HEDGE PORTFOLIO SUMMARY
As of March 31, 2020
($ in MM,
except per share amounts)
Notional /
Market Value
3/31/2020
Duration
3/31/2020 star-img
Net Hedge
Gains / Losses
Q1 2020 star-img
Net Hedge
Gains / Losses
Per Share
Q1 2020
Interest Rate Swaps $46,475 (4.6) $(2,827) $(5.15)
Payer Swaptions 9,550 (0.6) (134) (0.24)
U.S. Treasuries, Net Short 2,552 (11.2) (944) (1.72)
Total / Q1 2020 star-img $58,577 (2.7) $(3,905) $(7.11)
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, 2020, we had a net duration gap of 0.0 years.
DURATION GAP SENSITIVITY star-img
As of March 31, 2020
Rates
-100 bps
Duration
3/31/2020
Rates
+100 bps
Mortgage Assets: star-img
  30 Year MBS 1.8 2.7 4.8
  15 Year MBS 3.1 3.7 4.1
Total Mortgage Assets 2.0 2.8 4.7
Liabilities and Hedges (2.8) (2.8) (3.0)
Net Duration Gap (0.8) 0.0 1.7
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, 2020
(based on instantaneous parallel shifts in interest rates)
Interest Rate Shock (bps) Estimated Change in
Portfolio Market Value star-img
Estimated Change as a %
of Tangible Common Equity
-100 0.0% 0.1%
-75 0.2% 2.9%
-50 0.3% 3.3%
+50 (0.2)% (2.6)%
+75 (0.5)% (5.9)%
+100 (0.9)% (10.3)%
mbs spread sensitivity ("basis risk") star-img
As of March 31, 2020
MBS Spread Shock (bps) Estimated Change in
Portfolio Market Value
star-img
Estimated Change as a %
of Tangible Common
Equity
-50 2.3% 27.1%
-25 1.1% 13.6%
-10 0.5% 5.4%
+10 (0.5)% (5.4)%
+25 (1.1)% (13.6)%
+50 (2.3)% (27.1)%