MFA Financial, Inc. (NYSE:MFA) Q1 2023 Earnings Conference Call May 4, 2023 10:00 AM ET

Company Participants

Harold Schwartz - SVP, General Counsel & Secretary

Craig Knutson - President, CEO & Director

Gudmundur Kristjansson - SVP & Co-CIO

Bryan Wulfsohn - SVP & Co-CIO

Conference Call Participants

Steven Delaney - JMP Securities

Operator

Ladies and gentlemen, thank you for standing by, and welcome to the MFA First Quarter 2023 Earnings Conference Call. [Operator Instructions].

I would now like to turn the conference over to our host, Harold Schwartz. Please go ahead.

Harold Schwartz

Thank you, operator, and good morning, everyone. The information discussed on this conference call today may contain or refer to forward-looking statements regarding MFA Financial, Inc., which reflect management's beliefs, expectations and assumptions as to MFA's future performance and operations. When used, statements that are not historical in nature, including those containing words such as will, believe, expect, anticipate, estimate, should, could, would or similar expressions are intended to identify forward-looking statements.

All forward-looking statements speak only as of the date on which they are made. These types of statements are subject to various known and unknown risks, uncertainties, assumptions and other factors including those described in MFA's annual report on Form 10-K for the year ended December 31, 2022, and other reports that it may file from time to time with the Securities and Exchange Commission. These risks, uncertainties and other factors could cause MFA's actual results to differ materially from those projected, expressed or implied in any forward-looking statements it makes. For additional information regarding MFA's use of forward-looking statements, please see the relevant disclosure in the press release announcing MFA's first quarter 2023 financial results. Thank you for your time.

I would now like to turn this call over to MFA's CEO and President, Craig Knutson.

Craig Knutson

Thank you, Hal. Good morning, everyone, and thank you for joining us here today for MFA Financial's First Quarter 2023 Earnings Call. Also with me today are Steve Yarad, our CFO; Gudmundur Kristjansson and Bryan Wulfsohn, our Co-Chief Investment Officers; and other members of senior management.

The first quarter of 2023 started on a promising note with treasuries rallying modestly and credit spreads becoming progressively more constructive through the month of January. This utopia was short-lived, however, when a blowout payroll number on February 3 shot yields sharply higher. Two-year treasury sold off nearly 100 basis points through the month of February as the bond market priced an additional expected Fed tightening. Then queue up the banking crisis of 2023 in early March as Silicon Valley Bank and Signature Bank were shut down over the weekend of March 11 and 12. Two-year treasuries rallied over 100 basis points between March 8 and March 13. And any notion that bond market volatility was just a 2022 phenomenon was quickly dispelled.