That was one of the dumbest articles I've ever read... and I actually want this stock to drop (I have 3 times as many puts as I do shares for $13.00). Basically, the author merely assumes that NLY's management is lying in their recent 10-Q
"Projected Percentage Change in Economic Net Interest Income" gain of 21% and "Projected Percentage Change in Portfolio Value, with Effect of Interest Rate Swaps" is a loss of only 1%. The table assumes, "..the yield curves of the rate shocks will be parallel to each other and the current yield curve."
If management is correct, which I'm betting they are hedged already in order to be correct there, SA underestimates BV by 15-20%