SNL Tallies the Toll MBS Volatility Took on Some REITs’ Book Values

Nearly all the individual real estate investment trusts investing in agency single-family mortgage-backed securities suffered quarter-to-quarter losses in book value due to market volatility, and at some companies the decline was more than 20%, according to an SNL Real Estate report.

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 REIT’s book value fell 18.91%, JAVELIN Mortgage Investment Corp.’s book value dropped 17.85%, and AG Mortgage Investment Trust’s was down by 14.78%.

Commercial mortgage REITs, in contrast, were “mostly unscathed,” according to the report.