HEDGE PORTFOLIO SUMMARY
As of March 31, 2022
($ in MM, except per share amounts) Notional /
Market Value
3/31/2022
Duration
3/31/2022 star-img
Net Hedge
Gains / Losses
Q1 2022 star-img
Net Hedge
Gains / Losses
Per Share
Q1 2022
Interest Rate Swaps $51,125 (3.5) $1,975 $3.75
Payer Swaptions 10,250 (4.0) 363 0.69
U.S. Treasuries, Net Short 16,168 (6.8) 747 1.42
Total / Q1 2022 star-img $77,543 (4.8) $3,085 $5.86
Duration is a measurement of market price sensitivity to interest rate movements and represents the estimated percentage change in the market value of our mortgage assets and our hedge portfolio caused by a parallel change in short- and long-term interest rates. The duration of our investment portfolio tends to increase when interest rates rise and decrease when interest rates fall.

As of March 31, 2022, we had a net duration gap of 0.3 years.
DURATION GAP SENSITIVITY star-img
As of March 31, 2022
Rates
-100 bps
Duration
3/31/2022
Rates
+100 bps
Mortgage Assets: star-img
  30 Year MBS 3.6 5.5 6.9
  15 Year MBS and Other Securities 2.7 3.4 3.8
Total Mortgage Assets 3.5 5.3 6.6
Liabilities and Hedges (4.7) (5.0) (5.2)
Net Duration Gap (1.2) 0.3 1.4
Changes in interest rates and changes in MBS spreads can impact the market value of our equity. The charts below outline the impact of interest rate and mortgage basis movements on our NAV.
Interest Rate Sensitivity star-img
As of March 31, 2022
(based on instantaneous parallel shifts in interest rates)
Interest Rate Shock
(bps)
Estimated
Change in Portfolio
Market Value star-img
Estimated
Change in Tangible
Common Equity
-75 (0.2)% (1.7)%
-50 0.0% (0.2)%
-25 0.0% 0.4%
+25 (0.1)% (1.2)%
+50 (0.3)% (3.0)%
+75 (0.6)% (5.5)%
mbs spread sensitivity ("basis risk") star-img
As of March 31, 2022
MBS Spread Shock (bps) Estimated
Change in Portfolio
Market Value star-img
Estimated
Change in Tangible
Common Equity
-50 3.0% 29.9%
-25 1.5% 15.0%
-10 0.6% 6.0%
+10 (0.6%) (6.0)%
+25 (1.5)% (15.0)%
+50 (3.0)% (29.9)%