AGNC Investment (AGNC) 25 Oct 222022 Q3 Earnings call transcript

Good morning, and welcome to the AGNC Investment Corp.

Third Quarter 2022 Shareholder Call. All participants will be in listen-only mode. [Operator Instructions]. Please note this event is being recorded. to Relations. conference like Wisecarver to now Investor in would turn over the Katie I ahead. go Please

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

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

you domestically you, Thank broad-based Katie, both quarter income and uncertainty a for to policy investor weakness a significant the abroad. intensified third in and both decline led call monetary everyone fixed This in as today. to markets and and macroeconomic joining experienced in equity and thank sharp Financial markets. the sentiment repricing our

spread uncommon Treasury XXX stages the their With falling from In underperform XX% Bloomberg and the Bond highs. downturns, convert entire respective the most liquid outflows income Index and products of this of MBS across unlevered because early most thus cash. Agency for are Aggregate these Index MBS markets fixed type Agency U.S. securities pressure. falling for fixed inter-quarter the fund is not are are to market S&P investors easiest the an to spectrum. income obvious to it and X.X% selling other the example liquid of the Bond product

was This Page such, classes spectrum. be in liquidity, the on the investors other third particularly the graph of asset show January the can we in the pressure between certain quarter. MBS because is the Agency and for case XX-year the yield of X the spread current out coupon provides and recent indeed liquidity XX-year widening. treasury favor investor selling greater the it spread XXXX. On presentation, or context historical further MBS As when environments, than differential since This helpful credit

risk-off that this significant A led September Agency recently our the the and extreme markets. to late repricing can widened portion U.K. basis As sentiment unforeseen an of instability MBS in XXX treasury bond occurred a of you widening significant episode of see, to in the in and following spread points. market

ways. have our business impact spreads we discussed, two in wider As

has been this as book the widen, year. spreads as First, the of portfolio case declines value existing our

than outlook the wider MBS on our by scenario, could credit improving income The also MBS the happen improve. recession fixed On adds future volume to runoff Spreads the is government outlook finally, remainder and anticipated. of the this in has attractiveness now likely unprecedented valuation are supply business the in the Putting enhance also The our exposure portfolio. thus rapidly. limited, U.S. slower levels of Agency With attractive. their will go-forward return guaranteed side, Agency positive very and to to for which year And however, at do spreads The value not portfolio the other above also have primary over MBS undeniably by previously favorable. Agency materially supply be all a well of are X%, alternatives. the relative mortgage recovery will together, origination very continued the are rates Fed's be levels.

other occurred, results that, side With event. difficult So this year turn of financial the Bell repricing the given spread greater already historic is our call it Bernie unique as the to on detail. opportunity this I'll that is over as discuss has in important been, that widening we believe the to now has to understand

Peter. you, Thank

book quarter, of and declared on per of share. of tangible comprehensive approximately decline Economic quarter was equity the had value per dividends share. a third common $X.XX return the negative the XX.X% comprised common For AGNC loss XX% $X.XX in tangible for of net

we a continued very with challenging operating quarter, position. third rate risk interest to lower the high management, prioritize the a conditions and leverage Given liquidity strong hedge market during ratio,

reset at we $XXX equity of per price through million fixed $XXX offering issued our million of equity. program $XX.XX common share addition, and issued at-the-market opportunistically approximately an average rate In preferred of

increased moderately leverage average the quarter for for to prior X.Xx from quarter. equity Our X.Xx tangible the

was Agency tangible million the quarter. for function of quarter the the the of income. quarter result XX% as and cash value the share or was securities. dollar late declines per leverage yields the asset and in roll Our at declining a swap position, Net approximately book large end quarter-end, had of higher dollar higher MBS interest than rate unencumbered offset and quarter. costs X.Xx higher slight spread billion, per and of more we of for income, $X.X $X.XX equity roll at At our funding $XXX and totaling credit primarily from $X.XX The was second am which our increase unencumbered excluding share catch-up

Lastly, turn discuss our decreased to end of to the X%, for CPRs the continue agency of the life as while quarter projected average Chris meaningfully mortgage now CPRs to modestly X% averaging slow over quarter. market. to I'll Kuehl the the call actual

Bernie. Thanks,

last points. Agency an higher. the basis to treasury mortgage XX-year PAR Mac September into XXX the Freddie approximately the and of U.S. excess was performance, versus Fannie and high, call, levels funding Agency volatility XX Ginnie Mae, On it month volatility and years. Mortgage being treasuries treasury, particular points, degree rate neither today. Bloomberg primary is headwinds few debt were MBS at today. than which ended spreads discussed, is continued of corporate debt spreads surged coupon quarter the return the and Historically, as spread in rates risk month the five of Peter record To spreads Index, Mae the widen beyond and experienced those third quarter and remain worst As September elevated importantly, going markets on was sentiment and all coupon index the blend the wide. are Agency to distress as MBS our in back during XXX times Fed increasingly the we in MBS of put interest and hawkish of more headwinds prepayment extraordinarily widening its discussed and during swaps perspective, a spreads the reached basis short-lived PAR to that case to

of capital-constrained level when volatility, will very for agency MBS passive lack recovery adjusting to banks. spreads of current rate rapid. to due ultimately reconcile compelling. even spread way percentage current sponsorship bond MBS a could the management materially large on are settles, is Agency fund index-based The rate this Moreover, However, outperform. of outflows, be levels volatility only to Agency the infer And in

As September billion. $XX.X investment totaled our of XX, portfolio

During to market more of the rate unique the coupon traded MBS holdings is interest magnitude actively XX-year Today's XX reposition recent coupons, our stack. across continued the quarter, speaks which particularly we with than moves. to

the hedge portfolio at $XX totaled billion down quarter approximately quarter. about from previous $X.X Our billion end,

X.X Our discuss and have hedges. XX-year reduced despite to call XX quarter we proactively inside interest both And turn since rates duration end, markets. was increase of assets point I'll XX gap basis duration gap as the in in our of to years. the actions Aaron one-year September now to the rebalancing through over non-agency

tracking Spreads product expectations across Chris. the risk third remained in structured terminal Fed's wider, reversed largely six of The first quarter, while quite broader the this have to of and direction. shifting drive credit largely structure the has the the volatile, After in repricing continue sentiment gradually that path market's been At future of QX markets. the half Thanks, the rate the firming quarter space across the generally trading capital spread spreads up leaked weeks juncture, second of tightening. orderly. in the

outlook. However, more their significantly be the to higher one locked Housing economic have, to evident of activity mobility flatter liquidity rates expect homeowners than is the many mortgage products extreme relatively has declined part are rate low. deteriorating stress materially mortgages. factors have some in as current while fixed These and curves signs with credit are into in as low residences reducing levels, would given stretched caused affordability

and expectation XX supportive longer the house of While is to could our the will prices over coming imbalance transaction months. gains gradually most remain will on year's relatively the prior the low structural of supply housing This volume. reverse XX in decline that run,

our in in year loans QX the coupled reduced QX mortgage RMBS credit due rotated in commercial risk QX of rate holdings, the credit favor run-up Importantly, billion. out at provides of back AAAs. AAA is non-agency respect with AAAs mortgage $X.X there sharp ending our to high than XXXX house little declined significant fixed-rate originated support performance. relatively from quarter, to fixed debt floating rate We from embedded of ago. portfolio to the With This holdings more prices percentage over XXXX, the and a

more current repositioned positioned our portfolio we is In non-agency well environment. the addition, our holdings. credit We focused believe of some for

in of the the back loans result XXs average in low LTV mark-to-market RMBS basis. As a of the the and across on the holdings, CRT is our portfolio seasoning a

to As in Peter. such, prices call our back for house to changes to be the even expect turn over we I'll majority the insensitive portfolio. that, With moderate performance would relatively of credit

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

Thank you.

begin [Operator will the session. question-and-answer Instructions]. now We

Please ahead. comes Credit The first Harter from Doug go with question Suisse.

maintaining you you're risk Agency talked that versus and near-term you risk the for talk about? to with the balance opportunity in how looking snapback MBS Can Thanks. management about leverage the

last Thank Friday, X.X, and around know, you of the start. really up a as a the we with quarter we Doug. as Sure, to which question. It's at from think our good the good ended you quarter. that, Good reported, be. We place was was to morning. And leverage that's But for prior X.X. leverage as place

challenges we've the same that market have looking ever fact of right sort illiquidity about of best Agency you the also respect leverage in and think and is which more middle range, your sort is the position level I volatility, If market. respect that to comfortable right MBS in at think that. the returns the of and bond in of our I we're face from the between a that very the the the operating think we question, leverage normal at terms to perspective. of overall a heart time, importantly, strikes we that seen at balance, have it But we But the

gone of to has once-in-a-lifetime return been obviously a in are really today, you a look challenged when say this they The where market at opportunity. September. have lot we've you then. repricing. potentially is late But So since through returns sharp illiquidity A

where are like a comfortable we leverage position. now. So we right very It's

liquidity right about balance and trying defense, we an attractive -- we're offense think now, Our that overall from greater position But risk really given detail. and is both important can returns in and just we from position, talk how strong, that's that, to are.

So I'll you let pause and ask a follow-up. there

you the incremental to back. mentioned buyers? kind the kind snap I once-in-a-lifetime I buyer supply -- ability spread of to enough the the of is them Who is snap there -- demand. mean, of Kind or back? guess on just for And

overshoot, are and the are most to that illiquid saw they that. of liquid the really that directions. have lead as Yes. product, And you spread point. because risk unfortunately, markets bond of really of have so is you markets It's liquid overshooting MBS, what and entered, certainly they they in also can flip you're when side sharp a the would like both I real say in in And because for have global great tend recovery we Agency a well. The these sort

facing, of of issues and Agency is macro treasuries of preponderance is there's both the that passive and sort One MBS is investors. the market, the that bond this

the and outflows are that the managers. Fed are we've what bond So pressure there's Agency have in market both demand you Fed and seen dominated that. flows has is monetary tightened treasury limited. amounts has fund by huge obviously And in relatively been policy rates as the the tightened the And of of fund MBS market would is buying risen. selling as a source the market, It's they expect and bare and bond

relative are You that the think, an in can once no also I And returns on case right? are and opposite basis Agency that natural market. begun there going flow see, some and look either stops, to be sellers that of where is absolute of MBS they we've at the say with both because to the undoubtedly mortgages already

an bond at in for power the looking government X% XXX where an basis, return. the a really example, environment that points on get could price yield, a attractive over For guaranteed recession, is same investors you're a basis absolute a treasury credit at

the largest Bloomberg story day I So to its week you're see I the a think MBS noticed a MBS when Agency start was single last where that it ETF market. inflows ever. to into going inflow in had

which stabilizes, no buyers the opposite natural is Agency REIT. you'll of natural the effect, MBS there market supply no level because going of there's as be I to So this emerging, sellers see at think and are there's

alike. at favorable at think once is So it a they've the opportunity ahead points you I they we XXX can stabilize, in bond financial and market technical going at really risk that at look that market There's you be That's past, because you selling spreads We've to problem out look know, The looking There's Agency if say, the no and no you're the problems. there's financial ever us there's the ultimately, problems, no nothing problems. risk is liquidity prepayment for no crisis There's great MBS not the it crisis. basis And here. when Bank problems. look that as funding of MBS question, In crisis of worst you stabilizes. spreads the the Fed. the not will was heart think very the in I the over. Agency problem. all was that's to wider, of been great where real were and the in the of great the at today financial back The say question. that may us. Capital GSEs seen that had huge credit is But are at

that potentially So spreads off, to you Agency you has in risk-adjusted could spreads that they're returns seen. would environment. the justify XXX ever say market When today at wider I the MBS best close look at

Great. I appreciate Peter. that,

Sure. you the Thank for question.

Please comes from question George go with next ahead. KBW. Our Bose

Hey everyone. Good morning.

are Hey How Bose. you?

book Good. value? Thanks. get Can I updated your

Sure.

week was As of last end at XX%. week, of our last this down book value about

I particular so been me the I Let in this think because that update, volatile. month-to-date sort just put context, think of has market

handle you our example, that. it's to fact, But performance, challenging for like stock stock people book our very look tracked at has well. sort think good for actually in if I a on think value get of I performance very, our

So XX%. down about

average think spreads that got look down probably really sort have have and would spreads mortgage say I components. widened, is of about break you two It's much can performance, XX%. how into on at I you obviously first widened to

the But sensitivity, of Current it's of look if look way, the the -- that's most because look coupon people about coupon September performance. and you at probably at actually book a you current end was value. performance X.X% our by the in best the current coupon. So challenging if really coupon. at been But performance has at XX% do

it's coupon. Now X% a

look into So further you coupon performance coupons. the have materially to stack down across different and is different

point down at was down And If you so X.X% one look was the coupon, around X.X% look treasury, coupon only points. X.X the that points. that far. was for example, down X.X at you The five-year

the at very you at you part like of when could years curve the hedges and hedge as the from a five portfolio was curve steepened much you the across curve where XX-year your curve years performing look two do basis perspective, XX different years that and part and as it if your So we with have XX the from up perspective, the curve results across were based your best points the of on hedge curve. and

across you our portfolio curve, be different If outcome. example, our XX-year had the hedge size given desire with, all would to for hedges, a wouldn't have of which we you uncomfortable the and much

particularly our the perspective, underperformance at then had and out, hedging year we curve the on duration translate to that basis we really moved from fact XX, five disclosures -- gap X% a XX book of of the this on to the and of basis five about underperformance. based year a curve, XX our announced the quarter, of So the average we on points, about of prerelease in And like own the in belly our years the points across maybe to hit the given would overall beginning so put led XX that that on value. rates

coupon about the ever plus points spreads, gives returns that coupon XX So of of are seen. load of stack about today the that looking at combination in XX%. best the the you to why particularly That's stack, basis in the belly the wider belly we've we're

we sit So that's now. as the right update

That's Thanks. great. helpful. Okay,

you for thank the question. Sure,

the does guess in your teens. that which generate the implied guess, to that book mean current Xs, high the is, high value, cover I Given dividend? suggest portfolio I dividend XX your very dividend, about I on yield,

to when conditions, of we considerations, that market rates, I Obviously, the things think the have direction look Page think capital, you our last expected the look the interest question. if the spreads at Yes, of decline from XX that really, better understand to months, mortgage XX leverage. question a points heart this performance like at And whole think what that wider, when critical to that of and you basis on value. only you dividend, is point. one will you gone clear book volatility the our think everybody composition we constantly drove the if evaluating alternative August Thank your of is key of have understand, look portfolio, I you mortgages to But are of it's in we what's the the part for in range uses the really you X, I general now. graph is of the about show, for

the in book our driven wider decline So value primarily is by spreads.

hurts it while value currently your portfolio. book book in it the came decline value on return spreads, enhances from our wider also because the go-forward So

as our has in return the gone commensurate way, a decline another book portfolio our in the on way. said So our gone with dividend up up has value, yield

today, portfolio you sold if back, at is our So you to valuations. today's bought marked it, all looked our it portfolio

So that what if portfolio nicely the looked mortgages you actually this current spread, our at dollar you very would said the price earn conclude matches at at on return go-forward do and that this you dividend yield.

one We we that's about So that at. that look a the talked key things of always lot.

two obviously, forward, our portfolio reasonably on our still is are still consistent monitoring that with believe going to and go-forward return conditions be markets continue I aligned. We're about diligent that. to well things volatile. going So change But the And dividend. are those

Thanks helpful. very lot. a That's great. Okay,

you, Bose. thank Yes,

Please The next ahead. go Cranston Trevor JMP Securities. question with comes from

morning. Good thanks. Hey,

Trevor. morning, Good

XX guys of versus are have on curious on at GSEs the of sort either fact the been was of buyer And chart spread X. spreads and up you A just Generally, last sort in the the historical market? have do guys you have where guys versus or look a on for of market how much years? levels you question spread when levels, adjust kind the that historical today guys comparable think Fed the the those been huge you Slide I for have backs

Yes.

of buying then the the mean, we XXX% there's or has Crisis that, XX the prior XXXX no in that kind or have years any to the prior it chart overall in valuations. basically Financial paydowns. the was, obviously, all XX out on right. Financial or impact an certainly, GSE's I And did market have Crisis, meaningful impact whenever of of whether to really starting that, impact. But mortgages post reinvesting terms Great that show You're doesn't they was Great portfolio something this Fed of like 'XX, QEX doubt, their for they're in with participated either any

an have impact, exiting obviously and So market. they are they did the

side attention policy, clearly the out On conclude could market foundational Fed's forever, not the the that and in late they are the even words of of to U.S. care, forever week, to going right? the U.S. stay that agency of is They're you to the both Agency as you that and and communicated flip market. where they last see that, the can monetary also the treasury market functioning they as monitoring and MBS paying

environment that So we you is an Fed's think At going and off. be off, though almost saw had be it is when side that's Fed critical I an at at the mortgage Fed supply. think challenging sheet the the balance Agency the you'll the then that which because If mortgages. be increasing X.XX%, you for would rate to impact. in was impact. Frankly, that, facing they facing amount of there And the risk portfolio material low running MBS don't supply about it's a think rates its of much really even running no environment, a about the have flip portfolio off, the XXXX. would more running effectively off it's But to is, of be beginning is running

maximum on call looked one, function. points XX the But about. the norm we don't And and it's this that It may have be I've if on is average, chart. new you chart, than something right are today. think higher I showed where this that you think this basis factor forever, you're So I a a of the at it it's to the sort

XX don't the return looked range XXX, since XXs to average the be for the you settle the too points just somewhere range Bloomberg, the out may think XXX chart point out would basis points. XXX of XX credit. going about settle I would same and we're to high closer to at much but here now absolute be of points. at the average this It's to basis If We basis on

I get think Chris at going going to and Agency to stabilize. know MBS buyers something conditions buyers levels get levered you're you're unlevered to to once wants add that. market these buying I

just add, into I about I balance they sheet the spreads its how mean, are perspective just are, XXXX put XXXX, would running where extraordinarily last levels the averaged off basis in wide was and today. current levels than time spread points current XXX tighter Fed

Yes, okay, helpful. that's

probably The Trevor, this less the the you're -- to they one looking year, point Fed, the have And also look when market. The end It's $XX XX% Fed's with at runoff be you be that portfolio, going the Fed of essentially of next in phased the other to where the market, now, to forgot they of Agency I going owns back though month. are even the than at right? -- the to essentially to runoff. that of is are level rates ownership a billion MBS running final it's is mention, the

that's huge going the amount out to of supply then, XX%. So And pretty own banks the really well. They're the Fed's own going And for time. a slow. much runoff another to as long a of of stock is trading be course,

even key market. they two of consider forward, well as are going though are to backing the points those So out

for Yes, sure.

two talked of Okay. lot you about. your for remarks, demand then which big so One the the backdrop, -- you technical And supply prepared headwinds highlighted a the sort MBS. sort of in was

guess question volatility I piece The mean, near I you to for term? second for any things guys high all is piece near future? is, realized pretty think volatility. do of likely catalysts high that do at the Or the stay see in the decline so you is -- to

data I market. Obviously, have last catalysts more respectful doubt the are period process. and be now and really few are days. also see see conditions them need into the of just to starting deep fact we maybe that you no the in -- points, There's in conditions and some market lose bond the you that. really do to challenging for the can't time. tightening They market been of have we're sight But about we're of

of week about wants there. go a And last Fed get around darkest or year. sort sort and of Fed in may to it's if And before next The the little still think market may March of topped or futures not today, XXX funds the And the Fed out dawn. higher. you always at April obviously is

more the appropriate. be fact, of was that even be getting I In also seem to overshot. might certainly that They measured a of there ultimately out indicate think may they to level, to some comments but is Fed the the something that maybe get path to market to are has starting they that seem be recognizing

pace have So one of we say have to a beginning we really important sort they of in at meeting, what to be hear the the forward. going obviously, December. have November, will Fed It about

this allow moves say measured that effect at look, we've to a and rate They the And going hawkish a much, by the you inflation more sort lot bit really sort meeting, followed the had One a sort things the so bit XX, on the policy already we're take restrictive. maybe comments bad time have that in little of maybe next the of was little done monetary at print to that of market lost even approach confidence. destabilizing Fed the a make and Well, Fed has that they'll full that destabilized of made was I market from think probably more do economy. will XX. the

levels changes morning, are positive what with a the then, U.K., had Minister tumultuous sort next think that Prime market happened this couple rallying instability course, that's, So the market. for really maybe of of will in seems some I come the was really across and of will to lot think, one market international of and the globe. for with gained the has which bond be Bond like the key we that over now footing months, new the that that. our I for And of weeks

And -- yet, hopeful ways. while a different so soon. you not I'm can number get stabilization there that we're And from I going of to think be there we're

Okay. you Thank I comment. the appreciate guys.

question. for you the Thank Sure.

Vilas Our ahead. of next UBS. question from Please go comes Abraham

How just the gap. wanted are to duration the you? start just I -- everyone. with Hey

years. You guys up, X.X it are looks like

are about rates looking how put are And down? given where that are Just you that to now? thinking you

Yes. Sure.

you're So right.

of a it's Our Today, really duration year. there, Vilas. gap around three quarters was

mortgages still where a So to we've that but think be. goes reasonable it perform of this think talk reduced to about we do place a to gap our how are duration the exposure the is convexity to be little about of talk profile a bit it what over and minute, him improved. into we bit, bit Chris has is seems Part a I'll sort going to little a turn can little in

obviously, at in goes at rate our with X.X. two And are the gap X.XX, So years repricing sort into years XX that we but position, obviously, also where duration of process.

possible, right we rates rates those now. feel priced pretty like are While probably higher certainly, are fairly

XX a we maybe as much few quite not were where So given upside as are today. weeks years facing ago risk

complexity bit, reduced we but the our little sensitivity are. market? want to talk So like where of overall about the do we Chris, we've a you kind of

Yes, sure.

is outperforming the quarter duration a end is our So as as of the around shortening well that for the of as on on actions by we rate since fund and trade duration currently into in into asset widening the year. this motivation hedging bond in than very sides policy have flows. took around sentiment we does risk is mortgages both Fed Peter gap moderate rates, expect environment The contraction And The moves gap three portfolio into higher more rates. driven long the mentioned, some risk for quarters current extension still rates, just side, given moves. overall to that lower large

duration likely for just of not so as reason, long to gap, carry we X/XX. that And we're a were still as as positive

think potential -- it Fed the would sounds we you moving you're the for Okay. are And just comfortable back on potentially what pause, lessening the of now But now. you cadence when like you it of that volatility be? leverage, when where up do leverage do and

than I other. a think have with cadence the guess faster one way market. I -- would thing is the or the expected probably Well, Yes. I That's

levels greater sharp now where, a better that in I of in that think think prepared mentioned hit valuation. a we've my I there's as risk I move remarks,

you chance of we we sort mortgages that this about -- call this meaningful of talked was just same time durability in XXX of period have and stay quarter there the were that mortgages that a rate second on If to the XXX where sort that know I for a spread. level, stabilize. sort spread wide of when don't At would

certainly is as a there that they spreads risk So tighten. could just quickly mortgage as widen,

as about Now just well. could clearly, risk they There's go that doubt wider no there's a that.

is that things And moves doesn't to spreads So in of are moves sharper, is I from have all the that more a MBS the experience both invest equal, things move we've AGNC But taking a the potentially today, make us also really that to pool you on it's other of the risk-adjusted the important we think to a one directions. with would say Agency leverage money at day, of example, valuation investors be investor the to coincide at I end have ever for mean remember current in I basis leverage, investing right? of had. that you mindful important that leverage think in be bit levels a when for the really and little At widest which perspective, could faster. would could

So certainly we just good, not. certainly further, and risks stands today the and be take as economic more and widen there is that the the experience leverage could will own lot are spreads could spreads investment or tighten a whether risk its there on

So think I don't that sight we can of lose fact.

You're with dividends, the is our really doesn't the tightening And investing would attractive carry that profile today, perspective, had into scenario. like portfolio a the from go-forward is return and just question take follow that account upside potential a mark-to-market. we

XXXX, AGNC tightening XXX back history, for and environment you and best basis It points, generates we look say, obviously, had a what every in best XXXX in when back back when example, was period. look or our spreads was you you significant look if if for is But you returns. its were If following following example, different. history

no -- science there's you there's expect, to nothing As would that.

is the generate us And widening obviously one experienced. following You historic would widening that expect events. has ever to of most our huge events best the this returns market

catalysts you back And snapback of in coming of think money from the managers that big kind that the bid of one would be quickly? managers bond and fund

think are. that's turn -- And to of you bond where with key portfolios talk now CNBC think I a really people XX:XX right? occur, a I one. rotation about I there's they you on and sort that going that's forward could just think prices And also hear going that Yes,

or just the I think have had of whether funds, getting pension managers you back into to companies insurance for real quality. credit you're returns money haven't kind it's the opportunity or bonds, money investment that

forms you course, investing, think outlook that, So benefit a in bond supply. money of is I of think the unlevered that MBS. into that real to there's And very will really do Chris, money that? come want number I will that different the of add market to Agency little against

just look, rates. that market. was There's I mortgage the point. of housing to going a mean, demand ton X% I at destruction on been make

the perspective, supply a period supply of a relative -- last And billion. net $XXX from so supply organically. record's lowest mortgage billion $XXX enter of last two to we XXXX, where about around year in this And to year years, or saw we're

reduced portfolio weaker slower Fed's lower where be well. that around turnover, than going from importantly, runoff And the as much be Next means XXX. year, to is it's XXX market to been it's housing running likely to

that's it's be bond much supply flows fund mortgages relative Peter's And amount to for bid the take so going stabilize, of incredibly not do available. to to when to well point,

I'll queue. in Got hop it, thanks everyone. the back

thank the Yes, for you question.

question ahead. next RBC Our go Markets. Kenneth with Please from Capital comes Lee

morning. good the can you you talk the the you how handle And that what share markets? And on question. comfort Hi, volatility position? potential Thanks handled about in your relatedly, could your liquidity that for taking Thanks. quarter? if my you gives AGNC the in perhaps saw Wondering thoughts future volatility

expected you thank was That I the one today. for Yes, question.

equity of it unchanged. of I So as we basis, now, it's liquidity sit a on say think basically you if position, percentage our would sort right about

if average, around And last quarters, at on that percent billion. eight it's back the time put our you about percent over ranged basis about probably you would liquidity think over $X.X-ish our right of percentage of And probably I if somewhere you period. a look morning that XX% equity. about our XX, there, that at would equity, this that see has So on tangible position that, between XX-ish

have that think way, liquidity is another position you operating about liquidity is important what's So to said position. normal our

in Now have about obviously, really has equity changed operate. think it's of basis, consistent still and lot dollars a And on come But really, and normally have you where we with percentage to absolute our down. the of value a that strong of right? you same percentage able If of what's decline key. and spread we've widening, the to the of occurred, amount think and context really about already liquidity, been the book amount of that's maintain amount

that's we that strength hedge position. portfolio maintain a position And of what take or obviously, portfolio, continue what changes, composition steps as actions as to through we navigate we'll we the have to asset environment today, liquidity So But sit our give us liquidity a that means these and time, normal basically to the change to difficult strong conditions. the market really is do. over continue take to to

environment, side potential lock us rapidly funding Very some Thanks. there. you your costs? rising remind the you for perhaps rates you. in again could what's just And the Got of and using have given impact helpful the cost interest funding then rate outlook And swaps? rate for in terms

funds. and the cost perspective, obviously you funds on benefit overall the of see of have Well, our an impact type our hedges could a hedge from of portfolio we has cost of

we that versus repo amount outstanding swaps repo, look have you than at the versus of XXX% actually have more our swaps we balance. If

So our through the is repo form said in our debt longer-term to short-term synthetically of a portfolio. way, converted swap of another all debt our

few as funds return leg have its is off our OIS move continue the Fed indexed up the on which costs repo So is rise or going rate up also to either as last the rate. they'll makes in gone our the same Fed swap, and moves, to

up going our our funds cost and margin stable to cost interest what's all relatively a and cost seeing asset from points what's to will that XXX side, the and of basis of of of a up funding But you're the that out cost. And net work is XX points. funds, stable XX to important on be differences and -- timing of those you hedges. relatively funds actually that That time. stable and layer relatively XX to margin that's overall, will repricing on leading sort basis now our maybe overall, last some there's the So timing increasing went that's

So cost amount general I we hedges would expect that swap we given of the and funds forward our stability have. as of go

Got you. Very helpful again. there. Thanks

for you Thank sure. question, Yes, the Ken.

Eric next Please BTIG. Hagen comes Our question with from go ahead.

Hey, morning. thanks. Good

has I sales? asset of are good October, up rebalancing from think the you raised this a you been you In month? -- just And have function the Can have you the as think do what environment? repo Like couple. morning say are did capital now? guys then TBAs I right hey Or investors that a of rebalancing picking in right guys. in any relative that a you now? In reduction big you using in kind is for how substitute thinking position value how TBA portfolio heavier about your a this leverage

Yes. that you our way Well, is respect activity use shareholders. I but inter-month about to that looking we believe enhancing capital capital talk don't want to markets to the to with markets, always for in opportunities we're know a

I from the we'll leverage philosophy. perspective, you that adhere I think in an and think the asset gave to continue that demonstrated and about the portfolio to And value you when number. sort past, book of we've

you think I can conclude the what So is. balance asset

value because liquidity bit TBA Now clearly, the with can there a about respect Chris up talk there. an in to is little TBA,

generally long-run I more are specialness moderated levels to mean third And speaking, quarter that line Yes. historical the in with norms. roll early during

prepayment risk a so low backdrop third the of relative advantage compelling. XX XX basis incredibly around said is quarter, the environment mean, or our I I've And against the to During repo. repo through in basis averaged financing an position again, past, points points as of

continue maintain TBA future. large fairly it's the for likely a to And so we'll position foreseeable

tradable basis points There's coupons with I some with a assumption a the X reasonable current environment, better current thin of of levels. think to in floats specialness potential range XX the huge environment. in to is upside

large and And foreseeable the future, and and and held tied off banks. accounts percentage table active with so the a up for coupons classified of Fed certain maturity float sales to

historical I upside think anything, to if probably, averages. run levels to longer relative there's those

likely it's a pretty position. to So continue we'll maintain TBA sizable

Appreciate it. Thank you you. Got guys.

question. Yes, for thank the you

follow-up is question Bose last a our from Please And go George KBW. from ahead.

here the to ask wanted They called when converts guys stabilizes? the Hey that the the preferred on floating when market hold switched things shares. about like you've then Series but switch, thought see to on they capital is Historically, just the to C XXth. to just and what look

the the are look for return as, Yes. that exactly would There at can the the huge can that returns of you differential obviously, evaluate that at callable. But spread it you Thank return a about any asked just question. you factor we and rate. get of at is sort new sort also -- preferred, look margin That's you relative a is effectively of is higher like level, capital. the now prevailing we cost that really we that attractive that -- today even though at right resetting to question between

that. our a So common change, perspective, at from though perspective, we'll, beneficial of question. even to shareholders. still, accretive But But higher it's yes, as course, is that return on you Agency to for to then rate. that evaluate continue market it's resetting really significantly a shareholder MBS thank conditions that common relative from But

Okay. Great. Thanks.

you. Thank

turn conclude the Peter to like remarks. to for Federico call concluding over I'd the does question-and-answer session. back This

this today. very challenging you from while thought, I'll said spread call and has the on year final everybody in my a your you I was given perspective, widening that is has what for the one operator, you, with occurred. an which for remarks just been participation that Thank we investor thank already know prepared leave

opportunity I we a very have, that believe, important given we still think ahead today. us Agency where MBS to continue unique it's that are understand of we

again to talking we we look forward quarter. your So appreciate to participation, you after and our fourth

today's now Thank for The you concluded. attending conference presentation. has

You may now disconnect.