Seeking Alpha

laterre

laterre
Send Message
View as an RSS Feed
View laterre's Comments BY TICKER:
Latest comments  |  Highest rated
  • American Capital Agency Group: Capital Appreciation Plus Income [View article]
    I love AGNC (my largest holding), but you realize you just bought into a huge dividend (capital gain) and that the price of AGNC will drop by AT LEAST $1.40 on Monday, right? The reason it's been hitting highs every day is that it's moving through it's quarterly dividend cycle. And given that it's an mreit, it's never going to enjoy great price appreciation (anchored below 1.2-1.3 of its NAV, and will frequently dip on new secondaries). A great long-term income investment, but a funny and inopportune time (from a tax standpoint) and rationale (momentum, for a high yield income stock) to be adding...
    Mar 18 10:16 AM | 18 Likes Like |Link to Comment
  • Gundlach: Time to buy interest rate risk [View news story]
    When, exactly, was he wrong about mreits? In early 2013 when he was calling them toppy and warning everyone that dividend cuts were inevitable? Or fall 2013 to the present day (after they tanked) when his position has flipped 180 degrees to the view that they're cheap at these current discounts to NAV?

    Like anyone else, he doesn't bat 100%. But he's made some amazing calls over the past five or six years on IR moves, understands when things are expensive and cheap, and manages risk as well as anyone in the business.
    Nov 30 02:07 PM | 15 Likes Like |Link to Comment
  • Manic Monday For mREITs [View article]
    Reprice was inevitable: the notion that 16% divies and 30% premiums to NAV were going to be sustainable in the face of that yield curve was absurd, and many of us who look at the bond market every day have been saying so for months.

    They've all got two headwinds to struggle with:
    (a) prices of current coupon 3s and 3.5s have gotten ridiculous, to the point that there's nothing to do to earn a decent spread on new money; their costs of funds and hedging can't go any lower, so all the agency mreits are going to eventually face spread compression. Unless something changes dramatically, you're looking at high single digit/ low double digit yields by early 2013. (b) the CPRs are going to get ugly, though this will affect the individual mreits differently. If like AGNC, WMC, or MTGE you've migrated into the lower coupon 3s, 3.5s, and 15 years--and paid up for specified pools with higher coupons and prepayment protection--the effects of prepays are going to be muted. It'll still be bad--maybe CPRs spiking from high single digits to mid-teens, but it won't be crippling. On the other hand, if you're sitting complacently on a bunch of higher coupon 4 and 4.5s without prepayment protection (cough, NLY?), things are going to get truly ugly. I think a pair trade long AGNC/ short NLY into earnings could be interesting.

    The flip-side, the smart folks who loaded up the truck on 3s in advance of QE have made BANK in cap gains. 3s went from something like 98 to 106 at the peak, before coming back in some. That kind of cap gain on mbs in a few months is ridiculous--NAV for the smart agency mreits is going to pop nicely in the next earnings. People who front-ran the fed aggressively are sitting on some nice gains to NAV. It also helps that your hedges are usually priced off of treasury rates, whereas your book gains come off mbs, and in this instance the asymmetry is beneficial. Because mbs prices have gone up a lot more than Treasuries (with the spread between them narrowing to all time lows), it's likely that the losses on hedges are far outweighed by the gains in mbs prices.

    Bottom line: they aren't going to be able to maintain 15% divvies with spread income, but I'm betting that you're going to see some eye-popping capital gains and increases in NAV come earnings time. Sellling winners will allow them to post blow-out earnings. The well run hybrids such as TWO, MTGE, etc will do even better. For people like me who buy based on discount to NAV, not yield, this sector is looking a whole lot more attractive than it did 3 months ago...
    Oct 16 08:03 AM | 11 Likes Like |Link to Comment
  • Chimera Investment Corp: Headed Toward A 0% Dividend Rate [View article]
    Not to pile on, as I've been calling this thing a dog for several years now, but still I try to follow it, as there's some money to be made here one way or another.

    A few quibbles with your analysis--first, they are in a good position in one sense that the junky non-agency subs aren't leveraged. (The other--less charitable--interpreta... is that they have no borrowings against these subs because no one would accept them as repo collateral....) All their repo borrowings are against the agency side of the portfolio (which accounts for about .80-1.00 of their equity, by my dated calcs). They own the rest of the non-agency subs free and clear and can in principle wait things out. The problem, though, is that they won't begin receiving any principal repays against these until the AAA front ends of the bonds are paid off, and this doesn't seem likely any time soon (more on this below). By owning the locked out subs, they're entitled only to the IO overflows left over after the frontends are paid the fixed 6-6.5% they're due. So CIM's cash flow is variable and depends on how the underlying credit is performing. If non-performing loans get too high and the foreclosure backlogs aren't flushed out, or servicers stop advancing the interest, the cash overflow to them dwindles. I'd assume that's what's been happening.

    In the absence of filings, the only way to really track their financial health at this point is through the performance of their re-remic deals. They issued a series of bonds in 2008-2010 which are floating around out there in various FI portfolios. Most of them were Credit Suisse deals re-branded in the CSMC 2009 or 2010 RR series. Because they were never registered with the SEC it's hard to find out the details of how much subordination they required, but one of the most widely owned and easily tracked is the JP Morgan 2009-7 deal CIM did. For example, there's a $2.5 million 12-A-1 AA bond from this series in the portfolio of the closed end fund FMY that FIDAC used to manage. Based on the way Brookfield and other third-party owners of AAA pieces of the JPM deal are currently marking the seniors, there seems to be no major issues with the seniors getting paid (other than, tracking them from quarter to quarter, they seem to be paying down really slowly), but that really doesn't tell anything about how far the losses may have eroded the subs.

    The canary in the coal mine would be if any of the AAA or AA seniors they've sold off started showing distress. I've been watching for signs of this and haven't seen it yet. Public owners of the seniors frontends are still marking them at par or above, which is a good sign. But if these were to show any losses, it would mean that cash flow to the subs had ceased entirely, and CIM's unrated non-agency portfolio would be fried.
    Jul 26 07:16 AM | 10 Likes Like |Link to Comment
  • Bernanke's Speech More Likely To Help mREITs Than Hurt Them [View article]
    I'll reign in my urge to be overly dramatic about the dangers of a "point and click" refi for the agency mreits. I've warned of this before.

    Here's the problem in a nutshell, and it has less to do with spreads (alas, if only investing in mbs were as easy as watching the spreads...and if only the typical mreit investor could get this through their heads...). It's about the premium to par paid on the mbs. When borrowers refi, you get paid back early AT PAR. Yes, this likely means that the new rate at which you can reinvest is lower, so spreads go down. But that's almost beside the point. The real problem is that you lose book. Imagine you paid 105 or 106 for a bond you expect to hold for 8-10 years. Suddenly you just got paid back at par--or 100. You just lost 5%. Now multiply this times 8 leverage. You see the problem. This is aggravated by the fact that with interest rates so freakishly low, even FNMA 4 and 4.5s sell well above par, and seasoned GNMA 30 5.5 and 6s were at one point trading close to 110. Absent some form of prepayment protection, those huge premiums will evaporate out of the pockets of mbs investors and into the pockets of borrowers.

    Expect some hits to NAV if this goes through...
    Aug 25 04:41 PM | 10 Likes Like |Link to Comment
  • Why I Am Avoiding American Capital Agency [View article]
    The "evidence" is in current mbs prices, and it's not an assumption but is manifestly obvious. Even if you can't pull a bond quote, think about this commonsensically: if you or I can go to the bank and get a 30-yr mortgage sub-4%, the net to the mbs investor (subtracting underwriting and GSE fees) is 3% +/-. If you want empirical evidence, current FNMA or FHLMC 3 and 3.5 coupons are selling right now @ 99.25 and 102.20, respectively, for a ball-park yield of just a hair over 3%.

    Why does this matter? Because it guarantees that every single $ that comes into the door of NLY, AGNC, etc. from prepays of older securities they bought in 2009 or 2010 and which were yielding 4.5-5% (or $ from new secondaries) now has to be re-invested into this flatter yield curve. Smart asset selection of older, higher coupon stuff can stretch the margins a little bit, but the reality is that spreads are contracting. ARE contracting...as in the present, right now...

    AGNC is still a fantastic shop, and will dojust fine, but I wouldn't put new money there. The optionality and discount to book for MTGE makes a lot more sense, IMO.
    Dec 29 10:55 AM | 8 Likes Like |Link to Comment
  • Sell Your mREITs Immediately [View article]
    Wow, this is really hysterical.

    Like everyone else on here, I have absolutely no idea what would happen should the US default on its debt obligations. I can only imagine that it would be a bad thing in some cosmic sense. However, I also think it is worthwhile taking one's bearings from the people who ought to be *most* concerned about this possibility: namely, the bond market. And right now, the FACT is that the 10 yr bond is saying that it could give a rat's arse. If anything, it's more receptive to the banking crisis unfolding in Europe, which is the bigger threat in terms of repos and counterparty risk.

    With respect to your point about S&P and Moody's downgrades. The bond market clearly doesn't care whether the US is rated AAA or AA-. When this threat was unveiled, the bond market didn't even blink. It's as if US News and World Reports were to downgrade Harvard from #2 to #10. Would fewer people want to go there? Would a degree be worth less? Would anyone even notice? Would famous professors leave in droves? Don't be stupid. With respect to SOVEREIGN debt--as opposed to corporates or munis--no one pays any attention to the ratings agencies. And as a factual matter, anyone who works in the mreit space knows that repos, covenants, contracts, etc. always speak of GOVT securities--not a specific ratings level. Now if the US govt were to move to distance itself from the GSE backstops, that would be an issue...

    Regarding repos and margin calls. Is there a danger that if agencies sold off hard, that NLY and AGNC would have to post collateral? Obviously, because the underlying security has lost value. If Fannie and freddie paper were for any reason to drop 10-20%, this would be a huge blow to the mreits. But this is a generic risk, not something unique to a downgrade or credit event. And actually, given that the income streams of GNMA, Fannie and Freddie paper are independent of the us govt (all they provide is the backstop or guarantees; they don't sign the checks), you might actually see money flow INTO agency paper and the spreads to treasuries invert.

    I'm the biggest nervous nelly in the world when it comes to amreit risks. I am constantly warning foolish retail investors that there's no riskless 18% to be had in the world. But until the bond market starts behaving differently, this is completely irrational fear. Take something off or buy some protection if you're worried, but like the bond market, I'd be more concerned about Europe right now as a potential spark for the credit markets seizing up. Anything else is a buying opportunity.
    Jul 25 01:47 PM | 8 Likes Like |Link to Comment
  • Is Chimera One Of The Better Plays In The REIT Sector? [View article]
    "On the other hand, there are several things that potential investors should consider before establishing a position. One of the negative catalysts potent [sic] shareholders should consider, and as dually [sic] noted by my SA colleague Tim Plaehn, is the fact CIM recently hired a new accounting firm and has delayed the announcement of several previous earnings reports, not to mention they've begun to shave their dividend."

    Other than that Mrs. Lincoln, how was the play?
    Aug 6 03:39 PM | 7 Likes Like |Link to Comment
  • REITs: Current Yields Make Up for Possible Risk [View article]
    Appreciate your kind words, Sky. I rarely post on seekingalpha or other boards, but Zach’s article struck a chord. I saw after the fact that he’s also written a previous article that goes more into the nuances of the mreit business model and differentiates between amreits like AGNC and NLY and non-agency mreits such as CIM, so I apologize if my earlier post sounded hectoring.

    Not really sure I have any generalizable insights into timing, targets, allocation, etc. as these are fluid, and what worked for me today may not work tomorrow, let alone for someone else. I’m still a long way from retirement and tend to be very aggressive when the risk-reward proposition is compelling. My portfolio boils down to 45% in non-agency mbs (IVR, TWO, WAC, CIM, JLS, JMT, FMY—as well as a large % of DBLTX and TSI); 30% in agency mbs (AGNC, NLY); and 25% in blue chip dividend payers. I “hedge” (albeit crudely) interest rate exposure through other investments in physical real estate and have been building a small position in European oil producers.

    Here’s my main beef about these mreits. You read posts saying that “these mortgages are insured by the US govt” and “they hedge for interest rate risk,” which implies that they’re appropriate for widows and orphans. The reality is that while amreits like AGNC or NLY can be great additions to a fixed income portfolio, particularly for yield-hungry retirees, I wouldn’t recommend that they be more than 10-20% of that portfolio. There are just way too many things that can go wrong when you’re playing with one of the most volatile fixed income sectors (MBS) at 7-9 times leverage. Google “Thornburg” or “Bimini Capital” for object lessons. Or, for that matter, just look at CIM’s original offering price! I follow at least one current amreit that is already showing cracks, even under these exceptionally forgiving market conditions.

    Most people get the basic idea of short-long spread arbitrage and the risks associated with leverage, but that’s just the tip of the iceberg. Other forms of risk are intrinsic to MBS (book value loss as rates rise, prepayment and extension risk, and especially political risk for agencies; credit and default risk, in the case of non-agencies). During one of his appearances before Congress last summer I thought Bernanke was literally going to crap himself when Senator Bunning (great baseball pitcher, but no rocket scientist…) started blabbing on about removing the GSE backstops, which will technically expire at some point anyway. Some of these forms of risk can be hedged away, of course, particularly the short term cost of funds, which most amreits do. Other risks can be minimized with smart asset selection (ARMs vs. fixed, 15 yrs vs. 30 yrs, etc). But at the end of the day, it’s either impossible or prohibitively expensive to hedge all risks. We were in uncharted territory in 2010, when all the old rules about CPRs, coupon receptivity to refis, etc. got thrown out the window.

    It’s important to keep in mind that what you’re really doing with these mreits is making a leveraged bet on MBS. It’s a bond trade as much as an investment in a company. AGNC, NLY, CYS, and most of their peers are essentially just pools of MBS with a small management team of bond traders attached. Imagine a giant hot air balloon connected to a very small basket. Because the company’s assets and value are mainly in the book, I personally make buy and sell decisions based on price/ NAV. Anything over 1.3 makes me uncomfortable, whereas anything less than 1.1 smells like a bargain in this market. Most of my holdings in AGNC were bought at below book value (ah, those were the days!), and any additions at these prices are for swing trades. I’m happy to sit back and hold these for the distributions, but I also keep an eye out for opportunities to churn or sell and buy back covered calls. As mentioned above, these amreits grow mainly by issuing new stock through secondaries, which can be a good opportunity to load up. Hefty dividends provide a floor of support for the stock price, whereas the threat of a secondary sets a ceiling, and so there tends to be a fairly predictable range. For example, AGNC rarely breaks below 28, and has only momentarily cracked 30. So if you pick up shares near the bottom of this range, sell some covered calls at 30, collect a dividend or two, and then have your shares called away at a peak, that’s not a bad cycle. Some buy-and-hold or fixed income investors might be content to ignore book value and share price fluctuations and just collect the dividends, but I think this is taking your eye off the ball.

    Another way to get exposure to the asset class with (to my way of thinking) less risk are Closed End Funds—essentially just pools of non-agency MBS. Right now these throw off high single digit yields, are only mildly leveraged (typically .25/1 as with your typical plain-jane Pimco or Nuveen muni bond funds), and sell at discounts to book value. If you want exposure to MBS without the steroids of 7-9 times leverage, these are worth considering, particularly for fixed-income investors who aren’t playing for capital gains. JMT, JLS, TSI, and FMY (which has negative duration—the ultimate protection against rising rates!) are interesting propositions, and all of them currently trade at discounts to book. Think of it this way: you can get 8-10% yield buying a minimally leveraged pool of MBS at a DISCOUNT to book value—and juice this slightly by applying a modest bit of leverage yourself on margin based on your comfort level. If that’s the case, then you have to ask yourself whether it’s really worth paying 30% OVER book value to buy a bloated portfolio of generic TBA agency MBS leveraged 7-9 times over just to squeeze out that extra 4-8%? Does the difference between 15-18% (assuming these dividend levels hold, which won’t happen forever) and 10-12% REALLY justify the extra risk you’re taking on?

    A couple of other random thoughts about selection. Amreits may be like giant hot air balloons with tiny managements appended, but the truth is that management—and management styles—really do matter, and there are significant differences in the space. Painting with a very broad brush, AGNC’s team are aggressive, savvy traders, who’ve done an outstanding job getting out in front of the trends this past year, whereas NLY and some of the other mreits have been more risk-averse. This hasn’t always paid off for them. There’s more uncertainty in AGNC’s business model, whereas NLY is considered the safer, proven team with a long track record. But given the volatility in the MBS market, I personally want management to be aggressively trading their book, rather than setting it and forgetting it. Another variable is size. AGNC has been agile because they were (at least before the waves of recent secondaries) a relatively small shop. NLY is a $13 bill behemoth. As these guys get bigger there’s less room to trade aggressively and opportunity for management to outperform. One very interesting exception to this—and yet another management strategy—is CYS, which focuses on agency 15 yrs (lower duration, and thus smaller spreads), but seems to be generating a lot of its revenue by “drop premiums,” or capitalizing on the discount for buying future pools of mortgages that have yet to be delivered. It’s a novel niche strategy that deserves watching.

    Lastly (and here I agree completely with Zach) the risk profile and fundamentals of non-agencies currently look more compelling than agencies for several reasons. Obviously they aren’t making any more non-agency MBS, and what exists is burning off quickly. Unlike agency MBS, non-agency paper sells below par so there’s no prepayment risk. These tend to have lower or even negative duration, unlike agencies, and so they won’t be hit as hard by rising rates. Zach gets this part exactly right. And because the YTM ultimately depends on default and recovery rates, they do provide some upside exposure to a housing rebound. The problem, alas, is that all the screaming bargains in distressed non-agency have been pretty much been had, and you’re now looking at pretty sober 7-9% loss-adjusted returns on formerly AAA prime MBS. This means that the ability of CIM, IVR, TWO and others to issue secondaries and buy up more of this stuff at bargain basement prices may be severely limited in the future. And yet they all have incentives to continue doing so even when the point of diminishing returns sets in…

    My 2 cents, FWIW: as with anything else, do your own due diligence, be prepared to monitor these things closely, and be clear-headed about your risk tolerance. Buyers beware, as a “riskless” 18% yield is even rarer than the proverbial free lunch.
    Feb 8 11:19 AM | 7 Likes Like |Link to Comment
  • RadioShack: Will The Vultures Circling RadioShack Have To Call Off Their Feast? [View article]
    "So....you're telling me there's a chance!"--Jim Carrey
    Jun 12 03:46 PM | 6 Likes Like |Link to Comment
  • Assessing The Q4 2013 Dividend Of Western Asset Mortgage Capital [View article]
    I’m sure many people appreciate the clear, detailed analysis you present. Thanks for this. But your own analysis of WMC’s earnings power answers the question of why it can trade at a premium to the rest of the space. Regardless of how its WAC looks relative to AGNC and MTGE, it is running a more aggressive portfolio with a larger duration gap. The story behind the diff is in the NIM. If you look at WMC versus its peers in terms of EARNINGS POWER, it’s easy to see why it deserves to trade at a premium to the others. It is raking in the spread income.

    Why "unsustainable"? Spit-balling NIM of 2.28% (3.42% average portfolio yield-1.14% cost of funds) * 9 times leverage=20.52% + 2.28% on the portfolio itself=22.8% earnings on a going forward basis. **Assuming no changes to portfolio from 9/30**, I see no problem whatsoever for them to easily cover the current regular dividend of .80 per share in spread income. By way of contrast, both AGNC and MTGE have reduced leverage, migrated down into 15s, and put on the brakes through additional hedges, and thus the successive divvy cuts. They’ve sacrificed NIM to stabilize book.

    The flip-side of this, which is the *real* danger of WMC that you barely touch on, is that this makes WMC’s NAV much more volatile. If rates begin to back up again aggressively, they’re going to be slammed much harder than AGNC or MTGE with all those low coupon 30s.
    Pick your poison. The $1.55 or whatever special is an accounting gimmick—no argument there. But if you want raw earnings power at the cost of running a bigger duration gap (this used to be AGNC’s game, for which everyone loved them…), then WMC is best in class and, IMO, deserves to trade tighter than AGNC, NLY, etc.

    My 2 cents...

    Disclosure: long WMC and MTGE
    Dec 24 04:22 PM | 6 Likes Like |Link to Comment
  • American Capital Agency Catalyst For Capital Appreciation [View article]
    Hey TJ,

    I get your point about the marginal demand from potential inclusion in the indices. But I have to politely disagree with your thesis on two grounds.

    First, the reason AGNC and MTGE recently did SPOs had (I would submit) absolutely nothing to do with this change. Or if it did, the mgmt should be fired. They issued shares because of the widening of spreads in mbs, and they timed this move brilliantly, I'd add. They're already sitting on some tidy gains on anything they bought in Feb.

    But secondly, and most importantly, I don't think that including mreits in the S&P index is a good thing at all. One of the nice things about mreits is their relatively low beta and correlation (often inverse) to the equity market. They're much more closely correlated (as they should be) with the HY and agency bond markets. Including them in the S&P or other major indices will subject them to the same "tail wags dog" effect whereby massive trading (manipulation) in S&P futures and linked ETFs drives the prices of component shares.

    Mreits are not stocks, and the prospect of the mreits becoming (like much else in this market) a derivative of the EURUSD is not something I relish (though it does introduce the possibility of irrational volatility and inefficiencies that can be exploited).
    Mar 29 06:42 AM | 6 Likes Like |Link to Comment
  • High Yields: Buying the Panic in Mortgage REIT Stocks [View article]
    A testament to the power of fear and irrationality in the equity markets. Even as the stock prices of mreits were dropping, the value of their underlying bonds were surging on Friday. If you had managed to buy AGNC at the dip, you would have gotten $1 worth of liquid assets for .78 cents. Again this demonstrates how misunderstood the mreit model is. What happens if the repo market somehow seizes up? They just sell their underlying mbs (for a tidy profit). The danger is in the value of the assets, not the repos or haircuts. But it's now clear what should already have been obvious last week: that the bond market has absolutely no fear of default, downgrades, etc and is correctly pricing in a period of protracted economic contraction, austerity, and deflation. Thanks, T-baggers, for a great buying opp. Turns out you've got to kill an economy to save it...
    Jul 30 09:05 AM | 6 Likes Like |Link to Comment
  • Why I Believe Annaly Will Increase Its Dividend Soon And Shares Should Be Purchased Before Earnings Are Released [View article]
    Thanks much for the reply, RS. Actually, I'd think--based on your macro thesis--that you'd have preferred for NLY to have remained a pure (more or less) agency mreit which would be likely to perform better given the macro scenario of "lingering low rates" you describe.

    It's by no means clear that moving toward the hybrid model is any more certain (or less certain) to generate higher revs and earnings, as you assume. What it does allow you to do is to reduce IR risk and generate similar returns with lower leverage. It's a *defensive* move toward rates. If I held the view that IR were going to continue steady to downward (which I personally do), I'd much rather they stick to a pure agency model, which is more likely to generate at least some modest capital gains/ growth in book value.

    On the improbability of $19 per share (I never say "never," though this one's darn close...). You'll pardon me for saying that the $19 call smacks of anchoring bias. If you don't believe me, run the math in reverse: assuming an aggressive downward move in TSY10 from 2.5% to 1.5% over a 36 month time frame, and a current NAV of $12, what effective duration gap would they need to capture a gain in book value of more than 50%? The answer is a mind-boggling 50!

    To put that in perspective, that would be the same as buying a 20YR zero coupon treasury, putting two-ish turns of leverage on it, with no hedges. Any PM that would position a portfolio in that way should be fired immediately. Further complicating this with mbs, you also have to factor in that the lower IR rates necessary to move the needle on NAV are likely to reawaken pre-payment fears.

    These mreits can still be decent investments at these prices and should be able to throw off low teens returns for the foreseeable future. But you've also got to be realistic that it's mathematically impossible to replicate the kinds of mega earnings and cap gains these guys put up in the 2009-2013 period. $19 is not gonna happen, IMHO, but good luck to all.
    Jul 23 02:35 PM | 5 Likes Like |Link to Comment
  • Why I Believe Annaly Will Increase Its Dividend Soon And Shares Should Be Purchased Before Earnings Are Released [View article]
    No position in NLY one way or another, and am inclined to agree with you that it's not bad at these prices (though it was better six months ago sub $10...). But I do question your belief that it could get back to $19.00 per share anytime soon (or ever).

    If you assume that (a) share price is at least loosely tethered to NAV; (b) as an mreit, they'll continue to pay out most earnings as dividends; and (c) that they'll remain at least somewhat hedged and with relatively low leverage, it is a virtual mathematical impossibility that they'll ever again reach $19.00 per share.

    MBS at these prices (and low yields), means that there's limited upside in terms of capital gains (NAV appreciation). Unless they are willing to run a big duration gap (not their style) in anticipation of a material move in mbs, there's just no way that they move the needle that much in terms of book value. Run the numbers yourself--even if TSY10 dropped from 2.5% to 1.5% over the next three years, which wouldn't surprise me at all, the gains to book would still be of an order of magnitude less than you're projecting.

    Not a criticism of your macro thesis, with which I pretty much agree.
    Jul 23 12:25 PM | 5 Likes Like |Link to Comment
COMMENTS STATS
368 Comments
458 Likes