JAZ

Annaly Capital Management: Epitome of Low Risk, High Reward

Charlie, it is hard to figure out the average duration on the long side of the NLY portfolio, based on publicly available data. However, during the last earnings call the CEO emphasized, multiple times, that they are in much shorter duration on the long side than is usual for them. Based on this, I have taken a simplistic view and have assumed that over the next 4-8 quarters the cumulative markup will be in the order of 10% which at current GSE pricing assumes an average narrowing of the spread (to treasuries of similar maturity) by 50-60 basis points. Do you think this is off the mark based on any publicly available data you have seen on the NLY portfolio?


On Aug 04 05:05 PM Charlie_Bott le wrote:

> JAZ, what about my question on the relationship between the yield
> and the mark to market of the assets? What are your assumptions
> on the duration or the portfolio?