AGNC Investment Corp.

Good morning and welcome to the AGNC Investment Corp second quarter 2025 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 Turlington in Investor Relations. Please go ahead.

Thank you all for joining AGMC Investment Corp's second quarter 2025 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 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 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 the call include Peter Federico, President, Chief Executive Officer, and Chief Investment Officer. Bernie Bell, Executive Vice President and Chief Financial Officer. 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 second quarter earnings call. Following the administration's tariff announcement in early April, elevated governmental policy risk caused investor sentiment to turn sharply negative and financial markets to reassess the macroeconomic and monetary policy outlook. After a sharp repricing in April, most markets retraced their early period losses and ended the quarter at better valuation levels. The performance of agency mortgage-backed securities relative to benchmark interest rates, however, was notably weaker quarter over quarter. As a result of this underperformance, AGNC's economic return for the second quarter was negative 1%. During the first three weeks of April, when the financial market stress was most pronounced, the yield on the 10-year Treasury fluctuated by more than 100 basis points, and the S&P 500 stock index declined by 12%. This volatility and macroeconomic uncertainty adversely impacted agency mortgage-backed securities with spreads to treasury and swap rates widening meaningfully. A primary focus of AGNC's risk management framework is maintaining sufficient liquidity to withstand episodes of significant financial market stress. One important measure of this capacity is the percentage of equity that we hold in unencumbered cash and agency mortgage-backed securities, which are available to meet margin calls in the normal course of business. This focus enabled us to begin the second quarter with a strong liquidity position and to navigate the financial market volatility without issue and, importantly, without selling assets. Moreover, we were able to take advantage of the wider MBS spread environment by raising accretive capital during the quarter and opportunistically deploying a portion of that capital in attractively priced assets. Over the last two months of the quarter, most financial markets retraced the April losses and in some cases set new record highs. For example, the S&P 500 index rallied 25% from the April low and ended the quarter about 10% higher. Investment grade and high-yield debt also performed well, with spreads tightening 10 and 50 basis points, respectively. The one notable performance exception was agency mortgage-backed securities. as the current coupon spread to a blend of Treasury and swap benchmarks ended the quarter 7 and 14 basis points wider, respectively. Although the Fed and Treasury have indicated that beneficial regulatory reforms are forthcoming, bank demand for MBS still appears to be constrained. Similarly, foreign investor demand may be hindered by U.S. dollar weakness and geopolitical risk. Looking ahead, we expect banks and foreign demand for agency MBS to grow. In addition, as we enter the third quarter, the seasonal supply pattern for MBS issuance should improve. We expect the net supply of new MBS will be about $200 billion this year, the low end of most forecasts. Since quarter end, MBS spreads have tightened slightly and are showing signs of stabilization. As a levered and hedged investor in agency mortgage-backed securities, AGNC's return profile is most favorable in environments in which mortgage spreads are wide and stable. Our favorable outlook for agency MBS was further improved in the second quarter by the very positive message from key decision makers related to the potential recapitalization and release from conservatorship of the GSEs. The White House, the Treasury Department, and FHFA affirmed the government's commitment to maintaining the implicit guarantee for agency MBS, and also indicated that they are taking a do-no-harm approach to GSE reform. Specifically, President Trump made an unprecedented statement in late May regarding the GSEs and the ongoing role of the government in the housing finance system. He said, our great mortgage agencies, Fannie Mae and Freddie Mac, provide a vital service to our nation, helping hardworking Americans reach the American dream of home ownership. I am working on taking these amazing companies public, but I want to be clear. The US government will keep its implicit guarantees with the word guarantees emphasized in all capital letters. Treasury Secretary Besant also made several important statements regarding the GSEs during the quarter. The one that stood out the most to us was when he said, The one requirement of this privatization is that they are privatized in such a way that mortgage spreads do not widen. And in fact, is there a way that we can make the spread between the risk-free rate and mortgages tighten as Freddie Mac and Fannie Mae are privatized? Finally, Director Pulte weighed in with similar positive statements saying, our number one thing is to do no harm and keep the implicit guarantees intact. We cannot have any disruption to the mortgage market. There cannot be any upward pressure on the mortgage rate. And I am very confident that the mortgage market will be safer and sounder as a result of any option that the president takes. These statements individually and collectively clarify the administration's approach, and more importantly, should provide investors greater confidence that the credit quality of the $8 trillion of outstanding agency mortgage-backed securities as it is understood to be today will not be impaired by actions associated with privatization. In fact, given the explicit statement of credit support made by the President of the United States that the implicit guarantee of agency MBS will be preserved, investors could reasonably conclude that the credit quality of the outstanding stock of agency mortgage-backed securities has never been stronger. These statements also make it clear that maintaining stability in the mortgage market and lowering mortgage costs are two important guiding principles of GFC's reform. This is a very positive development that should lead to tighter mortgage spreads over time. With that, I'll now turn the call over to our Chief Financial Officer, Bernie Bell, to discuss our financial results in greater detail. Thank you, Peter.