Apparently the recent downgrades are looking beyond the Barclays loan discount profit potential to when they have to match current results with just new loans with no discount.
I happen to think that they considered this situation when they turned down the STWD deal. I think that was one reason they got European knowledgeable people on board. They also can possible leaverage their present capital like NLY does and they used to do and even go back to agency loans.
It is true that interest rates are very, very low (but only for those with top credit rating)--many others will be required to pay much, much more and that is where CXS will shine as they have proven expertise.
I think their target yield is in the same area as NLY.