Two Harbors Investment Corp. (NYSE:TWO) Q2 2022 Earnings Conference Call August 4, 2022 9:00 AM ET

Company Participants

Paulina Sims - Head of Investor Relations

Bill Greenberg - President, Chief Executive Officer, and Chief Investment Officer

Mary Riskey - Chief Financial Officer

Conference Call Participants

Doug Harter - Credit Suisse

Arren Cyganovich - Citi

Trevor Cranston - JMP Securities

Bose George - KBW

Rick Shane - J.P. Morgan

Operator

Greetings, and welcome to the Two Harbors Investment Corp. Reports Second Quarter 2022 Financial Results Conference Call. At this time, all participants are in a listen-only mode. A question-and-answer session will follow the formal presentation. [Operator Instructions] As a reminder, this call is being recorded.

I would now like to turn the call over to Paulina Sims, Head of Investor Relations. Thank you. You may begin.

Paulina Sims

Good morning, everyone, and welcome to our call to discuss Two Harbors Second Quarter 2022 Financial Results. With me on the call this morning are Bill Greenberg, our President, Chief Executive Officer, and 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 Web site as well as the Investor Relations page of our Web site at twoharborsinvestment.com. In our earnings release and presentation, we have provided a 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 two 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, Paulina. Good morning, everyone, and welcome to our second quarter earnings call.

Please turn to slide tree, at quarter-end, book value was $5.10 per share, representing a negative 4.7% total economic quarterly return. Following the historic bond market re-pricing in the first quarter, elevated market volatility continued through the second quarter. Inflation continued to exceed expectations, leading the Federal Reserve to accelerate the pace of monetary tightening and, in turn, raising the possibility of a recession. The risk-off sentiment across many asset classes, including mortgages, gathered steam during the quarter, and as a result mortgage performance in the first-half of 2022 ranked among the worst in decades.