AGNC Investment Corp. (NASDAQ:AGNC) Q2 2023 Earnings Conference Call July 25, 2023 8:30 AM ET

Company Participants

Katie Wisecarver - IR

Peter J. Federico - President and CEO

Bernice E. Bell - EVP and CFO

Christopher J. Kuehl - EVP and CIO

Aaron Pas - SVP, Non-Agency Portfolio Management

Conference Call Participants

Douglas Harter - Credit Suisse

Trevor Cranston - JMP Securities

Bose George - Keefe, Bruyette, & Woods, Inc.

Richard Shane - J.P. Morgan Chase

Vilas Abraham - UBS Investment Bank

Eric Hagen - BTIG

Crispin Love - Piper Sandler

Operator

Good morning and welcome to the AGNC Investment Corp’s Second Quarter 2023 Shareholder Call. All participants will be in a listen-only mode. [Operator Instructions]. After today's presentation, there will be an opportunity to ask questions. [Operator Instructions]. Please note that this event is being recorded. I would now like to turn the conference over to Katie Wisecarver, Investor Relations. Please go ahead.

Katie Wisecarver

Thank you all for joining AGNC Investment Corp.'s second quarter 2023 earnings call. Before we begin, I'd like to review the Safe Harbor Statement. This conference call and corresponding slide presentation contains 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 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 Pas, Senior Vice President, Non-Agency Portfolio Management; and Sean Reid, Executive Vice President, Strategy and Corporate Development. With that, I'll turn the call over to Peter Federico.

Peter J. Federico

Thank you, Katie. Market conditions in the second quarter, on balance provided further support for our favorable investment outlook for agency MBS and made us increasingly confident that we are at the forefront of one of the most compelling investment environments that we have experienced in our 15-year history. Historically attractive asset valuations, strong funding markets, and gradually improving hedging conditions as the Fed ends its monetary policy tightening campaign underpin our favorable return expectations. Macroeconomic factors continue to be the primary driver of Agency MBS performance in the second quarter. Debt ceiling uncertainty, and the possibility of a government default weighed heavily on Agency MBS performance and push spreads to the widest level since the great financial crisis.