AGNC Investment Corp. 8.75% Series H Fixed-Rate Cumulative Redeemable Preferred Stock Q1 FY2025 earnings call

• Macroeconomic uncertainty and monetary policy led to cautious investor sentiment in Q1, with AGNC generating 2.4% economic return and 7.8% total stock return with dividends reinvested. - Mortgage spreads widened in early April, but AGNC was well-prepared and outlook for agency MBS remains favorable. - Portfolio totaled $79 billion at quarter end, with assets including high-quality specified pools and shifts in TBA composition. - Believes regulatory relief for banks and favorable GSE developments could boost demand for agency MBS.

For the first quarter, AGNC reported total comprehensive income of $0.12 per common share. Economic return on tangible common equity was 2.4%. Net spread and dollar roll income increased $0.07 to $0.44 per common share. Net interest rate spread rose 21 basis points to 2.12%. Asset portfolio totaled $79 billion at quarter end, up about $5 billion from prior quarter. The percentage of assets with favorable prepayment characteristics increased to 77%.

• Outlook for agency MBS remains very favorable despite near-term macroeconomic uncertainty. - Expected returns on portfolio align with total cost of capital, with current valuation levels offering compelling return opportunities for agency MBS. - Anticipates regulatory changes related to the supplemental leverage ratio will benefit treasury and swap markets, potentially improving agency MBS demand.

• Macro and monetary policy uncertainty causing market volatility. - Swap spread movements and narrowness posing challenges to mortgage performance relative to swaps. - Regulatory uncertainties and potential further spread widening due to economic and government policy uncertainties.

Q: Temperature on prepayment environment and convexity risk A: Rocket Mr. Cooper merger adds some convexity, but prepayment risk is present, portfolio has more call risk, long way from significant refinance risk Q: Sensitivity to margin calls and wider spreads A: Not seen force deleveraging, bond fund redemptions impacted mortgage valuations recently but not force selling Q: Thoughts on swap spreads to mortgages and hedge portfolio decision A: Swap spreads to mortgages widened more than to treasuries, plan to consider diversification and balance between offense and defense based on spread sustainability