The number I should have watched from day one on my first mREIT

Where do you actually find book value per share? I looked at two of these on a brokerage page and got the yield, the payout, and nothing that looked like a balance sheet. Is it in the quarterly release or do you have to go into the 10-Q?

@sable the bit I want to poke at is the $0.17 holding flat for four quarters. That is the whole return. On my side of the business when I borrow short to build something and my sale price is fixed, a jump in my borrowing cost eats me alive, and it looks to me like these companies are doing exactly that at scale. They borrow short in repo and hold long mortgage bonds. So what happens to your $0.17 if their funding cost goes up 75 basis points and the bonds they hold are already locked in? Genuine question, I don't know if they hedge that out or just eat it.

Nice result but the dividend held flat by luck as much as anything. It's a distribution, not a coupon. Nobody owes it to you.

I've been circling these for about a year and never pulled the trigger, so this is useful. Two things I want to ask before I do anything.

First, tax. My understanding is a lot of mortgage REIT distributions come through as ordinary income rather than qualified dividends, and sometimes part of it is classed as return of capital which lowers your basis instead of being taxed that year. The 1099-DIV splits it out. I'd want a CPA to tell me what that means for my own return before I put anything sizeable in a taxable account.

Second, did you buy in one go or average in? $5,000 at one price on one day is a clean experiment but it means your whole result is a function of the day you clicked.

The number you didn't mention is leverage. Agency names commonly run somewhere in the mid to high single digits of debt to equity, and that ratio is what turns a small move in bond prices into a large move in your book value per share. It's disclosed in the quarterly supplemental, usually right near the top.

Also worth knowing what the hedge book looks like. Management can and does change it between quarters. Two agency REITs holding almost identical bonds can post very different book value moves in the same quarter purely because one had more of the position hedged. So when you say book value only slipped 15 cents, some of that is the manager's positioning, not the market being calm.

What was your split between agency and anything else? If it was pure agency you were taking rate and prepayment risk with government credit behind the paper, which is a genuinely different animal from a commercial mortgage REIT holding bridge loans.

Sorry, basic one. What does agency mean here? I've read the word four times in this thread and I've been assuming it means a real estate agency, which I'm now fairly sure is wrong.

@rigging agency means the mortgage bonds are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae, so if the homeowner defaults the investor still gets paid principal and interest. You're taking rate risk and prepayment risk, and the credit risk is largely off the table. Non-agency means no such guarantee and you own the borrower's credit.

@sable 15 months is not a cycle. You held through a period where your funding cost and your asset yield happened to move in a way that left the spread intact. Run the same position with the spread compressed 40 basis points and 8 turns of leverage against it and the dividend does not stay at $0.17. That's the scenario I'd want you to write down and sit with, because it is the ordinary case for these, not the tail.

The other thing I'd want from you is the comparison. Up 7 percent over 15 months is a number that means nothing on its own. What did a plain aggregate bond fund do over the same 15 months, and what did an equity REIT index do? If the answer is that you took mortgage REIT risk and got bond fund returns, the trade worked and the reasoning didn't.