jrxs4all schreef op 24 juli 2014 09:33:
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Ik zie niet in wat de SEC hier mee te maken heeft, maar "begrijpen" is inderdaad de kern van de kwestie.
Afhankelijk van marktcondities kan een mREIT de MBS financieren met een repo of met een dollar roll. In het eerste geval wordt de rente geboekt als rente en in het tweede geval als boekwinst. Economisch gezien is het 100% identiek. Daarom moet je voor de analyse van de duurzaamheid van mREIT dividend kijken naar net spread + drop income.
Of in de woorden van HTS in de 10-K:
"We may utilize TBA dollar roll transactions as a means of investing in and financing agency securities. TBA contracts enable us to purchase or sell, for future delivery, agency securities with certain principal and interest terms and certain types of collateral, but the particular agency securities to be delivered are not identified until shortly before the TBA contract settlement date.
Prior to settlement of the TBA contract we may choose to move the settlement of the securities out to a later date by entering into an offsetting position (referred to as a “pair off”), net settling the paired off positions for cash, and simultaneously purchasing a similar TBA contract for a later settlement date, collectively referred to as a “dollar roll.”
The agency securities purchased for a forward settlement date under the TBA contract are typically priced at a discount to agency securities for settlement in the current month. This difference (or discount) is referred to as the “price drop.” The price drop is the economic equivalent of net interest carry income on the underlying agency securities over the roll period (interest income less implied financing cost) and is commonly referred to as “dollar roll income.”"
Zo duidelijk ?