>Where do I get that from?<

From NLY’s 10Q, page 40

The base interest rate scenario assumes interest rates at September 30, 2009 and various estimates regarding prepayment and all activities are made at each level of rate shock. Actual results could differ significantly from these estimates.

(1) Change in Interest Rate

(2) Projected Percentage Change in Net Interest Income

(3) Projected Percentage Change in Portfolio Value, with Effect of Interest Rate Swaps

(1) (2) (3)
-75 Basis Points 2.37% 0.76%
-50 Basis Points 1.56% 0.54%
-25 Basis Points 0.77% 0.29%
Base Interest Rate - -
+25 Basis Points (1.32%) (0.35%)
+50 Basis Points (2.91%) (0.79%)
+75 Basis Points (4.50%) (1.28%)


I also considered NLY’s BV increases of $0.92 during the 2Q and by $0.93 during the 1Q.

3Q09 $16.52
2Q09 $15.60
1Q09 $14.67
4Q08 $12.94
3Q08 $12.70
2Q08 $13.03
1Q08 $12.95

After concluding I didn’t know how to calculate BV I used the same amount as last quarter – $0.92. Believing this is a reasonable assumption considering both CIM and the Fed that sighted the shortage of paper available. Hence I'm assuming an increase in portfolio value in excess of the table on page 40 of the 10Q.

MF has stated in the past the team manages the portfolio to reasonable returns – historically 16% annual average return I believe. The past seven quarters have been close to this average.

3Q09 0.75 18.27%
2Q09 0.66 17.20%
1Q09 0.56 15.96%
4Q08 0.47 14.52%
3Q08 0.61 18.55%
2Q08 0.60 17.88%
1Q08 0.51 16.01%

So all in all I’m going to expect a 4Q results very similar to the past two quarters.

Best regards,