Two Harbors Investment Corp. (NYSE:TWO) Q1 2023 Earnings Conference Call May 2, 2023 9:00 AM ET

Company Participants

Maggie Karr - Head, IR

Bill Greenberg - President & CEO

Mary Riskey - CFO

Nick Letica - Chief Investment Officer

Conference Call Participants

Doug Harter - Credit Suisse

Kenneth Lee - RBC Capital Markets

Bose George - KBW

Trevor Cranston - JMP Securities

Arren Cyganovich - Citi

Eric Hagen - BTIG

Rick Shane - JPMorgan

Operator

Good morning. My name is Diego and I will be your conference facilitator. At this time, I would like to welcome everyone to Two Harbors' First Quarter 2023 Financial Results Conference Call. All participants will be in a listen-only mode. After the speaker's remarks, there will be a question-and-answer session.

I would now like to turn over the call to Maggie Karr.

Maggie Karr

Good morning, everyone, and welcome to our call to discuss Two Harbors' first quarter 2023 financial results. With me on the call this morning are Bill Greenberg, our President and Chief Executive Officer; Nick Letica, our Chief Investment Officer; and Mary Riskey, our Chief Financial Officer.

The earnings press release and presentation associated with today's call have been filed with the SEC and are available on the SEC's website, as well as the Investor Relations page of our website at twoharborsinvestment.com. In our earnings release and presentation, we have provided reconciliation of GAAP to non-GAAP financial measures, and we urge you to review this information in conjunction with today's call.

As a reminder, our comments today will include forward-looking statements, which are subject to risks and uncertainties that may cause our results to differ materially from expectations. These are described on Page 2 of the presentation and in our Form 10-K and subsequent reports filed with the SEC. Except as may be required by law, Two Harbors does not update forward-looking statements and disclaims any obligation to do so.

I will now turn the call over to Bill.

Bill Greenberg

Thank you, Maggie. Good morning, everyone, and welcome to our first quarter earnings call. This morning, I will provide color on our quarterly performance and the market environments. Mary will provide information around our financial results and Nick will discuss our portfolio activity and positioning.

Please turn to Slide 3 for an overview of our quarterly results. Our book value at March 31 was $16.48 per share, representing a negative 3.6% total economic quarterly return. Our book value was impacted by the violent move lower in rates arising from the banking crisis as our portfolio had a slight short duration bias heading into March, consistent with what we disclosed in our fourth quarter earnings call. As more regional bank headlines hit the tapes, rate volatility continued to be elevated, which caused increased hedging costs and mortgage spread widening.