Agency mortgage REITs are having a tough time right now with wild fluctuations in interest rates making it nearly impossible to properly hedge. Most of the agency mREITs are losing book value in this environment as high CPR (constant prepayment rate) is forcing early liquidation of their mortgages at par which had been trading well above par due to the declines in interest rates. The constant threats of an inverted yield curve are pressuring net interest margin by reducing the spread between their short term repo borrowing and their longer duration assets.
Generally, I have