AGNC Investment Corp.

Good morning, everyone, and welcome to the AG&C Investment Corp third quarter 2024 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 touch-tone telephone. To withdraw your questions, you may press star and two. Please note, today's event is being recorded. At this time, I'd like to turn the conference call over to Katie Turlington of Investor Relations. Please go ahead.

Thank you all for joining AG&C Investment Corp's third 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 fact, constitute forward-looking statements within the meeting 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 this forecast due to the impact of many factors beyond the control of AG&C. 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 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 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 will turn the call over to Peter Federico.

Good morning, and thank you for joining our third quarter earnings call. For the last several quarters, we have spoken about a promising and durable investment environment that we believed was unfolding for AG&C, an environment characterized by mortgage spreads that were materially wider than historical norms. declining interest rate volatility, and the emerging accommodative monetary policy stance by the Federal Reserve. In the third quarter, these positive trends became increasingly apparent, and as a result, investor optimism grew. Against this favorable fixed-income investment backdrop, AGNC generated a very strong economic return of 9.3 percent in the third quarter, driven by solid book value growth and our compelling monthly dividend, which has now remained stable at 12 cents per common share for 55 consecutive months. At its September meeting, the Fed began the process of recalibrating monetary policy with an initial rate cut that was larger than many expected. More important than the magnitude of the rate cut itself the move marked the end of a very challenging three-year period of unprecedented monetary policy restraint. In addition, the Fed also communicated its intention to lower short-term rates to a neutral level over time. Consistent with this view, the September summary of economic projections showed the median federal funds rate declining by 250 basis points by the end of 2026. While the path to this neutral policy stance will undoubtedly depend on economic data, as Chairman Powell explicitly stated, the direction of travel is now clear. This significant transition in monetary policy marked a positive development for AGMC and for fixed income markets, broadly speaking. In response to this improved monetary policy outlook, Treasury rates rallied across the yield curve, with short-term rates declining significantly more than long-term rates. To put the rate moves in perspective, the yield curve ended the quarter with a positive slope for the first time in two years. Agency MBS performance during the third quarter varied considerably by coupon and hedge composition. Our performance benefited from having a diversified mix of assets as well as a meaningful share of longer-term Treasury-based hedges. From a macro perspective, there were a couple of important takeaways from the third quarter. First, the long-awaited Fed pivot occurred and consistent with historical experience, the Fed is expected to return the federal funds rate to a neutral level over the next 12 to 24 months. Typically, In such periods of monetary policy accommodation, the yield curve steepens and the demand for high quality fixed income instruments like agency MBS grows. The other important takeaway from the quarter is that agency MBS spreads remain in the same relatively narrow trading range that has now been in place for close to a year. This trading range compares very favorably to the highly volatile spread environment that existed while the Fed was aggressively tightening monetary policy. As a levered and hedged investor in agency MBS, AGNC's return opportunities are most favorable when agency MBS spreads to swap and treasury rates are wide and stable, and when interest rates and monetary policy are less volatile. We anticipated that this type of environment would eventually emerge once the Fed transitioned to an accommodative monetary policy stance, which it did at the September meeting. With agency MBS spreads trading in a relatively narrow range this year, it follows that our common stock net asset value would also be relatively stable. That has been the case with our net asset value per common share increasing a modest 1.4% over the first nine months of the year. Much more significantly, however, our economic return per common share, which includes the dividends we paid as well as the change in our net asset value, was 13.8% through the first nine months of the year. Similarly, our total stock return with dividends reinvested was 17.5% over the same period. This performance exemplifies AGNC's ability to generate very attractive returns in environments where spreads are wide and stable. Looking ahead, we believe the most likely scenario for agency MBS spreads is that they remain in the current trading range. This view is predicated in part on our belief that the supply and demand dynamics for agency MBS remain in reasonable balance. Given the recent modest decline in mortgage rates, it is possible that the supply of agency MVS will increase somewhat over the intermediate term. On the demand side, however, accommodative monetary policy, a steeper yield curve, historically large money market mutual fund balances, and less onerous bank regulation indicate to us that the demand for high quality fixed income assets is biased to increase as the Fed reduces short-term interest rates. While the path of financial markets is never perfectly smooth and periods of volatility are inevitable, the outlook for agency MBS is decidedly better today than it was in 2022 and 2023, given the current economic outlook, the stance of the Fed, and our expectation that long-term interest rates and agency MBS spreads will remain relatively stable. With that, I'll now turn the call over to Bernie Bell to discuss our financial results in greater detail.