I think some of the "crown jewel" theory comes from the decreased spread during the quarter. That could be part of the issue, but I think the spread issue is more complicated than that.
For one, they shifted to a longer term borrowings which presumably came with higher rates, narrowing the spread.
And here is the relevant paragraph from the earnings announcement I cited earlier:
"The Company's average asset yield for the fourth quarter declined 8 bps to 3.06% from 3.14% for the third quarter. The Company's average asset yield reported as of December 31, 2011 declined 11 bps to 3.07% from 3.18% as of September 30, 2011. The decline in the Company's average asset yields was attributable to lower yields on new investments coupled with the increase in projected CPRs."
So management is blaming the decrease on the new assets and projected increase in prepayments due to refi activity.
They don't mention disposing their higher rate securities to acquire the new assets (which could have been purchased using SPO funds), and I don't see evidence of that beyond what I consider normal prepayment related turnover in the numbers I've seen so far. But that doesn't mean it didn't happen.
Like you, I'm just not clear on where that idea is coming from.