AGNC Investment (AGNC) 28 Jul 202020 Q2 Earnings call transcript

Good morning, and welcome to the AGNC Investment Corp Second Quarter 2020 Shareholder Call. All participants will be in listen-only mode. [Operator Instructions] After today's presentation, there will be an opportunity to ask questions. [Operator Instructions] Please note that this event is being recorded. I would now like to turn the conference over to Katie Wisecarver of Investor Relations. ahead. go Please

for earnings all Investment second Corp Thank joining XXXX call. quarter you AGNC

change Senior over on unless Officer; turn the Financial those to SEC's actual without our in Factors notice. Certain periodic the differ by Chris begin, Chief be Participants review statements, provided meaning President; XXXX. Bell, contains forecasts statements forward-looking Before the Act. Kain. that, Operating to I'll section statement. required to subject Gary are Peter President by like President; impact forward-looking Act not I'd Gary Officer. of we the statements to and of and and facts historical protection Chief Chief Commission. subject Private Kuehl, this are call the and the are Pas, sec.gov. they intended Copies differ of the control on constitute Kain, those corresponding Senior Aaron Harbor and are includes to included call Vice outcomes Securities from of the presentation recitations in to Reform disclaim date reports could law. this the call of forward-looking We Exchange This forward-looking within Federico, the Executive made With forward-looking Vice Vice Officer; and contained materially slide President the due Reform presentation, that available Bernie All Executive results are presentation included Risk Securities AGNC. beyond the Safe Actual AGNC's at cause such obligation the statements All only statements statements to results with extent to the and of in are filed the many website as of conference factors any that materially could Harbor factors Safe to from Litigation update of

AGNC. just return all significant our We with of our we interest the economic a you as performance QX were XX%, of in thanks for in portfolio [ph]. totaling pleased the over your of lot with and Katie, to portion Thanks, recovered very quarter, second

More earnings QX, scenarios. earnings portfolio evident spread portfolio of favorable despite the backdrop range smaller about the share in income, in remain average importantly, leverage. per power wide and a economic a This our across which is possible roll we to dollar increased $X.XX and lower optimistic $X.XX net of

the confidence recouped world. XX% as the losses, March swap a was credit-centered rates The that growing most in over a saw treasury coupons support, During of quarter ending tightening Fed response in of support value to credit quarter, heavier less where offset the higher over a while almost end coupons point monetary curves the higher the MBS significant zero XXX XX%. short drove than purchases. interest March NASDAQ near the increase recovering Fed performed with remained very mortgage quarterly Refinancing recovery second of it and finished The quarter, the on Contrary dramatically it of began for with impacted dramatic will book in The and to in to closed well, materially, yield performance recovery massive very of the close dramatic S&P the were the outperformance The saw Despite also the QX where the market volatility, better agency expected billion within all on keep basis XX. and spreads Specified the as Interest Fed strong XX% mixed, origination Fixed pools, quarter. treasury and income volume, widening. product, funds rate home credit which year, lower specs QX generic improved around stable very a the for lockdowns markets performed market with fiscal recovery. the years. and very the QX XX-year X conditions volumes we second and than and major drove unprecedented of equity limited rate the purchase underperformed multiple robust, origination served social widened. rapid MBS recovery economic our return which by totaled expectations, in market. $XXX modestly, was performance while to distancing. the

in MBS trend the in specialness As and quarter-over-quarter, valuations, a tighter to improved attractive remains coupons, dollar quarter. enhanced agency relative by absolute while modestly expected This a we is further result, lower both during lower terms. roll coupon attractiveness see

of the Chris in increases to have the XXXX, levered on price big investment still notes. roll environment purchases XX-year and on coupon depending tighter points than basis and drove perspective, discuss is contrast, QEX XX by more than valuations incremental From durability potential shortly, ROE low Feds for the late in around the specs MBS declined low of a measures. different and TBAs current and XXXX very expectation. special returns agency early the prepayment amount picture will coupon on Back As back favorable today's the faster us levels most most mid-teens, is era. In spreads double the the digits projected higher lower to on to

about occurred new the it for purchases. While of the that Fed expected Today, temporarily easier remain confident of QEX tapering the now. value, given roll purchases Fed summary, its significant levels, the despite spread the telegraphed in $XXX book billion and are we returns interest In potential feel on materially remain tightening and set our when for purchases the over and QX attractive, AGNC's MBS the about lowered of widening good since was valuations rate stage favorable good performance mid-March, hedge, earnings the zero company. from benefit to dollar and

of broader the to will over strong economy. call progression of our credit risk a agency funding in for to in regardless the well off This AGNC to potential this lack quarter. COVID-XX review to portfolio Bernie risk able MBS on perform the to returns, favorable is the or results believe portfolio backdrop, the our scenario be unique global and Given risk either we of somewhat turn should the produce in point, our for financial AGNC. At or I moves

Gary. Thank you,

equity improvement QX, prepayment aggregate XX.X% total by valuation. which increased per quarter, Gary quarter-over-quarter. on average of a smaller Turning offset quarter, for our we book led had share were $X.XX of headwinds excluding cost, lower to was a net funding first loss. rebound comprehensive for the the average and up per catch-up quarter. for dividends, nearly dollar Including X, recovering mentioned, portfolio income, earnings value spec slightly income the and $X.XX balance, tangible roll Slide These our the quarter production. which leverage, meaningfully faster materially spread quarter, am second by significant was X.X% Net and was lower Tangible from the return half for despite drove slight as economic economic common pull share

net So and we value a that percent, couple our of a values. down pay tangible far quarter, is book this up pullback spec estimate given pull modest

end our from first $XX.X up at the Turning end $X.X the quarter portfolio billion, average quarter. of to billion Slide X, totaled

slightly down end first leverage tangible of ending equity, as Our the X.X X.X of from quarter. times was times the

X.Xx was the to the average second average for decrease down quarter in at in for equity, given X.Xx first I tangible the quarter, As mentioned, our meaningfully portfolio balance significant compared leverage quarter. the our

position agency liquidity with is very second remained unencumbered at the Our strong levels, and above totaling $X.X cash quarter, billion in pre-crisis and end. assets quarter

historically portfolio held levels life quarter, at low as the the XX.X% assets figure Actual speeds our CRT quarter, for non-agency prepayment securities, and across increased excludes quarter. to our coupon mortgage both unencumbered subsidiary, XX.X% well dealer as that prepayment last XX.X% our Importantly, dropping on from With increased Bethesda the while to speeds Securities. increased CPRs forecasted rates broker stack. during

our $XXX common the net second our over price quarter, the discounts an at of turn Chris share. value during I'll per stock agency to repurchased With book to Lastly, to tangible that, we repurchase call substantial discuss the average of market. for $XX.XX million

Thanks, Bernie.

the significantly lower the mixed generally Fed, TBAs outperformance of larger support The tighter, heavily widening. QX MBS, higher second yield two-year TBAs with gross with coupon performance five-year yields unprecedented X. the were the performers, basis supplies best was at basis modestly coupon points Treasury point at lower, did XX XX respectively. turn and to ending points. with volatility in from were were was in XX curve even drove basis purchases quarter but production XX-year with rates concentrated and coupons, ending the points the expected. lower coupon quarter, with modestly lower Treasury most however, basis quarter XX rate points Slide Agency basis tighter, while spreads Specified pools, the than The X regaining steepen in Let's muted Interest MBS wider.

and activity of TBA in Page outperformance and cohorts pools weakness lower a X.Xs higher speeds quarter. higher to coupon quarter, to fours prepayment X, widely left As coupon as the headwinds higher the specified the in and see during refinance you on on more to not related can in expected generally the TBA materialize. did housing the upside, Faster surprised as and speeds the COVID price strong generic led table coupon second prepayment declined

turn Slide Let's X. to

the see a as increased XX. left billion portfolio over investment chart in of June You top can little $X.X the by

coupon occurred in to in both quality outperformance of continued of generic the higher production Given higher positions MBS, versus adding most which and specified coupons. pools, April, trim we

holdings During billion we $XX by versus and X% coupons above adding billion, reduced in $XX the X.Xs quarter, in and approximately twos.

origination large mentioned continue the Fed as financing out XX on the As dollar material. the depending expected basis on clear to currently strong returns dollar backdrop an quarter, the purchases, very coupon degree the through repo, improve, create rolls. to coupon. on potential and TBA and we With bonds is worst financing XX call contribution last lower is volumes which roll to float, the ideal of this to trading Roll for points of basis combination points specialness, I around

XX the current As diversified tailwind hypothetical be risk potential with is that while for, return. investment coupon call discuss of Realistically, that now around X% coupon not had will remain in carry, wide the relatively specialness there's volatility. incremental roll MBS TBA of to as we optimistic production to hoped more We prepayment spreads, even today, a points the XX-year pools, no gross repo characteristics turn the specified persist. our environment, well with and and low has non-agency over backdrop higher on I'll has portfolio Aaron is interest attractive position about specialness environment. given market. coupons, XX%, higher but And certainly rate offsetting basis could it add the in the than as the dollar example, guarantee lower roll funded it to returns

credit. on X. outlook QX. our Chris. I'll recap staged equities then price the unprecedented quarter, in a update current fierce facing you our turn action quickly recovery to first markets and Please Slide Thanks, in credit positioning with both and After

from As uncertain To put magnitude a it reopened consumer and in Subsequently, XXX stands basis the in perspective, V-shaped seen sector. and the of on spreads and remains we've basis on fully the backdrop about when high-yield will spreads, and points and the yet XXX toll recovery tightened business be an the credit year resulting CDX rally to points economy the the March, points. wides respectively. the of have now, in points were start approximately they XX late basis XXX IG basis

more issued the securities. unchanged, than is portfolio. a recently fit prepayments, the in to shift vintages to with which These our CRT portfolio across from generally of holdings were portfolio a largely and natural benefit our are for higher anticipated more slight exposed Our

particularly and current led transfer, rally than backdrop, to a was beneficial served last for the the on the would On residential CRT. housing modification-related programs pressure forbearance subsequently creditor's result anticipated of mentioned return to as in strong as macro announced quick pre-payments, it change, with near and potential the ability path to months quarter, likely side, easier along forbearance to improved borrowers to of much thus This in a giving term. up defer we XX GSE The reduced payments, in prices reduce losses. requests, faster downside to implementation the This stabilization status.

of other were of parts the themes many Additionally, spreads these supportive of residential same credit credit markets. in

the the starts for particularly On believe the stabilized sector this stops economy. to being, the remains commercial front, have and we while increases in in delinquencies exposed time

normalcy with from comfortable positions we of in remain clarity around a perspective, to timing potential generally until defensive are economy. a we better the get we return risk While the our

for particularly This so we're Looking forward, return bit does Fed credit many relatively and also present that, to the I'll the bonds risk stage, that the to today coming bonds the means with zero is sit over spread picking skewed. reasonable With the funding time. with ultimately time, rates spreads to as with sufficient to years, returns, risk same bound close are to fundamental risk environment likely could for challenges, credit At in to tightening right an the be likely regime turn actions over tight some expected coupled management. support couple since call years. the discuss the a elevated see setting levered for of Peter investors, it a equation and generate of have

across agency re-pricing MBS, government Aaron. all I'll our MBS funds. benefit the as tenors. The traded market money open led well X. in Thanks, market substantial mutual for a well from second like high-quality on demand repo the financing to cash agency and as Fed's of quarter, start a summary meaningful collateral, continues operations, market with Slide has The very for repo very to significant into influx

Fed's a result, the to our the for even in is statement basis we raising that future. zero the the thinking repo XXX the costs development foreseeable intention during Powell's in A quarter, thinking fell average communication Fed reported makes points that short-term about first regarding half quarter points not quarter. key basis about than the less XX to rates was clear. As of second rates the very near keep their Chairman

around continue, third was rates. trades more for differential repo of captive the expect basis repo, XX basis the our resets funding market which to dealer. around as average these outstanding such, to trades basis result, a and five at at I one-year flattened quarter, I drop As about our our funding conditions example, around repo XX and overnight points, cost significantly. a favorable to through expect current points broker repo costs repo, curve as in basis which Today, at there between point points only XX

XX aggregate quarter, our the in our funds, to of points prior which from basis the decrease of improvement and the net offset points cost basis drove includes notable points. in to Our in more improvement XXX which our the increased interest This second swap yield meaningfully the cost XXX quarter. basis hedges, fell down margin, than asset

improve Looking further I third ahead, our net expect to the interest in margin quarter.

and unchanged XX% Turning which a Slide quarter summary of prior the to $XX our our we portfolio, of at from XX, hedge end, liabilities. totaled quarter, provide billion covered funding

such as last time. an an quarter, discussed we As at lock in we to levels, continue with very this to swap funding view opportunity rates low attractive for of extended period

portfolio continued such, swap unwinding we to quarter, in replacing second more swaps. As shorter-term of adjust longer-term our with slightly the composition of them and the our swaps,

As our the at swap sensitivity. to prior XX, end a On years result, our quarter. duration X.X and of years gap quarter show maturity average we increased portfolio from duration X.X Slide the gap

to Given X.X our back at the the Gary. remained stability during turn of with that, I'll quarter, call negative interest over roughly unchanged the years. rates duration gap And

this at questions. will call point, And to I the Thanks, Peter. open up

thank you. Yes,

Instructions]. the with from Harter question begin first Credit Suisse. question-and-answer Doug will [Operator comes now We session. And the

us higher and the Gary, of the you kind tell about Are level your quarter and conditions you earnings can thinking board this how are about dividends, Thanks. commentary of are that? given those persistent? much

of realistically, and Yes, our while kind of this roll net we're said, happy be unnecessary, I for certainly And from you could roll spread obviously, dollar to being it's of few to cut net a book look upward dollar it not is that dividend terms income, in us do And that's that of look our return income stock it and performance dividend and yield I the a tailwind question. biased time. that minds, spread back optimal still if you and just mean, have the may trajectory a quarter, And crisis. our you relative the of our in not probably made I'd just spread profile it's nice and really view important was value conclude still thank at our When mean, attractive weeks for price, here, we net you to. a shareholders. yield, depth be and been in of for so think it it even I far below by to that situation north not sure April, is the dividend a the over -- and at very kind also us move after which unnecessary. in dividend having income, XX%, fact for versus to dollar roll bad gives shareholders. That

in very, have sense. book makes use share if tailwind very that value. program another capital place, then returning also And a obviously, willing as certainly for which dividend So, to repurchase of to attractive way we're very shareholders we

the So again, big large we something evaluate will net picture, it the cognizant we both of to income will current over look and time. We're at continue between, and is that gap positive, some our are cognizant dividend likely the which again, we be that to to and still is. want are well. trajectory, also benefits But as situation there where there is the

is that it and evaluate the is board that on. be it's something over time, something we going very So, focused to will

And drop that from dividend flexibility all then standpoint, of I points you taxable kind and sense, right and guess of discussion? those how of make are how a now kind much taxable the kind follow-up, different just have do just core income flows of but kind to in

between and There's taxable core. a our gap wide income

our point, and realistically, is to very taxable so, low. this very at income projected And be low

to into doesn't the come respect that play with So, dividend.

the quarter, differently. swap terminated get particular, income all second portfolio, probably in swaps income I between which as over that. respect spread activity want for to We to far on that income reasons, so terms net -- don't dividend. reason dollar dollar Bernie it quarter anything Plus, first you upfront get in differential taxable to in and by the of duration have in amortized and front. the -- repositioning one roll taxable to the role changing of terminated, Whereas the taken -- and multiple the if or there's cost lots is they're low mean, an The the add biggest or income income. but I -- taxable the GAAP relates of regular with income around light treats then the flexibility know, Peter, is

some And have one. is Gary, key rebalancing still we that last point there. to a do obviously,

for to for some not is income time. of constraint So, period going be our that that projection a that's taxable

Great, thank you, guys.

the Thank from KBW. you. Bose with And next comes George question

morning. there? Hey, of specialness specialness good about drivers coupon we what then lower in down and in MBS? your when double return, low from sort spread we the income go on of a the base kind Actually, up can should you sort of think about over return the think and it digits flexes case being the And the also, of

Yes way. that's think a I good

First second off, half I'll take of question first. the your

think it's to good spread that's thinking right it. think about, a two production XX-year XXX, the think new we we on to depending X.X, point. way and the a starting a I And is -- what okay, in good buy say XXX let's zip by if about -- assumptions, we that's code, start prepayment that

think it, is piece last of And and if says volume, specialness about first where everyone billion part in one those the really months what your you forward a first come market actually a I'll important. -- need the three been seen couple piece origination issuance. the and are However, is rolls the piece two drivers $XXX that's we've first -- months, special, the like to significant are you creates huge dollar and the Fed, always of when even. have that. of a people that around way month, situation question the remember, we works is sell actually origination seeing never the it But gross months before, month is And and

And realistically price TBAs. that's in step specialness. creating out of so, the the that drives And month down first

they total existing all, do origination. And of of purchases, of And Fed importantly, kind that other better. float, of production. the gets that around are because are the means out rolls that Now, purchases prepaying, of got out the kind massive dramatically least XX% is bonds of the in you've the float fastest the to dollar pools take purchases which what kind Fed take within second for that then continued which Fed priced neighborhood desirable into investors

pieces ideal together, Chris two have words those I specialness. the backdrop put you are these the think used -- you when the and So for -- roll

about that June, and And continuing April it so, materialized things think we our we're balance materialize call. in kind working really and really roll because The other But talked do We sheet that we through April. in now. still on May, were it's of hadn't issues specialness started to in situation.

sustainability we of very about the good feel So, roll specialness.

to to good term lowest certainly going the in it's coupons it's of it's ROEs. fact bounce the at over we going add and XX-year around the to both But intermediate pretty Now, that the feel XX-year, terms about where in magnitude. near sustainable, to level in a

on -- about that important are calculation, it you while believe we position, of repo where roll a specialness. is you in to the that where going outperform would TBAs do So, because to we start the funded talked

mortgage helpful. your of rates, does Okay, terms primary on great. Gary. you're prepayment like That thinking the just versus actually, you was about over time? that a And what talk just can Thanks, expectation, then in what very benchmark

and the something trend Sure. trending that's mortgage think understands. a little here. the primary likely lower, I certainly both rate been market that certainly mean, will lower from And I has and we

rate comes after does at -- rates. some interest curve, which that when the you have factor things, expectations well play into that on an factor mortgage and as we -- is some the of long obviously, rates in at as point, upward time, look bias period puts Another around we forward

where toward than be in mortgages. things prepayment months drives we underwriting factor don't general. prepayments short things rate There tighter an qualifying, unemployment we mean, keep And to mortgage into seeing the for to lower environment activity And to some rates likely biases that environment elevated rates, are the the I in we seeing because is other -- other had are a run, in again, six ago. know somewhat mind. what So, estimates the are refinancing for time. and we three even obviously, are primary

I there are think So some offsets.

but thing that times, refi sometimes, they're little see is keep And prepayments these is XXX opera but this didn't have opportunity, a advantage big mortgage had in of trick. with or even and basis the you waves, narrow also good necessarily dropping, -- more the there in a basis more to circumstances, and better, other element later mind other if five XXX if of little they're burnout more in point you really refinance, are these and of out, doesn't and spread spread opportunity The do these peaks light -- where little about rate bulges, take out. of maybe the to opportunities and a point they taking people months --opportunities advantage

elements on -- So, of couple that. different tried mean, hope touch long-winded I but I to that's a of answer, a

helpful. Okay, was great. That Thanks.

Bank. And question Deutsche you. next comes Thank the Bahamondes George from with

morning, good Hi, Gary.

favorable for best Fed purchases AGNC a likely to near time. [ph], dynamics entries zero to and for accommodative attractive fed, are alluded given continue are hedging You backdrop anchored some a very

today? near the are of radar your As dividend and biggest sustainability are medium that to to kind you downside and value you would what about term, on book risk think say of kind things

mean, start I think reverse -- I'll the again, maybe order. Look, in Sure. I

at about overly not we're sustainability. not about we're the right dividend, concerned know, going now concerned dividend answer very You not back -- the all earlier we're on to

We've higher the or potential to is payoffs probably the near spec book weeks headwind headwind -- they're a pressure. prepayments and continued biggest the know, last coupons. couple -- term, already faster incremental You seen and some is it value little on in in

the see bank of percent to coupons So, we're risk but about there's a to could I that environment think terms see picture bouts either that I be little There's of buying wouldn't feds exceed certainly, that, couple an at origination of surprised would see is, periods expect value, significant isn't coupons the we in bit. the way and when say you of volatility volumes lower talking there. where can book that's to in lot direction. true some significant interest Fed the there lower in But also volatility. And time, more not or bid. And if a little certainly, honestly a without really it rate a value backstop with widen I here it's significant big book of where

a and the to also that helps. which current different prune specified value helps benefit where favorable But environment. We an unlikely. to be is And mix continue going is fed, think that's we're both have limited in then in which think we're of reduce of hopefully, directly environment. try fears I now our And as in a volatility keep more to that You embedded where to where for we environment higher -- value from and near like think tailor from book sort And the see value important move. from those And And that's drive really benefit could value be coupon could a what's mind specialness. prepayment optimize higher. people a the to relatively we know which We would of sides, here. the of the about stable coupons, explodes going possible have of to know, on -- think to And the there's real relatively I scenario in It's that roll the what's lower portfolio, in term. earnings portfolio whole. activity sort have our book quick we kind a very book book that our dollar Fed and sort portfolio risks. be we

that's Right, helpful.

you. Thank

from question comes next your JMP And you. Cranston Trevor with Thank Securities.

to outlook see in and question talk -- You if to I for may terms mortgage rate when mortgage primary you would what maybe do guess, increase. it to be the about would point may you sensitive a think hit Thanks. XX decline prepay the sort rate. that be a of be how know, way, morning. example, basis it the generally the rates? to good Can Thanks, like prepay in peak of different Follow-up thoughts you sort you can a speeds? flatter your speeds mortgage of ask primary expect just about around X.X% recognizing speeds

little I'll I'll Chris maybe other what outstanding much balance type loan looking chime coupon long start the on of at, and very lots you're let what how But as what a seasoning, answer security, well. is has it of in been now. characteristics. it short depends

to as to saying they example, point, a So, we've the I specified And would which incentive amount and in healthy pickup have but up refinance a own X.Xs on going I'm pick them, speeds. today. won't not an not expect be seen fair pools speeds we back dramatic those earlier impacted. all to Xs that

but be that -- increase to it some stronger should incentive, to be so a they'll expect And and and burn increase, out refinance tend may we quicker. don't have while dramatic, there

pools the that's I there'll reactivity specified I where the be you of think kind decline. think start when looking to to most at in that X% X.X% coupon,

and most the be Xs X.Xs you'll because worst will time. become the a still to the absorbing or already challenge with point out lower still more Xs, and to more will Xs they're there It coupons, at be, fast. up certain the a will see let's more will most the in pools the seasoned. TBAs, Now, they'll sea XX well, And are respect say think, some time in like lot TBAs pick through have take parts that you I as -- very like careful will seasoned in Fed where but of be

because purchase will have in good if be scenario, So about least window. I fact flip the But the into again, as that they've such for brand float anything that'll -- careful lower hide that want or But tier coupons. to maybe program, [ph]. months, a going Fed's given the months the X.Xs manageable TBAs at that. is six don't a in cleaned you're up you still obviously, deal you prepay probably in coupon. other know, newest very originations add to that they quickly, can coupon you to the to be way your that with migrating and nine Chris, And

to basis around capacity at thing I I'd -- it or in is exposed keep -- for with XX well. incentive. that No, already near mortgage already at Gary, one operating of mean, that XX% to we're lenders a the mind, covered Yes. rate point least universe it pretty say the we're call

for already So, everything the time to primary-secondary not ways exposed your spread -- to But to stay down, that good gap going to from clearly, right would if come it'll else no-cost still just mortgage down since question capacity. we're away directly rate most be more to X.X% now. take here, of even rates but your we're it's sort a equal, to the close X.Xs

that's the you. Appreciate Thank Okay, helpful. comments.

you. Thank with comes our of last [ph] question Morgan. line from Charlie JP And

Good morning, today. everybody. Thanks for taking the questions

given through pace where is helped the You like those noted the supply for is billion in prepared effect and wondering as purchases. normal Fed in lifted outlook I'm rates during $XXX origination or which about of there the offset year-end. if sort I'm sustainable things are. what quarter, And lockdowns volumes return was remarks wondering that a your if to catch-up

say one the is I would and times a prepared mentioned remarks. of we see, this we in couple didn't what really So,

more had think social market origination impact even housing and market. of lockdowns on shut you mean I it we retail The mortgage was online the I it took kind really second I globally and that saw the in more mortgage -- or moved just an as volumes, what around interestingly, market most think down, from quarter over, participants the saw And the saw distancing well. market what in think technology and across delivery. you refinancing, expected I of business didn't the

first we which saw certainly say so, think was much what off, that would possibility. disruption, a I don't I is And just

around forward, the for, at and let's three say, or taking next current remains levels months. high least production So two the that believe we

tail-off as Before will know, rates. little to you we likely, get what on actually of is is a this the catch-up is to people bit starting of where a there And say more level side. used demand general

of won't that the even already at already Fed say be -- Fed, and because other very not they're of let's amongst built-in. catch second reinvested. there July on, many been was in with seeing around a catch little year April, there's we're of that up some even and forward, March necessarily all had if early certainly, months sort half the is levels. of think will up as will And of at that pay be investors certainly, prepayments anything, reinvestment downs, as sort they've sort prepayments in going And probably of that's of well fact high not I accelerating on already and production -- purchases, large that high -- the better the has it of the than and absorbed the

a production think pent-up this reinvestment. look, of levels bid, So, the high of coupled with I that's sort continued Fed with coupled

coupon we a dollar look I see special. lower ahead. think ton prices, or it's very in as remaining don't it's why again, we And volatility as MBS prices we more rolls also we spreads of see why

Got Thanks color, appreciate very for it. it. much the

problem. No

Thank you.

We have now the session. completed question-and-answer

the concluding turn remarks. back call Gary Let's over Kain for to

you participation their Please in talking we I'd to for in this like to AGNC, call. and safe, next everyone thank stay look to interest their forward quarter.

Thanks Thank you. That concludes calling for today's presentation. for in teleconference. today's

your disconnect lines. now may You