ARR
#Thank you.
(Multiple speakers) between 50 basis points to 100 basis points of credit support.
Initial credit support.
Initial credit support, yes.
And as prepayments increase, that credit support can grow, and that's why I believe a third of our portfolios already have rated securities now that were originally unrated securities.
It's going to be somewhere around that 80 basis points.
I think most of our securities have 100 basis points of credit support.
If you remember, some of the older securities had ---+ they weren't actual loss securities.
They had a formula for losses.
So they were a little different.
So it's not apples to apples.
Well, the underlying is usually 30-year securities.
Now, it depends on the prepays where the actual average lives are.
They're going to be six- to eight-year securities, most likely.
Some of them already have the window open where we've already started receiving principle payments on them, which is much earlier than expected, because the speeds are so fast.
However, that'll be driven a little bit by rate factors and the economy.
If you have a three and a quarter 10-year note you'll see those prepayments slow down.
I suspect the Federal Reserve wouldn't raise rates if they thought that we were going to have a housing disaster.
So we might actually benefit in both regards there, whilst the first loss pieces are still growing.
Right, but I would look at it at three to three and a half, because that's exactly the range we look at.
But let me say something a little more broad.
We don't look at how our position is levered for agency and non-agency, because you have to have a liquidity pool to support those different asset classes as the prices change on them.
So we look at our total liquidity and how it supports both asset classes.
And so, and we've had this discussion with analysts on a one-on-one basis as well as on these conference calls, we look at the total leverage of the portfolio.
We will do, as you suggested, an internal of how an asset class would respond to certain leverages, understanding, though, we have to keep a lot of liquidity around to support that.
We are a hybrid REIT.
Of our haircuts, 45% of the equity in haircuts is in non-agencies right now.
So that would definitely define us as a hybrid REIT.
If CRTs were still 450 or 500 off, we would find a way to own more of those and still operate within the rules that the SEC and the IRS have allotted us.
So we like that asset class.
There are other asset classes.
I know some of our peers have been buying more NPLS and RPLs, and we haven't seen them as attractive.
If you have concerns like we do about some potential spread widening down the road and about some opportunity for rates to go up, increasing vast exposure to the agency asset class right now would not be our goal.
All right.
Thank you very much.
Thank you very much, everybody, for calling in.
If you have any questions, please feel free to call <UNK>, <UNK>, <UNK> or myself.
We're at the office.
We hope to get back to you in the same day.
And with that have a very good afternoon.
