Ferderal Reserve will make $100 billion to repo market starting Monday March 10. It will be structured to accept only Agency Mortgage-Backed Securities (MBS) as collateral. This is stuff owned by NLY. It will not accept non-agency paper. This action should reduce yield spread between MBS and Treasuries. This will directly boost NLY two ways: (1) adds immediate liquidity that specifically targets agency MBS securities and (2) will boost value of MBS securities which reduces collateral that NLY needs to post.
This action will most likely be followed by a 50bp rate cut at FOMC meeting on March 18. Thus Shorts will run to cover between March 10 and March 18.