Earnings Call Transcript - NLY Q4 2025

Operator, Operator

Good morning, and welcome to the Fourth Quarter 2025 earnings call for Annaly Capital Management. Please note today's event is being recorded. I would now like to turn the conference over to Sean Kensil, Director of Investor Relations. Please go ahead.

Sean Kensil, Director of Investor Relations

Good morning, and welcome to the fourth quarter 2025 earnings call for Annaly Capital Management. Any forward-looking statements made during today's call are subject to certain risks and uncertainties, which are outlined in the Risk Factors section in our most recent annual and quarterly SEC filings. Actual events and results may differ materially from these forward-looking statements. We encourage you to read the disclaimer in our earnings release in addition to our quarterly and annual filings. Additionally, the content of this conference call may contain time-sensitive information that is accurate only as of the date hereof. We do not undertake and specifically disclaim any obligation to update or revise this information. During this call, we may present both GAAP and non-GAAP financial measures. A reconciliation of GAAP to non-GAAP measures is included in our earnings release. Content referenced in today's call can be found in our fourth quarter 2025 Investor Presentation and fourth quarter 2025 financial supplement, both found under the Presentations section of our website. Please also note this event is being recorded. Participants on this morning's call include David Finkelstein, Chief Executive Officer and Co-Chief Investment Officer; Serena Wolfe, Chief Financial Officer; Mike Fania, Co-Chief Investment Officer and Head of Residential Credit; V.S. Srinivasan, Head of Agency and Ken Adler, Head of Mortgage Servicing Rights. And with that, I'll turn the call over to David.

David Finkelstein, CEO and Co-Chief Investment Officer

Thank you, Sean. Good morning, everyone, and thank you all for joining us for our fourth quarter earnings call. Today, I'll open with a brief overview of the macro and market environment and then touch on our performance for the quarter and the year, following which I'll provide an update on each of our three investment strategies and conclude with our outlook for 2026. Serena will then discuss our financials before opening up the call to Q&A. Now starting with the macro landscape. The fourth quarter supported the prevailing narrative of a solid U.S. economy. Although official data flow was disrupted by the government shutdown, reports received thus far suggest that the expansion continues at an above-trend pace. The labor market remains soft, however, as hiring slowed further in Q4, but limited layoffs and a reduction in labor force growth have muted the rise in the unemployment rate. Fixed income markets exhibited another strong quarter, in turn, helping 2025 register the highest total return in the U.S. aggregate bond index since 2020. The market benefited from continued strong inflows into bond funds and the ongoing decrease in both implied and realized rate volatility to the lowest levels since 2021. This decline in volatility was supported by a more predictable outlook for monetary policy and following 75 basis points of aggregate rate cuts in 2025, markets are currently pricing nearly two additional cuts later this year. The pace and realization of those projected cuts will be dependent on developments in the labor market, stability and inflation, and the composition of the FOMC going forward. The yield curve further steepened during the quarter as short-term yields fell, while long-term yields rose modestly. Swap spreads continue to widen partially driven by a shift on the part of the Fed from quantitative tightening to balance sheet expansion through reserve management purchases and bills, which served to increase the stability in short-term funding markets. Amid this constructive environment, our portfolio generated an economic return of 8.6% for the fourth quarter, with all three businesses contributing solid returns. For the full year 2025, we've delivered an economic return of just over 20% and a total shareholder return of 40%, underscoring the strength and resilience of our diversified housing finance strategies. Notably, we've been able to produce these results with a conservative leverage profile, and our economic leverage decreased modestly to 5.6x on the quarter. Our earnings available for distribution rose marginally to $0.74, again outearning our dividend. Also to note, we remained active in capital markets, raising $560 million of common equity through our ATM in Q4, bringing total equity raised in 2025 to $2.9 billion, inclusive of our Series J preferred stock issuance this past summer. With the capital raised, we were able to accretively grow our portfolio by 30% on the year, with each of our three strategies demonstrating double-digit growth. Now turning to our investment businesses, beginning with Agency. Our portfolio ended 2025 at $93 billion in market value, an increase of nearly $6 billion in the quarter and $22 billion over the course of the year, with Agency ending the year representing 62% of the firm's capital. In addition to MBS benefiting fundamentally from lower volatility in a steeper yield curve, the sector has exhibited a highly supportive supply and demand picture as well. In particular, strong and consistent bond fund inflows, REIT equity raises, and GSE portfolio growth of $50 billion through year-end against the backdrop of net MBS supply surprising to the downside, helped fuel spread contraction in the second half of 2025. With respect to our portfolio activity, our purchases centered on adding 5% coupons evenly split between pools and TBAs. Given the range-bound rate environment and steeper curve, we were comfortable taking on current coupon exposure to drive higher returns in light of the anticipated reduced hedging costs. We also grew our Agency CMBS portfolio by roughly $1 billion, given the sector's relative attractiveness compared to lower coupon MBS. With mortgage rates approaching 6% and recent prepay activity highlighting a more reactive borrower, higher coupons lagged on the coupon stack. However, we have deliberately constructed our specified pool portfolio with enough call protection to withstand a lower rate environment. For example, our 6% and 6.5% coupon pools have prepaid 40% slower than that of generic cheapest to deliver collateral, and we anticipate our holdings in these coupons should provide durable carry for years to come. Our hedge position remained broadly stable this quarter, consistent with our strategy of maintaining a conservative rate posture. With volatility at some of the lowest levels we've experienced over the past five years, our duration management focused predominantly on hedging new asset purchases using a combination of both treasury futures and swaps. Now shifting to residential credit, our portfolio ended the fourth quarter at $8 billion in market value, up $1.1 billion quarter-over-quarter, representing approximately 19% of the firm's capital. Non-Agency residential credit was relatively range-bound throughout the quarter, with AAA non-QM spreads ending the year marginally tighter at 125 to the curve. Q4 represented another record quarter for our Onslow Bay franchise as we achieved all-time highs across lock volume, fundings, and securitization issuance. During the quarter, our correspondent channel locked and funded $6.4 billion and $5 billion, respectively. We settled an additional $800 million of whole loans via bulk acquisitions, and we closed 8 securitizations totaling $4.6 billion. This securitization activity resulted in the creation of $570 million of proprietary OBX assets on the quarter, with mid-teens expected ROEs. Throughout the entire year, we locked over $23 billion of loans to the correspondent and funded $16.5 billion exclusively through that channel, representing an increase of 30% and 40% year-over-year, respectively. During 2025, we closed 29 securitizations for an aggregate $15.2 billion, generating approximately $1.9 billion of high-quality retained assets for Annaly in our joint venture while remaining firmly entrenched as the largest nonbank issuer in the residential credit sector. Even with the continued growth in the Onslow Bay channel and securitization program, we remain disciplined on credit with our current locked pipeline representing a 762 weighted average FICO and a 68 original LTV, with limited layer risk. The first few weeks of 2026 have been marked by credit spread tightening as both the corporate credit and structured finance asset classes have strengthened given the movement in the Agency MBS market. This is a supportive backdrop for our business as declining cost of funds and stability in capital markets should keep our volumes elevated. Given our market leadership, Annaly remains well positioned to continue to benefit from the growth and liquidity of not only the non-QM market, but also the broader non-agency market, which is expected to experience the highest growth securitization issuance since 2007 this year. Now turning to MSR, our portfolio ended the fourth quarter at $3.8 billion in market value, including unsettled commitments, representing a nearly $280 million increase quarter-over-quarter and a 15% increase year-over-year, and MSR ended the year representing 19% of the firm's capital. During the quarter, we committed to purchase $22 billion in principal balance, or roughly $330 million in market value of MSR with a weighted average note rate of 3.46%. These purchases were across 5 bulk packages in our flow channels, of which $150 million of market value is expected to settle in Q1. Notably, we are the second-largest buyer of conventional MSR in 2025, onboarding $59 billion in UPB throughout the year, and we ranked as the sixth largest nonbank agency servicer. Bulk supply was ample this past year, and we expect this pace of activity to continue in 2026 due to increasing origination volumes, coupled with compressed gain on sale margins necessitating MSR sales, as demonstrated throughout 2025. Regarding our flow business, we're focused on expanding our footprint and are now active across all GSE platforms, providing access to current coupon MSR, which we plan to purchase opportunistically. Our MSR valuation multiple increased marginally on the quarter, driven by a steeper yield curve, modest spread tightening, and lower volatility. Fundamental performance within the MSR portfolio continues to be strong and cash flows remain durable. The portfolio paid 4.6% CPR in Q4, unchanged quarter-over-quarter, while serious delinquencies remain muted at 55 basis points. With a weighted average note rate of 3.28%, our portfolio is still 250 basis points out of the money. As we continue to enhance our subservicing and recapture relationships, we look forward to growing our MSR portfolio in the coming year, taking advantage of the role we've created as a preferred partner to the originator and servicer community. In conclusion, as we look further into 2026, each of our investment strategies is well positioned to continue delivering strong results for our shareholders. The agency spread tightening following the GSE's recent MBS purchase announcement has been pronounced, but it is important to note that not only are technicals in the market vastly better than at any time since the Fed was actively buying MBS, also MBS hedging costs should be meaningfully lower given the decline in volatility supporting low to mid-teen prospective returns. We anticipate the non-Agency market to continue to grow as a share of total origination, with Onslow Bay uniquely positioned to maintain its healthy pace of loan acquisitions and securitization issuance. The non-QM market, in particular, has matured into a more liquid institutional asset class, and our early positioning gives us significant competitive advantages in loan selection and execution. Our best-in-class MSR portfolio remains distinguished with an average note rate that is significantly out of the money and an exceptional credit profile which provides our portfolio with a stable cash flow vehicle, supporting our overall yield and returns. Most importantly, we believe our diversified housing model will continue to perform for our shareholders in the year ahead. In an environment where spreads across various asset classes have tightened unevenly, the optionality to invest in the most accretive assets is an important lever to drive returns that monoline peer strategies are not afforded. Accordingly, while Agency will certainly continue to remain the anchor of our portfolio, our non-Agency strategies will likely see additional capital allocation, all else equal. We do, however, have the earnings power and the liquidity to be both patient and opportunistic and the scale to maintain our market leadership across housing finance. Our diversification enables us to be resilient across different rate cycles and market environments. With that, I'll hand it over to Serena to discuss the financials.

Serena Wolfe, CFO

Thank you, David. Today, I will provide a brief overview of the financial highlights for the quarter ended December 31, 2025, as well as select full year measures. Consistent with prior quarters, while our earnings release discloses GAAP and non-GAAP earnings metrics, my comments will focus on our non-GAAP EAD and related key performance metrics, which exclude PAA. Starting with book value, as of December 31, 2025, our book value per share increased 5% from $19.25 in the prior quarter to $20.21. After accounting for our $0.70 dividend, we achieved an economic return of 8.6% in Q4. This brings our full year 2025 economic return to 20.2%. Strong investment gains drove this quarter's performance. We benefited from spread tightening driven by lower volatility as favorable technical factors. Gains on our interest rate swaps also supported results as swap spreads widened. Earnings available for distribution per share increased by $0.01 to $0.74. Again, as David mentioned earlier, it exceeded our dividend for the quarter. This increase in EAD was driven by a 30 basis point improvement in our average repo rate to 4.2% and higher average investment balances resulting from the growth in our Agency and Residential loan portfolios. For the full year, average yields rose 26 basis points year-over-year from 5.13% in 2024 to 5.39% in 2025. However, these benefits were partially offset by lower levels of swap income due to lower average receive rates. Net interest spread and net interest margin, both excluding PAA, remained strong and comparable to prior quarters at 1.49% and 1.69%, respectively. For the full year 2025, net interest spread and net interest margin, both excluding PAA, reached 1.4% and 1.7%, an improvement of 18 basis points and 13 basis points, respectively, further demonstrating the returns from our disciplined investing and funding teams. Turning to financing, we added $6.7 billion of repo principal at attractive spreads while deploying the proceeds from accretive ATM issuances during the quarter. This led to a Q4 reported ending repo rate of 4.02%, down 34 basis points. Additionally, our weighted average repo days ended the quarter at 35 days, 14 days lower than the prior quarter. Our economic leverage ratio remained historically low at 5.6x, down one tick from the third quarter's end. Meanwhile, total warehouse capacity across our residential credit and MSR businesses reached $6.9 billion, with $2.7 billion of that committed. We continue to maintain ample capacity in both businesses with utilization rates at 47% for residential credit and 50% for MSR. As for liquidity, we ended the fourth quarter with $7.8 billion in unencumbered assets, including $6.1 billion in cash and unencumbered agency MBS. We also have about $1.5 billion in fair value of MSR pledged committed warehouse facilities but still undrawn, which can be quickly converted to cash, subject to market advance rates. As a result, our total assets available for financing are approximately $9.4 billion, up $500 million from the third quarter. This represents about 58% of our total capital base and provides significant liquidity and flexibility. Finally, regarding OpEx, our efficiency ratios again improved significantly during the quarter, down 10 basis points to 1.31% and brought the full year ratio to 1.42%, illustrating the efficiencies of our size and scale. Now that concludes our prepared remarks, and we'll now open the line for questions. Thank you, operator.

Operator, Operator

And today's first question comes from Alyssa DeStefano with KBW.

Bose George, Analyst

This is Bose with KBW. The first question, could you give us an update on mark-to-market book values?

David Finkelstein, CEO and Co-Chief Investment Officer

Sure, Bose. So as of Tuesday, our book was up 4%, inclusive of the dividend accrual, so 3% netting that out after yesterday, maybe a fraction of 1% higher than that.

Bose George, Analyst

Okay. Great. And then can you just talk about the portfolio returns or the blended ROEs on the portfolio, given the spread tightening since quarter-end? And then can you just translate that into a comfort level with your dividend in 2026.

David Finkelstein, CEO and Co-Chief Investment Officer

Sure. Overall, we could still achieve returns in the mid-teens. In the Agency market, there has been significant tightening, but we can still attain our targets compared to swaps. We are confident in the stability of the swaps market as a hedge, especially since the Fed is more mindful of balance sheet availability. Our tightening has not been substantial since that announcement. We believe the swaps market is a solid option for hedging, allowing for returns. In the residential market, the whole loan channel to securitization continues to provide those returns. Although MSR is somewhat lower, the benefits of hedging and diversification make it worthwhile. Looking at our overall balance sheet, our asset ownership supports the dividend yield. We feel positive about this. We outperformed in Q4 and expect to outpace expectations in Q1, so we believe the dividend is secure.

Operator, Operator

And our next question today comes from Jason Stewart at Compass Point.

Jason Stewart, Analyst

Obviously, on the MSR portfolio, the current portfolio is pretty well insulated from modestly lower interest rates. But could you expand on your comment about being opportunistic for coupon MSR and how you're expecting that market to trade as prepays increase?

David Finkelstein, CEO and Co-Chief Investment Officer

Sure. I'll hand it off to Ken for that.

Ken Adler, Head of Mortgage Servicing Rights

Yes. We've now set up the infrastructure to be fully active in that space. The primary way we've done that is through the Fannie and Freddie MSR exchange platforms. We're now active with close to 100 counterparties today, and we provide pricing every day. What's really interesting about new production pricing is it really doesn't move that much with interest rates because it's always set at the current mortgage rate. What it is, is about the value change after you buy it. Given the improved ability to do recapture for the industry, that's been much more insulated than it's been in past regimes. We're there, and we don't see it as valuable to us at this time based on where we can buy the lower note rate stuff. To the extent relative value changes and that becomes more attractive, you will see us more active in that area.

David Finkelstein, CEO and Co-Chief Investment Officer

And I'll just add, Jason, to the extent we're a financial participant, the low note rate MSR has worked well and let the operating platforms, the originators focus on production coupon and their management of the borrower. We do expect origination, obviously, to pick up a lot this year with a 6% mortgage rate. As a consequence, you'll see a lot of production coupon MSR hitting the market. We've gotten comfortable, very comfortable with our recapture partners at our servicers to where we can manage that quite well. So we'll see how the market develops, but we'd like to get more into the production MSR space.

Jason Stewart, Analyst

Okay. That's helpful. And just one more point on that. How much would you need to see valuations change for it to hit return hurdles in terms of current coupon production?

Ken Adler, Head of Mortgage Servicing Rights

Yes. When originators sell MSRs, they want to sell the MSR that's least valuable to them. That is the lower note rate MSR because there's a lower chance that customer is going to become active. In today's world, when they originate and Dave alluded to this in the prepared comments, when they originate a loan, the profitability on that origination does not allow MSR retention to retain all the MSR. In fact, they have to sell a majority of the MSR to be liquidity neutral. What we're seeing is originators prefer to sell the lower note rate MSR so that's more valuable to us because that's what they're selling. We expect that flow to dry up, and then the relative value shifts to the current coupon. We're well set up based on our network of people to buy from and then a network of people to both subservice and perform recapture for us.

Operator, Operator

And our next question today comes from Eric Hagen at BTIG.

Eric Hagen, Analyst

Lots of speculation out there right now for things the administration can do to lower mortgage rates further, including a potential cut to guarantee fees. I mean can you weigh in on this? And how you think a big G-fee cut could impact the prepayment environment?

David Finkelstein, CEO and Co-Chief Investment Officer

Sure. A G-fee cut is something that has been discussed. Our perspective, which we have shared with policymakers, is that a G-fee cut for purchased loans is entirely suitable. We are concerned that a broad G-fee cut affecting existing loans could harm the MBS market and widen spreads. There has been an awareness of this issue. If the cut is limited to purchase loans, it won't negatively affect the ROEs of the GSEs, which is definitely a factor to consider. Perhaps they could implement a one-year holiday for purchased loans; we believe that could be beneficial in helping first-time homeowners and new buyers enter the housing market.

Eric Hagen, Analyst

Okay. That's great. You mentioned the cost of hedging should be lower as a result of the GSEs being back in the market, spread volatility being lower. What metric would you use to maybe like compare the cost of hedging over time? And how would you maybe compare the attractiveness of raising capital when spreads are widened versus an environment of tighter spreads and lower spread volatility?

David Finkelstein, CEO and Co-Chief Investment Officer

So the first question in terms of measuring spread volatility, our view as it relates to the GSEs and their involvement, we don't have a lot of clarity. We know there's a $200 billion mandate, but we don't know what role the GSEs are going to play. It would be highly productive if they evolved into a spread stabilizing force for the MBS market, and that was somewhat of the role they played pre-financial crisis. It gave investors confidence that mortgage spreads would remain relatively stable. Given higher participation, you got a tighter spread as a consequence of others doing the work for the GSEs because you knew that they would be there when spreads got too wide, providing support for the market. They don't have the capacity that they did pre-financial crisis, but they do have a lot of dry powder. We'd like to see that evolution, but we'll have to wait and see. In terms of measuring spreads, in volatility, spread volatility has been very stable for the last 6 months, and it's been quite comforting. We haven't had to spend a lot of money at all hedging, and you see that in our economic return. So we feel quite good about that. I would expect that the pace of capital raising may not be as high as in that environment. Nonetheless, the support for the Agency market is there, given the strong technicals from the GSEs, money managers, and REITs raising capital.

V.S. Srinivasan, Head of Agency

Going forward, there could be pockets of opportunity if we get more clarity on what policy changes come about, post the GSE announcement to purchase MBS. Higher coupons really have not tightened that much because that has increased policy uncertainty. As we get some clarity there, there could be pockets of opportunity.

Operator, Operator

And our next question today comes from Doug Harter at UBS.

Douglas Harter, Analyst

David, you were just talking about the lower risk environment that we're in today. As you look out, how do you handicap the risks that could change? What might be the factors that could cause an end to this low-risk environment with more volatility?

David Finkelstein, CEO and Co-Chief Investment Officer

From a macro standpoint, the two biggest risks that we see are the global fiscal picture and the amount of debt out there, including that in the United States, along with a bit of complacency around it. You could end up with the volatility environment because of the amount of debt in the world. Another macro risk is just the euphoria in asset markets and asset pricing. There's been a remarkable run across markets, and there are real signs out there that investors should be a little concerned. Just look at the price of gold as a safety store of value; it's doubled since the beginning of last year and up 27% to 28% this year. Another risk as Eric discussed is housing policy uncertainty and what role the GSEs will play, and how that could impact the convexity profile of the Agency market. Those are two things we're watching closely in terms of risks in the Agency market specifically.

Operator, Operator

And our next question today comes from Rick Shane at JPMorgan.

Richard Shane, Analyst

Look, you guys are seeing attractive opportunities buying MSRs, low coupon MSRs. I assume you're basically seeing that as an attractive IO. Given discounts in MBS for lower coupons, does it make sense? Is it attractive to be buying lower coupon MBS at this point as well? I'm just curious, particularly as sort of on the margin, you're starting to get more questions about prepayment.

David Finkelstein, CEO and Co-Chief Investment Officer

Yes. The first point I'd note is that the valuation on low coupon MBS is quite tight. So there's better ways, I think, to manage that type of risk, whether it be through duration or other factors. There's a little bit of policy risk in low note rate MSR, but we feel it's very safe. When it comes to housing policy changes, if we could see legislation that reduces capital gains tax, you could see some turnover in low coupon MSR, but those are at the margin. I think the borrower in a 3-odd percent note rate loan really ascribes value to that loan, and there's some real reluctance to give it up. We feel like it's a safe, durable asset, and we hedge some of that uncertainty through duration, but the valuations just don't warrant it.

Richard Shane, Analyst

Got it. Is there enough liquidity in the lower coupons that if the bid-ask seemed attractive you could deploy capital there? That's a nuance that I don't think I fully appreciate as an equity person.

David Finkelstein, CEO and Co-Chief Investment Officer

Yes, there is liquidity in low coupons. It's not as good as production and slightly higher. If you wanted to compile a bigger position in local bonds, it wouldn't be hard. I mentioned we added DUS to the portfolio, Agency CMBS. In our view, relative to lower coupon MBS, that was meaningfully cheaper. To get a good convexity profile and longer duration assets was sufficient for us last quarter.

Operator, Operator

And our next question today comes from Harsh Hemnani with Green Street.

Harsh Hemnani, Analyst

Thank you. I think on the prepared remarks, you characterized the current environment as spreads have tightened across all housing finance assets, but unevenly. It seems like credit is starting to look a little more attractive on a relative value basis, and we saw that section of the portfolio grow a little faster than the rest of the businesses this quarter. As you look out over the next year or so, your long-term target for the equity allocation is like 60% Agency MBS and 20% across the other two each. Can you help us put some bands around that? How much could we see credit exposure or MSR even increase from your over that 20% number?

David Finkelstein, CEO and Co-Chief Investment Officer

Sure. I alluded to this, Harsh, so thank you for the question. In 2025, we grew the Agency portfolio by 30%, each resi and MSR by 15% through the capital raises that we undertook. That was the right weighting to go with, given how well Agency has done. Now we're at a different balance regarding valuations. We do favor resi credit, though it has tightened, and MSR for that matter. If we did add capital to switch, we'd like to grow resi and MSR by 30% and Agency less than that. The objective today from a capital allocation standpoint is to increase those businesses. We have to be very considerate with respect to the credit environment. When looking at the health of the loans we're acquiring, we are comfortable with the credit we're doing. We hope to grow it. I don't expect us to get to those objectives over the near term, but we'd like to at the margin increase MSR and resi here.

Operator, Operator

And our next question comes from Trevor Cranston of Citizens JMP.

Trevor Cranston, Analyst

You talked some about the impact of the GSE portfolio buying on the market. I was curious if you could share your views on the likelihood or feasibility of the portfolio caps potentially being increased at some point as they get closer to current cap size? And then I was just curious if you guys have seen or if you expect to see any impact from their portfolio buying on the swap or funding markets?

David Finkelstein, CEO and Co-Chief Investment Officer

As for the caps, it's hard to say. Everybody probably saw that post from the FHFA Director last Friday, I believe, stating they don't intend to increase the caps. But it's hard to know. They came into the year with approximately $178 billion in capacity between the two of them, so we're a long way from hitting those caps. We'll have to wait and see how the year evolves on that front. With respect to hedging, you could argue that swap spreads should be wider due to adjustments the Fed has made with their asset purchases, and we didn't see a significant amount of widening based on the greater availability of balance sheet. We don't have information on that. I do know the pre-financial crisis, and I was on the sell-side interacting extensively with the GSEs. They would hedge those purchases and use swaps to enhance the yield relative to shorting treasuries. We would expect that to be the case, whether they're actively engaged in the swaps market today, I don't have a definitive answer. Their buying MBS, a balance sheet-intensive product, is funded in many situations. They're taking assets out of the market that may otherwise be funded. What I think matters regarding funding markets is reserves in the system, and that is the key factor we look at. They're now back to slightly over $1 trillion, and we feel funding markets are still going to be fine without their participation.

V.S. Srinivasan, Head of Agency

One thing I would add is just the size of the GSE book. If they bought the entire $200 billion, it's about $100 million DV01, so if you assume they've done 5% or 10%, you're talking about $5 million to $10 million DV01, which is just not large enough to see any impact on swaps spreads right away. It will take time.

Operator, Operator

And that concludes our question-and-answer session. I'd like to turn the conference back over to David Finkelstein for any closing remarks.

David Finkelstein, CEO and Co-Chief Investment Officer

Thank you, Rocco, and thank you, everybody, for joining us today. Have a good rest of the winter, and we'll talk to you real soon.

Operator, Operator

Thank you, sir. That concludes today's conference call. We thank you all for attending today's presentation. You may now disconnect your lines, and have a wonderful day.