Author Topic: NLY - Annaly Capital Management  (Read 9047 times)

TwoCitiesCapital

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Re: NLY - Annaly Capital Management
« Reply #30 on: March 24, 2020, 09:51:02 AM »
NYMT, MITT, and IVR announced they are no longer able to meet margin calls. It seems like we will have broad sweeping mREIT failures, once again concentrated in companies with more credit exposure employing lots of leverage.

Compared to NLY, each of these companies has more leverage in their non-agency books. MITT has over 4 turns on non-agency MBS and 3 turns on commercial credit, and IVR employs over 5 turns on non-agency MBS and commercial credit.

NLY's has leverage of 2.6 turns on non-agency MBS and 2.5 turns on commercial credit.

Might be even less now. NLY supposedly sold $100+ million of non-agency MBS this past weekend.

Not that I like forced sellers in this market, but if the concern is leverage on their non-agency book and a wipe out of equity, anything that reduces risk/leverage should get this back closer to NAV.


aglittell

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Re: NLY - Annaly Capital Management
« Reply #31 on: March 25, 2020, 10:05:43 AM »
Anyone noticing the moves today in mREITS?

ARI - + 72%
MFA - + 223%
TWO - + 58%
MITT - +53%
NLY - + 25%

Counter-parties agreeing to forbearance? Feds unlimited buying of MBS and tightening of spreads did the trick?

Kaegi2011

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Re: NLY - Annaly Capital Management
« Reply #32 on: March 25, 2020, 01:10:06 PM »
Anyone noticing the moves today in mREITS?

ARI - + 72%
MFA - + 223%
TWO - + 58%
MITT - +53%
NLY - + 25%

Counter-parties agreeing to forbearance? Feds unlimited buying of MBS and tightening of spreads did the trick?

I don't have access to MBS data - did the spreads blow out or something?  Can't imagine a market that big can be that inefficient given it's all USGov risk...

TwoCitiesCapital

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Re: NLY - Annaly Capital Management
« Reply #33 on: March 30, 2020, 01:58:23 PM »
I wish NLY and AGNC would start serious share repurchases.

Surely getting a 50-60% ROIC on buying shares at significant discounts to a growing NAV is more attractive than levering up a 3% coupon 7x? Right? And they don't even have to cancel the shares - just hold them until shares re-rate to NAV and begin offloading them to repurchase the mortgage portfolio. Shareholders happy, management happy, everyone is happy.


ValueMaven

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Re: NLY - Annaly Capital Management
« Reply #34 on: March 31, 2020, 05:38:16 AM »
What is the difference between Annaly and Blackstone mortgage trust?  Also, NLY has some interest preferreds which were KILLED 2 weeks ago - $25 par, that traded as low as $7, and recovered all the way back to $18 or so.  Those could be interesting at some point.

thepupil

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Re: NLY - Annaly Capital Management
« Reply #35 on: March 31, 2020, 05:53:10 AM »
What is the difference between Annaly and Blackstone mortgage trust?  Also, NLY has some interest preferreds which were KILLED 2 weeks ago - $25 par, that traded as low as $7, and recovered all the way back to $18 or so.  Those could be interesting at some point.

BXMT lends at an average of 65% LTV to transitional or “value-add” commercial properties; it then uses both single asset and corporate leverage for the 0-40% LTV portion (roughly) so shareholders effectively own a mezzanine tranche (40-65) on a diversified portfolio of commercial real estate that is neither super low quality nor “core”; all loans are floating rate and the type of borrower that prefers short floaters are the institutional version of “fix and flip” like BX itself.

I think BXMT is a poor risk reward, it’s down a lot but that’s because it was trading at 1.4x book beforehand. With 14% of the loan book in hotels and a lot of back leverage, I think the equity will see some hits. At 75% of book last I checked, it’s not that discounted for the embedded leverage. BXMT’s own senior securitization can be purchased for a bigger discount.

The offset is the sponsor quality. Blackstone will manage this as well as anyone, and it could consolidate all the other wounded soldiers and make better loans with less competition coming out of it.

I want to short it but BX sponsorship and the possibility of becoming an advantaged consolidator stops me.

NLY owns securities and a lot more agency MBS (some non agency too) but BCMT is pure commercial real estate (no govvy guaranteed paper)

ValueMaven

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Re: NLY - Annaly Capital Management
« Reply #36 on: March 31, 2020, 06:01:42 AM »
Whoa!!  Thank you -- what do you think about some of these NLY Prefs?  I doubt we see those mid-March prices again - just wondering ...

thepupil

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Re: NLY - Annaly Capital Management
« Reply #37 on: March 31, 2020, 09:39:34 AM »
Whoa!!  Thank you -- what do you think about some of these NLY Prefs?  I doubt we see those mid-March prices again - just wondering ...

because of liquidity and forced selling, virtual all preferred stocks saw a nice blow-out which offered some opportunities. to my detriment, I was most focused on regular REITs I already knew (day job + speed of sell-off didn't really allow for more).

I would prefer other collateral to any mREIT whether that be a BDC baby bond, an equity REIT or a bank because any mREIT is subject (to a greater degree than well-capitalized versions of the others) to the kindness of a bank (as illustrated recently).

I'd be inclined to be pretty harsh to the non-agency/credit exposure in your risk case and more confident in the agency stuff.

in all but distressed scenarios I don't like preferred stocks because they are negatively convex (rates/spreads down you get called, rates/spreads up you get creamed).

don't have more than that. things seem to generally calmed down a bit and the biggest forced seller /panic liquidation don't seem to be there. there's still some relative value. I like ARCC's bonds for example. you have to stress the hell out of their credit holdings to pierce them (read the bullish equity articles), but it's an unexciting 7% or so yield for 3-6 year maturities. but that didn't exist pre-covid. I think the risk of ARCC equity has materially changed over the past few months, but that the unsecured bonds probably hasn't to a huge degree.
« Last Edit: March 31, 2020, 10:02:14 AM by thepupil »

TwoCitiesCapital

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Re: NLY - Annaly Capital Management
« Reply #38 on: March 31, 2020, 02:15:50 PM »
From Gundlach's presentation today.

Agency MBS +2.82% YTD
Non-Agency MBS -19.4% YTD

With the differential, we can understand why NLY is struggling - even at 10x on agency, the gain wouldn't be enough to offset the loss on non-agency so book value is shrinking. But book value isn't down anywhere near 40-50%.

Can't understand why AGNC is down at all w/ 1% of portfolio in non-agency.

HJ

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Re: NLY - Annaly Capital Management
« Reply #39 on: March 31, 2020, 02:37:19 PM »
From Gundlach's presentation today.

Agency MBS +2.82% YTD
Non-Agency MBS -19.4% YTD

With the differential, we can understand why NLY is struggling - even at 10x on agency, the gain wouldn't be enough to offset the loss on non-agency so book value is shrinking. But book value isn't down anywhere near 40-50%.

Can't understand why AGNC is down at all w/ 1% of portfolio in non-agency.

I don't know if you are counting how much they are losing on the hedging side.  I don't know what duration they use to hedge, 7 year swap rate went from 1.70% to 0.60%.  On 7 year, that's 7-8% in price, multiplied by whatever leverage that book is on to the equity.