AGNC Investment Corp (AGNCN) 2018 Q1 法說會逐字稿

Good morning, everyone, and welcome to the AGNC Investment Corp.

First Quarter 2018 Shareholder Call.

(Operator Instructions) Please also note, today's event is being recorded.

And at this time, I'd like to turn the conference call over to Katie Wisecarver, Investor Relations.

Ma'am, please go ahead.

Thank you, Jamie, and thank you, all for joining AGNC Investment Corp.'s First Quarter 2018 Earnings Call.

Before we begin, I would like to review the safe harbor statement.

This conference call and corresponding slide presentation contains statements that to the extent they're not recitations of historical fact, constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995.

All such forward-looking statements are intended to be subject to the safe harbor protection provided by the Reform Act.

Actual outcomes and results could differ materially from those forecast due to the impact of many factors beyond the control of AGNC.

All forward-looking statements included in this presentation are made only as of the date of this presentation and are subject to change without notice.

Certain factors that could cause actual results to differ materially from those contained in the forward-looking statements are included in the Risk Factors section of AGNC's periodic reports filed with the Securities and Exchange Commission.

Copies are available on the SEC's website at sec.gov.

We disclaim any obligation to update our forward-looking statements unless required by law.

An archive of this presentation will be available on the website, and the telephone recording can be accessed through May 10, by dialing (877) 344-7529 or (412) 317-0088, and the conference ID number is 10118544.

To view the slide presentation, turn to our website, agnc.com and click on the Q1 2018 earnings presentation link in the lower right corner.

Select the webcast option for both slides and audio or click on the link in the Conference Call section to view the streaming slide presentation during the call.

Participants on the call today include: Gary Kain, Chief Executive Officer; Peter Federico, President and Chief Operating Officer; Chris Kuehl, Executive Vice President; Aaron Pas, Senior Vice President; and Bernie Bell, Senior Vice President and Chief Financial Officer.

With that, I'll turn the call over to Gary Kain.

Thanks, Katie, and thanks to all of you for your interest in AGNC.

On our fourth quarter call, we highlighted the unprecedented lack of volatility witnessed in longer-term interest rates and equities throughout 2017.

Clearly, things changed in late January and early February, as interest rates increased around 40 basis points, equity markets weakened and volatility spiked.

This backdrop, coupled with reduced Fed mortgage purchases drove Agency MBS spreads wider by 5 to 10 basis points during the quarter.

MBS performance was logical though in light of the increase in volatility and the associated uptick in risk premiums across most asset classes.

To this point, credit spreads widened materially mid quarter and high yield in IG indices at 1 point had reversed all of the spread tightening experienced during 2017 before recovering the majority of the weakness by quarter-end.

The wider MBS spreads and to a lesser degree, the increase in interest rates during Q1 led to the decline in AGNC's book value and the negative economic return for the quarter.

That said, our performance in Q1 was aided by our decision in Q4 to materially increase our hedge ratio and reduce our duration gap to almost 0. We will continue to benefit from these actions should rates continue to rise as they have so far in Q2.

Now let's turn to Slide 4 and quickly review our results for the quarter.

Comprehensive income was a loss of $0.53 per share.

Net spread in dollar roll income, excluding catch-up [AM] was $0.60 per share for the quarter.

The slight decline from the prior quarter was a function of our higher hedge ratio, the increase in short-term rates and our slightly smaller portfolio.

Looking ahead, as Peter will discuss in a few minutes, we anticipate that this measure should improve in Q1 -- Q2 in light of the significant widening we have seen in the spread between LIBOR and agency repo.

Tangible book value per share declined to $18.63 per share during the quarter, largely as a function of the wider agency MBS spreads.

As a result, economic return was negative 2.6% in Q1.

Additionally, despite the further sell-off in rates in April, our current estimate of tangible book value for Q2 is down less than 2%.

At this point, I would like to turn the call over to Chris.

Thanks, Gary.

Let's turn to Slide 6. In addition to the overall increase in interest rates, the yield curve continue to flatten during the first quarter.

Swap spreads also widened across the curve.

As you can see in the table, on Slide 6, the 2-year treasury yield increased 38 basis points and the 10-year rose 33 basis points.

Our 2-year swap rates increased 50 basis points and 10-year swap rates increased 38 basis points.

In the charts on the lower half of Slide 6, you can see that option-adjusted spreads on Agency MBS were wider by a few basis points.

However, this understates the underperformance of Agency MBS versus treasury or swap hedges, given the sharp repricing of implied volatility, which pushed nominal spreads on 30-year MBS, 5 to 10 basis points wider during the quarter.

As a reminder, the difference between nominal spread and option-adjusted spread is option cost, and as implied volatility rises, the value of the prepayment option embedded in fixed-rate MBS increases.

Let's turn to Slide 7. At-risk leverage increased slightly from 8.1x to 8.2x despite a small decline in the size of our portfolio, given a lower net asset value as of March 31.

However, given the recent backup in rates and somewhat wider spreads, we have started to slowly increase our MBS holdings.

On the top right of Slide 7, you can see that prepayment speeds on our specified pools are well contained given the combination of asset selection, interest rate levels and slower seasonal factors.

Our average CPR for the first quarter was 8.6%, down 1.5% from 10.1% last quarter.

The average balance of our TBA position was $15.6 billion during the first quarter.

However, the period ending balance as of March 31, was slightly lower at $13.6 billion.

TBA roll implied financing specialness stabilized during the first quarter at levels generally consistent with long-run historical averages.

As we discussed on the call last quarter, the fundamental backdrop for levered investors in Agency MBS is strong relative to other fixed income products.

Prepayment risk is low, and the funding markets are very healthy.

Valuations on Agency MBS are reasonable, but not cheap, and at current levels, we wouldn't expect significant changes in leverage.

That said, if Agency MBS spreads widen materially due to an overreaction to either of the reduction in Fed purchases or to further increases in interest rate or credit spread volatility, we would welcome the opportunity to increase leverage.

I'll now turn the call over to Peter to discuss funding and risk management.

Thanks, Chris.

I'll start with a brief review of our financing summary on Slide 8.

Our average repo cost at quarter end was 182 basis points, an increase of 25 basis points from the prior quarter consistent with the Fed's rate increase in March.

A portion of this increase was offset by a modest reduction in the cost of our swap hedges.

This improvement in swap cost, however, was muted by the incremental cost of new swap hedges that we added late in the fourth quarter and early in the first quarter to provide us with a greater level of interest rate protection.

Our average aggregate cost of funds, which includes our off-balance sheet TBA funding as well as our cost of swap hedges, increased to 168 basis points from 152 basis points the prior quarter.

Despite the increase in our cost of funds, a very favorable funding dynamic emerged in the first quarter.

As we show on Slide 9, there was a dramatic shift in the relationship between our repo cost and 3-month LIBOR, particularly in March.

This relationship is a key variable in our overall cost of funds equation because we hedge our repo funding with pay fixed swaps whereby we pay a fixed rate and receive 3-month LIBOR every quarter.

As we show on the graph on the bottom left of the page, due to a number of factors, including tax reform and treasury bill supply, 3-month LIBOR increased 61 basis points during the quarter to peak at 2.31%.

Importantly, the increase in 3-month LIBOR significantly outpaced the 25-basis-point increase in our repo cost.

As a result, the spread between 3-month LIBOR and our repo funding moved significantly in our favor during the quarter and ended at a positive differential of 49 basis points.

We show a history of this spread relationship on the graph on the bottom right of the page.

For comparison, that spread was negative 3 basis points at the end of the third quarter of 2017 and positive 12 basis points in our favor at the end of the year.

The level today remains extremely favorable at about 40 basis points.

Due to the timing of our swap resets, the full benefit of the spread movement was not realized in the first quarter.

You can see the timing effect on the graph on the bottom left.

At quarter-end, our average receive rate on our swap portfolio was 1.9%, significantly below the then prevailing 3-month LIBOR rate.

As our swap book resets over the next 90 days, the average receive rate will converge to the current 3-month LIBOR level.

This increase will materially improve the carry on our swap portfolio, and in the absence of other factors, provide a meaningful tailwind to our cost of funds and net spread income over the next couple of quarters.

Turning to Slides 10 and 11, I'll quickly review our hedging activity and interest rate risk position.

In summary, we increased our hedge portfolio to $65 billion and increased our hedge allocation toward a greater share of swap hedges.

In the current environment, we believe it's appropriate to operate with less interest rate risk.

On Slide 11, we show our duration gap and duration gap sensitivity.

Despite the nearly 40-basis-point increase in 10-year swap rates, our duration gap at quarter-end increased only modestly to half a year.

Additionally, our duration gap in the up 100 basis points scenario, increases to just 1.3 years comparable to the 1.2 years that we reported at the end of December.

The stability in this measure shows the minimal unhedged expansion risk that remains in our portfolio.

With that, I'll turn the call back over to Gary.

Thanks.

And at this point, we'll open up the lines to questions.

(Operator Instructions) And our first question comes from Douglas Harter from Crédit Suisse.

Peter, could you help us understand kind of what the time frame is for that your receive rate to catch-up with LIBOR?

And how often your swap reset?

Sure, Doug.

It's a great question.

And we actually added the key number that I think you need in that calculation on Page 9. Let me just give you a sort of the history of the reset that the average receive rate on our swap portfolio for the last couple of quarters.

And the key number for the fourth quarter, our average rate was 1.63%.

At the end of the quarter, as we show on Slide 9, the average rate as of quarter end was 1.9%.

So over the quarter, the entire swap portfolio will reset at the higher level of around 2% to 2.35%.

So on average, I would expect our average receive rate in the second quarter to be around 2.15%.

Very helpful.

And Gary, just a big picture, if you could just talk about your thoughts on consolidation and M&A in the mortgage REIT space kind of where we are today?

Sure.

I mean, I'm really just going to repeat kind of what I've said in the past, which is just big picture from our perspective.

We owe it to shareholders to look at this -- to look at any potential transactions to see if you can essentially buy assets at levels that are favorable to other alternatives or if you can raise equity kind of at more advantageous levels.

And that's kind of the perspective we have been looking at it.

I think big picture with respect to M&A in the space, it's, I think, more one-off in terms of these transactions, if you look backwards in time, I mean, there aren't that many of them.

I'm sure there will be others over time, but they tend to be more one-off.

And that's really all I would say on this subject.

Our next question comes from Bose George from KBW.

Actually, a follow-up on the LIBOR repo benefit.

So just to -- when we look at the quarter-over-quarter difference, just based on the numbers you gave, so is that about a 25-basis-point kind of improvement quarter-over-quarter from that?

Actually, on the receive rate, I think, it's going to ultimately prove to be higher than that.

Now there'll be some other factors that you have to take into account.

But as I said, we ended the quarter on an average receive rate of 1.9%.

It will ultimately, reset to 2.35%.

So the average will be around 2.15%, but there will be some other factors that you'll have to take into account, I mean, obviously repo rate will be a little bit higher.

There could be some changes in our swap portfolio.

But it will be around 2-point -- if you just look at what I've said the average of quarter-over-quarter, it'll be about 35-basis-point increase in our average receive rate.

So said another way, we'll end up improving materially our portfolio, the average receive rate will be in our favor by 35 basis points in the second quarter.

Okay.

Great.

That helps.

And then just in terms of the incremental sort of ROE right now on capital that you're investing, where does that stand?

This -- it really depends on how long you price in this benefit realistically.

I mean, I think ROEs -- look, remember, there sort of the equation is you look at your spread to funding, and leverage is important and borrowing cost is important.

But this is a significant increase in the net spread on the levered investments if your funding is this much better than LIBOR.

And so, I mean, to some degree, it depends on how long you want to price that in.

But in the short run, it's pretty significant if you kind of phase it out over time, you're still looking at 1% or 2% improvement, so you get into that -- you're in the low double digits.

Okay.

But in the near-term, it's whatever more like 3% if you do the (inaudible)?

Yes.

If you price in 40 basis points, yes, it's a big number.

Okay, great.

And then actually just on the duration gap, if you had done no rebalancing, what would have happened to the duration gap?

Yes.

It would have moved probably about 2/10 of a year higher.

I mean, obviously we really benefited from having a higher mix of swaptions in our hedge mix.

And you can see the extension and the protection that those hedges have given us.

But we had done nothing, it probably would have been around 3/4 of a year, something in that neighborhood.

What I think is interesting is that what Peter mentioned in terms of the extension from here doing absolutely nothing over another 100 basis points from where we ended the quarter, so which would be like 3 -- mid 3 -- 3.75-ish, 3.78% on 10s and our duration gap doing nothing would be 1.3 years, which is well within the tolerance of where we'd be willing to run.

I just -- I think it shows kind of the lack of extension kind of at this point in our portfolio and really the lack of a need to do much rebalancing.

And a lot of that's because of the actions we had taken prior to the quarter before rates have gone up back in the end of last year.

We're already running pretty well hedged and then took the duration gap down even more.

And our next question comes from Rick Shane from JPMorgan.

Just wanted to double check our back of the envelope math, $45 billion swap portfolio, 30 basis points.

That implies with that convergence about $0.09 per quarter of earnings.

Is that where you're coming out as well?

Well, Rick, good question, I'm glad you ask for clarification.

You're right on that component of it.

If you just look at just the swap benefit, quarter-over-quarter, that calculation would be about right.

But there will be some other factors that you have to take into account.

For example, our average repo rates for the quarter, last quarter, was 1.69%.

But as we showed our ending repo rate was 1.82%.

So our repo, said another way, our repo rate -- our average repo rate is going to increase, so you'll have to take that into account as well.

So that's going to offset some of that benefit, yes.

And there could be other changes obviously, as well, but go ahead, sorry.

But that be...

The benefit's significant, sorry.

Fair enough.

And when we look at that chart on Page 9, I think the way that we would interpret this is that this is a non-permanent, it's real economic benefit that you will enjoy for a period of time.

But ultimately, we should see convergence back to that sort of flat between the spread differential?

Yes.

A great question.

You are, right.

It's hard to say obviously, but right now, I mean, there were some technical factors in the first quarter and in the first half of the year, particularly treasury bill supply, which will subside in the second half of the year and that will put some downward pressure on this.

But the tax reform obviously, could be a more lasting change.

And there are other fundamental factors going on with LIBOR, which are very difficult to quantify.

Obviously, LIBOR is going to go away over the next couple of years, and the way LIBOR is being reset, I think, now more accurately reflects the underlying funding that the banks are actually incurring particularly in the CP market.

So that I would say maybe a more long-term technical that will keep that LIBOR rate elevated relative to repo.

But you're right, it's hard to gauge how long this benefit is going to last, but just the way our portfolio resets, it's going to have an impact at least for the next couple of quarters.

Yes.

The one thing I would add is, if you just look at the chart on the bottom right, on Page 9, I mean, even assuming that this peak comes back down, and we get some mean reversion.

There's still a trend here, which we've been talking about for a while.

And the trend is, one, where Agency repo is improving relative to LIBOR.

And that does make sense from a secular perspective.

So we saw a peak -- an improvement in this a little over a year ago or 1.5 years ago, when money market reform was put in place.

And then it came back down and now we've seen this dramatic improvement in the relationship over the last few months.

And yes, it would be very logical to assume that, that's going to come back down.

But when you look at this chart, there's still a trend, and I think that relates to, as Peter mentioned, kind of how LIBOR is being looked at.

But it also relates to the changes in the agency repo market or the government repo market in terms of the broadening of counter-parties, the change in borrower profile and other factors, which are improving spreads there, so -- or our pricing there.

So I think, there's clearly a cyclical component that's going to be limited, but I think you look at that line and it also like jumps out if there is a secular component as well.

It is somewhat ironic that 3 to 4 years ago, all the calls were getting -- all calls we did were more about the potential decline in supply of repo?

Our next question comes from Trevor Cranston from JMP Securities.

Most of my questions were asked already.

But one final follow-up on the LIBOR versus repo spread.

If we were to see some mean reversion in that relationship and 3-month LIBOR, for instance declined somewhat.

How do we think about throughout the quarter what the resets on your swap portfolio looks like?

So like for example, if 3-month LIBOR went down to 2% over the next couple of weeks, how much of your swaps are actually going to benefit from the higher rate out of this quarter?

Thanks for the question, Trevor.

The way, I would say probably the best way to do it is just assume for purposes of your calculation of what the average receive rate would be.

It just assume that the portfolio resets evenly over the course of the quarter.

So 1/3 of the portfolio is going to reset each month of the quarter, and over the full 90 days, because all of our swaps are 90-day receive, it will reset.

So if you do that, you will have half of the effect of the LIBOR change will be reflected each quarter.

So with LIBOR being, for example, at 2.35% right now, or even a little higher, and I said that I expect our average receive rate to be around 2%, 2.15% in the second quarter.

If LIBOR doesn't change, I would expect our receive rate in the third quarter to be at 2.35%.

So it will give you a sense on how we had expected it to change over the next 2 quarters.

And our next question comes Fred Small from Compass Point.

Can you quantify the actual EPS benefit that you saw from the favorable funding dynamic that we've been discussing in the first quarter?

Well, in the first quarter, it was pretty small.

I would say, it was -- I don't want to use the term negligible, but it's a fraction of what we would see in the second quarter.

And then to Peter's point, the third quarter is where you get like, if not -- if things don't change, if relationships hold, then will you get all that.

But it was not that material in the first quarter.

Yes.

To quantify the impact in the first quarter, our average receive rate in the fourth quarter was 1.42% and it increased to 1.63%.

So our average receive rate only increased 21 basis points.

To Gary's point, that change in our receive rate was consistent with the change in Fed's -- Fed funds rate and in our funding.

So there was essentially an equal offset in the first quarter.

The incremental benefit will show up in the following quarters.

Got it.

And just, as I understand, I always have trouble trying to recreate it, but the difference that you see between sort of what you report as your weighted average repo and general collateral MBS repo on like an index I can pull?

Yes.

Well, It depends on where you're looking.

Our 2-party repo, I think, would be consistent with wherever you look for just general MBS repo levels.

I think there would be relatively good indication of our funding costs.

When we fund through our broker-dealer, I would expect that, that benefit would be about 10 basis points lower than what you might observe for just generic 2-party agency repo.

And how much of the repo is currently funded through [FHFA]?

Well, at the end of the first quarter, we had close to 40% of our funding.

It was just little over $18 billion, or around 38% of our funding was going through our broker-dealer.

I would expect that number to increase gradually over the course of the remainder of the year, but maybe peaking somewhere in the high 40s.

Okay.

Great.

That's really helpful.

And then just thoughts right now, if I look at AGNC's dividend coverage, it's certainly among the best, if not, the best.

And then you got another, it sounds like earnings tailwind kicking in here.

Any thoughts on the current dividend level?

Or any potential appetite to increase that?

We don't tend to -- we don't really like to give guidance around the dividend.

What I would say is, I think, you're opening, so your conclusions were accurate around the coverage and the tailwind behind net spread income at this point.

But there is a lot that goes into the dividend equation.

And I think stability is something that investors value.

And always keep in mind that irrespective of the dividend, our goal is to maximize earnings potential.

And in that environment, if we continue to -- if we can out-earn our dividend, then investors will see that benefit in terms of total returns and improvements in book value and then hopefully in the stock price.

Our next question comes from Ken Bruce from Bank of America Merrill Lynch.

I guess, the question relates also to funding cost to maybe in a slightly different manner.

I guess, I guess, my experience with the situations where you've got a little bit of a windfall, it tends to, in essence, gets worn out in the pricing of other financial instruments.

And I'm wondering if you're seeing any impact on, I guess, the pricing of MBS either due to others being able to capture this tailwind to potential economics of this transaction?

So very, very good question.

And I think the answer to that is no, and the reason for that is that the levered investor nowadays is not the marginal bid for Agency MBS.

And so for that reason, I mean, obviously, you still do have a Fed bid, but you have an overseas bid, which there's some leverage associated with in that borrowing.

But the reality is that, if we look at the REIT space or even levered investors in the hedge fund space, that are going to have large swap positions, just are not the marginal bid right now.

So I don't -- so the short answer is, if you look at Agency MBS relative to other fixed income products, you are not seeing out-performance because of this.

So we're pretty confident that while yes, in theory, it should be priced in to the asset price, it really does depend on what percentage the buyers of MBS are kind of levered hedged investors.

And the bottom line is, the number is pretty small.

And for that reason, we're not seeing it.

And I think we're sort of uniquely positioned to benefit from it.

And I think the other piece of that is, we've talked a lot about levered returns in Agency MBS versus levered returns in other products, and I do think it is -- this is another incremental kind of advantage to that equation.

And I think the levered returns in Agency MBS are going to be continue to be superior to that of other products, especially, again, in light of the Fed continuing to reduce their purchases.

Great.

And I guess, as a follow-up, I mean, there's been concerns tends to have kind of come and go in the market just about the flattening of the yield curve, I guess, at the moment with the 10-year having moved, there's probably less concern about that.

But do you have a view as to whether you think the curve either flattens out from here?

Or kind of what's your broader view of how that plays out over the next year or so?

Look, I think, the curve stays flat.

I mean, the court has flattened dramatically.

There is very little value to, let's say, running a duration gap and where the reality is when you run a position is hedged as ours is, you don't get that much incremental spread from the shape of the curve.

So what I would say is, kind of our take on interest rates on our view has been one where we're bearish in the short run, but only to the tune of maybe another maybe 25 basis points on the long end and maybe a little more on the short end.

So I think there is some room for a little bit flattening.

But then I think then that bias is probably lower kind of in rates across the curve.

So the big picture, I think, we've seen the bulk of the backup in rates, although we expect a little bit more.

But from there, I think, eventually there will -- eventually meaning maybe a year or 2, I think we could move toward steeper curve to the extent that global growth sort of slows down again.

And lastly, I'm sorry to -- get technical, but just in terms of -- there is basis widening that eroded book value in the quarter.

Are you seeing any potential for that to change from here either wider or tighter?

And I assume that if the spreads tightened, then you would see maybe some, if you will, give back on book value that book value reduction in the quarter?

Well, let me -- what I want to first reiterate, what I mentioned earlier, obviously, we hit 3% yesterday on 10s.

What I said was our -- at this point, what we see is that our book value up until yesterday, was down less than 2%.

There was really very little kind of net mortgage spread movement on the quarter, but pretty sizable interest rate movement.

So from here, you do have continued reduction of Fed purchases, but as we said before, we think that's something that the market knows about, has priced in, but we're seeing pretty strong performance in other fixed income products and spreads.

And at this point, most of the extension in the mortgage market has occurred.

So we wouldn't be surprised to see if there is incremental volatility in some periods of wider spreads in the mortgage market, and we're actually looking forward to in a way taking advantage of those opportunities to increase leverage over time.

I mean, again, I think given the reduction in the Feds purchases, it would be logical for the bias, but it's not a big bias to be towards slightly wider spreads.

But big picture, we view that as an opportunity.

(Operator Instructions) Our next question is a follow-up from Douglas Harter from Crédit Suisse.

With the funding benefit you have, is there any change in your appetite between TBAs and owning pools today?

Not really.

It flows through in both, I mean, I think, there's maybe -- there's noise in that relationship.

And what I would say is, it's not a big picture kind of differentiator at this point.

I mean, generally, our TBA position has been dropping, but it's not that much of a function of this.

Yes.

I'd say, I'll just add to that, I mean, what was somewhat weaker late in the fourth quarter that carried over into the first couple of weeks of January, but generally speaking, roll implied financing rates traded pretty well around the first quarter.

Currently, just to give you an idea, lower coupon 30s are trading somewhat weaker, call it flat to maybe 5 basis points through mortgage repo.

But higher coupons are trading very well in the 20 to 40-basis point area through repo.

And then 15s currently in, call it 10 to 20-basis-point area through repo, just to give you a sense for where things are today.

So the short answer is that it's more of a LIBOR effect than it is a repo or Agency mortgage funding effect.

And so, again, that's why it's not a big factor in that decision.

And then, I guess, in your prepared remarks, you said you're kind of weren't looking to kind of materially change leverage at this point.

Is there an opportunity or a way to kind of benefit from this funding advantage that you have now, at least in the short-term and sort of pickup leverage just for the short-term to take advantage of the funding?

Or is that now -- or kind of how do you think about that?

I think the reality is that we look at the overall ROE equation, and Chris did mentioned, we have been recently adding to the mortgage portfolio.

But you have to look at this as a kind of a long -- you have to look at our purchase and say over a long-term ROE, and yes, there is short-term benefit.

But what we've said in the past is that we are looking for opportunities to increase leverage.

And practically speaking, those opportunities can either come from spread widening or they could come from improved funding.

But going back to a prior question, I still think there aren't that many investors in the mortgage market that benefit from this equation.

So it is still possible to get better opportunities on the spread side even with the improvement in funding.

So that's something we have to balance over time, but it's certainly up.

And ladies and gentlemen, at this time we've completed the question-and-answer session.

I would like to turn the conference call back over to Gary Kain for any concluding remarks.

I'd like to thank everyone for their interest in AGNC, and we look forward to talking to you on the next quarter.

Ladies and gentlemen, that does conclude today's conference call.

We do thank you for attending.

You may now disconnect your lines.