AGNC Investment Corp.

Good morning and welcome to the AGNC Investment Corp. Third Quarter 2020 Shareholder Call. All participants will be in listen-only mode. Should you need assistance, please signal a conference specialist by pressing the star key followed by zero. After today's presentation, there will be an opportunity to ask questions. To ask a question, you may press star then one on your touchtone phone. To withdraw from the question queue, please press star then two. Please note this event is being recorded. I would now like to turn the conference over to Katie Wisecarver, Investor Relations. Please go ahead.

Thank you all for joining AGNC Investment Corp's third quarter 2020 earnings call. Before we begin, I'd like to review the Safe Harbor Statement. This conference call and corresponding slide presentation contain statements that to the extent they are 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 AGMC'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. Participants on the call include Gary Kain, Chief Executive Officer, Bernie Bell, Senior Vice President and Chief Financial Officer, Chris Kuehl, Executive Vice President, Aaron Pas, Senior Vice President, and Peter Federico, President and Chief Operating 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. We were extremely pleased with the performance of our portfolio in the third quarter, with economic return totaling almost 9%. We have now recovered the vast majority of our Q1 economic loss over the past two quarters. Importantly, as demonstrated by our strong net spread in dollar roll income for the quarter, We remain optimistic about the earnings power of our portfolio. During the third quarter, equity markets continued to strengthen and interest rate volatility remained muted despite the upcoming election and the inability of lawmakers to agree on a new stimulus package. The continued resilience in financial markets is a testament to the tremendous liquidity provided by global central banks and the market's confidence that future monetary and fiscal support will be able to bridge the remaining economic gap before a vaccine becomes widely available. Agency MBS performance was generally strong during the quarter, with the exception of 30 or threes, which comprise a very small percentage of our portfolio. MBS continued to benefit from ongoing Fed support, negligible interest rate volatility and many others. In aggregate, specified pool performance was somewhat stronger during the quarter, with performance dependent on coupon and other attributes. Lower coupon TBAs, which benefited from both solid price performance and very strong dollar roll funding levels, were the best performing component of our portfolio, both in terms of earnings and economic return. Looking ahead, the investment environment for agency MBS should remain attractive given the favorable funding backdrop, ongoing Fed support, and lack of exposure to credit risk. With respect to dollar rolls, we expect the implied funding advantage relative to repo to contract somewhat from the very strong levels experienced in Q3, but to remain a significant positive contributor to our financial results in light of the combination of heavy origination volumes and ongoing Fed purchases. At this point, I will turn the call over to Bernie to review our financial results for the quarter.