AGNC Investment Corp. (NASDAQ:AGNC) Q1 2024 Earnings Call Transcript

Jake Katsikas: Yes, it does. Appreciate that. And then finally, just going back to leverage, what is your historical range for leverage been? And do you think that range might change at all if mortgage spreads remain historically wide?

Peter Federico: Yes. I mean look, if you look back over a very long history and we have put these numbers out, our leverage has ranged probably at the low point, maybe around 6% or thereabouts and at the highest print was probably in the 9%, 9.5%. So, it sort of give you some bookends. But really, what you have to think about is when you think about leverage is it’s dependent on the environment. It depends on where mortgage spreads are, if mortgage spreads being tight versus mortgage spreads being historically wide that’s a really critical driver of the interest rate environment to volatility. As I talked about a lot over the last couple of years, all other things equal, in an environment that we have just gone through, where there has been a significant negative fixed income market re-pricing as the Fed went from quantitative easing to quantitative tightening, bad for all fixed income securities volatility was really high.

Liquidity was challenging at times. You sort of have to volatility adjust down the leverage. Said another way, each unit of leverage has a higher risk element to it. So, all other things equal, we had to bring our leverage down to account for the increased volatility. As the environment changes, as we get more and more confident that mortgage spreads will not break out of this new range that the high end, importantly, of the range will hold like it has held now for better part of seven quarters. Those will be important drivers for leverage going forward. But it’s going to depend on monetary policy. It’s going to depend on the volatility of interest rates, the cost to rebalance, liquidity in the market and obviously our view on where mortgage spreads may go.

Jake Katsikas: Thank you so much.

Peter Federico: Sure. Appreciate all the questions.

Operator: We have now completed the question-and-answer session. I would like to turn the call back over to Peter Federico, for closing remarks.

Peter Federico: Again, we appreciate everybody’s time this morning, and we look forward to speaking to you again at the end of the second quarter.

Operator: Thank you for joining the call. You may now disconnect.