AGNC Investment (AGNC) 28 Jan 252024 Q4 Earnings call transcript

Company Profile

Participants

Katherine Turlington	executive
Peter Federico	executive
Bernice Bell	executive
Christopher Kuehl	executive
Bose George	analyst
Douglas Harter	analyst
Crispin Love	analyst
Trevor Cranston	analyst
Eric Hagen	analyst
Jason Stewart	analyst
Harsh Hemnani	analyst

Call transcript

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Operator

Good morning, and welcome to the AGNC Investment Corp. Fourth Quarter 2024 Shareholder Call. [Operator Instructions] Please note today's event is being recorded.

I would now like to turn the conference over to Katie Turlington in Investor Relations.

Katherine Turlington

Thank you all for joining AGNC Investment Corp.'s Fourth Quarter 2024 Earnings Call.

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

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

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

that, turn over the to call Peter With I Federic?

Peter Federico

the years. monetary volatility than Last agency level. and securities. emerged themes of Good continue inverted steepen morning, mortgage-backed everyone, monetary and the to to outlook thank neutral policy [indiscernible] our The its inflationary to call. in yield policy restrictive term 'XX X that after for to and interest accommodative more our rates being you caused favorable investment Fed for The process the stance curve joining for support rate returning ease shifted positive year, and began pressures a

balanced. be We outlook the agency begin well MBS appears and supply for XXXX, to demand

trading rates same run In to agency in spreads addition, benchmark expect well-defined our attractive range, levered return investors and important we unlevered thus to to very and most providing the business, opportunities.

a generated economic compelling into monthly driven Against XXXX, this by of XX.X% positive return AGNC investment improved our backdrop, dividend.

performance Fed basis investment returns Our the policy. rates are generate year in by lowered [indiscernible], wide to environments as spreads stable. short-term ability and it Since recalibrated XXX AGNC's last where points monetary strong demonstrates

While which ended strong XXXX to policy the path data the of continues and December toward evidenced move release. Fed's showed to neutral monetary September cuts as rate by line the fewer in in the economic a XXXX the projections, quarter time summer level, late economic relative

concerns sentiment year. the of first quarter. agency wider and about The uncertainty characterized return our fiscal deficit issuance. Together, increase policy, economic policy modestly overshadowed interest This for the sharp the the spending rates that election U.S. and also raised in magnitude X drove slightly quarters the monetary and presidential future negative investment spreads treasury fiscal elevated of fourth

begin this reasonably very mortgage longer-term again MBS like the possible, similar we year At we our to the outlook mortgage-backed rates significant for interest Agency XXXX, rate have meaningfully, continues XX-year As close to easing, policy favorable. and increased primary once Despite is monetary securities X%. be less Agency with last year experienced well regulation. of of to supply the onerous and also given should Greater level, demand. rate this is demand investor be bank aligned what

otherwise which investors. mortgage-backed to easy but AGNC's profile, diversification on asset in Agency an this levered a difficult basis, fixed investors with income to way stock attractive unique available are Lastly, hedged is for return investors sophisticated securities class an and and invest provides benefits trading only investors unique common many desks. for

And fixed agency in positive for investment finally, current income provides particularly investment dynamics agency Fed The outlook valuation and foundation high-quality summary, stance possible. Agency So policy MBS monetary a at supply for spreads for levels. their attractive upside mortgage-backed current demand Collectively, in underlying the remain AGNC in to like the appears favorable to we backdrop instruments, be a XXXX. of current positive these with expect create demand well range. balanced securities,

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

Bernice Bell

Thank you, Peter.

fourth from rates quarter, equity share a common For negative our of dividends tangible per AGNC for value a comprehensive share wider the the for $X.XX X.X% book spreads had on return of the $X.XX and tangible of year. in net modestly loss decline $X.XX higher declared Economic and interest share. per comprised resulting common per was common quarter,

dividend and driven As book Peter $X.XX and mentioned, $X.XX our per share our value per in a monthly totaling XX.X% positive net share. decline by a year full common was economic return tangible

up late unchanged of was last value per dividend share deducting largely accrual. January for about common book are week, As our after our X% net monthly tangible

accretive approximately In to premium quarter, considerable total a tangible delivering of meaningful we our $XXX million the at-the-market raised offering to book to stock through common book the for fourth of $X equity our value opportunistically stockholders. program at year accretion value. This our common brought billion, issuance common net

unchanged fourth quarter equity ending cash and XX% unencumbered or average concluded of quarter for with of Our leverage compared at [indiscernible], to $X.X the tangible and billion we the X.Xx our tangible was the third Agency quarter. equity. MBS

X.X% Actual the our interest X.X%, the up averaged for at consistent quarter, rates. for at CPR X.X% of quarter. life CPRs projected third quarter third quarter XX.X% the end decreased portfolio from average the from higher with The end in

the and interest and income. spread reported net receive on or a included swap portfolio. our towards above not a decline our by in a rate points. and spread to between to per net cost, Lastly, was margin rate shift the pay of net basis roll income net by quarter slightly differences Timing fourth $X.XX our The rate hedges, our dollar common lastly, higher spread greater which repo XXX just interest income of rate treasury-based due net in swaps our proportion on driven rate $X.XX interest are interest interest net in net basis our declined point our to share XX spread and spread

we release. the that To additional share on quarter. enhance carry in presentation the hedges and on position details treasury associated per estimate our component treasury carry We for have and was fourth $X.XX our investor transparency, earnings

And to the with Chris now the discuss over Kuehl to mortgage agency I'll that, call turn market.

Christopher Kuehl

treasury landscape with rhetoric fixed data hawkish Bernie. was evolving Thanks, Fed fourth of future income of caused shaped cuts presidential risk Agency month to the XXXX and quarter with particularly by The October. the in policy economic market in pricing. This investment to rate election policy evolving of outlook, and the underperform Fed to exception, leading general leading for back the and The paring sentiment volatility. interest MBS ahead the combined data was significant monetary no renewed strong rate from off economic hedges, swap expectations

with wider. par the mixed a stack X- coupon election, however, spread the Performance lower points coupon and underperformance. blend best, treasury generally coupon ending hedges, XX and of greatest the recovered a was MBS coupons with to across the Following [ somewhat, ] the XX-year performing X.Xs MBS XX-year spread experienced higher quarter while

During approximately totaled $X in quarter, Agency the we XX. $XX.X portfolio result, of fourth MBS. billion December had a as And our billion as investment

later January. at the investment month we've the concentrated to to was in growth of quarter and asset portfolio the spreads, add attractive Our in continued

billion and reducing terms holdings X.Xs portfolio coupon, and to and In $X of roughly up we composition, coupons. billion coupons X% in by lower approximately in continued while higher move $X adding

several of consisted for Mae been valuations now, less the position financing TBAs Ginnie quarters implied and has case our primarily remained As TBA attractive. as roll

Our million, holdings of composition portfolio mostly the $XXX the securities our from ended at quarter, unchanged. non-agency quarter previous slightly down with the

longer associated term, asset during interest close in rates, the growth, duration [indiscernible] quarter. treasury-based Given mostly meaningful hedges added we and billion portfolio $XX the in extension to

As hedge of a portfolio and duration represented ratio a XX% on end. treasury-based liabilities dollar quarter basis to a of as our percentage XX%, result, funding increased as to our materially hedge hedges

will our with beginning However, swap-based and treasury the likely signs to quarters. stabilization, coming of rates swap increase show over longer-term allocation to hedges spreads

turn back the to over Peter. call now I'll

Peter Federico

Thanks, Chris.

nature opening Before ranging conservatorships quo. ending finance the GSE A have conservatorships in and to clearly government's to recently and of election of status the the housing call finance maintaining want the reignited to GSE take in of of your number involvement the the from the system opinion moment notice the outcome has pieces U.S. GSEs. The interest the advocated questions, market's outcomes the various discuss proposals and a to system. I up housing presidential for

should Importantly, market, policymakers mortgage in desire key there transparent change also housing way does any preserves that a some that ensures any the be conventional appears to real a change signaled decline deliberate current and and the in consensus have growing done that end, the to be market stick the a estate of way. already further. not avoids careful, functionality To affordability disrupting pursue

that $XX nation providing throughout cycles. availability envy is XX-year at the is world cornerstone trillion prepayable finance $X.X The the mortgage-backed rates system, the and system of trillion the country's housing agency the across a of uniform by this of uninterrupted mortgage market securities the

The exist of size the and the of market, because stress. Fed role as the market plays for it action of instruments, policy taken the existent agency liquidity and originators the today tool because mortgage and government servicers the their the and these government's of times important the of monetary a use and EVA and financeability during all ongoing of have involvement,

a equitable. a disruptive critical Moreover, fair is accompany agency manner U.S. Preserving that homeownership, the system, benefits the in it government. to we achieving and so market outcome for attributes societal is the the and finance believe, of many these involvement mortgage-backed ongoing facilitating and avoiding requires the securities doing housing that

involvement, currency protects done hastily and that disruptive the structure mortgage-backed unnecessarily many security the is for and said, the very of interest, without the way and highly many that aspects way could in the of the Changing taxpayer be very harmful interconnectedness affordability. of of government's the ongoing desirable change agency would market. done thoughtful the to consideration form current regarding system be a clarity of a which provides and housing complexities positive in a development the preserves That GSEs

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

Operator

KBW. Bose Instructions]. And today's with comes [Operator question from first George

Bose George

equity ask just If gets value equity it similar, thoughts sheet And big you magnitude spreads issuance. Can or just conceptually. I is book wanted where How about are thinking to this Actually, too first it remains of year? balance about is. talk potential the premium the that? a you you're just way level of about there just issuance on

Peter Federico

the appreciate I Bose. question, Sure.

active our little I'll this were for of and approach the some quarter, last informative attractive quarters bit the because example, and active your out how in question. In that raising the opportunity, with it last we because this was it quarter, were very quarter, was previous using early proceeds the from almost different pronounced know, where more it's last the deploying you start the later a quarter I ATM and our mortgages differs talking in more whereas bit simultaneously. point those think previous As capital attractiveness quarter. issuance about than we in I of equity quarters this the to were a little

in gradual from This pace in took a of were a of was in And we bit the the a quarter. more a our opportunistic net why was capital more little and approach that done of the as deployment a there capital roll early quarter, Chris some It reasons one was impact dollar mentioned, quarter. income. spread later the raises negative

from benefit. we'll approach opportunistically. book and our management the value capital and Obviously, continue accretion that at benefit we But look issuance perspective to and the capital

value And course for you If shareholders. really was it of you in market the attractive. raises look our the were book capital back proceeds really -- year, as say, this all is those contributors significant our deploying existing of to over

particularly at forth, You we've depending XXX from gone the that and ranging to uncertainty quarter. through now you're of talking points basis mix mortgage so today, where the about spreads on hedge ROEs, attractive are of fourth look some XXX

scale I'll make comfortable is scale look that. really last happy operating today, AGNC's from with obviously if our efficiency, we -- really and The point at are you that with

very costs our and operating are, remain X.XX% lowest I opportunity a shareholders outstanding enter easy in great the of stock gives in range. Our our expect liquidity to in space I that way. think, industry. liquid, the is to The them to X%

shareholders no do there's so guess, very that existing of final -- my just that's like And point. that I'll I year, other throughout to there. So do and throughout the remain growing, when we is our We'll activities do year we need approach opportunistically. the it in every this and pause so benefit grow the believe sake of

Bose George

the lower, other. That's versus ROE could Great. fund And through the just through because helpful. versus with futures walk one you swaps, help the you they so nominal of variables obviously when spreads map kind go that treasury are

Peter Federico

a on lot and Yes. good points. that's I'll of And point, a touch

-- In fact, income, one of a want don't at of our net dollar we think roll reasons to the investors look measures earnings one spread generally, that I our the the why issues and driver as just have of that our our It's reflection our not perspective. is portfolio portfolio. of policy look a at earnings, a earnings dividend period of from long-run because current we it dividend economics not of the

So portfolio mark-to-market, of we will, the [indiscernible] the you our if alignment that. versus of

and similar I sort includes most course, this the your that treasuries define occur of a understanding think our dollar We better bit investors And some of roll to characteristics add a with it as it, spread to occur net we with only and then, little that swap-based of give same presentation defined, hedges. tried disclosure quarter to swaps. carry income, of

a short the if treasury transaction. has a there's treasury treasury, will, repo you the your on In then use when receive, market your and you in

has added some receive. and to investors it of same better a the as give understanding We concept a disclosure a So pay carry.

point. one that's So

to The use X carry, spreads talked and fact, because spread, today. treasury-based is are we hedges are treasury-based at that if between point mortgages point. high treasury-based there extent number really is where less our Chris hedges And the about will, swap more hedges, that a the of you less

I think the hedges quarter. fourth our hedges were that of treasury-based XX% in

more hedges for fourth is portfolio negative the basis swap market not because value a so over to the we because quarter,got our points. year. but tightened dramatically spreads better have XX that offset last gave than did in That swap treasury-based spreads, typical, XX-year example, to asset us

So at low. historical a

So better from perspective. were value treasury-based market hedges a

as that into us swap-based extent it begin for word stabilization, swap back that the stabilize, Chris mentioned XX% to And spreads hedges end To we've our to started make toward to and see to level, we'll maybe that XX% spreads in range. doing additional be sense up in rotate long will stay that, carry picking normal stable. swap which to might up the as

the way So I that's about think it. to think

hedges, about talk for range. million remain look and I the coupon the coupon, $XXX hedges, million the current average, And for spreads would or $XXX likely they're to to I say $XXX say I will I today swap-based treasury million in treasury to on When sort -- that in of would at million, likely $XXX example, they range.

drive affected that on basis. shift weight between X those So that a as change we go-forward will ROEs and

those there, long-winded points So answer I gave you a but were important. I thought

Operator

Harter our question with UBS. today next And Doug from comes

Douglas Harter

how view I economics mentioned you kind you to of talk that returns was as [indiscernible]. about hoping how representative, compares your outlook. mark-to-market dividend kind of could I know just seeing the that of EID the you but you're and don't

Peter Federico

what pay expenses pay return think total hurdle the our our Well, capital, capital the in numerator which $X.X we stock rate, versus about that's the of our the our cost you dividend perspective and critical if levels to total is operating business dividends valuation from really current as thing cost at the I expected you is dividends, equation, our that total about a cost of the at common look our you preferred When think will, first is the portfolio. of denominator base, think is run what to is as capital billion. to about

treasury-based XX.X%, If is maybe our precise, quarter that around and our will, combination base, a we is and a you be -- because Using what if single always that the a hedges I change blend a versus relevant and would hedges. a ROE is XX.X% between but look capital of instead, it fourth valuation spreads expected, to. hurdle And the our they actual at swap-based that rate our annualize current spread blended expenses gross at tell to is is question you comparison use the you in point those compare obviously levels.

today's those XXX somewhere you XX.X%. XX% ROEs basis basis X and points and have indicative points. range between I in those are give I'll gross valuations. to time, that are of -- of the points, And basis XXX translate XXX think points would They spreads

cost or way, a to on we between basis So in at that's current -- maintain XX.X%. and well to our of very expect were and been earn XX% and our why ROEs of range today, of go-forward total deploy it capital aligns able if spreads would said that the one we, way, that And to capital, dividend. with another we somewhere we've reasons

So I going we're months. think on about XX

So we look I well way that's valuations. today's aligned it, the think at at and it's still

Douglas Harter

in think of how in equation you that. just cost that Appreciate volatility the of and that through? just curious And volatility you walked kind about

Peter Federico

driver to Yes. ex-ante point, big obviously, there's your convert That no how a sure. volatility that's returns. interest returns a of rate that's for is doubt ex-post will

So we for of on. It's lot a this of have spend our one year. example, outlook key to the drivers to will have or for will money we rebalancing of, [indiscernible]

think is that has that forward tenure a of gotten Fed. the going the through has rate rate trading gotten remain volatility I important it and appears low say, backed now interest the this interest quantitative let's back tightening the X%, between volatility we've new tenure and X.XX% of, dramatic should all from up, range into shifts and the given relatively that

stabilization. We have

more We have a accommodative Fed.

seems telegraphed. path rates a be fairly for well have that We short-term to

incremental first with a capital time also over post level hedge we hedging. costs kind raise good to which potential of go point our Those accretive driver obviously change. going our question, raise ability tie least forward. would that hedge put should capital outlook that there the offset should contribute at -- now, translate make is a They right to to returns, ex is of which some to would back I then things in at -- costs occur One forward. to ability market that's this that volatility lower of on lower other a conditions is could that our

It to -- just It's right drag. XXX% order outlook And would I of pretty think, for favorable now, an right. But it's be be that. you're the magnitude. going a is,

Operator

from question with next comes Love today Crispin our And Piper Sandler.

Crispin Love

hedges quarter, the first XX% Just the third ratio ratio the at the in in hedge continuing you recent and the quarter. hedge decreased meaningfully conversation, increased on but but fourth

So the XXXX, to of [indiscernible]. on thoughts going was through continuing up today into just one, and outlook ratio -- and views the added just quarter election? hedge it in then view you your when of And with more the kind also hedges lower leading

Peter Federico

we obviously the and I back might volatility it But for rate election. that question. went clearly, into obviously just from mean fairly still of fiscal which lot presidential that the question and And to it what is back policy XX% did we as increase you monetary tariffs Thank that XX%. starting Yes. answered and We might to interest goes that significantly is, was expected treasury issuance. a more as uncertainty, and what the policy for there for mean a about point,

in and active But higher way. we But an XX-year back so rebalancing. duration kept always that's our why doing in whipsaw basis move X.X, we X.X quarter-over-quarter, we in we and fourth in XX because didn't the were respect so hedging were unchanged treasury quarter. had quarter. other case to the our expect And essentially to with our point active rates not to reason the the and the gap delta so It's rebalancing this

given really active hedging about be X.XX% the like of right expect the because important particularly of drop rates moving materially inflation From valuation better range, economy the being But may it we felt now, the XX for as the of our rates or of a strength all here. and of don't the up was that X.X% be. in potential deflation, to delta we to in from in uncertainty sort sources to to the backup perspective appears curve and year, part

long-term to expect We stable. remain rates

do add we we hedges. a quarter. so particularly exclusively, therefore, uncertainty what And mostly, So spreads during because adding lot by would did of in about hedges the our fact did of treasury-based swap

rotate we those. time, over of So may out

back. we because the low duration active so in gap rates to But be that whipsaw were didn't expect that's why -- As we Chris keeping to want rebalancing indicated, case. and we didn't will likely our

Crispin Love

And Great. last one Appreciate for that. me. question just

as demand this Just you and managers, it see thoughts an update today. Banks, in on just on money demand Agency environment. MBS

Peter Federico

the of positive the positive. I mentioned I think this the Yes. my mortgage outlook so mean and certainly in or is remarks tenure or really prepared the at and higher It starts being The or tenure being supply, is pushed of for why and were everybody's of outlook about going market. goes with means the for to a the I was to XX-year should the low X.X% In which in mortgages. came we this XXXX with to in technicals And start at I'd be back just is is up end supply this higher. low year at people's X.X% on as total the interest point expect, very primary mortgages which for to rate supply over X%, back technical $XXX XXXX, the similar, -- the about lower mortgages end to expectations. And that expectations. supply billion, the remain XXXX. close likely a touch of the

think if supply billion the positive $XXX I So expect in which and $XXX development. mortgages, I look to of billion at is dealers, most it's you range, the

which, look managers inflows market. that you or $XXX mortgage at again of XXXX. around are year, of -- total then case the so, in sources goes the money maybe the there demand. It Last be was think XX% that, I the of could appears what bonds of the billion, I into in think And

into money billion equity with certainly, expect $XX billion of nation -- bond bonds would could to you that I high command So yesterday, mortgages clearly again. if managers case. be and saw Money $XX stay managers weakness the worth fund flows

total we'll XXXX -- on. holdings come now uncertainty with There in steadily the have that off yet, is they don't being XXXX. versus increased bigger regulation unknown or know and course, be 'XX, less steadily that's demand. that of point mortgages buyer perhaps September keep equation something an has onerous bank been grown eye of in may obviously is XXXX. possibility bank low the bank a but bank have growing. of And Certainly, in the and a then, demand stable We slowly sort of And bank and

balanced, So that seems that's end, there? you supply think I Any be to think in the the put fairly and driver outlook. important I of together, our when an and demand follow-up

Operator

Citizens on next from our and to Trevor move question JMP. our I'll next comes question, Cranston,

Trevor Cranston

the You and into you've of adding continued guys end have mentioned January. quarter that been towards the

part you increasing the would portfolio as of can about additions that are talk little maybe pools? leverage a views investment leverage, of that, you're where you they today? the kind sort a adding, can any your And Assuming are bit little talk bit what be, what of target current TBAs if opportunities, also changes versus about relative if seen value you've your in spec of

Peter Federico

pools I'll other first versus Chris about part and talk can the then value. TBAs Sure. start relative with and

So we leverage the months that amount X.X% huge good over with is our with fairly of in And consistent, that able XX leverage, fact returns there a last of in level, And the we look it's been at capital sort consistent, generate X.X%, were our still obviously news leverage. really at very range. attractive have to unencumbered.

Bernie capital XX% our As is unencumbered. of mentioned,

perspective. And we declining, spreads want points when volatility attractive, think we which is, spreads, a they we'll strong sort only be rate a then be from we when think case-by-case And We But about positive. to to which you obviously want leverage, they we a a obviously, lot the management about position is which key we need drivers. to have want I'd or mortgage be, them are. stable So think of risk to really attractive, a be of One, interest basis. make that on do decision one say may just stable. be not of it there's

is attractive. if of you And relatively risk and year, to year XXX those volatility XXX spreads I traded XXXX conditions range. mortgages position. particularly positively an and really at us to points. coupon exceedingly they a XX in look very range tight We want treasuries, continue, spreads want We low. business. it and mortgage fact in one last our inclined X- the basis stayed basis range, make of materialized think in the If to that about traded point things that XX% That's the for current the great be market traded a be tight between would like XX-year our in spread

I'm those we've for that again, forecast going to risk conditions can we taking been little but the look not at And Chris are deploying a higher. So proceeds. where on that, talk give a about

some As to in mortgages he mentioned, add January. we started

Christopher Kuehl

Sure.

holdings during quarter, shift continued coupons. our So higher we to to the

reduced X.Xs year, by As and Production valuation $X tightening. not I billion, higher coupons lower vast returns. offer mentioned, added was coupons. of we billion very last X% $X performed And and coupons of spread return and best holdings risk-adjusted in well carried about under higher some while in longer the just still the majority that

so and marginal And we've spreads are allocating capital. that's attractive, very where still so been

again, given spread respect picture Banks light the currently help But stack still value current relative The across coupon given where relationships coupon marginal deployed be with certainly in rates remains could us issuance are. stack, to coupons. and capital this year. the are involved higher more

at respect higher newer to And They specified in levels, performed did very there valuations. well. have production while TBAs to versus trading pools specs, relatively good pools some have are opportunities quality they we did category at quarter. some With add generally fourth the full

patient to there And carry better. TBA risk starting and low be prepayment we're our and so position content to with rolls trade

Operator

today question next BTIG. comes Hagen Eric Our of from

Eric Hagen

mortgage risk the and when these face you levels you then might we what start fast? or prepays speeds for maybe And how of how the maybe with reinvestment projection prepayment assuming versus rate and characterize you share changed projection speeds, roughly the compare and that can spreads it's you how tease -- might If at in that are the year? you apart in have been

Christopher Kuehl

Yes.

forward of off the CPR simply based are as the curve -- end So of the projections -- our the spot the year. of

and that more -- and coupons respect reports was portion of float had particular. pretty probably X% October COVID, to fourth We most refinance. approached had higher generally set sizable an September. November I'd the Just in quarter had say rates a with incentive the we've of the risk, that hit prepayment interesting to Mortgage speaking, since basically in

exceeded and materially October most model slower in expectations. in the under But sell-off model in rates, fast sharp very speeds with were most speeds And came November expectations.

so X speeds even together, you very at I'd But the impacted likely months really it's rates. say COVID. by And October since the had look still, were net, the high we've steepest was when pull-through response

not rally, clear very prepayment a to lenders into easy response. It's going sustained so borrowers. soliciting aggressive certainly on to And be benign betting a are refi we're

protection, prepayment on very to selection with in fastest doesn't the again, pay-ups the highest just the asset And just impactful pools where pools prepayment it the through asset manageable and or But risk most valued. owning It's collateral. doesn't are very mean diversification. depending avoid is quality often work selection fact,

active management is various across again, so rate key scenarios. And

Eric Hagen

Great color appreciate that. All there. I right.

building off I supply onto market transmit on the the the of perspectives the repo bank is on more and appetite the the outlook question into you see maybe could mean broadly? impact how counterparties bank time? going around both really forward? any do as having regulation mortgage mean AGNC that impact to I So And from at just do you banks. any have same spreads

Peter Federico

Yes.

to post and an more, that they growing, that's So Two, add, bank bank first anecdotal fact, be the important side, do the banks, on available-for-sale versus they capacity again, when maturity. and and in hedging just appear have been adding balances it appears

good do risk. a and I and hedge So their manage ability on mortgages to that's think, basis obviously, interest their rate for sign a add so

going of probably the quiet consequences those versions think of which where year uncertain to regulation onerous I of end unintended the where time, bodes period a bank and earlier from guess, appears let's so lots was of middle I now, in game it that less and well there that for And in when were, bank say, regulation of then certainly even the are was clearly, we we demand. is maybe some for and Basel it's be

insight opposed So don't obviously, any it but we have that than other into does perspective larger be from a could to it directional seem smaller. it that, as

a look they range Because but into out in now, this they trillion, are the range, moved at they're to indication, the it bank guidance and the now not where to talked I balances to abundant from be as into to getting doing of the an bank bank that it's the market, expect where to target year which think drains some reserves somewhere I balances about perspective relative that bank appears With certainly respect going XX% ample. managing to it Fed where -- think time they've where of I at about, the from GDP, they're you as -- getting the reserve of Fed stop. that, are reserves reserves that XX% target range has are to the repo $X.X are over when system,

And and Fed that. And to showing the ends for saw We that's XXX for get bank third that to market XX normally and period see repo are seeing to reporting range. We now is quarter. prior to over looking of meaning would point is the of indications looking it it volatility SOFR of we in the you periods the that to market what year-end at reserves in that. that, saw that repo less-abundant when basis the spreads some level. repo We indications saw the be

cost. volatility. their manage forward. book our has The higher relative Fed disrupted. answer changes, that us be the any is does a way which is Fed have the The you're a It bit programs to of very this I watching from don't clearly that specific And be and to perspective our repo not the important, cost little they carefully. So want to expect contributed get limitation to periods markets will about one willing it. to changes already closely run funding It's to reporting swap to talking going to things will made some higher the

Yes, There's costs, a points plenty cost basis a periods, few reporting particularly may is securities. of but it be question more for mortgage-backed over capacity agency it capacity a repo not question.

I at all. that don't be So demand a expect limiting factor to for

Operator

question next Janney. from Stewart at Our Jason comes today

Jason Stewart

and spread roll through. for Thanks and it on point that income that on earnings a if missed color I that have for the added dollar the was just walk the Bernie, on quarter? in what futures Doug basis comparable would

Peter Federico

treasuries. Yes. Is your was Bernie question I mentioned -- that that correct? about think

Jason Stewart

Right.

Peter Federico

I quarter some -- last page our our it page your presentation, exactly. of disclosure On we Yes. added question back this is, forget -- in what a in

Bernice Bell

XX. Page on It's

Peter Federico

repo roll net imputed, -- carry of will. that be [ $X.XX. you were. probably that that if of has about something like rates around of sort we On because you challenges our shows what be pad was would of one the side to income look the dollar earnings use component if And Page the sort spend and the you we're $X.XX it that, XX, measure had where ] paying included Obviously, we because with that it equation, concluded that, of if we that futures, at is

of So But nonetheless, we had That's come we last with magnitude, of in range it's of quarter. it. of think is shortcomings about order $X.XX methodology. up that to the one a

Jason Stewart

And able issuing quantify ATM so the and in early later the timing, to the it. were quarter? then of deploying Got you impact

Peter Federico

Well, ways. can a I look issuance, you of do is impact it the of in think would say you the what number different at I

of $XX average calculation. look that [indiscernible] just can price average price million, average our on You and the $XXX worth versus stock price, at you meaning an million give would of

that our you book amount If that conclude ending was it and look value, accretion. substantial a at relative could you to of beginning

look of You or on comprehensive set book probably our it more. the conclude, something contributed $X.XX our that maybe in could and also book so little based at neighborhood income of dividend value a value, bit our and

of Chris as the there then And uncertainty a was early obviously mentioned, in lot volatility quarter. and

the They beginning. then quarter, later still the quarter. were obviously in an around ended during So and more the they and now we mortgage deploy at at capital widen peaked gradually raising spreads saw the wider quarter accretive than level mid-quarter

to attractive slower quarter. in Chris as those gave at still pace, deploying at at this mentioned, and capacity us levels by attractive a invest, the levels the late proceeds quarter So

Jason Stewart

make Okay. I it, some assumptions impacted Peter. on right. earnings. All appreciate We'll

Peter Federico

Sure.

Operator

Hemnani our question with comes Green today from Harsh And final Street.

Harsh Hemnani

You've to your from that mentioned that within spreads have outside higher could for the remained that are either that been case trading they base your your they mind case trading time. some in What that in spreads, drive risks base lower? that range for the range or

Peter Federico

And have on find think quarters they right. you're which X be of yes, maybe we're stable. And I been trading really encouraging. remarkably to going this range, I Well, about

-- a being of feels a obviously, of at the us of bit are bit range. the mortgages in little end a little middle given range, than the mortgages backup, better tight think the I to

X rally there's Chris fixed spreads. to spending because than primary were mentioned higher were risks. issuance. and But we monetary up to rates some interest reason. relates in be lower they on anticipate put unfortunate One That or rates could extremely in rates have one. could materially than I it materially interest volatile, that rates could would become concerns example, if Or we put if say activity broadly, interest to for policy income on anticipate. mortgage refinance probably and of, pressure we meaning move deficit general. trigger If treasury the for back could they would pressure about Those interest

And prior Trump then than it's was the obviously, in today the I if discussion policy, in administration. -- Obviously, the included my to all the the prepared remarks, of there and the discussion interest will. more is why GSEs housing about conservatorship -- you GS there

from and all think outcome. today. And perspective, that we don't Fed know believe a they these they will attributes of come want end I to so perspective, perspective, home conclude have agree be ownership great a a preserved. of the from there I don't system, political some an that perspective, the current would of that that features people from uncertainty need We that anybody the economic that together from all is about in

How if size of determined, that about for uncertainty create going given be some want to could be means market, volatility. that, it's spread people opinions they likely But preserve compensated those involved. there then you have differences determined. the as structured also that what the have that could to remain to features, the be government to could that's get some And and then, is ideological

So they spreads be. they than than think question. back in to move wider may range. It that range, be otherwise will they end, They higher would could a the be. may us a the would into your But I little be little otherwise come in

They corporate you're is in investing at treasury spread, you're securities think I they of a the And investment-grade value mortgages offer if in debt, value. offer always and lot which if value this offer not investing case.

a asset great and to class mortgages, model. us, this valuation So at look like cheap

Harsh Hemnani

Got it. Appreciate it.

Christopher Kuehl

add. just I'll

what I think the side. Peter -- could to wider the surprise covered

also hedging much banks extent to on overseas Japan. policy surprise, in The regulatory growth Fed equation, look, other the I that continues for outlook to than the that's move is to looser of possibility think, FX stronger extent BOJ anticipated, side directions, bank that could going opposite the and securities in I reduces that a costs forward. mean the activity

tighter there's and a are well. side unknowns as our the to year. look, for so tighter things this changed to modestly rooted is base And maybe again, of case that pretty surprise maybe lot and could But spreads firmly

Operator

to And this like turn Peter call concludes our Federico to for question-and-answer back over session. the I'd remarks. closing

Peter Federico

again participating for XXXX, and at our look speaking next asset the to Again, everybody class Again, and by I call on business our to appreciate outlook you for quarter. encouraged underlying in forward we're the today. the we end of

Operator

for We presentation. today's call. thank you. This conference attending concludes all you Thank today's

your a day. now and lines, have may wonderful disconnect You

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