pretty good.. Results were/are somewhat misleading if used as an indicator for the future.
"Subsequent to June 30, 2014, we sold approximately $500 million of three-year and $650 million of five-year U.S. Treasuries, and replaced them with approximately $1.4 billion of higher yielding Agency RMBS mostly backed by 30 year mortgages. "
Will have to listen to the call to get a better idea of whats what. Also of note is that the above is somewhat of a switcheroo from what was said in the prior quarter .If 30yr was pricey then.. it''s pricier now.. Stuff I paid 96c/$ on 3/25 is trading at 103. That's 6.73% pricier.. It really depends on the prepayment speeds. The example above is reaaaaallly long duration/slow . so obviously that cuts both ways.
USA is no picnic either.. I thought the first 4 years were mediocre,,, now 'his' final 4 are downright negligent.. it's either criminal/malevolent or stupid..
The volume is atrocious. .. someone go shoot something or invade Canada. Right now, avg deviation from average daily volume is -70%. median is -72%.. hell.. look at MFA.. OAKS. anything. CYS is the only one set to have above avg volume. deviation is now at -38%.. That is only because of ER on monday.
did you ever pick up OXLCN? Keep an eye on it if the market gets any more 'stress'.
Also to note that WHLRP is a CV bond; it is convertible into common at a price of 5$. I don't think WHLR has options listed.. so you really can't CV arb it up.. tho that would be a boatload of fun.
well.. non-agency, especially legacy, sure as #$%$ aren't treasuries..I had a good old time today.
so? only #$%$ doctors have no patience.
OT: I did it again with the PMT buy-write.. Oct 20 strike for 1.90 and purchase at 21.66... ooorah! God I'm bored
WHLRP has a 25 asking price. I was able to pick up 720 at 24.96.. This has a 9% coupon and for the sake of clarity.. distributions declared a year out.
I don't hate WMC.
reik..CYS gets sold by mindless/passive holders on these types of downturns.. It's SOP.. CYS doesn't appear to be in the category of "safety play" ... AGNC is tho. funny stuff. game it.
Yeah, I've seen a few examples of shenanigans.. and it seems that they are getting more glaring/daring lately. Hell, Nanex is even taking a break from exposing it.. Check out nanex if you haven't already.. there is a period symbol net at the end of it. I am only wording the address strangely so as to not get MMayer'd by this wonderful message board.
Easily summed up by:
If you're bidding.. you're a put.. If you're asking.. you're a call. Perhaps that is why volume is drying up.. because no one wants to participate in this garbage anymore.. Only way to make any money is to play on their persistent modus operandi to play you. Order execution will always be #$%$ery tho.. it's like running a race with a ball and chain.
it's not just CYS.. it's others.. You know what has been funny lately? PMT.. a very large % of the volume occurs at the open and close.. Like 80%..
yesterday I bought at 21.50 and sold the Oct 20 strike for 1.77..
today I bought at 21.74 and sold the Oct 20 strike for 1.92.
yest (the 15th) was insane with regards to just how quickly the price shot up in the last 8 minutes of the day... and the volume was convincing. Lately all of these buggers have been auto-closing at (or very near) their VWAP..
Here are the VWAPs for a couple of mREITs. compare them to closing price.
AGNC - 23.069
AI - 26.861*
AMTG - 16.65
CYS - 8.8
EARN - 16.57
IVR - 17.201
MFA - 8.31 **
MITT - 18.887
MTGE - 19.64
NLY - 11.218
NYMT - 7.668
OAKS - 11.288
ORC - 13.55 ***
PMT - 21.85
RSO - 5.577
TWO - 10.469
WMC - 13.876
*Largest deviation is AI.
** MFA has the best post-ex performance of the qtrly payers. Prior to ex-div, it was 8.32!
*** ORC has had above avg volume for a couple weeks; short int was ~6.34% as of 6/30 settlement
MTGE has .15% post-ex performance compared to AGNC which has -.13%. Their post-ex closing prices were 20.26 and 23.76... See? it's not all that bad.
The comparo that puzzles me is MITT vs MTGE; in terms of price-indicated yield. Do people think that MITT is going to raise or something?
MSRs are a big deal, but not in the way that you think; they may have overpaid - I cannot say for sure because I just don't know MSRs too well. The good news is that prepayments have picked up a bit. I think HLSS reports on Friday.. should give some insight into the m2m change of the MSR portfolio.
Another part of the divergence in share price is due to the non-agency portfolio.. or just the perception of it.. Perhaps people think that because HPA has largely come to a halt.. that legacy non-agency health may take a hit..
Largely I think it has to do with the price/perf discrepancy between AGNC and MTGE over the span of 1 yr.. It may put unnatural selling pressure on MTGE due to people selling and taking their cap gains on the position.
Lastly, the lack of volume lately presents a very distorted picture of the way things are really valued by the market. Past couple days it has been REALLY bad.. For example, CYS trading under 1mil shares for the better part of the day.. Nearly one third of the volume comes in the last 5 minutes.. It's like watching paint dry on a couple of ants #$%$.
When you don't bog things down with thoughtless hedges.. ORC est book value 13.05 - BV up, all the while paying a very high distribution along with two (slightly) below NAV offerings. Atter boys..
The blindsided scenario is a sharp/fast rise in libor associated with inflation. Similar to what happened with SHIBOR about 9 months ago... It would take some serious serious #$%$ hitting the rotating blades for that to happen.. The way it would impact them (and others) the worst is via minsky moment caused by others... with even the most 'prudent' REITs getting margin calls due to heavy selling from levered players.. That would be nasty. chain goes like this... increased funding costs/flt rates lead to a reevaluation of fixed rate portfolio or (most likely) increased funding costs.. so some sell.. and then others do so.. and what starts off as a trickle, breaks the levy..
I think I over-described that meme enough, no? Hyperinflation-based rate spikes isn't fun for anyone. Well.. the govt will still tax you on inflated share price gains.. even if bacon costs a c-note.
Have you ever seen Leonard T speak? He doesn't exactly vibe malevolence . CEFs don't really care too much.. GDO has a buyback in place.. Nuveen also makes various adjustments to their distributions.. but rarely ever do they announce a buyback (NTC is one that has a buyback). Most of these funds are such a small slice of the pie.. that it really wouldn't be feasible to be a shady #$%$. Discount to NAV is not something they lose sleep over, as fees are calc'd on NAV.