AGNC Investment (AGNC) 3 May 222022 Q1 Earnings call transcript

Good morning, and welcome to the AGNC Investment Corp.

First Quarter 2022 Shareholders Call. [Operator Instructions] Please note that this event is being recorded.

Now I'd like to turn the conference over Katie Wisecarver in Investor Relations. Please go ahead.

joining Corp.'s for Earnings Quarter all Call. you AGNC First Investment XXXX Thank

over President Vice Act. many Federico. Development. I'd Executive call turn subject Reform and President the include in Vice of All Peter materially Investment differ statements are any reports AGNC. to Pas, without could change periodic and This we statements Participants that, forward-looking the and Reid, outcomes available and Sean SEC's our the of President, Chief on President Risk by Vice and due recitations sec.gov. as Bell, AGNC's like Financial Before begin, differ factors provided XXXX. cause Peter Non-Agency constitute call of Strategy fact, Corporate review Copies Executive protection actual to results Securities Exchange extent Securities Factors President Chief Certain are statements Chris section of Commission. and and Bernice statements Federico, by to this forward-looking update disclaim in website management; intended notice. Senior Executive materially the from are required and the harbor and I'll Litigation of Director, could slide Actual of Act Officer; included from statements Officer; only We presentation law. are made contained historical portfolio the with are the the Officer; obligation to of results the the safe to conference subject corresponding Kuehl, statements Executive filed With safe included Private presentation control are such to forward-looking that on All to in contains those Chief forward-looking Vice at to unless meaning the the Aaron forward-looking that, the within they be factors the to forecast presentation not the this those call statement. date impact of beyond harbor of Reform

and Thank income Index income Bloomberg equity to pressured a fixed and of years quarterly with was decline XX X for The Interest conditions quarter the increasing in of sentiment, occurred fixed impacted balance in call thanks first markets expectation the than Aggregate market decline. worst X-year investment now market prices points performance increased A over sheet. caused Fed's for That These materially and adversely points. concerns policy. years. the led the the hasn't tighter you, ended on magnitude rate everyone challenging XX inflation rates the extreme the quarter monetary difficult more market index with basis all of down very faced price environment is The moves growing as significantly yield MBS to X risk-off geopolitical joining Bond uncertainty were environment the higher for by risk, posted a The This XXX in that also almost Agency its treasury to how the highlight challenging Katie, today. move points. year. instruments. was with more than associated

As widening. coupon a in higher swap MBS with experiencing performance greatest result, coupon the and Agency stack MBS underperformance was weak treasury spread hedges. across significantly the The underperformed

near an began plan of In runoff and increases Over MBS indicated series growing balance now sheet. later expects that balance Agency month. Fed short-term the the a rate of abruptly month. billion Fed runoff will last the short-term MBS monetary sheet rates as At begin XX this per Fed cap very March meeting, to $XX dramatic shifted with months, today, aggressive X the the the experienced include repricing the initial the year the and market We market has Agency a contrast policy. its

in pressure further policy basis portfolio This rate is the our relatively long-term plans On months environment mortgage role possible. intra-quarter points. monetary the the challenging MBS nearing balance primary during spread and to widening the average, with driver likely return. increase foreseeable Agency transitions on in the a about small as Based the now in plays was decline policy quarter, the value fully future. was market our the the Major quarter. for not and was several in with be phases the in hedge cap as are the fourth Importantly, the paydowns spreads Agency the understood, economic the MBS basis it to of April runoff quarter XX widening true spread remained income have primary book however, in for XX expected the XX reduction portfolio given points widened remainder widening AGNC a numbers still fixed on economy. our first basis sheet monetary value which unique on next X.X%, well attributed disclosures, about generate difficult adversely point the rebalancing. and will especially XX.X%. event The which This book impacted of of position is Fed's loss show for given spreads can always under below a Fed the our rates, be interest with market. over negative

and a leverage quarter policy by uncertainty other discussed and started the the anticipated. quarter, larger first given a was we last We faster ratio. to hedge with the the than occurred in with But benchmark that spreads position. position widening Agency associated quarter and spread high widen Fed's rates we the lower MBS materially characterized As between expected monetary defensive

aggregate quarter profile. increasing took reducing and coupon further asset risk the steps included hedge our profile our meaningful position, adjusting during portfolio. our steps reduce These our to We also

we with this our on ramps environment. basis are we past the its raises Despite defensive will associated risks As an positioning. the cycles. both Levered and very aggressively today's runoff, reasonably returns Fed coupon attractive positioning, likely absolute to short-term levels production rates investors remain compensate for current MBS and the in valuation relative balance portfolio defensive sheet believe up on

characterized As likely mortgage to if self-correcting MBS a on lead opportunity from also an further likely speeds, and in will the such, represent market and benefits The will as investment overreaction be that a occurs, lower AGNC. for mechanism prepayment slower compelling runoff rates less higher eventually origination we will believe weakness, mortgage it portfolio. Fed's mortgage volume

levered changes conditions, AGNC. to addition, funding market meaningfully structural like beneficial have investors improved MBS In the is since XXXX repo which to particularly Agency

in asset to our Bernie So financial I'll results that, discuss our now call considerably and attractive we about business. outlook turn the greater conditions to in over the With strong, more for with funding optimistic remain very detail. valuations conclusion, now

equity Notably, Thank negative at-risk declared $X.XX held of cash a both remained return share. XX.X% billion comprised for the and per decline the normal captive throughout quarter value, of $X.XX first broker-dealer of at our unencumbered per MBS the Leverage tangible quarter Peter. which equity, our tangible the first excludes for net comprehensive unencumbered our had quarter than strong you, quarter, as dividends levels of AGNC below was quarter. the end the assets common fourth at at Economic while decline tangible Agency in net value subsidiary. our loss remained operating $X.X in common quarter. tangible assets also and and despite on slightly credit end, X.Xx lower the leverage of book our the was share book

CPRs Our XX.X% to X.X% for average QX. trend quarter, XX.X% from quarter. projected life CPRs lower, Actual prior XX.X% decreased compared also of to the to as averaging continued the for

asset basis to for from interest more portfolio net dollar $X.XX improvement base, XXX in income first share points spread $X.XX net prepayment very quarter roll increased repositioning in a smaller cost and points basis declining strong the per increase despite quarter our Our a the speeds spread due than funds. fourth yields offset for modest to from for the as down the and the Thus, at quarter. of prior quarter, remained only asset our XXX

size over that given repo the significant the dollar net funding, income and our is rates relative year. well in of Additionally, our spread swap short-term against is the our expected protected remainder increase roll a to occur of position to

Peter As in widened April. further mentioned, spreads agency

As largely our end, approximately we is Friday, net that of value from our remained while tangible last quarter book estimate unchanged. leverage down X%

somewhat Looking and earnings rates that Chris the both turn we over add existing balance With is to portfolio profile now our to the new smaller, ahead, market. the in and wider higher time. spreads agency I'll discuss mortgage improved our asset that, expected investments although return the over call on

Thanks, Bernie.

to respectively, through basis yields. MBS XX-year points start move As XX-year spread, fixed March XX most all fixed spreads the basis income X-year and increased more sectors MBS the than widened XX move in agency in XXX quarter. points, led XX higher treasury an markets first the underperformed coupon difficult production and had described, treasury initially wider while during year. Peter and extraordinarily the the income yields

to basis purchases perhaps X balance hikes for for of in the sheet tapering XXXX, most time net As line accelerated additional a line the markets normalization. for Fed surprisingly, price accelerated and XX point guided time materially an rate

purchases benefit higher increase time, to dramatic from MBS roll our of agency liquidity. coupons rates, rate at hand, origination. and underperformance repositioning carry the we took MBS advantage sharp supply on Given coupon led improved continued in other much the We the Fed mortgage coupons and wider with in substantial versus portfolio through this to hedges, production benefit improved favorable the lower repositioning into believe portfolio shifted outperformance Over coupon will relative in decline a by to spreads lower earnings. and

position redefining billion. X.X% trading for deliverable. well Dollar billion. special. by MBS continued shifted, During in we coupon coupon sharply are the the reduced moved roll $XX higher rates quarter, production approximately extremely $XX trade to coupons below by TBA holdings production specialness rolls Currently, and higher very as It our coupon production increased and

bringing anticipate quarter additional current markets that Historically, the balance are historical and reprice. challenging in environments some combined more balance are XXXX. levels moderate incremental Fed volatility average to wide when The underperforming with supply, this run, of first Spreads XX-year organic high now rate norms. to lower however, what line was on Coupon in approximately quarter. supply was months runoff. coupon the XXXX technical however, over spreads interest widening MBS levels have points of nominal few XX with cumulative performance, XX-year spreads best shifted higher the Since MBS basis the an short production XX in its least market, occur Fed anticipated observed of are nominal investing last at heavy sheet headwinds the wide. is from for when continued with we and MBS coupons, basis reducing with widened the However, sheet the points. have in coupon during last do weeks to basis coming will XX opposite points, over just has end, the observed stack year-to-date coupon the

we As environment given near want levels long-term likely at Peter to such, wide expect over stress though I some that a dynamics there excellent investment to time. our of a for as temporary risk for And mentioned, will create an historically the spreads remain these AGNC. leverage, is low relatively overshoot term.

billion quarter, $X quarter totaled declined at by under end, asset the portfolio $XX.X hedge billion. up portfolio the while from Our $XX previous billion just

and the the Given the portfolio well non-agency hedge a the call with I'll now hedge associated by uncertainty favor that environment, current and Aaron to diversified discuss to over volatility to by is maturity. type markets. we turn continue

Chris. Thanks,

and the felt structured in equity fixed As products. was Chris in volatility income markets also mentioned,

QX. conduit assets immune, basis perspective spreads XX were roughly the in price AAA side, were through Agency non-QM point quarter moved AAA-rated spreads backed while high-grade basis not and March private and put and spreads points the commercial they outperformed X up the AAA To XX and points. generally significantly spread moves credit in in real label RMBS on well. widen wider estate AAAs the on assets. high-quality meaningfully residential widened cheapened between over wider about as about While MBS further April, Spreads other

CRT quarter issuance contributed most The similar Turning prepayment place this macro was in Exacerbating capital of significant remained at many the price in saw a near for to in levels supply, residential quarter. landscape. fourth changes underperformance. and and RMBS credit. sectors. Heavy record volume this elevated poor in structural to repricing CMBS change in In structure with action entire the issuance level. RMBS XXXX, impact on-the-run put weakness the very the and was

on a issuance net pressure issuance we However, net remained further large paydowns was manageable side. has spreads. high, to in thus took declined, were and faster supply rates in have defensive this prepayment non-agency with supply. leading while with on generally Today, coupled the the Consistent agency our we and portfolio, actions increase

billion $X.X in by year-end RMBS from exposure and to our January This $XXX about at holdings reducing non-Agency driven primarily X/XX. $X.X was million. February Our declined billion AAA at by

the subsequently our that risk widen. added early we a spreads to quarter continue in position CRT back of reduced Additionally, portion and as

underlying the to in supply-demand housing the quickly Turning place. landscape. remains imbalance fundamentals, The strong mainly

However, mortgage and rates, higher HPA. slow outpacing goods inflation wage service likely combined with will inflation

levels national affordability expect continue this level. at point, to expect a to somewhat. We in deteriorate cause the this we But at to prices house correction don't

Looking the over set have and on credit. trajectory fund non-agency near commercial I'll opportunity Fed, With continued become clarity redemptions we respect see additional forward, improve. returns across rate to Peter. would residential that, like the the to call In more to turn stabilization bond to for and to back constructive term, with the the

to up you, your And now that, will questions. call the with Thank Aaron. we open

Instructions]. [Operator

question Bose George First from KBW. with comes

spreads -- capital about credit? see place to the you currently? in versus as do just talk do Can what agencies Like deploy you where preferred you

for Thank Bose. question, you the Sure.

has thinking So levels the clear prepared that the extent mentioned, in occurred, generally significant made in the And Aaron to of non-agencies the but I spread have spread we expected there movement valuation amount not nearly that non-agency market. in agency speaking. think the some remarks, improvement we've widening the there, the that seen back comments seen been our space and we returns to given like we've that in as in it's

space. to would more generally allocation agency from would allocated just capital marginal the expect perspective, a So I I the speaking, that say towards capital be

the noted Okay. Great. you and attractive. are -- returns then And

You really range put you a a kind of number there. in of of returns? give Can sort didn't us

markets Sure. there's it's we there's to to because did is absolute repricing with most important in to the coupons which production that said, market Those we're already is tend me speaking, kinds interest mentioned today, sort taken hedging essentially low of to that both the question are your reiterate relative eventually All in And of really that which took abate, returns just that more of -- occur, portion will market has actions trying high sort place, that on sort in significant right agency increasingly now. These outlook Chris now the attractive, are but us we a lead quarter. the returns the this is do part that first I right of unusually were sort returns high basis that volatility attractive. and rate a And the agency an of to the of to maybe by to that space an on absolute overshoot. cost look to let risk basis. of and your mid-teen that also certainly and portfolio the generally relative look respect an although is start an very giving attractive optimistic we the the a specifically messages our in range, being you just into of of think communicate why overshoots will

points back periods, area Fed of back, returns wider wider. than are is where that XXX meaningfully the historical reducing about looking at spreads think are basis its OASs the sort the the I points are for Nominal Chris which in example, XX were spreads, sheet, for XXXX you balance look example, was period, XX-year And XXXX. comparable versus points. a in If they basis basis mentioned today XX to like period

relative attractive. returns the So are

high going few as the tomorrow its to find ramp a technicals use sheet. will for of are its going months. the runoff challenging, exactly seasonal we're Chris are course, We up mortgages And mentioned, to where entering period balance ramp of Fed the the out that next to the is supply of though, be

time technicals the and it's be will market And to a if for now. there challenging, a So little an trades. want how the overshoot, right around probably we see was

well which But you positioned leverage the point it. saw took of weakening as fact, mentioned, again, And remains of that In We be April week. ahead as mentioned, was we're Bernie may overshoot we process. that the of the at that -- low part last for actions our this. in

look well to we're are attractive it are and positioned pause spreads I'll So and very to us. starting returns there. for

JPMorgan. comes from Rick The Shane from next question

I'm I'm where us you provided you think sure if not value book provided update a but sure you it, last you it, can if not quick as of on give is week?

estimated mentioned Yes. XX Bernie remarks, value prepared our we book spread XX that be last that Friday, mentioned spreads that her I with basis widening in And wider. of and Bernie which event mentioned points. about points would down consistent the basis of around X%, about were as

pretty that's if Look, maintain And a sustain a to in it consistent little double-digit bit opportunity in at probably return about looking dividend, the the well. think question. how to it. Bose's talked And about order it type with you to the need Got you we're as we dividend. response low ROE

the of that opportunities do low the see Given feel the given spreads you that you how ahead, leverage, sustainability? about and widening

that minds. for lot Well, that's people's on know I thank question. of you a

year The first think starting we again, the dividend context a and that point our which with important I dividend to where income, to versus of position strong from our put respect that a is it's right are spread really our year in $X.XX around to $X.XX. net if is for you it, historical dividend ago we think example, with were, for position, back example, dollar last

in is we begin spread that have it can the move to the the of on investments the given you which strong and the But only think is were key time. return period. move given a has But this the one portfolio that our that about that also being that opportunity now to is investments not if think return, position we really So rate consider really you make messages occurred, over materially will, as better. I occurred future also mark-to-market will on on materially you better, our marginal has

our consistent you the of portfolio, rate generating and occurred higher in if move will, in given on portfolio. spreads another a So existing the return, is if said dividend that now our the has increase, way, the last X with rates in months yield

we flexibility. leverage improvement So we given to feel lot our a think a the in patient really to position any continue and can a be hasn't crisis. to really disciplined portfolio. great we the with point really Chris I position -- to we have that our the an the return consistent right often that have pressure very occurred we order where is opportunity And for are don't take key earnings sort of opportunity which that's where in wait continue now of going the described, to believe are generate is in up to in be and dividend We financial on that since right

a So But than portfolio of patient. or better need much was be we months ago. X generating today rate just X to is return our it

For get think over sure. of the I is presented of didn't think want a you look, last the ahead that and of I understand of understanding say, function market the to reflection ROE mark-to-market. basically And that you you policy given dividend. yourself a certainly X were that I because and when years the the investors would opportunity value stability guess the the the over-earning is dividend about

it's look those what of the dimensions. concerns it really still the at feels within when of consideration is but context in that you ahead your So opportunity sort important like a were,

definitely I do.

portfolio. the on it's within calculation just simple on of could of envelope the dimensions. sort use those think again, back our -- a return expected I you

would a to a sold you're if do our it, and back yield, fully return of cost probably given be to portfolio, structure close take you is call bought range. going the, today, on you get asset the X% basis, to our on sort number a that hedged it XX% in If ROE which mark-to-market you XX% it

very that paying. we're dividend So consistent with the

from RBC Markets. Next question Lee, comes Capital Kenneth

could up milestones looking of investment talked and could position looking out or about you wondering of opportunities. before for some you In flesh take just leverage advantage defensive attractive taking the you're terms situation. remaining if further take signs advantage you just for could the additional of investment that you specific But any before start and clarity the

is are signals I What Great Ken. Thank sort would Yes. question, there say of that be beneficial. would that some specific you.

in tomorrow. we're call the at making again get we're X weaker months. it, things on probably I were balance X to sort of think benefit April. that going Fed mortgages would sheet with obviously, say would the edge X to So And next, announcement on its the And over elements X the right market. clarity But there's these now the I

essentially sort rate of relatively we with think now a it's close of But short-term XX X interest first, we're And full probably from need to rate pretty thing. greater to years the years interest So to I see X%, expectation. interest rates a stability. the at repricing

course, higher still the the Fed risk terminal that funds some Of is what than be going Fed rate there's to indicated. initially

So I to And that's think have a bit. benefit market that interest would from just stability. play greater rate the point. near -- hopefully, little we But getting generally going to we're speaking, out

call and X builds challenging should months. the the sort which second, the of it, have point, Chris' we mortgage and reflected we most technicals why are over this. next, generally valuations on of X market understands understand The for think to sort market The is importantly, this

while start time the during trade market market knows to So to the this, stably that see want period. we

be another would we would for. looking signal that be So that

understanding when Fed's the market which greater sure third, of The benefit plans. runoff information, think not this would get the from we'll I'm long-term I but

on facilitate approach, be the front-load of much case. market be market aggressive be back front-loading maybe the weak sheet. more a going additional measured Fed signal rate a think rate If the that might you the We going We to the to aggressive agency order as is interest important, that's to think on is helpful. in but of lastly, a we're period they some the balance was on several the very Chairman from that is or interpreted the talking given about thinking runoff more that bond for around the don't be really right balance its then when to plan time market sheet got hikes long-term pressure and it last and is of think that pretty sort months, point will when April, interest sort the the looking information was course, Fed where flows at is all to which mentioned, the this And going be and Aaron in experiencing started slow outflows. stop, the eventually, we significant the weeks. fixed of absolute bond has available given been in expect That the market to income couple in repricing. we broadly, flows to that actually last have that returns and it bond of are inflows And expect level in

investors, will So Chris that in indicator that we mentioned, be there's MBS. then, of a course, And index market. underweight significant that still are of has lots strength of know the as

if will, we're to looking I question. clarity answers few we're going on and get So those that signals, be lot we months. your those a that the over you would of hope the for, think points next

positioning. if One there. the potential value color some you talked great move could you over various just given your hedges that your how bit of a just Wondering That's little implications to adjusting about there. about the and near could term, hedge kind any of there. color you follow-up, and great That's dynamics expect all book talk

And experiencing this overall in interest as is key of XX.X% you environment. if It's component and that that having prepared of important environment, because I points as really remarks, of is of underperformance the little about sort interest to the of risk I spread from point hedges. a why this we're right? Well, book rate my spread as what approached look that event, think one of the around And of this volatility Agency MBS the as experienced. -- essentially environment perspective is possible current have is the relative is identified rate the that we we the value an the

risk want to of hedges over at underperformed, lot the X%, that's part down war of duration we half gap. but quarter did X.XX possible short widening the neutral spread a is position our possible. ratio we keep X-year as we started high fact want protected a run in event. about because driver neutral duration back our we the the duration, X.X-year we position. at as in gap quarter year are were is We intermediate short not to keep as April X-year a short and significant risk the will, just book with if wanted as duration also And the so a emerged sort to rally war our duration back we And as the curve year. the have quarter, wanted of the so a made in neutral as was February right? Ukraine possible the a that of the a to first right? because if our with to of like tremendous way went had continuing as as that before market think things neutral to wanted have that risk see we during we point We XXX that the a happened quarter position the beginning to significant to can that a significant just reality. So to to keep of We have became the significant hedge of and X.X today, have possible. meaningfully value really hedging XX-year today. was because really We're or difficult when the with rate that only duration X.XX, And one approach the to that thought there ended was actually a we interest from risk. and we So a being there was sort X-way our gap, long. of of that uncomfortable the experienced biggest risk you position meaningfully you to part from what or X-way And long operating rate rate you And our XX-year, the want an agency

in Yes. by was relative The higher that And price to off, of the rebalancing one sheet, asset on materially our thing well obviously of I'd markets performed add done balance lower the side guided rates Fed was motivated factors. the tighter a is as the just and a MBS coupon spiked. few coupons. very repositioning say sold to I'd yet volatility policy lot

tight a it this so $X for both hedging and the coupons basis, performance, to in relative these spreads given on by delta sell order declined as trades in about We did billion I and agency at duration. coupon well. about on rates the made us And relatively basis sense than portfolio a value. swap lot -- side rather par our strong mentioned to of do our net

an swaps incremental $XX low dollar-priced investor also speaking, liquidity. but that motivated a option relative in have little less very very were billion and costs value Generally mortgages diverse carry with also also base. We rebalancing, did coupon duration by

rightsizing And few consideration last over was lower as move materially coupons positioning. And in QX. so a coupons, our weeks, that we that another mentioned, saw the I coupon underperformed have production lot reversing that in of

we'll but towards and coupon changes, with income Peter say benefit and become outflows to opportunistic comprise carry as get the for but well lower index be return rightsized still certain And positioning float active the higher the fixed towards coupon up our as needs but certainly basis in on index-based they is in this to so thing coupon. and turn a environment they little position and respect -- we're perform coupons, position coupons, well they a the light the But to inflows, up the a be of the as passive and still total negative I'd eventually will way bias large point. just still liquidity mean, with discussed, continue can in that versus tactical scenarios percentage have flows positive because I one fund now, balanced relationships at -- are be a positions these more biased when on a in we'll

Our comes next Harter, Credit question Suisse. Doug from

the Given the spreads already us risk the you're just update of of can and about large months? kind over move for how you've you seen, potential kind in agency tightening coming the thinking

Well, for Yes. question, the you Doug. thank

-- that this think the if is investment I are in, make about and for I compelling opportunity you so think that to up environment of one underway. potential think why a I obviously to runoff that going the very we're environment as balance Fed be AGNC the lot the really goes in And going things catalyst period really it's about what's think sheet doesn't better. weakness for short attractive is going and that is possible that really is we're and lot opportunities. an unique perspective we're returns unique tighten to be there that But a spreads cheapened think that certainly good further have from appear to which perspective time, be to be from is period in offer to is a business a return to more is perhaps in going an is overall durably of obvious spreads going our we this

net community sets some are manager there a that of But is supply sort same underweight are to the materially be at meaningful could mortgages. the have money who time, Now of of of demand. a mortgage the investors underweight and specifically are significant index, going source we

in from are be going a good to to a be going returns we're for really And to think an perspective. time. us reasonably period we long attractive environment available business of where that's So really

we're way the looking that's the at current So environment.

Our Hagen, final Eric comes question BTIG. from

the for in rate expect mortgage higher might spec up or at environment. and the floor, always some a trade those premium more to there pay Looking exist? Or would is if a you less you where over TBAs, pool portfolio securities will,

Yes. Sure, Chris.

fast, often into adding Call it's float pay-ups question. a been the can are when is TBA there the And pool worse I prepayments you selection. Fed floor. of as value its with it's on that's convexity stability rally less allows generally they're flow that where No, much have example a more is protection category, spot about duration. great the a thought only is but maintaining how a off a on presence. pool really opportunities to quality Yes. you the through have add great it -- depends I there year-to-date, come good some mean mean, but getting knowing fully the given a of to cheaply and of cash count duration really hedge

so flow really to cash it stability. down And comes

better that convexity floor, for there of mortgage well, course, also for ups are the above obviously, TBA, is securities. profile environment deliverable equally absolute source the of avoid -- this pool impactful is typically I it's as is so attributes the portfolio. pay to mean, And there turnover And and for in reason, floor TBA, performance a which

answer. helpful That's

Second, you balance the what source off Securities at sheet? you much Bethesda TBA that how drive you versus that also think of funding are funding some and carry do does of amount the variables of amount And how bilaterally? into factor you the

of that part on it wouldn't that affects latter think don't I directly. say the I that, Well,

the fund portfolio, generally do to sort bilateral of as percent XX% because diversified could while of And and range possible think XX% on-balance maintain always in that comfortable XX% we're I for we want our sheet Bethesda. take the typically just as XX% funding speaking, around to base. that of we somewhere in up operating neighborhood we Bethesda

important So liquidity parties counter we well. source relationships for with our really want active to healthy, have as of us. bilateral They're

and composition don't in and change I any very drive significant is Bethesda drive any value. on a view see there. is position between material specialness factor our relative TBA you'll our material expect TBA So The expect that change the any material bilateral our don't obviously, in position, to TBA I what

position. be would drive the sort that those the the of fundamentals So TBA

at overnight is And the mostly it helpful. repo? That's or repo funding is term Bethesda

higher in short-term the of cheapest is the funding. where is like the It's us. We really overnight obviously Securities, -- source helpful. be run raising really do Fed a funding It's valuable rates balance both. of is really rates It no. overnight Having where which for meaningful. Bethesda our Oh, to obviously tends we expectation is do position this the through obviously really markets

out our and run also funding of there, we of we XX XX, to overnight a there, funding position significant term So is but the do even days through sometimes but through parties. XX most to counter amount bilateral done

completed session. now We the question-and-answer

to the concluding back over call remarks. Now Peter I'd Federico for turn to like

today of again Well, you for participation speaking with look at the again and thank and forward the end AGNC, interest in for your participation. your call we to for on you you next your quarter. Thank

Thank you.