AGNC Investment Corp (NASDAQ:AGNC) Q1 2022 Earnings Conference Call May 3, 2022 8:30 AM ET

Company Participants

Katie Wisecarver - VP, IR

Peter Federico - President, CEO & Director

Bernice Bell - EVP & CFO

Christopher Kuehl - EVP & CIO

Aaron Pas - SVP

Conference Call Participants

Bose George - KBW

Richard Shane - JPMorgan Chase & Co

Kenneth Lee - RBC Capital Markets

Douglas Harter - Crédit Suisse

Eric Hagen - BTIG

Operator

Good morning, and welcome to the AGNC Investment Corp. First Quarter 2022 Shareholders Call. [Operator Instructions] Please note that this event is being recorded. Now I'd like to turn the conference over Katie Wisecarver in Investor Relations. Please go ahead.

Katie Wisecarver

Thank you all for joining AGNC Investment Corp.'s First Quarter 2022 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 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 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 the Risk Factors section of 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; Bernice Bell, Executive Vice President and Chief Financial Officer; Chris Kuehl, Executive Vice President and Chief Investment Officer; Aaron Pas, Senior Vice President of 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, and thanks to everyone for joining the call today. The investment environment was very challenging in the first quarter as the market faced increased geopolitical risk, growing inflation concerns and the expectation of significantly tighter monetary policy. Interest rates ended the quarter materially higher with the yield on the 2-year treasury increasing over 160 basis points. A rate move of that magnitude hasn't occurred in more than 30 years. This challenging environment led to a risk-off sentiment, pressured equity markets and caused fixed income prices to decline.