As short term rates go up, and long-term rates go up as well, the bankruptcy scenario begins to unfold, and that is just starting to get priced in. NLY's interest income is locked in at present levels, but interest expense starts to ramp up dramatically. They can't sell the assets to generate gain because they get repriced downward at the same time. There's really nothing NLY management can do to stop the losses, but they can squeeze a year or two of mega-bonuses out this wreck.
True, the company could sell its assets now for cash, pay off liabilities, then distribute remainder to shareholders, but that is fool's thinking. Management and BOD always do what's necessary to keep the business running, even if it means working the balance sheet down to nothing and declaring Chapter 11. They keep their jobs regardless, and only get more bonuses for exiting Chptr 11 successfully.
Millennials can't buy houses, Millennials can't get jobs. Millennials are swamped with student debt. In this case the easy answer is also the fair answer. Repudiate all debt generated by the boomers. Let the economy crash, let asset values crash. Let boomers lose their jobs. When you hit bottom, it will be time for millennials to rise.