Annaly Capital cut to Market Perform at JMP as rate volatility seen hurting BVPS

JMP analyst Steven DeLaney downgrades Annaly Capital Management (NLY -0.5%) stock to Market Perform from Market Outperform ahead of the mortgage REIT's Q4 earnings report later this week. The reduced expectations stem from interest rate volatility and the Federal Reserve reducing its purchases of mortgage-backed securities. JMP now expects agency mREITs' book value per share to decline an average of 11.5% and hybrid mREITs' BVPS to slide 5.4% since Sept. 30, vs. its previous view that agency mREITs' BVPS would fall an average of 4.7% and hybrid mREITs' BVPS would decrease an average of 3.9%. For Annaly (NYSE:NLY), the model now sees its BVPS falling 9.9% from Sept. 30. "We attribute the vast majority of these book value declines to MBS spread widening and increased interest rate volatility, and we believe further spread widening of 15-20 bps is possible this year as the Fed continues to reduce MBS purchases and