During the financial crisis of 2008 buying Annaly Capital Management below book value was my bread and butter trade. Every time Annaly would drop below book value I would build a position and when it popped above I would either write calls or sell the shares. I was able to pull this trade off numerous times during the crisis and the profits were a big help in getting me through the crisis.
My thesis was simple. There is no reason why a portfolio of agency bonds, which have implicit government backing, should trade below book. In the meantime I was being paid nearly 20% to wait for the shares to pop back above book. I was able to execute this trade over and over during the 08' crisis. Am I not worried about the financial crisis? If we get to the point where agency securities cannot be repo'd than every bank in the World will go down.