AGNC Investment Corp.

Good morning and welcome to the AGNC Investment Corporate first quarter 2024 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 touchtone 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 Turlington in Investor Relations. Please go ahead.

Thank you all for joining AD&C Investment Corp's first quarter 2024 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 facts, 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 AG&C'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 this 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.

Good morning, and thank you all for joining our earnings call. AGNC generated a strong economic return of 5.7% in the first quarter, driven by a combination of our compelling dividend and book value appreciation. On our earnings call last quarter, we talked about our growing confidence that the difficult transition period for agency MBS was nearing its conclusion and that a durable and favorable investment environment for AGNC was slowly emerging. We highlighted our belief that short-term rates had peaked for this tightening cycle, that interest rate volatility would decline, and that agency MBS would remain in this new, more attractive trading range. These positive dynamics were all present to some degree in the first quarter and will ultimately drive AGMC's performance over the remainder of the year. With respect to monetary policy, there were both positive and negative developments in the quarter. On the positive side, there was a growing consensus among Fed members regarding the level and direction of short-term interest rates. As reflected in the March minutes, participants judged that policy rate was likely at its peak for this tightening cycle, and almost all participants noted that it would be appropriate to move to a less restrictive monetary policy stance this year if the economy evolved as expected. In his testimony before Congress, Chairman Powell characterized the Fed's position as waiting for a bit more data and that rate cuts may not be far away. Importantly, the Fed also indicated that it would reduce the pace of runoff on its treasury portfolio at an upcoming meeting. This initial balance sheet action is a positive development for fixed income investors. The negative development was stronger than expected economic data. Inflation indicators did not show the continued decline that the Fed was hoping for, and growth in labor readings remained surprisingly robust. As a result, the timing and magnitude of future rate cuts became considerably more uncertain. The interest rate environment during the quarter was generally positive as interest rates increased gradually across the yield curve. Interest rate volatility also declined immediately during the quarter. Against this backdrop, agency MBS performance across the coupon stack was mixed, with spreads on lower coupon securities widening and spreads on higher coupon securities tightening. Also noteworthy, agency MBS spreads remained in the same well-defined trading range, and spread volatility declined meaningfully. In fact, in the first quarter, spread volatility was 20 to 30 percent lower than what we experienced last year. The supply and demand technicals for agency MBS were also favorable in the first quarter, as seasonal factors and affordability issues significantly curtailed origination activity. At the same time, bank demand proved to be greater than expected. This uptick in bank demand was in part due to a view that Basel III would be substantially revised. Collectively, these factors drove our favorable first quarter results. That said, periods of market turbulence are to be expected given the evolving nature of monetary policy. April is a good example of such an episode. After a period of relative stability in the first quarter, benchmark interest rates and volatility increased sharply due to less optimistic inflation expectations and escalating geopolitical risks. Against this backdrop, agency MBS spreads widened meaningfully but remain below the midpoint of the recent trading range. Absent further adverse inflation developments, which caused the Fed to change the direction of monetary policy, we believe this period of fixed income market turbulence will be relatively short-lived. Looking beyond the recent downturn, the long-term fundamentals for agency MBS continue to be favorable and give us reason for optimism. With absolute yields above 6% and backed by the explicit support of the U.S. government, agency MBS are appealing to an expanding universe of investors. Moreover, if monetary policy evolves largely as expected, interest rate volatility will decline, the yield curve will steepen, and quantitative tightening will come to an end. The specific timing of Fed rate cuts is not critical to the long-run performance of agency MBS. As a highly liquid, pure play levered agency MBS investment vehicle, we believe AGNC is well positioned to benefit from these favorable investment dynamics as they evolve over time. With that, I will now turn the call over to Bernie Bell to discuss our financial results in greater detail.