AGNC Investment Corp.

Good morning, everyone, and welcome to the AD&C Investment First Quarter 2021 Shareholder Call. All participants will be in a listen-only mode. Should you need assistance, please say no to 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 and then one on your touchtone telephones. To withdraw your questions, you may press star and two. Please also note today's event is being recorded. At this time, I'd like to turn the conference call over to Katie Weiskarver in Investor Relations. Ma'am, please go ahead.

Thank you all for joining AGMC Investment Corp's first quarter 2021 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 AGMC. 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, Director, Chief Executive Officer and Chief Investment Officer, Bernie Bell, Senior Vice President and Chief Financial Officer, Chris Kuehl, Executive Vice President of Agency Portfolio Investments, Aaron Tass, Senior Vice President, Non-Agency Portfolio Management, 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 the first quarter, despite the significant rise in intermediate and longer-term interest rates. Economic return for the quarter totaled 8.2%, bringing our trailing 12-month economic return to 40.7%. Optimism surrounding vaccines and the potential for a very strong economic recovery in the second half of 2021 pushed most risk asset prices higher. While broad equity indices advanced during the quarter, cyclical and recovery-oriented stocks significantly outperformed other sectors. Credit spreads were mixed during Q1, and housing markets in most regions maintained very strong positive momentum. Consistent with this stronger economic outlook and in response to more fiscal stimulus, we saw a substantial increase in longer-term interest rates and a material steepening of the yield curve. To this point, the yield on the 10-year Treasury which closed the quarter at 1.74 percent, essentially erased almost all of the decline experienced in 2020. Unlike other periods of rapidly rising interest rates, agency MBS performance was strong across the board during the quarter, with higher coupons being the best performers. Despite the 80 basis point sell-off in 10-year rates, higher coupon TBAs actually increased in price during Q1, while corresponding specified pools in aggregate were only modestly lower. Furthermore, despite material price declines, lower coupon TBAs still outperformed our hedges and provided a positive contribution to both economic return and earnings. This is a very different result from what happened back in late 2016 or in mid-2013, the last two periods when interest rates increased rapidly. Looking ahead, we continue to feel good about the composition of our portfolio, especially in light of the somewhat different risk return characteristics of our lower coupon TBA position and higher coupon specified pools. The benefit of this barbell portfolio can be seen clearly in the prior two quarters return profile, with lower coupon TBAs being the strongest performer in Q4 and higher coupon specified pools leading the charge in Q1. Despite the spread tightening that has already occurred in the agency MBS space, the sector still looks attractive on a relative value basis for levered investors given the elevated valuations that exist across the entire fixed income and equity spectrum. Key positive differentiators for Agency MBS include repo rates at all-time lows, favorable dollar roll financing levels, and the likelihood of moderating prepayment speeds given the uptick in rates. Against this backdrop and given our confidence in our portfolio, we continue to believe AGNC is well positioned for the remainder of 2021. Lastly, I would like to mention that we published our first annual ESG report last month, and it is available on the corporate responsibility section of our website. Hopefully this helps our stakeholders better understand our commitment to corporate responsibility and our approach to ESG. At this point, I will turn the call over to Bernie to review our financial results for the quarter.