AGNC Investment Corp.

Good morning and welcome to the AGNC Investment Corp fourth quarter 2022 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 touch-tone 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 Weitzcarver in Investor Relations. Please go ahead.

Thank you all for joining AGNC Investment Corp's fourth 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 are forward-looking statements and less 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 Pass, Senior Vice President, 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. Throughout our 15-year history, we have noted that rapid and sizable interest rate changes are the most challenging environments for levered fixed income investors. Importantly, however, these transitions have generally preceded our most favorable investment environments. As I'll discuss in greater detail, the investment opportunity ahead could be one of the most favorable and durable in AGNC's history. For the fixed income markets, 2022 was among the worst years ever experienced. Interest rates across the yield curve moved materially higher as the Fed increased the federal funds rate 425 basis points in just nine months. The yield on the 10-year Treasury increased by close to 250 basis points. To put that move in historical context, the total return on the 10-year Treasury in 2022 was the worst annual performance in over 100 years. The sharp increase in Treasury rates pushed mortgage rates to their highest level in more than two decades. Agency MBS often underperform other fixed income asset classes during significant market downturns. This was indeed the case last year as spreads across the mortgage coupon stack widened to levels rarely seen before. Similar to the 10-year Treasury, the total return on the agency MBS index in 2022 at negative 12% was the worst year on record dating back to 1980. These challenging conditions peaked in September and October, when monetary policy and macroeconomic uncertainty was at its highest point. On our third quarter earnings call, we highlighted the tension between extraordinarily attractive investment returns and highly uncertain financial market conditions. We also noted our expectation that a uniquely favorable investment environment would eventually emerge. Since that time, bond market sentiment has improved materially. This positive shift coincided with investors recognizing the unique investment opportunity available in agency MBS on both a levered and unlevered basis. At the same time, weaker inflation data allowed the Fed to slow the pace of monetary policy tightening, which in turn led to a decline in interest rate volatility. These positive developments attracted investors back to the fixed income markets. The key question for investors today, of course, is not what happened, but rather, where do we go from here? Will the agency MBS market revert back to the challenging conditions that characterize 2022? Or is the outlook for 2023 more favorable? We strongly believe it is the latter. We believe the positive shift in bond market sentiment that occurred in November likely marks the beginning of the recovery for agency MBS. Market shifts like this evolve over time and are not linear. But that said, we do believe the recovery is underway. This favorable outlook for agency MBS is supported by several positive dynamics. First, Even though agency MBS spreads tightened in the fourth quarter, they remain wide by historical standards and continue to represent a compelling investment opportunity. This is especially true for levered investors such as AGNC, given the significant improvement in funding that has occurred over the last several years. Moreover, while bias tighter, we believe spreads will remain wider than previous historical averages. This would be a welcome development for AGNC and supportive of our ability to generate attractive returns for shareholders over time. Second, the demand for agency MBS will likely outpace the supply even without Fed purchases. Ongoing affordability challenges and a slower housing market will limit the organic supply of agency MBS this year. In addition, runoff on the Fed's portfolio will be extremely slow given minimal refinance activity. Third, interest rate volatility is poised to decline. The Fed has already slowed the pace of rate increases and is nearing the inflection point in monetary policy. If inflation data continues to moderate and the Fed pauses, interest rate volatility should fall materially. Greater interest rate stability and a more stable economic outlook could reignite bank demand for agency MBS and increase the demand for fixed income securities more broadly from a wider range of investors. So, to summarize, we believe strong investor demand manageable supply, and improving interest rate stability together strengthen the outlook for agency MBS. Importantly, with the Fed expected to gradually unwind its mortgage portfolio over the next several years, this environment could also prove to be more durable than previous episodes. With spreads above historical norms and funding conditions favorable, AGNC is well positioned to generate attractive returns for shareholders without compromising our longstanding risk management discipline. With that, I'll now turn the call over to Bernie Bell to discuss our financial results.