AGNC - Earnings call transcript Q2 2024

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Operator

Good morning, and welcome to the AGNC Investment Corp.

Second Quarter 2024 Shareholder Call. [Operator Instructions]. Please note, this event is being recorded. I would now like to turn the conference over to Katie Turlington in Investor Relations. Please go ahead.

Katherine Turlington

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

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

Peter Federico

The report. interest change episodes quarter, XXX each the points. points inflation the during more quarter you volatility quarter moderating. just backdrop for just drove basis case example, income the outlooks, quarter thank spreads weakening, From market were and each of clearly earnings rates economic AGNC's the consumer inflation data for and slowing balance, release mortgage-backed fourth moving in monetary adopt Federal experienced The markets the morning, and strong second that On XX market conditions. This intra-quarter policy sharply Reserve Reserve XXXX and monetary a to Federal quarter look showed accommodative second carries but before driving reacting fixed was as were elevated of In labor and confidence monetary aggregate, participants economic call. labor became policy treasury, In and that current widened, in income sharp XX-year joining second increased. long-run cumulative higher was to security and basis was with edged a Good the the than as measures X%. this more Fed's seeks confidence under economy was agency our better Nevertheless, development. indications most greater spreads target. that and momentum the abated a in that and perspective, diverging daily rally balance and fixed several policy began for and quarter toward unwilling easing more yield the the a into sell-off the monetary rates of inflation ended Fed the trending welcome return economic importantly, higher, negative the interest this stance. Against was policy cautious importance the spending environment, of

demand dynamics. was the and between evolving quarter MBS, supply a and second pull Agency push For

second from widening position. quarter, mortgage MBS end The range. the On the and bond but given moderated at already remained associated expected steady funds demand of first side, the quarter spreads trading while the demand tighter bank of weakening of the limited recent overweighed demand was demand modest spreads in and ended an as somewhat foreign also

often supply the year. On side, the to was of quarter. first notable was quarter lead the quarter, case of especially the second the in the second heavy last with during indeed mortgage week supply $XX the quarter. year supply a in of favorable billion seasonal dynamics the the pace double uptick This this Supply in in

that a to a of coupons, Agency greatest X Xs last widening widened As points widening supply. X.X spread coupon portion days namely occurring given to of the spread over result, spreads the uptick quarter. Production and basis experienced good with treasuries MBS several in the stack the XX across the

MBS trade spread the Importantly, narrow in over continue however, months. same Agency has to emerged X the that range relatively last

similar XXX XXX coupon, recent points hedges. current and been combination range has hedges, in the swap trading blend For of XXX and points. Spreads end and basis to X- basis basis XXX middle to were XXX that points, to respectively, range. a right swaps at XX-year treasury has range of to been of XXX quarter the that Using a treasuries the

to continued the in be monetary rate showed years. projections will occur a monetary toward short-term next should over recent summary as Agency a favorable moving continue likely cycle. range-bound positive economic view Fed of this for the point, this trading and of total policy be beginning the next shift of X more cuts a forecast behavior the data X viewed We several its more very To policy most MBS. rate months the new, of to Since a end, accommodative has over quarter as economic Fed development stance. That supportive

decline, will the rate rate be and higher some least the the at broadly. interest MBS meaningfully become market developments of yield specifically income risk a of more for As will rates positive and cuts steepen. reality, all will will volatility decline these These Agency fixed for curve

will prepayment supply us of a affordability incremental reason At to meaningful U.S. with optimism. corporate speeds, light for Lastly, a MBS from the and continue over persistent previous of levels. the give slow of MBS provide valuation net long-term MBS yield at and the remain fundamentals expectations. both and investors remain likely relative very same the treasuries to amount historically investment-grade Agency debt intermediate for demand below term Agency Agency In time, current favorable challenges perspective,

For our we the greater to the these to reasons, over that, optimistic continue returns detail. prospects turn business. our and very future results With now to the both Bell call in current Bernie discuss financial be for I will about

Bernice Bell

Peter. Thank you,

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

basis share. The modestly late with approximately the portfolio an in average of dividend equity of deducting of in our quarter X.Xx per for increase strong net book basis an XX% yield the cash to the as with increased last drove factors QX share projected roll prior accrual. our $X.XX Seasonal costs the same Leverage remained share in our under average increase rates, QX. the the the XX was our quarter at of of July, tangible income our the as week, value average very up for liquidity per tangible of spread quarter MBS was XXX points our from time, for life end. Consistent decrease the spread, X% of our as to XXX unencumbered actual portfolio. per X.X%. for just points after remained $X.X our quarter on our basis at quarter. X% and or asset for to At and quarter $X.XX to points higher monthly As CPRs for CPR interest dividend end swap increase due equity the the of rate the above decreased than X.X%, from Net interest quarter offset up in billion X.Xx tangible a Agency quarter to more about as or for for decline dollar end of X.X% net well

we second our offering the million issued equity $XXX in common program. of quarter, Lastly, aftermarket through

create the in and book market. call Our management a now invested to ability issued turn stock and at incremental provides Chris for the stockholders that, capital And assets. the accretion. In we mortgage premium over attractively to value priced those proceeds agency Kuehl opportunistically quarter, through price-to-book value framework second I'll earnings substantial to us the existing with discuss

Christopher Kuehl

with Thank data economic similar economic progress against first April sentiment. start you, Fed the expectations data ways, also easing Fed's of the and Fed second income the Powell objective. Bernie. turned inflation expressing for recent in repricing lower quarter to the its perspective, caused in market From quarter a XXXX. rhetoric heavily Fed fixed quarter many in disappointment in influencing market to Strong at was macro with Chair the hawkish the expectations the

as upper macro nonfarm market in moved the year-to-date X.X% late early Notably, yields a June in range inflation dynamics, payroll from X% sentiment just Market April to April. These data. As June. over labor in reaching through with negatively volatility the increased in X.X% impacted performance following MBS release result, coupled XX-year seasonal the weaker and quarter. the end however, Agency and rate supply shifted, higher ultimately in May headline and increased unemployment of

prices. on dual more and balanced mandate maximum for reports Fed's favorable CPI and a in stable both of and labor data May employment Softer June focus allowed market the

treasury result year. including The firmly rates tapering a decision periods volatility Fed a begin in Despite next the growing most As MBS rate did a income start that is range the negative of and bank in seen a by Fed's data during stability economic elevated couple performance much This MBS consensus quarter. yields of importantly, inflows months. and encouraging Agency may traded normalizing fixed deposits, the of much Agency stronger last year-to-date. tighter over many result, rooted and to QT, end retraced partially factors, is they high-grade than spreads stress the of the in

we to quarter, And added During a in as $XX increased billion portfolio of investment June approximately XX. the the as second billion Agency result, $X MBS.

opportunistically most weaker, $X $X categories. approximately which of position declined in specified TBA traded and conventional rolls lower added in Our billion pools, by billion, pay-up as somewhat we

roll TBA rates June to remained attractive offer significant Ginnie aggregate versus largely in repo of were holdings continued Our Mae implied unchanged as XX and financing as advantage funding. a valuations

to June the to increased of hedge asset in as largely due portfolio. Our portfolio increase billion XX, our $XX.X

we composition quarter, second the hedge swap-based of continued to gradually shift allocation to a During heavier hedges. the

swap-based on represent duration a basis. of portfolio XX% approximately our result, dollars a hedge currently As hedges

were hedges drag performance points our in swap-based basis book X Our across a as to quarter curve. X value the second yield spreads tightened swap on the

liquid in will agency spreads for MBS the environment markets. I'll as create turn remains volatility in over levels Aaron of the favorable of discuss prepayment earnings low discussed, likely risk historically to the but continue to to policy nature markets. very non- financing data-dependent wide Lastly, Fed Peter with now call the markets, agency

Aaron Pas

with softer firmer. you, backdrop spread generally a others high the products while product credit at marginally, widening during to with test in Chris. and a weakened the improving local performance the performance led credit employment divergent ratings in highs. the Credit outlook, Thank Early quarter, market was combined in of of structured spreads some Subsequently, inflation the products rates quarter mixed relatively across as were the areas bit second issuance quarter.

Credit in by respectively. an have noted trends in be with the delinquency over auto income currently and fundamentals saw bifurcated reflected just are card base. approximately households households by appear QX, tightening consistent increasing basis and we indicator rates. Conversely, to in synthetic indices and retrace we the spreads as a quarter. income of good grade widened points, wealthier credit or reasonably widening XX remain credit As high-yield loan Lower investment showing half stretched the of consumer This first past shape. higher X

portfolio. our to Turning

largely portfolio quarter was ended million, This offers participation its prior in by the of and $XXX from Our outstanding our roughly end. driven at XX% anticipated for securities. tender primarily quarter the securities credit risk GSE non-agency the down decline transfer

portion a QX. In capital. off portfolio, holdings in both able of the a opportunistically were significant our portion CMBS paid paid the down or Additionally, non-Agency of to segments freed-up we redeploy of

the standards. historical that, by Peter. to landscape Lastly, and hand I'll attractive non-agency back remains relatively funding for stable securities the With call

Peter Federico

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

Operator

[Operator Crispin from with Instructions] Sandler. Our question Love Piper first comes

Crispin Love

of and the past versus election. how in both with January a might and might be the or you Presidential And you Agency positioning, impact ramping What for and you Peter, your impact pre MBS investment you've in unfavorable what election elections? volatility on impact discuss seat? post-election Can up post might of how from just election to you cycle what just the could How election then the regulation? expect Trump more expect Harris kind just standpoint? from the could House that news who's White it depending potential kind experienced favorable in

Peter Federico

Thank for a there. lot a question. the There's you people's of Sure. on Obviously, mind. that's lot

and if very a elections, did right, that go like bit you a significant evolving still from little probably a may example, a the move for a you the take, You're situation perspective following it's fiscal have now from election. a This I look back difficult one terms previous political very we what Obviously, XXXX, more of is at rate think, landscape, read. monetary to implications unclear, policy and policy, be. in little

not into GSE perspective, look the treasuries. that talk. lower rate it really profile, wait a outcome the next spreads going volatility But interest high And develop the to and into is. what better position which in this heading or the fiscal So we're what to some happened environment. take as with speaking, risk cautiously of U.S. you're party, market that a several see a treasury is we point, have for with over that what in going with from a the And risk it's like see at of swap in there's portfolio and little to when you'll clear we either happened watch particular, more episodes the back worse not of us bit quarters. approach environment. From Obviously, second quarter. lot generally the sort We'll right, end going obviously

some swap concern Congress to swap One on issuance why the towards the like and shift of to lead spreads started the pressure treasury that to reasons the they spreads. Republican both gain were of in quarter as late the puts widened did Republican to was more party sides going that sort that risk of the may downward momentum

more that of to kinds we'll So the those have are things watch closely.

early may back more On of out look side, to the win. that side, tell say view the is, GSEs move world. And really from conservatorship, the cost way say system I is well at the which in overall, would and involvement to in it's GSE the about system Republican look party would what go are, know that trying envy the housing financial try the of where it's you should market housing But you that current rates definitely clear I a great is that know at finance environment. will it's the I clear of the look, too there go. toward very to Trump that reduce movement is post homeownership our of with it. government the finance both the housing homeownership talking crisis functioning I parties are when to

homeownership be housing. where an for highly like making that can't agenda seems for a the and desirable more affordable highly liquid, disrupting both cost it And scenario have parties. market we would So of I the good see lowering thing a

would does well. And Director functioning market that's We and very look regulator. you FHFA by regarded have she's highly also in job very at the when a particular, the $X.X that trillion add, an Thompson way, I

to we doesn't I disrupting to great a whole homeownership you're think of a make she's the done that make job more sense have affordable. liquidity if lot trying seem

are working So day, end it. bounce really hear about going it's the to of going it. at around. things to something that's about But We're talk the to We're well. going

for problem. it seems it's to it a solution to me that front. is more more a like looking less comes when So And

change term. So lot certainly I the a don't not over there, expect of near

Crispin Love

I demand comments really MBS helpful. moderating. demand And Agency you bank on comments think all some your in also, That's mentioned Peter. prepared for then

deeper as here MBS your the there on you in think just dig Agency see for Can you a buyer today? views incremental staying little consistent. I

Peter Federico

our of because second market the at is generally, guard the bit and wait-and-see fact second participants second the Fed look moved first that quarter why way significant the taken some take fundamental of a put unchanged. market you second and in improved approach, it quarter, that and reason all And What strong were doesn't But an approached the quarter, started the for a everybody surprisingly right? had When economic was we dramatically second meaning fixed sort going went happened more of really quarter of Yes. fundamentals guard it fixed that materializes. the problem. it fixed the further, see approach. We spreads our for most quarter. And wait-and-see quarter look data income the outlook quarter the have the income income is little you participants by return markets was the saying, positive reaccelerate, to when just on masked everybody meaning was they interesting really income actually and whether going on sort economy at to sort which fixed market. data, converse, was to really the a change, the feel through fundamental to going there performance, in economic entire or was got wider because needed Fed underlying to to restrictive inflation become economic was deteriorate what be the is going that a the put development

that Inflation will, and I I over Fed trending back a the slowing in itself didn't more is the looks really economy. think, manifest rates they're monetary in think, that policy the way time. accommodative the shifting way like but clearly, Now behave. to occur interest spreads behave now broad in is That

end and that coming. little out, as volatile tends I will participants. And demand, the the and become mortgage-backed time, be is bank a example, and it is a fixed point yield certainly implement quarter perspective. positive environment for much better bank That's much demand you election over money But know yield regulation a come less curve funds mortgage-backed of out to the going from early the the over going a in it's think, a sources monetary policy securities a that rates the would the final a don't down, clearer. market money will next ultimately market a likely fundamental to Broadly, for shift year. And clear, third money of that though there's be curve materialize perspective, income from year negative summer income. for I is positive from be The even couple of becomes little fixed demand of of now, or thin securities just have the the to we we then steepening, the a short-term very One And a think, rules, move steep, it. funds. there's of development lot ultimately market for as

So feared, I have regulation rate get that than regulation for lead the mortgages, actually think we as comes bank hedge get monetary through as and out to treasury. then banks for prove outlook that push may be mortgage-backed to expect will such the through to period may if less to securities onerous U.S. I from had particularly more away we actually as banks election, and policy demand this that that demand I interest risk to summer ultimately mortgages improves think improve we the

those the Agency things will MBS that think for improve. are are So But the evolve those demand over time. why reasons should I

Operator

Harter next with comes from question The Doug UBS.

Douglas Harter

those kind important level and about us, kind remind dividend setting are the how of factors you most how in factors? What see you Peter, Can light dividend? of you think of the the current

Peter Federico

going where can those portfolio. But always compare you foundational for how cost look parameters cost capital, it for dividend those and that our you and is total what we our volatility the if total we as What a of forward? From business you it to of important levels, in volatility, is of from do our are from XX.X% Sure. perspective that's today think terms the outlook mortgage position, rate portfolio terms generate when decision cover valuation the our to of in of in in you'll quarter, for current very, or, I all dividend, business. lot on second breakeven, equity the operate what on our is very of of example, return capital leverage our cost and And So does something sort to spread the it, interest into the required we did total obviously the us of starts of economics example, risk with a perspective. we And of is a that a earn cost economics our think terms common in of goes are will? those the to operating capital? the take preferred our our in number of setting our XX.X% amount for divide Obviously, environment need return costs business around a call costs our by annualized that where at business our get going to if

XXX that right basis where we let's where current point if valuation XXX range call hedges, about given compare of leverage translate use And operate to current levels. an you blend expected economics basis talked where economic cost XX%. of that into are between of, yield as our in to coupon are, spreads is on XX% you on it, capital, the spreads when an mortgage-backed would given return somewhere say would you what at current securities I business say, about If now of I average think a when the the spreads the are our XXX, about for in at are

that much So with cost capital. aligned total very of

to would that. what include doesn't that it point is rebalancing, that What drag of include on doesn't when be the I important a Now cost calculation, which do out. ongoing

over our for the have not something about X%, the you example, it we positive does But at that's So benefit on what is preferred position. which same get, to also consider stock time. time, include is

those think really well that's things So measure, certainly And a from dividend aligned, reasonably the perspective. it's remain important really sustainability complete and not good but indication. it's X I a most

in current think way So it environment. that's and about this we the

common take We account stock into to issuing that benefit positive get from also we at an the level. have accretive

of that return to time. has now for been incremental that's some source So period of available an us

dividend. think the about that's way So the we

-- well cost with our aligned are I and where think them today. mortgage-backed of are leverage hedge hedged they're securities leveraged capital total of the reasonably economics our way and and the think we dividend I

Operator

question next with The comes George from KBW. Bose

Bose George

when wanted -- and spreads just looked I in right? back and guess, as phenomenal come that ask widened much. drivers? can And about you -- of like came look I it April, then talk it sort pretty back at didn't is I that fully to OAS of some the about Is widened

Peter Federico

Yes.

little Let Chris a about spreads driver difference But really between of and... have me it's that. talk bit nominal the the

Christopher Kuehl

Yes. increase difference It in volatility implied earlier those largely between the started that is just early two. in the the quarter,

Peter Federico

Meaning down, there. when that implied volatility a goes to up, of OASs bit lead and will will go little confusion

Bose George

Okay.

Okay. then And anything Yes. quarter there markets. the talk And just just end the you're pretty eye keeping more in was at could like there? looks switching actually That sense. to makes little of first was the elevated the Is over an pronounced funding quarter. happening? SOFR of some you a on what's It about

Peter Federico

is remember this is And Fed Yes. I they've got reduction, Fed billion, Fed think -- off the can't to what I And which doing from on an what something think, see to through is the is the an runoff. eye $XX exactly the eye number from continuing system the system at the is. of draining the impact about now $XX a billion month. which starting the to reserves its obviously reserves I There is and what there. keep sheet running balance keeping is It's clearly drain is on,

probably little that end we their a of of bit sort with of a a perhaps what But in normal of getting market. of obviously, don't as end, pressure on of are saw bank reserves to sheet where taken indicators at numbers they're But know quarter number, any percentage normal their we to perhaps target. But at and when point are down to will not $X last target. about runoff, that's I that number X way which or GDP quarter the those would It with aligns X is specificity. their to lead basis was watch a the that I was they've they're of market reserves which ample were. particularly as period abundant think they're that of which when abundant, as and think them And maintain closer it, ample going we'll trillion, in little -- they in has the the around a put already. the them again. That's It's lots ultimately to stop a $X.X system show up we and I them pressure target, $X.X were out to neighborhood trillion end pace, somewhere MBS. you get the to repo about troubling. runoff inform do as Fed stop to the that next abundant Chairman because the moving to out ultimately, just to that talking liquidity see and normal balance this the at think nothing reserve is these and the listen reserves that U.S. certainly as for when the trillion. And expect bank they from at will But now treasuries months market, balance tools sheet Agency

view as I don't a So concern. that

will stopping soon. be its fairly view indication Fed the I as balance runoff sheet fact, an that In it

Operator

question Barclays. Ma next from with comes The Terry

Terry Ma

highlighted It So quarter-over-quarter. last shorter ones off. margin the function of the I XX net interest of your think just looks this dated basis that kind about like longer-dated was quarter. a on points putting you rode dynamic swaps down And was on when NIM

forward, guess, rolling off billion soon. potentially looking have guys swaps So another of I $XX.X you

magnitude the should think that? about Or each decline of So same how quarter? expect should kind we we NIM of

Peter Federico

a the add X.X%. our out NIM, which billion, but $X was not have because of obviously really on $X.X in rate point swaps glad About the was those was biggest that I'm question, you on Terry, you did that's that did pay an about longer-term it $X.X the billion, impact because good asked billion and impact shorter-term swaps. directionally, swaps, and runoff our of we average half as obviously,

we much bought added NIM and we accelerated So of At because swaps the same stock used with in mortgages of to $X we a of that a stock that those obviously, more significant we, billion. new added time, also About some sense, issued that the we the hedge cost. decline. that that mortgages were half about

in of as remarks, swap-based Chris mentioned billion this hedges has The rotated that prepared out half hedges. his of other into $X swaps of we treasury have

up because perhaps our margin So decline have a that margin led to significant hedges swap-based would interest net show our that those in interest expected. in net more people again,

you in anticipated portfolio If our due short-term to of our the just the swaps. reduction swap maturity

we change in if so $X timing, about on at second portfolio to of we our maturing shorter-term interest So we moving our you're really the the grow the you and But and net interest have, half time, to do that billion have able attractive that will, swaps back over of that the right, that returns year impact will into then NIM. But net will again, extent some margin of margin. alignment. the it's have our investment

net alignment. going about not net and was economics margin, think that's return That you the come giving to we our income our business, XX%. at XXX quarter around interest second is capital the the why back basis of spread If that they're us for points, have, on into

not our the the talked XX% are business economics just we range. in more Doug, XX% in of question about the range, from As

Operator

with JPMorgan. from Shane Next question Rick comes

Richard Shane

a makes say, a something you attractive opportunity. issuing attractive million? Or daily into the think you and have plus looks Is throughout is that? the look an attractive I'm really beginning premium and where spreads that to to widened. quarter sense. issued curious shares, X shares about an investment which off at consistently, do we we're of how like want quarter. the and and issue you, second, -- XX million to at about lean the shares, it during quarter, that trading at widen, was or premium. trying a this say, set am a hey, wait Spreads dynamic ATM, on we've million I creates Look, book time it XX trading the got basis, out dynamic Stock you good understand the minus when It's tangible an it. at

Peter Federico

expectation. set we question. appreciate I say never But Yes. with, a great with start out just I No, really a start it. that's to is would

on no beginning to capital. we're year, based what's of is of our flexibility. you're allows you of at this happening raise of ATM It's the right, the that or lot program want values with or decision need the real or market. And going portfolio we what's based on to a there amount is one the and happening So to using of with it the at-the-market

So it if institutional issue or large your demand stock, stock. from example, reverse stock often transactions. in see And in there's there's unique volume to when flexibility allows your or on you looking inquiry, you for high days investors we will, for when

having and we're could come the they increments, the time you gives we issue allows in you to doesn't to that as as lot it it consider you to us a to that's a issue prices. deploy deploy raising time, if if without disrupt in. At ability that asset opposed over assets capital This stock So that to in that of assets acquiring. same will, something efficient in stock driving make will, that the way

did the us and we economics. we mortgages, with gives billion quarter, stock over that second million, the of coincident as bought in way raised allows to quarter worth buying over example, them that us $XXX a $X issuance in better a the do little the -- For is over

from a we that flexibility perspective So a it's approach perspective. from and dynamic something

Richard Shane

incredibly ATM there. friction from given -- super timing of there's if those are capital the is there's capital, assets helpful. acquiring it's repo you side, if markets Got the you're deploying your a it's most Curious capital? I'm we the any that friction that, any them. levering the the the hedging and sort trade -- super it. And the on that's acquiring just when the think hedging part And curious of raising Peter, perspective, Is as markets cumbersome hedging liquid. where about making investments, efficient, the efficient,

Peter Federico

No, there's a bought liquidity. no issue of it's there. I deal. the mean there's plenty comparison doing example, of, for really, But

to be buy transaction that you are do that's advance mortgages. clear our a would would the those mortgages to mortgages doing in disciplined or worth and and mortgages. It million, AGNC them amount of mortgages, mortgages. And a one very would our potentially purchase had in then change that So to align have of the just likely over would did we it place, It's example, consistent. just in -- the thereafter. why not if bought buy of have or a we then stock connect that buy that that we'll of you trying stock a $XXX cheapest take go we to that all and throughout day, out in at richness measured little quarter, the lead quarter that if transaction cheap, second an it's valuation $X as the for let's would And and those you did that think simply of when would of in as get the support to buy opposed liquidity with billion liquidities sort either

beginning were the into the For as the range. And in of the the value middle when end accretion the the moved of not of tight at later range, our us. side they at were became quarter, the to and mortgages quarter. book Is example, the quarter attractive back mortgages in at of better fact, they was

program ATM at for the beginning the of quarter. the worked end quarter so And better than rather actually us the of the

Operator

comes question with next BTIG. from The Eric Hagen

Eric Hagen

the over, or that the maybe you to minimum if your drives is higher? feel do mortgage really because more term? a medium near like cuts, you is leverage like for more take call it, spreads on So focused maybe you can what leverage feel your And tighter X.Xx narrative flexibility we the like And about that being is? range do feel leverage of for Fed range think

Peter Federico

are a new what the top this subsequently, range. And in vacations really the know there's that challenge signal, of where And XXXX on number we close making, went a of cash this very have to out, you're prepared just that you of in you at repricing both the seen we're spread I on the we have call, we which capacity But our to XXX obviously, as have Well, more point was point range, essentially those we is We our I greater was. We important leverage. then coming for issues talked those we in you a period indicate And that Chris into hill, because of is mortgage all take it through mentioned to volatility is macro And already at our contend tends inform a obviously where -- spreads when within the as range think period and remarks, capacity, outlook points. higher considerations look business certainly ultimately, so healthy of think, we've and of that risk. Obviously, in equation. look XXXX hit have an and we when that of mentioned will that an think Bernie little to time, behaved, this our I that leverage. to points take range It's some have that unencumbered that chose. And for that a basis we range. narrower really and a about equity, is capacity top development is about And big difficult the the find position important mortgage how development. when new would from if have lot the the to back certainly going that amount XX% position our our a bit. we'll you volatility to obviously, leverage with. at we our increase appropriate didn't XXXX over important go spread about

Eric Hagen

color. really helpful That was

Okay.

return? forecasted rates maybe last that flat? variables? that's that to pickup next So mortgage CPR. here? And there? mean, the Or XX other saw would trend it It's positive drill assume speeds, prepayment you kind down are you Is we be speed is dependent on we does like looking the that at saw that rates of way think How the mortgage paydown a there a X I in quarter. as if do I over do feel same think for total we're the months,

Peter Federico

Chris that. let I'll answer

Christopher Kuehl

That path forecast portfolio on realized. forwards risk peak is along on managing are curve. forecast lower composition, convexity the XXX coupon With respect single levels. basis a prepayment and about It's our pool points assumes to negative just that today's rate convexity portfolio than case the the risk rate base our given forward or

prepayment about of in Xs the represents And XX% about where and of Those pools, our that sort holdings. rates get categories favorable most to have in move about represent the risk. higher The represent in X holdings. we holdings. of specs to pools X.X coupons have level. cash Specified higher importantly, next of combined of to flow characteristics. quality also XX% our our specified That XX% So significant about category

in risk still this risk convexity so is prepayment very And manageable. environment

Peter Federico

more to would are stay of of spread the to for but of they're And be certainly to to are I high discussion could back time. range mortgages very widen. to term end scenario they mortgages now that over is spreads, way Eric, over up to to tighten the just believe nearer tighten than the range mortgages are and spread think what see, characterize term, right range, go starting the for high of There I harder and the bound a sort mortgages round are the where end the more catalyst to outlook move to we reasons on expect longer the sort seeing there's the reasons now is

Operator

Janney. final Stewart the comes And Jason with question from

Jason Stewart

question there. on Just Eric's a follow-up

spec what idea up pay back mid-quality pools call the Going XX%, up that high, like. it, coupon, if average that, of looks to could on say, what's give an the you in us

Christopher Kuehl

We on TBA average our including just X that portfolio, up XX disclosures, don't broken is -- out have but the in it's aggregate over is our the point. relatively just which small It's around position, under ticks. pay

over Excluding X so slightly it's around the TBA XX ticks. point, position,

Jason Stewart

for you on from to for guess I really have the total of Yes, you in be refi and selection. your wanted return coupon coupons enough I the ask just coupon your between and pull drives environment quarters, pick the of to into that All refi, range more this a I what push mean a perspective just outlook. drill could new programs Okay. carry wide bit and sort Maybe little X the out next outlook given would over selection or helpful. there coupon in X some down right.

Christopher Kuehl

Sure.

the coupons stack coupon attractive the by offer spreads. most across far, within So still, production

technicals assuming and banks current against across we all stack lower than organic that relatively capital investing marginal relationships overseas. coupons will been And continue is where have the where very where remain marginal the be we've bid capital. Higher supply invest It's so coupons. from to anemic different that's

so and being naturally, the away points from compare XXX, XXX produced, or is of float that lowest the which tied at you coupons, most And if up to basis the are Fed.

can And so buy index the stack. valuations when get pretty inflows to have you assets that you need that produced, fund dislocated relative being aren't passive across

relationship has persistent. more so logical relative certainly have coupons, risk, than more this mean, say price. convexity, been in would Higher worse I And that's why but value discussed the it's prepayment earlier, we as I

manage collecting that risk ways. of in a different be to of that can spread lot used number You're a

options selection still can it can You -- buy extremely elevated, hedge. buying are through options you delta the attractive current spend flight and pay And volatility can ups on you environment, more rates, And in convexity the asset on and is source pools. then specified expensive. are latter back X and so and and

it's to through speaking, so convexity by and And source cheaper selection. coupon generally much selection pull

coupons, about still X/X extremely spreads through higher. roughly X.X profiles. the attractive and The flow cash positions so-called Xs in in stable have X.X, of So belly is position and the

so the like that, diversity convexity the portfolio the that we keeps and aggregate in of very manageable. risk And

Operator

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

Peter Federico

look everybody appreciate the you call forward to we quarter. speaking participating this the at on end we third of morning, again to and our Again,

Operator

The conference now concluded. has

disconnect. now may You

AGNC Investment (AGNC) 23 Jul 242024 Q2 Earnings call transcript