Our portfolio
Specializing in Agency MBS
Our skilled team has decades of experience in selecting assets well positioned to deliver superior risk-adjusted returns across market cycles.
Our investment portfolio is over 98% comprised of Agency MBS assets, including pass-through certificates, collateralized mortgage obligations (CMOs), and “to-be-announced” securities (TBAs). These assets benefit from a guarantee from Fannie Mae, Freddie Mac, or Ginnie Mae, which substantially eliminates credit risk and protects us in the event borrowers default on their mortgage payments.
We also allocate a small portion of our capital to non-Agency investments, including GSE credit risk transfer securities (CRT). While these assets are not our primary focus, maintaining these investment capabilities provides meaningful flexibility in the event of significant shifts in market opportunities.
$78.9 Billion Investment Portfolio
as of March 31, 2025
Note: Amounts may not total due to rounding.
Funding
We benefit from asset-driven and company-specific funding advantages that enable us to enhance returns using appropriate leverage via low-cost and highly liquid repurchase agreements.
We finance our investment portfolio primarily through short-term repurchase agreements (repo), which generally have maturities that range from one day to one year. We are able to source extremely attractive funding from over 40 counterparties and through our captive broker-dealer due to the high investment quality and Agency guarantee of our assets. Further, the Federal Reserve’s support of the repo market ensures ample liquidity and financing availability while reinforcing its commitment to the Agency MBS market.
Investment Securities Repo Outstanding
Average Cost of Funds
Tangible Net Book Value “At Risk” Leverage
Our Broker-Dealer
We are one of a select few mortgage REITs with a captive broker-dealer, which provides meaningful competitive funding advantages. Bethesda Securities, a member of the Fixed Income Clearing Corporation (FICC) and the Financial Industry Regulatory Authority (FINRA), enables access to lower wholesale funding rates, reduces collateral requirements, and limits our counterparty exposure.
Repo Funded Through Our Broker-Dealer
Risk Management
We employ dynamic risk modeling across current and prospective market scenarios to actively manage market risks, continuously adjusting our leverage and hedging strategies to protect the value of our portfolio, maintain investment flexibility, and optimize returns.
While our portfolio is substantially free of credit risk due to the Agency guarantee of Agency MBS assets, our team must manage other market risks – primarily interest rate, prepayment, and extension risks. We utilize a variety of investment and risk management strategies, including cost-effective hedging instruments such as interest rate swaps and short U.S. Treasury positions, to minimize these market risks. Spread risk is also inherent to the mortgage REIT business model, and our hedging strategies are generally not designed to protect our portfolio against spread risk.
Hedge Portfolio
Net Duration Gap
Hedge Ratio
Portfolio Sensitivities
Changes in interest rates and spreads can impact the overall value of our portfolio and stockholders’ equity, which is why we use proven modeling techniques that incorporate current and prospective market scenarios to actively manage these risks and aim to reasonably align the duration of our assets, funding, and hedging instruments. To further transparency, we provide clear disclosure regarding our risk management strategies, duration position, and portfolio sensitivities to broader market shocks.