AGNC Investment Corp.

Good morning, everyone, and welcome to the AGNC Investment Corp third quarter 2021 shareholder call. All participants will be in a 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 and then one using a touchtone telephone. 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 AGNC Investment Corp's third quarter 2021 earnings call. Before we begin, I'd like to review the safe harbor statement. This conference call and corresponding slide presentation contains 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 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. Participants on the call include Peter Federico, Director, President, and Chief Executive Officer, Bernie Bell, Senior Vice President and Chief Financial Officer, Chris Kuehl, Executive Vice President and Chief Investment Officer, Aaron Pest, Senior Vice President of Non-Agency Portfolio Management, and Gary Kane, Executive Chair. With that, I'll turn the call over to Peter Federico.

Thanks, Katie, and thank you to everyone on the call today. We are very pleased with our third quarter financial results. Economic return for the quarter totaled 2.3%, while net spread and dollar roll income came in at 75 cents per share, in line with the previous three quarters. Our economic return for the year is now 4.7%, which I believe speaks to the strength of our business model, given considerable interest rate volatility, elevated prepayment speeds, spread widening, and the Fed's progression toward asset tapering. The message that we communicated last quarter was one of cautious optimism and a desire to maintain portfolio flexibility. We identified several risks that shaped the agency investment landscape, including uncertainty with respect to the timing and duration of Fed tapering, two-way interest rate risk, and elevated prepayment speeds. In the third quarter, there were positive developments regarding each of these risks. With respect to asset tapering, the Fed's anticipated timeline is now known and market expectations are well aligned. The most likely scenario is that the Fed will announce tapering at the November meeting, commence tapering in December, and reduce MBS purchases by $5 billion per month over an eight-month period. Under this approach, the Fed will purchase close to $200 billion of agency MBS between now and July of next year. Once tapering is complete, and this is a very important point, the Fed will continue to buy billions of dollars of agency MBS on a monthly basis. as they reinvest the paydowns on their existing portfolio. The Fed's reinvestment program will likely continue for a significant period of time and should be a positive technical for agency MBS. The interest rate and prepayment environment also improved in the third quarter, with intermediate and longer-term rates increasing late in the quarter. Primary mortgage rates are now about 40 basis points above the February low, of 2.8%. This increase in rates should lead to a more benign prepayment environment and lower supply. Taken together, greater clarity from the Fed, higher interest rates, and slowing prepayment speeds create a more favorable backdrop for agency MBS, particularly given the spread widening that has already occurred. And while some spread volatility is possible during the tapering cycle, We do not expect significant widening as agency MBS already look attractive relative to other financial assets, which still trade at or near historically tight levels. Projected returns on new investments were relatively unchanged during the quarter. Lower coupon TBAs continue to offer the most attractive return at around 12% including the additional benefit from favorable dollar roll funding. Returns on higher coupon MBS, meanwhile, remain in the high single-digit range. Spreads on most non-agency securities remain historically tight, keeping expected returns on these investments in the mid-single-digit range. As such, levered positions in agency MBS continue to look compelling on both an absolute and relative basis. While the outlook for agency MBS has improved relative to last quarter, there is still considerable uncertainty with respect to the broader economic and interest rate environment. Most notably, inflation measures are elevated and supply chain shortages and disruptions appear to be intensifying and more widespread. At the same time, the employment outlook appears to be poised for strong growth in the coming months as job vacancies outpace job seekers, unemployment benefits return to normal levels, and wages increase. As a result, the Fed's transitory inflation narrative could become increasingly difficult to defend. If inflation pressures persist or intensify further, there is a risk that the market and the Fed lose confidence in this view. In this scenario, expectations with respect to Fed actions could become increasingly difficult to predict. Given this macroeconomic uncertainty, we continue to favor operating with a more conservative risk profile. Looking ahead, we believe we are very well positioned for the current environment with a well-balanced asset portfolio, significant hedge protection, and leverage at around seven and a half times. Together, this position gives us considerable flexibility to take advantage of attractive investment opportunities as they arise. With that, I'll now turn the call over to Bernie to discuss our financial results in greater detail.