mREITs and Computing "Expense Ratios"

I tend to think of the mREIT sector like closed end funds: they are basically levered up bond portfolios, with in rare cases some tiny sideline businesses that may add a smidge of fees.  But basically to me they are like mortgage CEFs.

However, I find their fee structures somewhat opaque.  (Perhaps kudos to TWO for being fairly plain about their mgt fee)  So I tried to back into what their expense ratios would look like, if they were measured the same way as CEFs.  I compared my calc's to some other numbers I've seen, and they seem in line.  Unfortunately, I could not run the whole sector, as there are many new sponsors, and I don't have 12m costs for them yet.

My main takeaways from this are

• there is quite a range of fees and I doubt investors notice nor care, blinded in the pursuit of fat yields
• levered mortgage management is very expensive in general (compare to Wellington's cheap GNMA funds available for something like 10-20 bps)
• these are pretty close to what you would expect to pay in CEF land, when you exclude interest costs.
• credit sensitive mortgages are costly in terms of analysts, data, trading etc.

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Ticker	Equity	T12M Op Ex	Interest	Total	Mgt Cost	All In Cost
HTS	2,080	19	145	164	0.91%	7.87%
ANH	1,010	15	89	104	1.44%	10.28%
AGNC	6,212	91	285	375	1.46%	6.04%
CIM	3,683	58	152	210	1.58%	5.71%
NLY	15,793	253	480	734	1.60%	4.65%
IVR	1,917	35	155	190	1.83%	9.92%
CYS	1,077	24	19	43	2.22%	3.96%
TWO	1,270	31	23	54	2.46%	4.25%
RWT	893	51	99	150	5.69%	16.79%
PMT	546	48	17	65	8.76%	11.87%

After looking at all this, I realize what a good deal certain levered mortgage OEF's are.

What I find disappointing, given how much efficiencies of scale/scope are in money management, is how the larger trusts do not seem to get more efficient as they scale up.  Running an incrementally larger amount of money doesn't cost as much as the earlier pool, so I would expect that that as trusts grew larger than 2bn they would see their costs grow more slowly than AUM.