Question · Q3 2025
Douglas Michael Harter inquired about the breakdown of agency returns between OAS and swap spread contributions, and an update on book value quarter-to-date.
Answer
V.S. Srinivasan, Head of Agency, detailed the spread to swaps versus Treasuries, blended yield, and option costs, highlighting the positive impact of low realized volatility. David Finkelstein, CEO and Co-Chief Investment Officer, reported that book value pre-dividend accrual was up in the upwards of 1% quarter-to-date.