The last 10Q reported the risk to NLY porfolio based on the rate of change in interest rate, this 10Q only referenced a high rate of .75 basis ponts. Given this increase of .75 basis points the estimated change in economic net interest income is estimated to be 20.79%, the affect on the porfolio value with effect of interest rate swaps is a negative 1.06%. IMO given these estimates provided by NLY 10Q, dated March 31, 2013, the market is grossly over reacting to the affect the Fed will have on NLY.
I agree with you. The board geniuses who like to point out typos and ignore the real message are missing the fact that the company's own internal estimates are reflecting an excellent BENEFIT to interest income and a much LOWER book value hit than the market seems to be projecting. Even assuming they are off by 100% on their portfolio impairment estimate that would be 2.12% or roughly $2.7 Billion book value impairment (if you assume the impairment applies to the ENTIRE portfolio, which it won't). But trading at a 33% discount to book the market is projecting a book value loss of $5 Billion - more than DOUBLE the company's own estimate even if they are OFF by 100%. I would say a Doubly Gross over-reaction squared ?