Cuộc họp công bố kết quả kinh doanh quý 3/2026 của MITT: Giá trị sổ sách giảm 7,3% khi vốn chủ sở hữu nhà ở mở rộng

Thông tin trọng tâm

• Giá trị sổ sách giảm 7,3% trong quý 3/2026, từ 10,00 USD xuống 9,27 USD/cổ phiếu, trong đó toàn bộ mức giảm diễn ra vào tháng 9 trong bối cảnh lãi suất cơ sở tăng và chênh lệch tín dụng nới rộng.
• Lợi nhuận khả dụng để phân phối (EAD) đạt 0,21 USD/cổ phiếu, thấp hơn mức cổ tức cổ phiếu phổ thông vừa được công bố là 0,24 USD/cổ phiếu. Lỗ ròng theo GAAP phân bổ cho cổ đông phổ thông là 15,7 triệu USD, tương đương 0,49 USD/cổ phiếu.
• MITT đã mua 317 triệu USD các khoản vay thế chấp bằng giá trị nhà và bảo lãnh phát hành ba khoản chứng khoán hóa giá trị nhà với tổng trị giá khoảng 1,25 tỷ USD. Thế chấp bằng giá trị nhà chiếm 37% tỷ lệ phân bổ vốn chủ sở hữu vào cuối quý.
• Đòn bẩy kinh tế tăng nhẹ từ 1,8 lần lên khoảng 2,0 lần. Ban lãnh đạo cho biết công ty vẫn giữ công suất mở rộng đầu tư thông qua nguồn thanh khoản hiện có và các nguồn tài trợ chưa khai thác.
• Arc Home đã khởi tạo khoảng 1 tỷ USD khoản vay, tăng khoảng 19% so với cùng kỳ năm ngoái, nhưng đóng góp EAD ở mức xấp xỉ hòa vốn do biến động trong tháng 9 đã triệt tiêu lợi nhuận của tháng 7 và tháng 8.
• Ban lãnh đạo dự kiến việc tái phân bổ vốn từ các tài sản thương mại hiện hữu sẽ bổ sung khoảng 0,15 USD đến 0,20 USD EAD hàng năm vào năm 2027, tùy thuộc vào thời điểm xử lý tài sản.

Dữ liệu tài chính cốt lõi

Kết quả kinh doanh và hoạt động

MITT tiếp tục dịch chuyển vốn sang các khoản đầu tư thế chấp bằng giá trị nhà. Công ty đã mua 317 triệu USD các khoản vay thế chấp bằng giá trị nhà và hoàn tất ba giao dịch chứng khoán hóa trong quý.

Một giao dịch hợp nhất được bảo đảm bằng 327 triệu USD khoản vay HELOC. Trong hai giao dịch được bảo đảm bằng 895 triệu USD khoản thế chấp thứ hai kỳ hạn cố định, MITT đã giữ lại 46 triệu USD RMBS phi chính phủ mà không chịu rủi ro tài trợ tín dụng lưu kho tương ứng.

Ban lãnh đạo cho biết MITT sử dụng các hạn mức tín dụng lưu kho không định giá lại theo thị trường trước khi các khoản vay nhận được nguồn tài trợ chứng khoán hóa dài hạn. Công ty cũng hợp tác với các đơn vị khởi tạo chịu rủi ro thị trường đối với nợ chứng khoán hóa cuối cùng được bán cho các nhà đầu tư.

Danh mục đầu tư tạo ra ROE khoảng 20%, nhờ sự hỗ trợ từ việc tái đầu tư vào thế chấp bằng giá trị nhà và sự nới rộng biên lãi thuần. Ban lãnh đạo tiếp tục ưu tiên các khoản đầu tư thế chấp bằng giá trị nhà hơn so với các khoản đầu tư phi tiêu chuẩn (non-QM), viện dẫn lợi thế tài chính dành cho chủ sở hữu nhà muốn rút vốn cổ phần mà không cần thay thế khoản thế chấp ưu tiên thứ nhất lãi suất thấp.

Khối lượng khởi tạo khoản vay khoảng 1 tỷ USD của Arc Home đại diện cho mức tăng trưởng 19% so với cùng kỳ năm ngoái. Đóng góp EAD của công ty xấp xỉ hòa vốn do biến động trong tháng 9 đã đảo ngược kết quả tích cực của tháng 7 và tháng 8. Arc Home đã bắt đầu tăng cường khởi tạo khoản vay thế chấp bằng giá trị nhà, điều mà ban lãnh đạo kỳ vọng sẽ giúp bù đắp cho hoạt động thế chấp ưu tiên thứ nhất yếu hơn theo thời gian.

MITT cũng thúc đẩy thương vụ sáp nhập tiềm năng với Cherry Hill. Các công ty đã nộp bản ủy quyền chung và bản tóm tắt thông tin vào tháng 10, với các cuộc họp cổ đông dự kiến diễn ra vào tháng 12.

Định hướng của Ban lãnh đạo

Ban lãnh đạo dự kiến một giao dịch bán tài sản ngành khách sạn sẽ hoàn tất vào cuối năm sau khi khoản tiền đặt cọc của bên mua trở thành khoản không thể hoàn lại. Một khoản vay ngành khách sạn khác có thể được xử lý trong một hoặc hai quý tới, trong khi bên mua được lựa chọn cho danh mục bán lẻ của MITT dự kiến sẽ hoàn tất giao dịch trong những tháng tới.

Công ty dự kiến việc xử lý diện rộng năm tài sản thương mại hiện hữu sẽ diễn ra theo từng giai đoạn, có thể kéo dài đến năm 2027. Ban lãnh đạo cho biết số tiền thu về dự kiến vẫn nhất quán với giá trị ghi sổ hiện tại.

Việc xử lý các khoản vay thương mại không dồn tích lãi có thể giải phóng khoảng 28 triệu USD vốn cho các khoản đầu tư bất động sản nhà ở có lợi suất cao hơn. Tùy thuộc vào thời điểm, ban lãnh đạo kỳ vọng việc tái phân bổ vốn này sẽ đóng góp khoảng 0,15 USD đến 0,20 USD EAD tăng thêm hàng năm vào năm 2027.

Ban lãnh đạo cũng kỳ vọng ROE sẽ mạnh mẽ hơn, EAD cao hơn và tăng trưởng cổ tức tiếp tục duy trì theo thời gian, nhưng nhấn mạnh rằng đóng góp trong ngắn hạn của Arc Home vẫn nhạy cảm với các điều kiện ngân hàng thế chấp và biến động chênh lệch lãi suất.

Rủi ro và các điểm cần theo dõi

• Lãi suất cơ sở cao hơn và chênh lệch tín dụng nới rộng đã gây áp lực lên định giá tài sản thế chấp và dẫn đến sự sụt giảm giá trị sổ sách trong quý 3.
• Theo ước tính của ban lãnh đạo, khoảng một nửa mức ảnh hưởng đến giá trị sổ sách có liên quan đến sự biến động lãi suất và một nửa do chênh lệch nới rộng.
• Arc Home vẫn chịu rủi ro từ tính chu kỳ của ngành ngân hàng thế chấp cũng như biến động về lãi suất và chênh lệch.
• Thời điểm bán các tài sản thương mại hiện hữu còn chưa chắc chắn, và ban lãnh đạo mô tả quá trình bán bất động sản thương mại là đầy thách thức.
• Mức EAD 0,21 USD/cổ phiếu không đủ đài thọ mức cổ tức quý 0,24 USD trong quý 3.
• Giao dịch Cherry Hill đã phát sinh khoảng 2 triệu USD chi phí, làm giảm khoảng 0,6% giá trị sổ sách trong quý.

Điểm tin nổi bật từ phiên Hỏi & Đáp với chuyên gia phân tích

Ban lãnh đạo cho biết họ tiếp tục tập trung vào việc hoàn tất thương vụ sáp nhập Cherry Hill trước khi quyết định mức độ duy trì hoặc chuyển đổi danh mục quyền phục vụ thế chấp và cơ quan chính phủ của Cherry Hill sang tín dụng phi chính phủ.

Về mức độ đài thọ cổ tức, ban lãnh đạo cho biết danh mục đầu tư cốt lõi tiếp tục hoạt động đúng như kỳ vọng. Sự cải thiện EAD trong tương lai phụ thuộc một phần vào việc tái phân bổ tiền thu từ bất động sản thương mại sang giá trị nhà và vào sự phục hồi của Arc Home sau những biến động trong tháng 9 và tháng 10.

MITT dự kiến đòn bẩy sẽ tiếp tục được quản lý một cách thận trọng. Ở mức khoảng 2,0 lần, ban lãnh đạo đánh giá mức đòn bẩy này là thấp so với các công ty cùng ngành và tin rằng cấu trúc tài trợ không định giá lại theo thị trường cung cấp sự linh hoạt để đầu tư trong những giai đoạn biến động.

Về rủi ro tín dụng đối với tài sản thế chấp bằng giá trị nhà, ban lãnh đạo đề cập đến những người vay có điểm FICO cao, tỷ lệ tổng nợ trên giá trị tài sản (CLTV) tương đối thấp và giá trị ròng của ngôi nhà lớn. Tỷ lệ nợ quá hạn vẫn ở mức khiêm tốn, trong khi dữ liệu hoạt động trong nhiều năm đã củng cố niềm tin của ban lãnh đạo vào chiến lược này.

Toàn văn Biên bản Cuộc họp Báo cáo Kết quả Kinh doanh

Toàn văn cuộc gọi công bố kết quả kinh doanh

Phần trình bày của ban lãnh đạo

Operator

Good day, and thank you for standing by. Welcome to the TPG Mortgage Investment Trust, Inc. Third Quarter 2026 Earnings Conference Call. [Operator Instructions] Please be advised that today's conference is being recorded. I'd now like to turn the call over to Jenny Neslin, General Counsel for the company.

Jenny Neslin

Thank you. Good morning, everyone, and welcome to the Third Quarter 2026 Earnings Call for TPG Mortgage Investment Trust. With me on the call today are T.J. Durkin, our CEO and President; Nick Smith, our Chief Investment Officer; and Anthony Rossiello, our Chief Financial Officer.

Before we begin, please note that the information discussed in today's call may contain forward-looking statements. Any forward-looking statements made during today's call are subject to certain risks and uncertainties, which are outlined in our SEC filings, including under the headings Cautionary Statement Regarding Forward-Looking Statements, Risk Factors and Management's Discussion and Analysis. The company's actual results may differ materially from these statements. We encourage you to read the disclosure regarding forward-looking statements contained in our SEC filings, including our most recently filed Form 10-K for the year ended December 31, 2025, our Form 10-Q for the quarter ended June 30, 2026, and our subsequent reports filed from time to time with the SEC. Except as required by law, we are not obligated and do not intend to update or to review or revise any forward-looking statements, whether as a result of new information, future events or otherwise.

During the call today, we will refer to certain non-GAAP financial measures. Please refer to our SEC filings for reconciliations to the most comparable GAAP measures. We will also reference the earnings presentation that was posted to our website this morning. To view the slide presentation, turn to our website, www.mitt.tpg.com and click on the link for the Q3 2026 earnings presentation on the home page. Again, welcome to the call, and thank you for joining us today. With that, I'd like to turn the call over to T.J.

Thomas Durkin

Thank you, Jenny, and good morning, everyone. I'm pleased to report MITT's third quarter earnings. First, we are making a lot of progress on the potential merger with Cherry Hill, including filing our joint proxy statement and prospectus back in October, and we are marching towards stockholder meetings for both MITT and Cherry Hill in December.

Turning back to the third quarter, we experienced two different market environments. July and August continued the second quarter's trend of calm and functional markets. However, September inflationary fears took hold of the interest rate market, which put massive pressure on the agency basis and spilled over into non-agency spreads. Our portfolio was well positioned with low leverage, and we were able to navigate these markets without any uncomfortable decisions around delta hedging or delevering.

Book value decreased from $10 to $9.27 per share during the quarter, with the entire decline in book value occurring completely in September. Because we entered the period of volatility with a very defensive leverage position, we were able to remain invested and continued rotating capital into higher returning residential credit strategies. At the same time, Arc Home was not immune to September's volatility and reversed July and August profitability to breakeven and therefore, not contributing to EAD this quarter. In total, MITT generated EAD of $0.21 per share for the quarter, coming in just shy of our recently declared dividend of $0.24.

We continue to make tangible progress resolving our legacy commercial loans. Within the hospitality portfolio, a buyer's deposit has gone hard since quarter end and should close by year-end. We remain on track to resolve another one of the hospitality loans in the coming quarter or two. Separately, the sale process for our retail exposure is still progressing well. The buyer has been selected, and we are guiding the transaction to close in the coming months ahead. These resolutions are important catalysts for MITT. As capital from these legacy positions is redeployed into our core residential strategies, we expect it to contribute approximately $0.15 to $0.20 of incremental annual EAD for 2027, depending on the timing of these resolutions.

As we look toward closing out the year into 2027, we believe we have a clear line of sight to stronger ROEs, higher EAD and continued dividend growth. We have already raised the dividend in 4 of the last 8 quarters, and we believe this quarter's results are not reflective of our long-term trend. We have confidence in the trajectory of the business. We remain excited about the opportunities ahead and look forward to continuing to share our progress with you in the quarters ahead.

With that, I'll turn it over to Nick.

Nicholas Smith

Thanks, T.J., and thank you, everyone, for joining us today. The third quarter presented a challenging macro environment. Interest rate moves meaningfully higher, volatility was elevated and geopolitical uncertainty drove volatility in energy, equity, fixed income and credit markets. Despite this backdrop, the company had an extremely active quarter, issuing approximately $1.25 billion across three home equity securitizations, building on our strong partnerships with leading home equity originators. Importantly, this significant investment activity increased our economic leverage only modestly from 1.8x to approximately 2x, well within the range we have been operating.

As stated in previous quarters, we have ample dry powder to continue to grow our asset base by using a combination of liquidity on hand and untapped financing. It's worth repeating a point we made regularly on prior calls. This growth came without taking outside gestation risk on mark-to-market warehouse lines.

Today, we use only non-mark-to-market warehouse facilities until loans are permanently financed through securitization. Similarly, the company is also mitigating warehouse risk by partnering with originators that bear the market risk for securitized debt that is ultimately syndicated. These strategies are allowing the company to prudently grow our investments in higher-returning residential credit strategies as the portfolio delevers organically over time, which will be an important driver for further expansion of the company's net interest income.

While the third quarter's move higher in rates possesses certain challenges, it makes the case for home equity stronger. About half of all outstanding mortgages are below 4% and nearly 8 in 10 are below 6%. While homeowners hold historically high levels of tappable equity, extracting home equity through a new first-lien cash out refinance means trading a 2%, 3% or 4% mortgage for one above 7%. Instead, homeowners are going to continue to turn to the home equity market, allowing them to keep their low 30-year fixed rate mortgages with a combined rate much lower than alternatives. Every move higher in rates widens this financing advantage, and it would take a material decline in mortgage rates to slow growth in the second lien origination market.

Moving on to Arc Home. Arc Home originated approximately $1 billion this quarter, an approximately 19% increase versus last year. However, as T.J. mentioned, its contribution to MITT's EAD was roughly breakeven after the volatility in September reversed the previous two months' profitability. On a more positive note, we are starting to ramp home equity originations at Arc Home, which we expect to offset some of the pullback in first-lien originations in our base case and in a more bullish scenario could be an impetus to getting back to more recent quarters' contribution to EAD or higher over time.

Before handing the call over to Anthony, I'll summarize. Despite the challenging macro environment, we remain extremely active deploying excess liquidity, growing the investment portfolio and consequently net interest income while only modestly increasing leverage. Anthony, over to you.

Anthony Rossiello

Thank you, Nick, and good morning, everyone. During the third quarter, we remained focused on rotating capital into our home equity strategy while maintaining a prudent financing profile. We acquired $317 million of home equity loans and sponsored three home equity securitizations. We also continue to make progress resolving certain legacy WMC commercial loans. Importantly, our investment portfolio continued to generate strong earnings available for distribution.

Moving to our financial results. The sharp increase in benchmark rates and widening of credit spreads in September pressured valuations across the mortgage REIT sector. Our book value declined by 7.3% during the third quarter to $9.27 per share. Including our $0.24 common dividend, we generated a negative 4.9% economic return. We reported a GAAP net loss available to common shareholders of approximately $15.7 million or $0.49 per share, driven by unrealized mark-to-market losses across our investment portfolio, resulting from the move in rates and spreads. We also incurred approximately $2 million of transaction-related expenses associated with the acquisition of Cherry Hill, which reduced book value by approximately 0.6%.

Despite the pressure on book value, the underlying earnings performance of our investment portfolio improved during the quarter. We recognized EAD of $0.21 per share. Net interest income, inclusive of interest earned on our hedge portfolio was $0.66 per share, exceeding operating expenses and preferred dividends of $0.45 per share.

Arc Home was breakeven for EAD as positive operating performance in July and August was offset by the September volatility. Our investment portfolio continued to generate ROEs of approximately 20%, supported by reinvestment into home equity and net interest margin expansion. In addition, we continue to see meaningful upside from the resolution of our nonaccrual commercial loans. This would allow us to redeploy approximately $28 million of capital into higher-yielding residential investments, further enhancing our earnings power and shareholder returns.

Turning to the investment portfolio. We ended the quarter with approximately $7.6 billion of investments allocated across high-quality loans and securities supported by low LTV and delinquency profiles. We continue to reinvest into home equity, which represented 37% of our equity allocation at quarter end. Of the three securitizations sponsored during the quarter, we consolidated one transaction backed by $327 million of HELOCs and for two transactions backed by $895 million of closed-end seconds, we retained $46 million of non-Agency RMBS without assuming the associated warehouse financing risk.

At approximately two turns, our low economic leverage reflects the benefits of our securitization strategy. Lastly, we ended the quarter with total liquidity of approximately $85 million, consisting of $57 million in cash and $28 million of committed financing available on residential mortgage loans. This concludes our prepared remarks, and we'd now like to open the call for questions.

Operator

[Operator Instructions] Our first question will come from the line of [ Marissa Lobo ] with UBS.

Phần hỏi đáp

Unknown Analyst

On the Cherry Hill portfolio, given the higher for longer rate environment and the spread environment, how are you thinking about the relative value of the agency and MSR assets relative to the opportunity you're seeing in non-agency credit? And does that influence how much you ultimately retain versus rotate post the close?

Thomas Durkin

Yes. I mean when we look at their quarter versus the industry, I mean, I think it was fairly in line. They were down about 13%, only 11% if you stripped out the deal expenses, the majority of it was unrealized. So I don't think there's anything out of line there. I would say we're probably pretty focused on trying to get the deal closed before we think about sort of rotation or relative value, but we're obviously doing this for a much longer time horizon than just a pretty volatile third quarter.

Unknown Analyst

And then maybe on the policy environment with the change in Congress following midterms, how does that change the opportunity set for housing finance for you guys? And anything specifically about the GSEs or mortgage credit that could be meaningful for MITT?

Nicholas Smith

Look, we don't think the changes overnight today and going forward change really the landscape for what we think is bipartisan initiative and agreement on finding ways to make housing more affordable and potential deregulation around housing finance. So we think that the environment will remain positive. And if anything, will continue to trend in the right direction.

Unknown Analyst

Great. And if I could just ask how -- if you could give us a sense of how book value has trended quarter-to-date?

Anthony Rossiello

It's Anthony. Just given where we are in the calendar, we don't have a book value update at this time.

Operator

Our next question will come from the line of Crispin Love with Piper Sandler.

Crispin Love

On Arc Home, can you discuss the third quarter in a little bit more detail, just from a EAD contribution perspective, if you could give a little bit detail of what Arc contributed in the first two months versus the drag in September. Looking at the presentation, locks seemed pretty solid being flat sequentially relative to outperformer versus most. So just curious on some of the drivers of the breakeven EAD. Was it kind of competition, margin related? And then also just if you have any early read for the fourth quarter big picture for Arc?

Nicholas Smith

Yes. So if you -- as both T.J. and I mentioned, the trajectory of the business in the first two months was on track, call that slightly below the $0.04 of contribution in previous quarters, so call it $0.02 to $0.03 from a pure equity standpoint, look, it's relatively early. I think we're all paying attention to the screens and have seen sort of the pretty meaningful reversal in rates. So my prepared remarks around the home equity is maybe not a next quarter thing, that's over a longer period of time, although we would like to think we'll start seeing contribution sooner than that. But given the broader volatility, it's probably too early to comment on exactly how that's going to shake out.

Crispin Love

All right. No, perfect. That's fair. And then just on where you're most interested in investing incremental capital today. I was looking at Slide 9, that pie chart there, home equity, non-QM, agency eligible, RPL and nonperforming. Just where are you most interested in adding today? It seems you're bullish on home equity, definitely longer term just on the rate backdrop. But just curious, your focus today and then if there's any pockets in there where you're more cautious or stepping back a little bit.

Nicholas Smith

Yes. Look, I think our prepared remarks sort of pound the table a lot on home equity. Hopefully, that comes through as I think it's been obvious over the past many quarters, years, we've not been investing as much in non-QM because we see the relative value in home equity. We would like to think that, that premise has been positive relative to other guys that have taken different strategies. And it's our view that this strategy still has legs.

Crispin Love

And then any other areas where you're more cautious or stepping back?

Nicholas Smith

Look, I mean, we've sort of been deploying capital in somewhat of a monoline fashion in home equity for a decent amount of time. So pulling back would be pulling back on that one strategy, and we're communicating that we expect to keep doing that. So I'm not going to -- I don't want to comment on things we're cautious on that we're not doing.

Operator

Our next question will come from the line of Bose George with KBW.

Francesco Labetti

This is Frank Labetti on for Bose. I just want to start with the -- you mentioned the $0.03 EAD benefit from repaying the commercial piece. What is the expected timing of that benefit? And you mentioned that redeploying the $28 million of equity there. What's the -- can you give us some color on the additional benefit you see there?

Thomas Durkin

Yes. We have -- so we have five specific assets that we've gone through, right? We have the one retail property. We have four hospitality. It looks like one of the hospitality assets, like I said, the deposit has gone hard. We expect that to close this year. We're pushing on the retail assets. So it's going to be staggered, not sort of one clip event. We're delevering that financing as we get proceeds. So I mean, the goal would be this is sort of wrapped up in totality at some point during '27 with some probably tail of the hospitality assets.

And as we generate excess cash, we're from both paydowns and CRE assets, we're redeploying that into, like Nick mentioned, home equity at, call it, 20% ROEs. I mean I think as you know, right, the CRE market, selling these assets is an adventure, and we're trying to keep buyers focused, disciplined and getting to closings. But I don't think that's unique to these assets at all.

Francesco Labetti

Yes. And just a follow-up on that, the expected proceeds still consistent with the current carrying values given the changing macro environment?

Thomas Durkin

Correct.

Francesco Labetti

Awesome. And then just on -- you mentioned in the prepared remarks, the bridge from the current $0.21 of EAD to the $0.24 dividend. Can you just talk about kind of run rate in the current environment where you see that? Do you think to cover the dividend in 4Q or is maybe a little longer than that?

Thomas Durkin

Yes. I mean I think we'll -- the Arc Home kind of breakeven obviously contributed to the current quarter's miss. We'll see how the sort of mortgage banking environment emerges in Q4 coming out of a pretty volatile September, October, I would say. I think the portfolio continues -- the portfolio ex CRE, I think, continues to do its job. And as we can rotate more capital into there, that will just drive kind of more natural run rate EAD.

So that is kind of the moving scale of capital as we can get more capital into home equity, that obviously drives more consistent EAD and Arc Home, we are somewhat at the whims of sort of like the mortgage banking cyclicality or just the spread volatility that we've seen in September, October.

Francesco Labetti

Great. And then just last follow-up. Just on current leverage expectations going forward, been pretty consistent over the past few quarters. Just where do you see leverage going from here?

Thomas Durkin

Yes. I think, listen, we've run the business really conservatively both from a nominal economic leverage perspective. And then I think as Nick mentioned, like there's a lot of defensiveness to our facilities in terms of non-mark-to-market, et cetera. So I think the setup did its job in a quarter like the past one where we can kind of lean into that strength of financing, let economic leverage creep up minorly. But at two turns, I don't think -- I still think we're on the low end of our peers. And so we're pretty comfortable being able to be offensive, not defensive in a quarter like Q3.

Operator

Our next question will come from the line of Trevor Cranston with Citizens.

Trevor Cranston

On the move in book value in 3Q, are you guys able to kind of disaggregate how much of the change was due to rates or duration exposure versus how much was just pure spread widening? And then I guess the second part of the question, can you comment on kind of what kind of move you've seen in spreads in the non-Agency market so far in October?

Nicholas Smith

Yes. So taking those each one at a time, if you talk about attribution of book value, one, I think if you spend some time looking at deconstructing how much was actually driven by our core business the decline is much more modest than sort of the headline numbers. So I'd welcome you to take a look at that, deconstructing sort of the spread move versus interest rate move, I would say they're relatively, I would call it, 50-ish 50.

We tend to run a small duration gap, but oftentimes, that's offset by sort of spreads theoretically tightening into a sell-off and vice versa. Obviously, that didn't happen this quarter. We're hopeful that given the moves early on in the most recent quarter, claw some of that back.

Operator

And our next question will come from the line of Jason Weaver with JonesTrading.

Jason Weaver

I was wondering, according to your prepared remarks with the growth in the home equity side of the portfolio, how are you thinking about the changing -- how are you thinking about the new way to manage the credit exposure and duration exposure going forward, like it more challenging? And any specifics you can give around that, I'd appreciate.

Nicholas Smith

I mean taking each of those one at a time. On the credit exposure, we're lending money to folks that have been in their house on average well over a decade with high FICO scores and relatively low CLTVs on average, the portfolio has, call it, a range of 30% to 40% of equity in the house where that second lien detaches. The delinquencies have been modest. There's actually -- we have a couple of 3 years of good performance data to benchmark to. So now it's no longer hypothetical. So we feel good about the credit. We have a lot of -- we have a decent amount of experience relative to peers already.

So managing the credit, we're very comfortable with. If anything, when you talk about the convexity, the nice part about second liens is there's a lot of spec to use sort of an agency term. There shouldn't be a tremendous amount of convexity. So managing the interest rate risk is actually far more straightforward than sort of the broader mortgage universe, given the lower average balances and the high cost of producing a second should not have a ton of convexity.

Operator

And that will conclude our question-and-answer session today. I'll hand the call back to Jenny Neslin for any concluding remarks.

Jenny Neslin

Thank you to everyone for joining us and for your questions. We greatly appreciate it and look forward to speaking with you again next quarter. Have a great day.

Operator

This concludes today's call. Thank you all for joining. You may now disconnect.