Cherry Hill Mortgage Investment (CHMI) - 2023 Q3 - Earnings Call Transcript

So I think what weÂ're trying to do here is over time get a better picture of what spreads normalized would look like in an environment where the Fed is not an active participant in the space and how tight those spreads should get relative to the relative value in the space. And because, quite honestly, we donÂ't have the perfect answer to that, we have chosen to, one, hedge a fair amount of that out with TBA to protect ourselves from the volatility in the space today; and two, the cost to hedge with TBAs t ...