Book value is only $6.93 after removing unrealized gains. Why remove unrealized gains? Because ANH will hold the securities to maturity or Fannie will repurchase them. In either case, ANH will receive par; the unrealized gains will never be realized.
ANH expects spreads to narrow to 1.5%/1.75%; increased leverage will be required to maintain earnings.
ANH did not repurchase many shares during Q1 because they see lower prices ahead.