According to the report by Rodger Nayak and Dhaval Patel, Hatteras Financial group suffered the largest quarter-over-quarter decline in book value at 21.3%. The report attributes this to as much as a 3.5% decline in the value of hybrid adjustable-rate mortgages in its portfolio.
Other REITs that saw steep book value declines included CYS Investments, which experienced a 20.78% drop. ARMOUR Residential REITís book value fell 18.91%, JAVELIN Mortgage Investment Corp.ís book value dropped 17.85%, and AG Mortgage Investment Trustís was down by 14.78%.
Commercial mortgage REITs, in contrast, were ďmostly unscathed,Ē according to the report.