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No. of Recommendations: 21
The 10-Q is out. I continue to like to look at Annaly's duration on assets.
Page 13.

The following table summarizes the Company’s Agency mortgage-backed securities [86% of assets] as of March 31, 2013 and December 31, 2012, according to their estimated weighted-average life classifications at fair value:
[plus data I had from prior years]

Mar-2013 Dec-2012 Dec-2011 Dec-2010 Dec-2009
% assets w/ maturity in
less than 5 years 92.0% 97.2% 95.0% 77.3% 90.4%

Still very short term, but extending out a bit from year end (as rates modestly rose I presume).

Again, contrast with AGNC (as many like to). In the last 10-K it was AGNC noted that of its "Estimated Weighted Average Life of Agency MBS Classified as Available-for-Sale", only 33.7% were less than five years, and 63.8% between 5 and 10 years.
page 44

I see this as a response to the fed induced artificial low interest rate environment, as the fair values of the shorter lived assets are less rate sensitive should interest rates rise. Many tend to be enticed by the higher yield of AGNC, but the added asset duration vs. NLY make AGNC a substantially riskier holding in my opinion, despite similar leverage ratios.

Helical Investor
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