Earnings call transcript Q1 2023

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Operator

Good morning, and welcome to the AGNC Investment Corporation First Quarter 2023 Shareholder Call. All participants will be in a listen-only mode. [Operator Instructions] After today's presentation, there will be an opportunity to ask questions. [Operator Instructions] Please note that this event is being recorded.

I would now like to turn the conference over to Katie Wisecarver, Investor Relations. ahead. go Please

Katie Wisecarver

for earnings all Investment first Corp.'s Thank joining XXXX call. quarter you AGNC

Actual begin, review meaning contains Before statement. like forward-looking to forward-looking Act by not I'd we to facts, historical Private impact All call the the such due statements and Act. the the harbor they constitute XXXX. to forecast corresponding subject Securities of are control differ recitations to of be Reform of This of within could the and slide provided safe the that, presentation protection the Reform those statements beyond materially outcomes statements results intended extent AGNC. many from are of factors conference harbor safe the Litigation to

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

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

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

Peter Federico

Katie. Thank you,

interest gave continuing November. increase value our led increase the bank led dramatically that challenging monetary a income half last to more a quarter fixed however, These securities material outlook, in quarter, repositioning rapid asset way mortgage-backed the Agency and the policy The environment volatility This performance the to of instability and first the net mid-February. macroeconomic rate conditions, began altered a of was momentum strong, favorable positive through of notable as of in in second very portfolios. investment the half regional and to in

net quarter-end. the As quarter by improvement a value decline turned in early the a into asset modest result, in strong our

data basis the points stronger-than-expected the meeting rate federal implied and February early of would tightening remain funds longer. XX was Following more futures likely market short-term XXX By fed terminal another January, approached raised points by March, Fed in rate X%, and rates the the at indicated indicating economic hikes for likely. were higher basis the that X by funds that

backdrop, early inverted differential to Against This curve yield aggressive meaningfully monetary basis this the became with March. points XXX yield negative curve yield in and ultimately more inverted X-year failure portfolio. repricing XX-year policy sharply and policy the reaching concerns outlook their raise unrealized bank led losses on of earnings serious asset Bank and monetary Valley drove expectations. to and These the Silicon abrupt about questions a dramatic treasury

uncertain highly the as this year peak cuts interest the by meaningful rate to banking increases, were the volatility over of crisis of remainder rate increased indicated Fed. environment, the rate expected rather levels. previously At uncertainty, the than In

MOVE the market XX-year treasury index, example, an As high. which volatility, reached a measures

in also single crisis. increasing Longer-term the the yield XX points the in financial on rates on similar March. great by volatile in and with XX-year points Short-term February yield the the volatility, day, dropping during XX rates X-year treasury treasury amount with day basis falling greatest interest the by any a a treasury experienced were basis unmatched

the MBS MBS. Agency Bank, performance of impacted adversely bank a became selling, volatility late on The this possibility quarter. in weighed also reality Valley with which Agency Predictably, Silicon

for supply uncertain. more and the Agency banking these MBS now Given demand issues, outlook is

sellers. be MBS of term, banks be not cases, will likely and, is near buyers the could meaningful that in it Over some

with XXX fixed Over basis a significant widening have April as between the XX-year historic points uniquely two since markets Agency pace. MBS the policy treasury, XXXX. impacted and current monetary the spread MBS a at been years, income Fed last the the tightened repricing the experienced coupon

believe XX stages levels and emerging. range well we are us. at is late about that remain average repricing cycle return the spreads with tightening these levels is the in investors meaningful Such we a Importantly, the double of and trading compelling years. this this until could think specifically, new incremental last behind More spread is provide

MBS volatility We uncertainty compensate priced and investors markets for Agency today. attractively that and MBS are agency the treasury adequately and also the characterized believe U.S.

credit treasuries. highest seeking MBS alternative In Agency provide return, the a addition compelling for quality and incremental U.S. investors to

tightening. outlook portfolio that our and continues generate last A is our positive. very a mentioned optimism and be belief March, can encountered quarter of headwinds returns driver path But that. stability not this first is that we spread quarter, line good is to key to we the at in current the the levels straight As our of valuation without despite reminder a mid-teen

of Agency buyer world's the and XX we years, most of MBS. have sensitive much competed the For price and with last largest

valuations now appear to repositioned remain in historically time. some that Agency one of at attractive position dedicated sheets, the Fed vehicles being way are poised and balance favorable the of MBS their banks permanent to few for the As ourselves and a time we capital find when

conservatively rate Also market. important, to is hedged our exposure is mark unlike portfolio our fully and interest banks,

As priced are XXXX, similar which making very such, favorable in attractive when you levels, opportunity one levered historically buying AGNC was valuation into at and most of today's to this portfolio invest hedged you AGNC's a periods. today,

discuss detail. to greater Bernie the in turn With our I that, now Bell to over will results financial call

Bernie Bell

you, Peter. Thank

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

last of down about book X% April. tangible Friday, As net was value for

occurred reduction equity, fourth were down X.X This from in of $XXX asset book opportunistically as addition raised at-the-market times end issuance of of million to our our through quarter the the during X.X balance and a tangible at value. levels driven the meaningfully at that the of was common offering accretive equity Leverage by the times quarter program. quarter,

Our quarter to X.X average leverage fourth compared the times tangible quarter. equity times X.X was for the for

from for quarter, hedges. fixed the and and share and MBS decline we As cash per billion the totaling unencumbered had per unencumbered or income $X.X credit swap our roll to the quarter longer-term $XX of of Agency and spread addition $X.XX higher fourth million of funding pay was somewhat new quarter-end, XX% catch-up $X.XX primarily equity, excluding securities. due of Net tangible of share amortization a cost dollar

life forward the at from the coupon consistent to of X.X%. average increased rates projected a average higher CPR in portfolio. the the CPRs moderately the lower quarter declined X.X% quarter of portfolio our in quarter-end, our and with mortgage Lastly, as for prior end XX% to Actual

to turn Chris to the market. Kuehl call the mortgage I'll over now discuss Agency

Chris Kuehl

Thanks, Bernie.

and ended Fed release But for quarter and of rate around carried on for January, Agency much economic The in from repricing the marked consensus the Fed further expectations volatility. of data, lower the month a for rate strongest through turn, extreme first was leading abruptly policy for tailwind that performance. months of expectations February the volatility policy material by of outlook in tightening. The one record with to tailwind growing over MBS stronger-than-anticipated year-end of

the basis Agency half the materially priced coupons as the varied appears to X.X%, and Signature backdrop, with this through the the failures materially of XXs. XX Against well market this degree. the a the widened interest Performance more and coupon coupons, in Silicon quarter. coupons as rallied of Higher Xs From X.X% outperforming coupons MBS considerably with rates in perspective, in Bank Valley the lower In across approximately March sympathy occurred. challenging in following underperformed underperforming through quarter production supply what Bank. benign actually and second shock more total, than stack quarter impending much lesser hedges early lower points although

the of system, relatively have that quarter-end, is XX-year Given and and treasuries. not system volatility basis intra the related appears wider Agency rate underperformed. the approximately data policy somewhat the contagion Fed in in and concerns and materially XX mortgages level banking of volatility points XXX terminal extreme rates. X- overhang FDIC banking the it declined a for regional subsided surprising has support Since spreads as rate from quarter economic the basis failures coupon to par quarter-end driven nearing of Despite since has supply bank blend common points markets, a to stress

billion MBS $XX.X to portfolio Agency at the March down as to lower MBS adjusted as the of enhance market flexibility the $XX.X leverage highly from of we result start a volatile as add year of Our Agency to XX, environment. billion declined

over these of $X our specified quarter, lagged AGNC's implied approximately a by took holdings levels billion billion. generally by roll advantage valuations weaker position We financing the weak TBA while relatively $X specified reducing Despite by little pool increasing performance. performance pool during TBA

With coupon the gradually respect coupon increasing weighted we average portfolio with basis of to the our to points up XX move the in approximately continued positioning, quarter. during coupon

years. totaled our hedge As portfolio XX, $XX.X the and was gap March billion of duration X.X

declined consistent of that expectation cycle. Our XXX%, are we hedge to stage tightening Fed ratio the the nearing with terminal the

where have yield composition pronounced of first effort share to in discussed, address most and while the we dated intermediate curve we we treasuries longer-term hedge hedges. risk This was longer of of in portfolio to our steepening. gradually the treasury-based added short shift holdings maintaining a treasury expected greater towards And position the a as in hedges continued our term a quarter

prepayment markets attractive MBS combination extraordinarily we wide Looking of ahead, the spreads, what durable funding earnings creates robust for be and environment. Agency believe an to and risk low

call markets. I'll the to now the Aaron turn non-Agency over discuss to

Aaron Pas

Chris. Thanks,

U.K. of were outlook whole, shifting basis indices [local] what behaved. occurred failures, Considering credit in quarter. and to well CDX in the These tighter the bank following grade wides late the the were, crisis inflation and widen two volatility, XX spreads high performance interest significantly put on perspective, rate respectively. the than well during in as days yield liability-driven the (ph) points, the investment large the economic as failure third SVB, To the investment XXX and fairly significant

at compared both (ph) as [X/XX] addition, In to year-end. were tighter

prices reduced forced the rates towards likely helped prices the for complex. better Post rising spread curve provided dampen drove rally product the selling and and spread large September, bond SVB, credit performance bolstering to in first benchmark with support the Unlike bond across the widening. performance. lower, spread This bonds spreads deleveraging of falling rates or credit contributed when both and quarter for end

the Consistent credit residential in well quarter. these spreads themes, with performed first

favorite seasoned in On as closed the more to of results the in as likely classes. over still quarter, meaningfully. other sensitivity a prior largely moderate out pockets term conservative will This class tightened credit a be asset credit increase or while CRT The in space is residential to by residential and the unchanged asset run, even CRT concerns tighter low unemployment. The shocks slightly play LTVs supported small space reduced housing a mark-to-market in underwriting. whole near

and Turning our The at non-Agency by ended $XXX AAA the Agency us as billion, to quarter MBS sales $X.X funding majority a was hold. our outlook, flows wide CMBS. a back investments commercial With grade holdings, less year-end. decline and cash MBS decline of valuations, stronger of high Agency for the surrogate have from such portfolio of million become driven residential to for relative attractive approximately

to was changed little the quarter first due and well CRT portfolio holdings. composition our in of performed Our the

high allocation to GSEs. the to capital provide maintain that relief to bonds no a little continue We of

the protection is over the attempt extinguish levels. this at such, above securities our expectation prevailing As tendering GSEs for time market by to to

CRT. In announced Mae fact, just seasoned tender the for yesterday, Fannie

tenders We of total these our this for returns portion to favorable expect drive whole.

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

Peter Federico

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

Operator

first ahead with the [Operator our begin And Rick Please session. from with Shane question-and-answer your We Morgan. will now go question question. Instructions] come will here J.P.

Rick Shane

aggressively now clear everybody, confusing strategy levering for Good once little you easier to suspect a up at question. will market thanks I hedge rates. the when see this weigh for signals portfolio bit the in obviously balance in there's a direction? and my to environment, really right more the taking you the Look, in direction. you terms a Can what morning, manage we're look a about of lot and taking talk crossroads how you

Peter Federico

cycle cycle that to miss pause if that's out, question But talk likely of and and Thank meeting of XX sort at a first is Sure. think expected environment about of or is Fed going you good to lot some really I a let tightening basis the or move. right to challenging and sort more. of might pause you We're think with. leave of about it here, the they I you I points a things There's be at just leverage the when issue for to question, It's it, some it simply it. tightening and next so Fed raised Rick. think the ask the me I is last the the sort whether raise end end it's start

credit you system confronted So, concern that it's that you to issue the market and when cause last going that the is of fact September, to act in so, and in not we down and far about as March. economy instability policy. now will, in that go too happened And the material availability tightening surprising that the sensitive you it occurred the was really impact right think ultimately Fed have if the Fed on they've look clear market break the now that in market and destabilized think slow the concerns the go monetary is I banking that something understands now. the financial And the a really ultimately forward, that as and a system ultimately would the and back made

the I process. think we're end So, that of near

had to is of obviously a of remarks, quarter. also in we We we we one stabilization fairly uncertainty that are starting good reasons for banking instability maintained as which that's his think I in the March the assets position. see very Chris the actually everybody. net why sort in some leverage that, system, some mentioned during deal prepared sold But defensive with and and to

manage used accretively our our to As leverage desired position. help ATM we mentioned, Bernie

So, that our worked to beneficial think shareholders. I out

think there's of opportunities put position, we be to in the outlook, and that those. liquidity going And put I ourselves I of given lot And the flexibility. to positioned where gets sort now ourselves importantly we well we have this take that of we're leverage position think position, our -- mortgage really think given arise the in a I our and advantage to market, a

fairly how though, think this tried point because in on and I and another prepared of I changing leverage by will think for environment to They're us our Now going is with we this And which what generally feel unique so But key these that curve. really foreseeable really adjust makes touch levels, measure to returns. them generate you it's -- to our and near-term don't portfolio across opportunity likely I area future. meaningfully anybody's be an to this spreads And any likely can at remain to look this and that time. think remain stable are so I respect remain, favorable to going the at going attractive speaking, cheap think my is to urgency remarks are spreads over this in we really as regardless sense in our profile portfolio meantime, gives of area. the said, in patient I the

going a us fairly I lot to gives period repricing think a we're of we're time really we the So, flexibility. here And stay meaningful think end of this that of and sort of at process. for

comments hedging, cycle. our the to couple to] bring change because A of end the of tightening numbers, in hedge with be of seen as (ph) as We composition [regard mentioned, can did you did up. start some the that portfolio with the our coming Fed of and Chris consistent to

has the happen. Fed cycle, opposite curve the the as started tightening the about and yield hedges to portion a that would As greater which we because happen, the the we easing shifted to clearly this, have to in of wanted a the cycle cycle, to it of invert, part to did. our comes an curve to from Fed we expected front talked end of we And expect

steepen curve the of more. We yield expect and the market the to ultimately rally end front to

to And so, lower we'll ratio. in hedge that with Chris environment, likely down mentioned a operate went it XXX%.

exposure curve little would we and to benefit under actually bit portfolio. our we'll a sit it's greater a of we steepening more so XXX%, hedge operate yield share that hedges have As that with longer-term the today, likely and

So, let and any. you if a follow-up, I'll is there ask pause there

Rick Shane

baton. very will answer, I helpful, the great pass and No,

Peter Federico

it, All right. Rick. Appreciate

Operator

with come will question from Trevor ahead question. next Securities. Please with your go Our Cranston JMP

Trevor Cranston

Good thanks. Hey, morning.

Peter Federico

Trevor. morning, Good

Trevor Cranston

might comments A coming made about is of about that banks much sales follow-up have the as right that guys failed to is to how additional think market? widening like versus you capacity much much have portfolio actually we see those they how come Thanks. already sales to now? buyer talk who as And market. Can -- you how on much see the priced how you of marginal you absorb and the in

Peter Federico

Chris. and just start I'll to pass it then Yes, let me over

to market market. digest selling expectations ultimately what the now enough it bit information. Chris little and well I composition pretty has to the and they're time will was come that different understood about that a can the exactly think initially, had talk It's than

and value, job has to really how make that suspect according market adjust them I take time. and maximize going that take to think liquidity dispose essentially are going demand year. part assets. FDIC that's and of respect But will, they to is important I a lightly, conditions the in to BlackRock shows good tread they doing it with if they'll long done of they a to you to these going the up. the clear working this And It's with as better so,

But be a talk that. and about there in I bit think opportunities could that little some can portfolio, Chris

Chris Kuehl

feared. the pace nine The expected And There's by add, the of longer market month, liquidation bit sold $X are that expected said, a learned feared pace so, $X.X what is sold in per billion mean, pace around a class. and to thing CMOs of to some be or pass-throughs $XX billion asset $X the at of and a billion sales I at than the for I'd to we composition had billion what per pace maybe week roughly was month. $XX in only eight least be last likely Peter billion around months. to at that are as

that's CMBS in So there's of little a billion year. and over $X And billion $XX then, munis. a

this Lower event. coupons widened up materially to

would I well. of so, pretty the say, I And to would sort trade expect generic pass-throughs XX-year

I categories to with could We'll that very the wide could as have categories at pay-ups that very on We'll holdings out. list are are position engaged certainly that at within There few CMO the trade few come trade think a they wide pass-through within also see. the spreads. trade levels. there be

of The to traded week have well. things first last We'll list how go. round see

the also they be Peter with that But suggested going should the disclosure, and some minimize said, as FDIC But to in does market us. given want that and liquidity less opportunities impacts adverse for sectors liquid functioning some of consider trading conditions had language day. any there they're on the on market-friendly to some

Peter Federico

buyer And of to in of Trevor, activity. key the you environment asked continue Bank mortgage the just to coupons more XX% and low the this is these buyer marginal money to index coupons. about made managers. The Silicon is low marginal be add, Obviously, Valley up than going portfolios,

buyers going key managers be mortgages going money are the the of to So, the forward margin. at

some I market. think banks could, large into come back at the point,

mortgage-backed of importantly, we to think that last the to I think I months. out several some treasuries into Agency a more rotation continue securities. But be of see to started over there's And going

MBS an that is for unlevered I demand basis growing. think Agency there's absolute on

of the formation over BlackRock an of have that gained the ETF. last a months. that occurred. asset see think has ETFs six DoubleLine you lot initiated value in agency the I ETF

continue to market, think dynamic. make there's that that to it's to think Agency time, fixed will the into So, MBS I be for going continue positive but -- take sets income up a way demand just to its will but I that demand going

Trevor Cranston

sense. makes that Yeah,

Okay. Thank you, guys.

Peter Federico

Trevor. you, Thank

Operator

Please Doug will And come with go Suisse. ahead Harter with our next question Credit your question. from

Doug Harter

debt Can kind time? prepared funding of markets. Thanks. kind of kind remarks, In you that of the your seeing talk how you how markets mentioned around just about favorable you're thinking and funding about you're ceiling

Peter Federico

Agency in Doug. in basis. materially so MBS uniquely any things the obviously still Sure. compelling his disruptions a funding of Chris mentioned that Agency makes question, are haven't Agency for MBS. prepared spreads the really for the and that one positive that's And that morning. value Thanks on Good wider relative We market. funding seen remarks the is

long-term So that's positive really us. factor a for

amount Looking the markets Agency there that money back any expect at repo the a impact quarter, in little ceiling There's of U.S. MBS was treasuries of the of in the Agency at don't really on the reverse disruption mortgage very still for debt market amount to system, relatively in for have repo be the the liquidity. liquidity or money to volatility of money the The first lot duration for facility the that market. don't I an why that's in debt rate there's the that of funding signals reasons with treasuries, at but in me interest plenty It with small gap. the we're to issue may the repo ceiling sort markets. Fed an I respect operating of to expect one be issue a markets. matter.

to exposure get interest keep our this resolved. rate continue low. We'll issue debt ceiling ultimately And will

enough mature it the be it solution I think in know market gone fact be a But has market not, that price this be enough can times to through will it's if the ultimately the quick. Hopefully, resolved. think found is will will that I found. and

Doug Harter

you. Thank Great.

Peter Federico

Sure. Thanks question. the for

Operator

will question next Please with with Bose ahead George go KBW. from come question. our And your

Bose George

Hey guys, good morning.

Peter Federico

Bose. morning, Good

Bose George

Agency your could into you end you range sort noted spreads up? things talk a about where in MBS. in nominal of in a trading you just think comments, Can little more that Peter, new of terms

Peter Federico

cheap or swap on Agency Sure. MBS, on Bose, hedges. lot mortgages or Well, or they're at you a is dependent this look you you all treasuries MBS it's XX-year at can when of differences sort you the curve hedges by But of a -- point measures. look look you because at times what's it where Agency -- X-year interesting, you you when use whether meaningful when point hedges at have whether use today, spreads, really

points XXX spreads and points. are to the look market, you at between the treasury basis XXX XX-years if somewhere example, in For basis X-years

SOFR look XXX points. XX-years, they're XXX it, X-years mortgages market to to basis points basis against you at If

at probably range. XXX XXX everybody to think I mortgage and the market why points that's said, So looks in basis the they're basis point

here. Ultimately, spreads I will from tighten think

I think come of that is in double, trade about XXX-ish if think time. of why you period double And number can XX the basis XX-year, that's that to they range that number think the that obviously that's about that reason I for the sort versus spreads points we've years. experienced I is this about some the for last a

So of but that's additional for compensation the meaningfully that's a treasury. credit same lot wider, quality as U.S. the

think at quality really So, a it, and at if X.XX% looking earn think XX about same that's you're the can X.X% XX-year I you duration shorter the year, treasury than actually for compelling. for credit that's a

a investors policy monetary think this policy environment of that economic here we surprising uncertainty not return. given uncertainty. and requires the I in are higher It's amount

pause be I period. next going through highly how is to this for the going to progress sensitive the think market until Fed economic to it's is the data several months clear

from still where range. it I -- if tighter wider this spreads they spreads, keeps say today, than I now XX historical in they're they're months meaningfully but think you than wider So, than averages. are But me ask are would

Bose George

Okay, then... sense. Thanks. makes great. And That

Peter Federico

good for that's that's really think Sure. mean, earnings Bose, set point environment. just up very a and I that, message the is -- yeah, key really that I just does I the think

I'm go So, ahead. sorry,

Bose George

absolutely. no, makes That sense. Yeah, Thanks.

the was I quarter? -- end put think the on position you I had, and long question what you driver referred the of treasury other of but briefly, that to treasury The guys this

Peter Federico

hedges. back repositioning gets perspective from to really that yield Well, Yeah. our a curve

quarter. During things occurring to given things the very quickly, a during We positive duration achieve wanted the so that quarter, gap started late the to move wanted the rally obviously, two we was to quarter. in maintain

allowing benefit more mortgage from spread to So, rally rally in give and environment widening occurring to a that a spread we us were do rebalanced to the was by and -- widening adding against able that. we us duration protection

maintain longer-term same wanted and -- to time, hedges to to our continue shorter-term there, X-years we short-term in, hedges. intermediate I'd And reduce and say, from hedges our at the

-- the So our in we to thus those a position exposure treasuries steepening. treasuries, that giving buying achieve objectives, actually objective to ended both of maintaining us curve up while X-year short yield XX-year curve

Over continue with hedge behind position, idea aggregate was move. was the that that it time, we'll but adjust So, that. consistent to our

Bose George

Thanks a lot. Okay, great.

Peter Federico

Sure.

Operator

from And Eric with will your question. our next ahead come question with Hagen Please BTIG. go

Peter Federico

morning, Eric. Good

Eric Hagen

Hey, other And mortgages your be cheap morning, also reintroduce from diversify think, thanks. those any hedges. fixed on looks extract the hedging? those could Good appetite like there to rates, versus in I income bonds. of explored Is types you hedges, have assets but past, to value follow-up, It the opportunities guys. interest corporate Quick conditions. like guys

Peter Federico

really considerably reduced compelling. increased fixed the why product. Agency And We agencies Chris market. our talked other relative reasons Aaron less both that makes $XXX Yeah, things is small meaningful, right actually particularly fact the Eric, of that's one one a CDX widened which not there to what in is. That's the an be that have could to and non-Agency on of it's income there and have the position million, we've it's exposure, opportunity of little given that to that IG hedge so now but about, a than allocation more spread our do particularly that, portfolio us

be there. there So, opportunities could some

Eric Hagen

that are, hear. with with With this to to good being market that's uncertainty as like spreads as being Yes, creates already feel you that being there's wide limitations wide. Does spreads they any around -- still this the liquidity margin estimate have in an are call much post might for that, more been, to leverage for when spreads? it, tighter a top how given today? or move versus there than you need on And of is spreads operating they

Peter Federico

they there to I refer that take we're is positive is sort this new post-great as operating Sure. near, one is your I emerging. I that a as point wides financial wider. sort and things And it, a What call materially of why the be I of could a of would take range say risk is the and that it

a I you sufficient is establishing Agency from and I sort attract bound fixed income market six, think and now the five, we've market. think when is now not of that you go back couple upper we're buyers the months, it from far of times to to that seven to September the look now we're experienced MBS

in We've January I rotation the key. but income, they're that's but it it and fixed still billion MBS. in think They broadly to That's the March. were And with bond going particular continue. inflows. the positive both to in fund seen February. They've close $XX slowed, we just in into see Agency

spreads that levels. think stabilize at to I helps these

I of amount income. incremental think that's sufficient

that. got you and There's I'll to position. that We our answer the have sort we question leverage But in risk. So, be about liquidity careful position -- doubt our to position capacity. about of for no your in when

about price have of would quarter, sensitivity, billion XX unencumbered. at movement we of XX% to, our or points of (ph). price of the or XX% [NLD] liquidity end around our about the a had equal from of $X.X Today We be basis

unencumbered So, we capacity withstand adverse of to have a lot move. an spread

that. unencumbered probably around lot have of And in of absorb turn worth wanted a also we leverage higher neighborhood unencumbered to capacity X% each you leverage operate capacity. think is When the if to something of we about of

We'd way, turn our to leverage, capacity If spread to perspective, unencumbered So, lot -- when additional about of we only about a if down have you operate still -- we have operate go said one think have moves X%. were about from withstand we higher were in would another from that here. we it to of XX% capacity.

Eric Hagen

you, guys. helpful much. very really Thank detail. Thank you is That

Peter Federico

righty. All

Operator

UBS. Vilas come question. Please And ahead go our from with with last Abraham question your will

Vilas Abraham

there of you for the on on I than Hey, did specialness just of has quarter, like the looks everyone. but wanted the the the just bit all you the to your get curious It Thanks book, just cadence a end thoughts disappeared. was on your outlook QX, see how because that manage in period lower TBA And there. question. taking average.

Peter Federico

Yes.

just sure -- the book? question TBA your correctly, So, of was in heard I to your question it specialness make on the size TBA

Vilas Abraham

Yes.

Peter Federico

Okay, great. Chris?

Chris Kuehl

our and a generally lack and activity which fine. with rates add They Agency really likely relative away rolls vary lower wide So, spreads that given how in be didn't to weaker value traded MBS (ph) other Implied surprising bid, going all of rolls just versus financing traded a much what's asset now QX, every QX. right small pretty in the base in given are REMIC class. repo will isn't much short pretty to [tacticals]

around likely longer over it's consistent historical average to points X run, norms. that with basis points through repo XX think they'll the basis I

carry it's couple position, than a current what averaged likely over last we've significant continue we'll smaller the given so, but TBA to years of specialness. And levels of

quarter. the I $X quarter, pools the specified in over an Again -- add to versus first little added, like billion. some had incredibly TBA opportunities mentioned, a good position. In We as a it volatile was quarter our we

investor tends that participation so in and activity origination list. to And reduce

implied specified so, traded to expected generally pay-ups weaker relative duration values. And pool their

position, we're some so, And that size of opportunistic gives it's project, good and with pools it, able versus trade-offs insight we you advantage that of to the difficult to TBA take TBA. think but hopefully the The that characteristics convexity add position, about. into an

Vilas Abraham

one Thanks. And more. just then, helpful. That's

So, are return the guys constructive on you here. opportunity

favorable opportunity. sustained while, these is And you obviously I think given stock remain now above your of a right spreads little could a kind for levels book. at multiple

So, than aggressive about stock more not a there of raising, any here? think where would your of for why be valuation that bit less other kind dynamic unpredictable just as about And helpful. go? more than do thing you and be how may So, little you that your probably spread given equity appetite just is thoughts think that

Peter Federico

that to point environment a think a traded have it's we to raise good such because and you I And we're it's at consistently environment. and Yeah, favorable earnings value. continue the consistent in book I expect our premium a that with

on If at today, levels. valuation you're a if portfolio attractive fully you at buying think about buying basis, portfolio in mark-to-market into our go-forward you're a our really portfolio

basis the strong. really go-forward on a earnings expectation of is the So, portfolio

obviously it's As dividend. It from mid-teens. And perspective. encouraging our can I that's talked support about, price-to-book a

managing no try But need But certainly for it will there's being our with way The the leverage it's and our leverage actually our by lose I appetite use to the and first larger. to our great is we it's large. quarter. for raise same it's with it. of I like opportunistically capital operating the out accretively if of -- larger. tactical to raise laid that not the accretive would that, we simply shareholders. we too of don't capital back raise flexibility will the to before. context scale, We're in desired assets have just in buy also being and we're leverage consistent consider capital markets of sake the trying consistent we We describe it as capital our we sort sake use long as want our to But want going be for to being great used able efficiency. for feel the We principles of profile with time, at If existing capital

Vilas Abraham

you. it. Thank Got

Peter Federico

Sure.

Operator

with with And we another question Bose do from George your go Please have follow-up. KBW. ahead

Bose George

was Hey, answered. guys. covered. about the question Peter, that dividend, to well noted then it's I but ask Actually you was going my

So, set. all Thanks. I'm

Peter Federico

that's the is very go-forward economic the with so our there. really consistent Yeah, comfortable really is that we're key dividends, earnings

Bose George

a guys. Great. lot, Thanks

Peter Federico

Sure.

Operator

now And over that question-and-answer conclude back I'd closing to turn for like our the Peter call will to remarks. Federico session.

Peter Federico

today, talking participation you again and we next everybody's to quarter. appreciate we to Well, look forward

Operator

the joining call today. for you Thank

your now lines. may disconnect You

AGNC Investment (AGNC) 25 Apr 232023 Q1 Earnings call transcript