AGNC Investment Corp. (NASDAQ:AGNC) Q1 2023 Earnings Conference Call April 25, 2023 8:30 AM ET

Company Participants

Katie Wisecarver - Investor Relations

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

Conference Call Participants

Rick Shane - J.P. Morgan

Trevor Cranston - JMP Securities

Doug Harter - Credit Suisse

Bose George - KBW

Eric Hagen - BTIG

Vilas Abraham - UBS

Operator

Good morning, and welcome to the AGNC Investment Corporation First 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 first 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 Federico

Thank you, Katie.

The performance of Agency mortgage-backed securities in the first half of the quarter was very strong, continuing the positive momentum that began last November. This led to a notable increase in our net asset value through mid-February. These favorable conditions, however, gave way to a more challenging investment environment in the second half of the quarter, as regional bank instability dramatically altered the macroeconomic and monetary policy outlook, and led to a material increase in interest rate volatility and rapid repositioning of fixed income portfolios. As a result, the strong improvement in our net asset value early in the quarter turned into a modest decline by quarter-end.