AGNC Investment Corp.

Welcome to the AG&T Investment Corp. 4th Quarter 2020 Earnings Conference 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 a touchdown phone. To withdraw your question, please press star then two. Please note, today's event is being recorded. I would now like to turn the conference over to Katie Wise Carver in Investor Relations. Please go ahead.

Thank you all for joining AGNC Investment Corp's fourth 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 security's 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 Kane, Chief Executive Officer, Bernie Bell, Senior Vice President and Chief Financial Officer, Chris Kuehl, Executive Vice President, Aaron Pass, Senior Vice President, and Peter Federico, President and Chief Operating Officer. With that, I'll turn the call over to Gary Kane.

Thanks, Katie, and thanks to all of you for your interest in AGNC. Our portfolio continued to perform extremely well in Q4, supported by very attractive funding and ongoing large-scale Fed MBS purchases. Most importantly, the positive 7.5% economic return in Q4 lifted our full year 2020 total economic return to positive 3.5%. As a reminder, economic return is the combination of dividends paid plus the change in our book value. In 2020, the $1.56 in cash dividends paid during the year more than offset the $0.95 per share decline in our book value. This is a very favorable result given the 23% book value decline in Q1 and the significant full year losses experienced by many of our peers. During the fourth quarter, equity markets continued to show substantial strength and credit spreads tightened as optimism around additional fiscal stimulus and vaccine efficacy boosted the prospects for a second half 2021 recovery. Consistent with this stronger economic outlook, the yield curve began to steepen with longer term rates rising modestly, a trend that has continued in January. Agency MBS performance was strong during the quarter across the board, with lower coupons outperforming. MBS continued to benefit from ongoing Fed support, limited interest rate volatility, and strong dollar roll funding levels. Looking ahead, the improvement in the valuation of all financial assets, including Agency MBS, over the last several quarters does reduce the expected return profile on new investments. That said, agency MBS are still attractive on a relative basis for levered investors, given the dual benefits of low funding costs and continued Fed purchases. Importantly, the near zero interest rate environment is likely to be with us through at least 2023, and it is unlikely we will see any tapering of MBS purchases before early 2022. Even after the Fed stops growing their balance sheet, they will likely remain very active in the mortgage market, replacing the runoff in their portfolio until they begin to raise short-term interest rates. At this point, I will turn the call over to Bernie to review our financial results for the quarter.