AGNC Investment (AGNC) 31 Oct 232023 Q3 Earnings call transcript

Good morning, and welcome to the AGNC Investment Corp.

Third Quarter 2023 Shareholder Call. [Operator Instructions] I would now like to turn the call over to Kate Wisecarver Investor Relations. Please go ahead.

Thank you all for joining AGNC Investment Corp.'s Third Quarter 2023 Earnings Call.

like the I'd harbor begin, we to safe review statement. Before constitute presentation call not that, fact, Act the of and Litigation conference Private contains of recitations statements the meaning corresponding historical XXXX. are This Reform they slide statements Securities within extent to of forward-looking the to Reform All Act. such subject forward-looking protection harbor intended are safe statements provided be to the by the

included AGNC. to All differ date in periodic with the results law. results Exchange Copies to are statements as Actual Securities could materially the notice. We from without filed to control forecasts Commission. only unless beyond AGNC's outcomes and factors to materially subject this forward-looking the of obligation any of by impact actual of in sec.gov. that due forward-looking available update many included website and contained made presentation at could differ our factors SEC's are and statements those on in change disclaim the are Certain those this are presentation reports cause statements from the the forward-looking required of

Chief Investment Participants and Officer. Vice Vice Federico, Development. call include and and Kuehl, Corporate Strategy Management; Executive President Executive Chris President, Bernie Officer; and Chief Aaron this Portfolio Bell, Pas, Vice President President, Non-Agency President Director, and Officer; Executive Executive Reid, Vice on Chief Peter Financial Senior Sean

that, over With Peter call I'll turn the Federico. to

of and be sentiment The materially repricing the midst investor a of quarter in overly treasury threat historic Despite bond weighed rates good signs market and heavily monetary in and the volatility concerns market drove to Katie, you, Thank on supply and higher. benchmark as in third early the in the event. morning. improvement of restrictive multiyear quarter, the treasury continues rate intensified the policy interest sell-off interest

such materially increase years, the X.X in Treasury XXX close dot-com Bond context, supply move years has bust the a following a as loss to treasury relatively the accelerated largest message longer. ever market in the what anything treasury the last the remain years, likely of began never over higher tracks higher XX is the yield recorded put experienced period. Fed a higher would experienced sentiment experienced the quarter terms, early In to has which S&P second more, last percentage rates the the return hawkish late X short-term Index move the revised The quarter XX-year for Bloomberg short fiscal a loss XXXX. equal Treasury in total to XX% in from due deficit. time To growing rates following expectations bare over The the in were the in over maturities long of like The this. or that

most abruptly prices environments underperformed. this fall Agency the typically treasury MBS In its across Agency like Agency amount points October. widened remained quarter to in have Agency the stack. end, to with of MBS aggregate, treasuries struggles case market rates lagged and That pressure In duration widening indeed as to XX spreads the third MBS comparable the XX to in equilibrium, meaningfully. similar a spreads benchmark performance coupon relative by basis MBS quarter, Since find when new was under

with steepening also with MBS and curve than MBS yield in reached The are hedged the sharp during of At levels Agency yield the caused March this Agency performance MBS materially Agency vary longer-term significantly to widest XXXX. spreads of term curve. point, instruments perform short Agency intermediate of MBS instruments. the across worse hedged pandemic height to close the the

now are global set result factors. a domestic and of market that are of conditions a we volatile The experiencing complex

in the monetary a nearing is Fed point inflection critical addition, In policy.

scrutinized by highly During outsized data these economic on and policy. trajectory the types can monetary have impact of an market is the of transitions,

policy favorable downward more in undoubtedly and certain, stance becomes trend the data a inflation labor Once emerge. will monetary

As agency MBS challenging both period as bond levered on is unlevered an market current and question. basis in this opportunity has without all participants, investment the been for

MBS unlevered a with basis, production that an the to close the yield from of earn benefits On new the support a par-priced to X% provide U.S. agency investors of on opportunity security explicit government.

at and every than now points treasury materially is corporate curve above debt yield higher this basis highly yield on the instruments. Importantly, least point rated XXX

which For it MBS very becoming levered of base yield developing compelling investors improves for range to increasingly is is close to that returns. new trading the in X%, materially apparent Agency addition a

a cycle. is months, basis negatively coupon trading participants, between this currently, XXX the points. by upper end points, between X near market financial last of have been impacted XX-year Like range. spread unprecedented results The basis tightening and bond the X- the XXX the the blend our speed current treasuries spread and been of all Fed has magnitude XXX average and the and Over of ranged Agency MBS and has

The in government and rapid U.S. geopolitical dysfunction. in interest rise rates increase growing rate volatility, financial and the heightened risk market long-term interest

may As and economic conclusion, sided. recently of the nearing however, the stated, balance Fed risks is X this be tightening cycle now its

attractive we subside. very durable Although the current associated of ahead and more Bernie taken this environment continue financial has the Bell has to and uncertainties results. over call still to turn the With environment process been discuss a difficult longer I'll believe our investment anticipated, with to once is considerably us that, than that now

Thank you, Peter.

return declared the of book had per was equity $X.XX share common comprised occurred quarter, share, dividends of of decline quarter. the share. widening for a our of resulting in per a Economic For $X.XX comprehensive from and $X.XX XX.X% the volatility common quarter. net per rate negative AGNC the tangible significant that loss spread on tangible third during and value

remained down of quarter the well week, than of the book tangible X.Xx in our contained Despite value, for the last X.Xx at quarter. end tangible equity XX% moderately as the late our book only net end decline second was of October. at higher the tangible As value about of net leverage or

With for the compared leverage to prior average the X.Xx being quarter. our X.Xx quarter for

typical and quarter line the operating throughout with our strong remained in also liquidity parameters. Our

As of cash equity million unencumbered $XX $X.X MBS unencumbered or billion tangible securities. totaling XX% of end, and had quarter and of credit we our Agency

During the at-the-market common equity program, through which net issued of price-to-book million book also $XXX at our we quarter, accretive significant offering our to was value. premium a

funding decline catch-up points XXX decline for a our Net increase spread our excluding due quarterly Income, an in and XX largely the share. offset Dollar quarter, to basis higher which was quarter, than more driven Roll a point share yield. in for $X.XX per basis spread was the amortization, asset The to of per decrease interest net costs, average $X.XX by

from as Lastly, I'll on quarter quarter. turn of the life the second at CPR prior for Chris portfolio mortgage for discuss the call now X.X% the the CPRs Kuehl Actual the average the of the X.X% averaged over to quarter. to our to X.X% X.X% quarter to decreased projected market. compared end agency

of stress the favorable the start treasuries data The U.S. faded as was quarter both and bank inflation and a MBS Bernie. background. for into relatively continued regional sector Agency third downward show Thanks, trajectory to

larger the anticipated. and July. over treasury This rallied yields of was than treasury the when sentiment estimate, weeks few which fact, however, shifted, released favorable tightened first its borrowing MBS Agency In

of yield increasing Following this yields during curve. Agency and the curve based modestly both higher, varying depending backdrop, on hedges challenging the MBS positioning the significantly treasury performance steepened quarter. hedge considerably swap underperformed yields with Against points, in XX X- respectively, XX FOMC only as with the meeting, moving basis X/XX sell-off the treasuries with and accelerated and September X-year ultimately XX-year treasury on

Coupon positioning was performance also lower coupons a significant production middle and underperformed driver of coupons. as materially

and spreads. $XX to XX. billion at September $XX yields Within we from move continue billion attractive modestly in increased coupon to as agency portfolio holdings, our Our of up more wider

quarter, in X.X% X.X% billion versus $XX the we coupons. approximately through added During lower

a low of high of to material our TBA converted also a position pay-up We and specified portion quality both mix pools.

given position better was largely valuations and Mae of UMBS. to Ginnie TBA Our comprised TBA relative financing implied roll remaining attractive

of As our portfolio in portfolio totaled curve. by assets, of billion, the given the duration XX-year point we our hedges increased the $XX.X our X/XX, treasury-based of duration the adding hedge at primarily hedge extension

remained duration was years the our result, quarter throughout a quarter at low As gap end. X.X and

portfolio curve As yield are of in on of duration our hedge points X-year of longer our or XX% XX% duration approximately the X/XX, hedges. dollars the with Treasury-based approximately at

are area. MBS Agency are favorable. technical describe factors demand our forward, to spreads MBS Agency sectors decoupled have over especially percentile for This will that rarely Aaron remarkable that XX-plus due long-term and in outlook Agency as and fundamentals very for they income from given do will time. is Spreads we ease detail, as in on treasuries fixed compelling other as Looking spreads today. supply looked expect and to corporates MBS And the more averages, post-GFC have the while close is

today, deep prepayment wide repo term. minimal deeply for earnings leverage. geopolitical we quotion. we risk And remain rate our in turn the believe call non-agency while money believe over markets spreads liquid. and are is I'll are will as Agency near one to near-term tensions the we That compensated for to With most now supply MBS of Agency agency the discuss Organic is respect in to they elevated said, volatility have the the investors managing environments being increased risk we of the disciplined of are and rate out favorable history, over Aaron are well and risk with MBS as markets.

end the the and of higher credit mixed in quarter significant Credit and had material The on were a spreads by interest generated Chris. market the excess sharp spreads. impact the sensitive sectors third slightly Thanks, quarter interest returns. many yields the of positive volatility more move products than rate rate in

tighter X spread synthetic quarter, was Bloomberg for representing the points X the mortgage while credit in proxy points actually index on a spreads. basis outperformed the bonds Index basis spreads cash As wider, was moves both QX, IG over IG

suggest are the while roughly a are are widest levels, credit their at fixed higher. Taking is The almost any A consumer MBS. delinquencies by their valuations measure, slowly. ticked currently albeit marketplace brief IG step near weakening loans, XX far over majority several of spreads back, years. Auto GFC unlike the spread since from income that developing, of lending have CDX credit and Agency fundamentals at extreme spreads average MBS overview cards past

of this relatively broad Additionally, the households even resumption will of further. student stretch loan payments month segment a

as a been savings down While lower higher amount renter result income exposure pressures. of of to material have revised savings recently, likely households have increased drawn and inflationary a numbers excess

economic That from consumer for Taken muted due more resulting growth. to said, we years several of amounts a will outlook expect mortgage side the on to much and impact declined of together, contribute significant HPA the equity has strong the homeowners' further slowdown. the

holdings. Turning to our

into is we turned likely CRT, tender and over just credit migrating and XX% the reposition continue in size, unchanged the Our the skew non-Agency ending market $X stack delevered Within or over portfolio quarter value. down portfolio candidates in at holdings roughly roughly seasoned further in to billion to of profiles.

desire favorable issuance in in we CRT remain low quarter's with that GSE older extinguish offers. on the volumes, credit coupled via market discussed protection the The to tender technicals last call place,

CRT Peter. I'll as our This as led drove become The has Nevertheless, turn to back year of call side further expect tightening this degree. declined and throughout during With improvement spread market risk return expected we the anchored over spread have the segments lower lower portfolio equation the go-forward to meaningful that, expectations. our quarter. some has of certain CRT price on of valuation the for many volatility securities correspondingly the to

Aaron. you, Thank

do current to to environment. common thoughts dividend in questions, to Before our our share provide discuss the call forward some I not the guidance do but up opening We want I your stock for on current dividend. want dividends, the briefly

primary As dividend MBS the of is economic levels. many one that to have return mentioned our our factors evaluate I setting earn at current we on that in we the portfolio expect valuation times,

think can return portfolio. mark-to-market of our the return this on You as

was equity last yield the that Agency end stock widening Given the on book the years tangible At value in price, dividend to spread tangible the our the third common MBS the the of quarter, yield and stock our our value notably. has close share in over X per of increased subsequent XX%. on significant has decline common net and net book dividend occurred

While also this the not number of include is capital. our does is lower benefit informative, equity, which cost permanent it preferred

common preferred on our dividends the this both XX%. capital over of equity end yield quarter, stock approximately including current the dividend total the at yield was third our operating was on expenses, dividend required our our preferred Including total component, and XX% contractual stock including just our

rebalancing to base quarter, satisfy equity our on mid-teen Said all in Agency capital end levered is the return operating way, in expected of of another earn as low tangible convexity and total current costs and dividend a range to valuation coupon levels, the of on depending our we before obligations. billion to XX% third on the the At of MBS return $X.X order costs. XX% needed

is at conditions, operating current The that parameters. important common with expected remains dividend we are takeaway evaluate from we to earn that well stock expect our this portfolio always returns analysis management aligned the dividend considerations valuation market said, our That changing. on risk as levels continuously and and return our

now With that, open your we will call to the up questions.

will now from session. begin the Sandler. [Operator Crispin We question Piper first come Love Our question-and-answer with Instructions] will

comfortable max at? can the that it at, October think, your just updated thoughts operating But lower? week, you are preannouncement us level to X.Xx what you're last operate based of would XX. on off, you needing ranges before as were you just is leverage First And at give what the that on the I about bring

the Thank question. for you

We week leverage updated was of quarter. as from a up at ago, about the the reported right. end that X.X%, X.X% of our You're

cheap. today, how conditions As but current more leverage comfortable comfortable treasury sit affecting with the particularly very Obviously, We -- in income have leverage, to are it range. where quarter, And cognizant leverage the market operate all we the mortgages our end that fixed broadly also the given love X.X%. extraordinarily volatile are was would mortgages be very of actually with around we're higher in market. to cheap right markets, at line of operating is we the are,

operate also sit as it as your mid-XXs, in leverage mentioned, we quarter. security to still a is we is, end continue with very mentioned, point as from at perspective, position maximum to and gets and we would thing this out which disclosed XX% and that Bernie the of the cash was Bernie a I unencumbered other as sort The It's significant leverage of that today. last question, actually

we had And to So the with opportunity for the waiting we market subsided. ultimately are the have the opportunity. that a lot as come of third uncertainties will that capacity think right all and market, the contend quarter I in

to sort answer consistent spreads, at I expectation on where an will be So you levels. of maximum can't you we're because has leverage that have -- an question. the It with in, the of environmental specifically give are spread about it interest the that's volatility environment the to rates,

overall investment it stability given time. Obviously, But need some how markets, the right financial are now, cheap treasury in mortgages from Ultimately, we is Fed a particularly stability more market. good the and in the

So there. pause I'll

on and your bound changed there? All just of very of are. weeks very at your spreads helpful your there. it's expectations the curious update just spreads, you on cheap over and point on And for your outlook kind outlook Can they then several being if cheap. how on remain an months last mortgages on range But all kind give in

coupon the about like the to the current market. close about is lot prepared talked a that There's I fact mortgage X%. remarks, in And Yes. our to

from appealing investors. what return that interesting mortgage broad it's about very to is I is now perspective market right cross-section the highly a of think a So

an offer MBS points over has is basis the curve perspective, -- guaranteed the treasury almost value, support From of U.S. security for unlevered the extraordinarily Agency government. XXX that

So yield corporates, -- high-grade particular, Agency it's at corporates and to if relative significant pickup. you a look in MBS

on I an So basis. attractive it's very unlevered think

about I perspective MBS the over it the XXX is and our remarks, of which X think for current prepared starting occasions. a is somewhere just point, the range call the what mentioned you coupon in in we've of my we the XX-year Agency I hit number do is now that months, XX range. And -- a of the range, about versus as treasury establish from I that basis course market new think on if a X- And -- I believe end spread point in think to occasions, that what's starting quarter now, as experienced the third to or range that important XXX is it, upper last, X

income and of is over last that footing. range do the the back started and the week I upper the the week, that, think, course of term range of off of of level supply half in mortgages in to and hit fixed about in I to of really broader But the volatility. will upper rate positive the respect a the of of sort We the ago top to bumped has now finding their to end think comfortable given signal. respect down near treasury market have remain sort and the a over mortgages come And level maybe with that with of amount seems XXX range, basis the uncertainty to points sort interest elevated the Fed be XXX a right given

and sort time, interest uncertainties But move rate mortgages range. in I those that as over back volatility down, can more comfortably think of as subside comes

there's the but have range I a a mortgages that and positive on it uncertainty, over of number the the have think sign started But near now of still of top bumped do term, I off as stabilize. take a lot to occasions

will Our Morgan. JP from next come Rick with Shane question

about you're tax also to repositioning and up benefit the nice the to stack, little but bit talk securities reinvesting the that during talk this Can the stack, quarter And within little realizing I'd you a decisions, decision? talk long the as everybody, ultimately. you're sell guess, you yourself Thanks, within losses. that trade? tightening market substantial the spreads talk rotating the And bit morning. will like about by implications of you just from can extent, losses, as further you about tactical the to I saw Obviously, realized stack. to the and a to decisions some

our securities think a the that. or or of I realized right? appreciate end our way it loss unrealized all above whether perspective, income relatively mark-to-market, don't because component. through line other At that they're small from through available securities From sale. the our we one day, that's Yes. for But are a really or comprehensive have still about income statement, some a the the we -- mark-to-market are

think whether to don't decisions as or or realize we about not So unrealized. those

higher throughout the and give What we lot trade-off we returns is of going quarter has of the every coupons. us the mix return right we're moving the to least believe securities a that benefit, highest that the in trying which not And given us expected coupon up right? risk do do to is this the is day best in what of is are

to that the for will from to we us the continue continue perspective. we position quarter. during looking the position environment. current risk We're best always do sales in put a So likely a that that from gives management perspective a do ourselves to

really financial or we or if statement on the implications you decisions So about think don't to our will, based on and make decisions buy of tax securities. sell the appearance,

for Peter, what And And a very And you experience you following Great. very own stack. again, when potential then, even it's helpful the with instruments losses. selling about we've very, guys want thoughtful the guys externally you you where you to look, in were managed, there were -- long associated had were context. of different very, at time. incentives wanted to

Can little to to distress were do? you do I where there and about it's are of felt emerges were a like didn't that at things X bit you balance that sheet. sales. you quarter, talk you moments of you These I And looking clear, think, want the not in question the during what sort saw needed for think pretty

course And question. any you say steps quarter, position is in action. we had There moment answer what to wasn't if over that taking sentiment of actually started was in forced market that a late July. I of actually great first would shift a of that's because think the is pronounced a occurred And sort like about absolutely where there the our the that the No, felt a sort we not.

at July, And in market around weeks rate, the mentioned that the where think in treasury positive and market XXX both lower time. remarks, Chris was his X treasury treasury for bond I prepared really the 'XX, footing July as it first was XX-year actually rates, the of the for was

for -- and mentioned, mortgage as weeks. X tightened the Chris first spreads So actually

a started move the whole set So the footing on the really the thing market the from expectations motion about in and discussions good was ultimately, then was in what to until coming really about treasury out and term supply that. Fed premium

sort we time comfortable throughout So that were in leverage to illiquid were things that maintain actions August, of with. we the and were taking

Our leverage reported we above just never what really got at anything X.X%.

end just Our throughout high that been. cash XXs like month time. in it had was the position at each

So we position in we to we a day to a want were didn't do want didn't on where to. were we forced anything that never that

its Agency and in are in be experienced, trade in But MBS Agency particularly potentially are backing to the key MBS manager given in one-way tend itself And speaking, it in what at that market the that the with market MBS MBS now Agency the being on both or that is to extent running and balance I particular, leaves in market treasury why illiquid the banks, because away starting put this is market, securities. buyer -- as getting think in like right seller constraints community the of really reveal and off money just is the you challenge sheet. is times market, the the to the to the the underperform Fed I tend Agency down is very flows the market we treasury flows and think generally an at in

didn't move which that and sell sell, most pointed liquid the in out, be bond And are all. much can they And fixed when turned they fund very negative income that's at an get securities in as got bond simply to Agency get treasuries outflows. you when and outflow sentiment we September, redemptions, and funds just in, and Aaron August environment MBS. in turned corporates why, like flows And the

flow. It like was for unchanged. from yet managers spreads money environment a corporate one-way selling a the are pressure fact, great corporates, looks in In of coming relatively sort

quickly have to That stop subsided. direction. the will very other can seems move the market to and That

to position of do certainly that in actions as put to the quarter. take where with and is hedge we sort we a forced were on throughout with actions of comfortable sort try delta delever third try early never the we quarter. smaller take we on and portfolio, operating to time We in be were and case position go operating a these that the our we're for was not So

of is challenge doesn't that experienced permanent the are having to capital that has guess there decisions someone just to. make have have I outflows that you who

Well, that's right. challenge. exactly And the that's

have you decisions. sometimes And make to

For securities, don't the example, itself we lot more be made sell than securities decisions of do third come that which unfortunately, outlook perspective and also from you was to will they because starting will to adding maybe now. improvement like it a reveal a some during some spread a we're is are better times And cheap, at comfortable right quarter. there but when to the time

I've apologize, too taken I much time.

the appreciate question, Richard. I

will come question JMP Trevor Securities. Cranston next from Our with

about particular contain moment. additional significant the we conviction sort have for be range you the in MBS how of talked Can range the the sort demand if maybe You've sort weak widening. upper the given higher do could XX-year, much of the about of you were see, to example, of for you're you And talk picture, new of a another in for trading [indiscernible] move like buyer sort spreads. to at spreads in think seeing who

coming when that mean that seeing when supply, of bank market point the you're is it you And it came was question. the upper to of it's be were constraints, can out, What of shutdown. not appreciate when third came I -- growing we're from I a government do government going challenges have event. -- as effect it to particularly hold, not to end was that conviction breached. came quarter facing mortgage-related all right, follow-on doesn't when the the the that was the runoff, treasury potential to a events -- the it Yes, but It that range

lot to challenges can MBS. had with. more weakness to could further and treasury and was lead in those And There market that those challenges of back, a we contend can of Agency come have the that

So there's from could certainly here. that mortgage possibility the spreads widen

the that post I a about financial flip credit today to widening be U.S. fact when though, the even security trading sense The don't that doesn't has great U.S. the that, side that that quality crisis, of basis meaning why security is of is sustainable, It would agency MBS you Treasury. think think me government. full make XXX the points support over just the

that I now to over think and rotate Agency more in rotation being investors on into And over unlevered particularly this time, the going close I to the an foreseeable marginal question, MBS security, will particularly think demand and gives XX-year come gets corporate your and with unlevered X%, the fixed a and fixed basis, being for future is to MBS Agency products to close like lower X% coming that yield income income investment-grade risk. from other of you money out debt the

from we particular, And that. ultimately, corporates where MBS equities securities treasuries enter is period come for MBS The in demand from the will benefit and and to be going the come agency a that's U.S. will as the rotation rotation economy slowing. and Agency will marginal securities,

little money from MBS that's Agency return one excessive basis to XXX market is the ultimately, security But agency ultimately, is challenge why does physically points, range happen. to end upper difficult take a move hold. investors the think another to that's more MBS. incremental access. to have at that of And I People think will I The the time spread for for

from come will George with question next KBW. Our Bose

comments Thanks the dividend. for the on

another that it think of way us by leverage about it of for at noted is there, to terms kind look ROE the to is look In on I mean, the you the common.

sort X.X% ROE higher high-teens basis the spread the us is, your more or capital. if about not given we that points and advise of the of you leverage whatever thinking preferred as the math should the really a our adding So invested of gets by XXX kind do leverage, like be to but on

going for Right. to And It's is our right given you it that earn would to of an of the look to doing we I'm perspective. us us, capital. meaningful dividend X% with that point on earn? the at prepared give you're what around are to stock that dividend, cost the look from to comparison it's be what what's apples-to-apples on remarks why you a my entire look it important That can versus And you comparison. if our And capital. what does portfolio can got -- with that's -- Yes. that. that benefit was out at trying because fixed important on our preferred what it's I

now, stock. our that in will preferred And Right we're continue change. capital to over XX% relationship with of XX%, time, obviously, operating about

-- but calculation, the align, if again, XX% at get which that suggested, XX% referenced in So would third with the would you that the the low very quarter. end well like I just you of range, did you ROEs

of So makes perfect. mark-to-market. then in a decline value for after book sense. Yes, to the the that's XX% dividend, accruing it's a And right? just That confirm, lot like X.XX

And weaker, now. have as with that's some the for is than fact, later begun a it to ago XX% a released week gave week, point ago. reasons. of to you we them. found have last that mortgages numbers week reasonable about and I'll when yes, right was This market typically estimate normally than is happens that, in a our to mentioned, released number you improve But a week for them By be schedule just we opposed it and a XX% have as call I footing giving when was, out the tell because we the does. estimate. the is way, that what site But obviously, can would

BTIG. will question from Eric come final Hagen Our with

how about of follow-up of comfortable over valuation of think the you a and And time. just shorter even on that of with and and and right you're and from leverage structural what of between common leverage affects really preferred common guys and that now actually kind what kind longer how Maybe be just how retraces you periods kind -- maybe and think periods longer mix respect? again, might the to over, the the just stock that you leverage willing and tolerate

you. thank Yes,

XX%, ticked It's run, the for the It's Over overall cost that range XX to last and our much. absorbed of percent capital. does talking that our give gone last as preferred value the has right to by XX%, don't been that respect now I XX% us at up benefit operating quarters. in has you're low It up the with it longer quarter. the about in expect comfortable end has range. the of with we're we've around declined, mix book been several operated to common change

of But is the question, also on importantly, when we perspective, rate that of disclose, our to that. our management and spread sort sensitivities sensitivity I and from your sensitivity part and component think based sensitivities for think interest a the this of risk example, our you common about gets

overall are So sensitivity, our rate looking risk decisions at position, that making overall our management position about a from our a we position. liquidity of interest perspective, obviously, leverage driver we're how overall as and

the sensitivity it's at-risk look to think appropriate can total based only, that and why But tangible think being our you about out that your perspective, I we we want to leverage because permanent think way. I a to on that's use. capital break as risk capital base preferred on it common your from is

Yes, that sense. makes

and just in this getting envision anything high question towards the a the ratio the maybe you hedge looking Fed meeting posture on given even duration your hedging and a yield the the you're Just how going for week that gap can change shape forward. curve here of taking maybe

Yes.

that to of right hedging want portfolio, high mix the the your one gives to asset are, you start you do opportunity our with the question. the hedge me value of And think trying with portfolio. market we're a X purposes if changes, What to offset at you best X is you value achieve the that hedges about level, we're it think purposes. Let trying

it. of also and way portfolio, hedge there's give about the think to is objective another people think the that's cost But I most of that the funds. most you stable

In have you hedge a of to XXX% funds, same hedges. of order a is all the cost to of ratio, short-term your very debt amount with essentially have hedged stable have meaning notional

in in Chris because both achieves those to those important. a so moved because good the the variation quarter we of up in X-year the performance sort the purposes really prepared trying because the we're think a and across of hardly our both yield mentioned example there is in I moved. much X-year as a XX-year So this as the about much lot curve objectives of hedging the move find mix didn't was remarks, mortgage both third portfolio in When are

you a XX-year If X-year think the the the being of part about of duration exposure of key part curve rates, that can the the across of the part value and curve. market think you the will, about -- mortgage, broken down if curve, you X-year

sensitivity less the the took curve, and across to X-year be example, it broke portfolio back around the XX% like end for curve. to portfolio, would duration you down XX% would XX% and For our and our the the mortgage X-year of of the around you of mortgage the something be it about if

hedge hedges. and often a look -- the hedges, and are perspective, our We of say, at I notional has in. do XX% at from people they of notional example, portfolio, for X AGNC think short-term look years our a you well, If lot

think of our you portfolio, our of only part the curve. X-year But portfolio our the the about is of XX% about duration when hedge of market coming value sensitivity from

don't we of hedges. our a interest rate So sensitivity lot have short-term from

In amount fact, hedges. the perspective, will, a right you have just we X-year if from of model

sensitivity have XX% only of we our part hedge from curve. notional hedges, comes So X-year XX% of the our but

of out we to operated the a So you and ask ratio, purposes. think hedge about hedge because I try curve that really point the a as high those as mix achieve hedges both across ratio we've -- to with

more our now quarters talked to the hedges end We've several more of for that the moved we've about longer and curve. of

of duration more the years our continue exposure our expect is that of as fact, we his the remarks, of more. to duration and curve to curve And yield steepen mentioned or to we pause. hedge intermediate we as the part XX% in In portfolio of our X to likely Fed the will Chris longer of the move prepared expect

Again, meeting, is continuing economy direction. about that the And the fact, I next their at stay and the talk think outlook constant. they'll in Fed the I fact think will, this to move in

from So this move to don't in down don't be to the expect move. in I the east At next expect the the road. meaning, make ultimately the anymore. to at I Fed Fed all Fed expect any the I tighten fact,

time is will ease. actually as we in want expect Fed think, reflect XXXX, that, then would from starts lower and to Obviously, rates. pause ultimately, But the where decline get, further I fact, a in to point Fed as market, short-term portfolio out. closer does us hedge the think be the something benefit in with you But a operate the the ratio to that I to in over that

So hedges for of part now, we the our like having curve. longer more of in the

I rates think means. do our more come and hedge over I see the dollar ratio explanation that means on understand you time, give of sort what that And you'll important likely to portfolio of key down. We'll people for wanted shift. because our But notional to the I think what duration it's of the

We have question-and-answer to closing like over Federico for the to turn now the call Peter session. back concluded I'd remarks.

everybody's Thank fourth and time for again to you the the at you we of speaking to quarter. Well, on appreciate participating. end forward call look today, the

now concluded. Thank joining you has The the conference for call.

disconnect. now may You