MFA Financial, Inc. (NYSE:MFA) Q4 2022 Earnings Conference Call February 23, 2023 10:00 AM ET

Company Participants

Harold Schwartz - Senior Vice President, General Counsel & Secretary

Craig Knutson - President & Chief Executive Officer

Gudmundur Kristjansson - Co-Chief Investment Officer

Bryan Wulfsohn - Co-Chief Investment Officer

Stephan Yarad - Chief Financial Officer

Conference Call Participants

Steve Delaney - JMP Securities

Douglas Harter - Credit Suisse

Bose George - KBW

Eric Hagen - BTIG

Operator

Ladies and gentlemen, thank you for standing by and welcome to the MFA Financial Announcement Fourth Quarter 2022 Earnings Call. [Operator Instructions] As a reminder, today's conference is being recorded.

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

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 -- 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, 2021 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 that 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 fourth quarter 2022 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, Harold. Good morning, everyone and thank you for joining us here today for MFA Financial fourth quarter 2022 earnings call. Also with me today are Stephen Yarad, our CFO; Gudmundur Kristjansson; and Bryan Wulfsohn, our Co-Chief Investment Officers and other members of senior management.

The fourth quarter of 2022 was yet another wild ride to punctuate what was one of the most difficult years ever for fixed income and for the mortgage market, in particular. Rates ended the fourth quarter only slightly higher than they were at September 30 but the path is anything but straight. 2-year treasuries began the fourth quarter at 428 and sold off to 472 in early November before rallying back to close out the year at 443. After beginning the quarter at 383, 10-year treasuries hit a high for the year of 424 in late October before rallying back in the year almost unchanged at 387. This volatility in the rates market weak [Indiscernible] the mortgage market with agency mortgages widening out in late October to the widest level since the great financial crisis. RMBS securitization markets, while technically not closed, were quite dysfunctional, with AAA cash flows widening even more than Agency MBS spreads. As breathtakingly bad as 2022 was for fixed income and mortgage participants, it was not a total surprise to us at MSA.