AGNC Investment Corp.

Good morning and welcome to the AGNC Investment Card Third Quarter 2022 Shareholder Call. All participants will be in listen-only mode. If you do 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 touchstone phone. To withdraw your question, please press star, then two. Please note this event is being recorded. I would now like to turn the conference over to Katie Weisgarber in investor relations. Please go ahead.

Thank you all for joining AGNC Investment Corp's third quarter 2022 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 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, Executive Vice President and Chief Financial Officer, Chris Kuehl, Executive Vice President and Chief Investment Officer, Aaron Pess, Senior Vice President of Non-Agency Portfolio Management, and Sean Reed, Executive Vice President, Strategy and Corporate Development. With that, I'll turn the call over to Peter Federico.

Thank you, Katie, and thank you to everyone for joining our call today. Financial markets experienced broad-based weakness in the third quarter as macroeconomic and monetary policy uncertainty intensified, both domestically and abroad. This led to a sharp decline in investor sentiment and a significant repricing in both the equity and fixed income markets. With the S&P 500 index falling 17%, and the unlevered Bloomberg Aggregate Bond Index falling 7.5% from their respective inter-quarter highs. In the early stages of market downturns, it is not uncommon for the U.S. Treasury and agency MBS markets to underperform other fixed income products because these securities are the most liquid and thus easiest for investors to convert to cash. Bond fund outflows are an obvious example of this type of selling pressure. Agency MBS are the most liquid spread product across the entire fixed income spectrum. As such, in certain environments, particularly when investors favor liquidity, the selling pressure on agency MBS can be greater than other asset classes farther out the liquidity and credit spectrum. This was indeed the case in the third quarter. On page seven of the investor presentation, we show the spread or yield differential between the 30-year current coupon MBS and the 10-year Treasury since January of 2009. This graph is helpful because it provides historical context for the recent spread widening. As you can see, this spread recently widened to the extreme of 190 basis points. A significant portion of this widening occurred late in September following an unforeseen episode of instability in the UK bond market that led to a significant repricing and risk-off sentiment in our treasury and agency MBS markets. As we have discussed, wider spreads impact our business in two ways. First, as spreads widen, the book value of our existing portfolio declines significantly. as has been the case this year. On the positive side, however, wider spreads also enhance the future value of our business by improving the go-forward return on our portfolio. The supply outlook for agency MBS has also continued to improve. With primary mortgage rates now well above 7%, origination volume over the remainder of the year will likely be very limited, and the runoff of the Fed's portfolio will also be materially slower than previously anticipated. Putting this all together, agency MBS are undeniably attractive. Spreads are at unprecedented levels. The supply outlook is very favorable. And finally, agency MBS are guaranteed by the U.S. government and thus do not have the credit exposure in a recession scenario. which adds to their attractiveness relative to other fixed income alternatives. The recovery in valuation levels could happen rapidly. So as difficult as this year has been, given the spread widening that has already occurred, it is important to understand the unique opportunity that we believe is on the other side of this historic repricing event. With that, I'll now turn the call over to Bernie Bell to discuss our financial results in greater detail.