REIT May Be Due For A Rebound [View article]
insider buying... Yes, ARR's CEO owns about $280k worth of stock. Significant position vs management fees you think? How much do AGNC's management own, for comparison?
American Capital Agency: Negative Catalysts Portend A Dividend Cut [View article]
If they put 1/2 the book in TBAs I think that would increase convexity risk quite a bit, which, if rates remain range bound (in a tight enough band) long enough would not be too bad. But there would be sizable downside should rates move more.
Undervalued, 13.2% Dividend Payer Armour Residential REIT May Be Due For A Rebound [View article]
The 7.47 BV you report, from ARR's website is actually provided by morningstar (read the small size font footnotes at the bottom of the page), and provided with no guarantee that it's correct etc. According to that information it's the latest quarterly BV published by ARR. However ARR also published an official updated BV when they did their secondary last month: http://bit.ly/15TMS1q There it is 6.70 BV... Interesting how they vaporized over 60c in BV over a couple of months. Disclaimer: I'm short the common, long the preferreds
100% agreed w/ CorvetteKid, these holdings represent nothing relative to management fees. I wonder if they are just cosmetic. Disclaimer: I'm short ARR.
Armour Residential - Book Value Estimate Leads To Further Downside [View article]
Newcastle - A Good REIT To Invest In [View article]
NCT is structured as a REIT but they are heavily weighted towards owning servicing rights -- a very different animal from mortgage loans or RMBS. I would not consider them as a REIT from that standpoint. It's a bit like a REIT that would be loaded in IOs and long a lot of credit exposure.
Cyprus Bank Runs And mREITs: It All Depends On Swaps [View article]
Armour Residential - Book Value Estimate Leads To Further Downside [View article]
I did try to recoup BV calculations using ARR's monthly updates. Unfortunately there is simply not enough information on the value of the hedges, and the way they give net repos is ambiguous: it is not really possible to determine how to recoup the month's paydowns with their cash equivalent holdings. There was too much uncertainty there. Even though I tried to infer BV from various bon market prices and cash flows, without detailed knowledge from the bonds they own, I thought that was still much better (less room for error) than using their monthly updates.
Regarding the secondary offerings, as I mentioned above for the commons I considered they were not dilutive/accretive, given that they priced closed to the then-disclosed BV.
As for the preferreds, which of course reduce the BV available to the commons due to their senior position, I just did not factor them conservatively (ie for my thesis here).
Cyprus Bank Runs And mREITs: It All Depends On Swaps [View article]
I am also short ARR, but that is another story: http://seekingalpha.co...
Cyprus Bank Runs And mREITs: It All Depends On Swaps [View article]
Note I am not saying the greatest danger is bank runs, but that I think it is the main way through which the situation in Cyprus could affect mREITs. And regarding the relative risks of various risks, it depends on how they are hedged, which is quite variable indeed.
Armour Residential - Book Value Estimate Leads To Further Downside [View article]
Armour Residential - Book Value Estimate Leads To Further Downside [View article]
For example, most dealers send out quotesheets where they give prices/payups on various types of specifieds. In contrast, I have never seen anything equivalent on non-agencies because it's too variable. So I just don't think one can misprice these agency MBS so much.
Mishedging them, however, that's a more plausible explanation in my opinion.
Armour Residential - Book Value Estimate Leads To Further Downside [View article]
Armour Residential - Book Value Estimate Leads To Further Downside [View article]
Regarding the book value, I would encourage you to read up ARR's latest officially provided BV: http://bit.ly/143ogox.
The 7.31 number you quote is, I think, as of year-end 2012.
Annaly, Chimera And CreXus May Soon Combine Into One Diversified Mortgage REIT [View article]
Really? So it would be no issue to buy $10 or $12bb in non-agencies.
I am curious as to what analysis leads you to this conclusion. Are you familiar with the non-agency market?
Undervalued, 13.2% Dividend Payer Armour Residential REIT May Be Due For A Rebound [View article]
American Capital Agency: Negative Catalysts Portend A Dividend Cut [View article]
Undervalued, 13.2% Dividend Payer Armour Residential REIT May Be Due For A Rebound [View article]
However ARR also published an official updated BV when they did their secondary last month: http://bit.ly/15TMS1q
There it is 6.70 BV...
Interesting how they vaporized over 60c in BV over a couple of months.
Disclaimer: I'm short the common, long the preferreds
Avoid Armour Residential [View article]