Welcome to the Western Asset Mortgage Capital Corporation's Fourth Quarter and Full Year 2022 Earnings Conference Call. Today's call is being recorded and will be available for replay beginning at 5:00 P.M. Eastern Standard Time. At this time, all participants have been placed in a listen-only mode, and the floor will be open for your questions following the presentation. First, I'd like to turn the call over to Mr. Larry Clark, investor relations. Please go ahead, Mr. Clark. Thank you, Marlies. I wanna thank everyone for joining us today to discuss Western Asset Mortgage Capital Corporation's Financial Results for the Fourth Quarter and Full Year 2022. The company issued its earnings press release yesterday afternoon, and it's available in the investor relations section of the company's website. In addition, the company also included a slide presentation on the website that you can refer to during this call. With us today from our management team are Bonnie Wongtrakool, Chief Executive Officer, Robert Lehman, Chief Financial Officer, Greg Handler, Chief Investment Officer, and Sean Johnson, Deputy Chief Investment Officer. Before we begin, I'd like to remind you that last August, the company announced that its board of directors authorized a review of strategic alternatives aimed at enhancing shareholder value, which may include a sale or merger of the company. No assurance can be given that the review being undertaken will result in a sale, merger, or other transaction involving the company, and the company has not set a specific timetable for completion of the review process. To avoid speculation, the company intends to refrain from making comments related to the strategic review process until a definitive agreement has been reached or until the process of exploring strategic alternatives has ended. As a result of the ongoing status of this process, we'll not comment further on the process during the Q&A session following the company's prepared remarks. I'd now like to review the safe harbor statement. This conference call will contain statements that constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. All such forward-looking statements are intended to be subject to the safe harbor protection provided by the Reform Act. Actual outcomes and results could differ materially from those forecasts due to the impact of many factors beyond the control of the company. All forward-looking statements included in this presentation are made only as of the date of this presentation and are subject to change without notice. Certain factors that could cause actual results to differ materially from those contained in the forward-looking statements are included in the Risk Factors section of the company's reports filed with the SEC. We disclaim any obligation to update our forward-looking statements unless required by law. With that, I'll now turn the call over to Bonnie Wongtrakool. Bonnie? Thanks, Larry. Welcome everyone. During 2022, we continued executing upon our plan to focus on residential real estate investments, a strategy that we had previously announced in December 2021. We achieved a number of accomplishments over the course of 2022, including completing two securitizations totaling $834 million of residential whole loans in the first and third quarters of 2022. These securitizations enabled us to secure $751 million of long-term fixed rate financing, which is essential to our strategy, particularly in light of the Fed's aggressive hiking cycle and the rapid rise in interest rates last year. We also undertook a series of actions in 2022 to deleverage, build liquidity, and strengthen our balance sheet, which included selling $56 million of Non-Agency Residential Mortgage-Backed Securities and other securities, and repurchasing our outstanding 2022 Notes in full at maturity in October for $26 million. We received $216 million from the repayment or paydown of our core assets, residential whole loans, and the remaining $1.2 billion portfolio has continued to perform well. Less than 1% of the principal balance of this portfolio was 60 days or more delinquent at the end of 2022, which is approximately 50 basis points lower than the end of 2021. Subsequent to year-end, we fully exited our ownership position in the CRE 3 junior mezzanine loan, selling it to an unaffiliated third party for $8.8 million, which was equal to the fair value of the loan at December 31st, 2022. We were able to execute these actions despite a very challenging market backdrop, with record high interest rate volatility, fluctuating asset values, and wider credit spreads. Our fourth quarter and full year financial results reflect these negative market conditions as well as higher funding costs. For the fourth quarter, our GAAP book value per share declined 3.2% from the prior quarter, while economic book value per share declined 10.5%. We generated lower net interest income during the fourth quarter on a smaller average portfolio and higher interest costs, partially offset by lower prepayment amortization costs and interest rate hedges. Consequently, our Distributable Earnings of $2 million, or $0.33 per share in the quarter, were down $232,000 from the third quarter. While this was another challenging quarter, we remain committed to optimizing the value of our investments and protecting shareholder value. We are confident that we are taking the necessary steps to strengthen our balance sheet and stabilize the earnings power of the portfolio in order to generate sustainable earnings that support an attractive dividend. We continue to move forward with our strategic review process and to analyze various alternatives for the company. However, the current market environment for mortgage REITs remains challenging given the rapid rise in interest rates and the increased potential for an economic retrenchment, which has added complexity to our exploration of strategic partners. As fellow shareholders, we are committed to concluding this process in a satisfactory manner. We will provide an update at the appropriate time. In the meantime, we will continue to run the company in a manner that is consistent with our goal of optimizing the value of our assets and maintaining stable earnings, which will in turn support our ability to pay an attractive dividend. We continue to appreciate our shareholders who have remained with us through this challenging period. Now I'll hand it over to Sean and Greg to go into more detail about the investment portfolio. Sean? Thanks, Bonnie. As Bonnie noted, we were active again this year in repositioning the portfolio, adding over $400 million worth of non-qualified residential mortgages to our holdings and securing long-term fixed rate financing through two securitizations totaling over $800 million. We were much quieter in the 4th quarter, not adding to our residential home loan portfolio. WMC doesn't have the expense and inflexible pipeline commitments associated with a captive originator. This continues to allow us to remain strategic in timing the growth of our loan portfolio. Pricing for our loans improved during the quarter, thanks to modest spread tightening. During the quarter, origination rates on non-QM loans rose in tandem with conventional mortgage rates, creating a disincentive for many of our borrowers to refinance their existing loans. As a consequence, our portfolio continued to experience a lower level of prepayments. Fourth quarter non-QM prepayments were 6.2 CPR, compared to 12.4 CPR in the third quarter and 15.6 CPR in the second quarter. As a result, premium amortization expense from loan prepayments in the quarter was $677,000, down from $945,000 in the third quarter, and an average of $2.2 million for each of the first two quarters of this year. We anticipate that higher mortgage rates will continue to keep refinancing activity in our portfolio relatively low. Our non-QM strategy has consistently been to focus on high-quality borrowers that have meaningful equity in their homes. Our weighted average loan-to-value at origination is 66%, and the average FICO score for our borrowers at origination was 748. Our non-QM portfolio continues to perform well, with delinquencies declining last year off already low levels, reinforcing the effectiveness of our credit underwriting standards. Nearly half our non-QM portfolio consists of adjustable rate mortgages. During the fourth quarter, more than $50 million worth of loans reset to higher floating rates. More than $90 million of current non-QM holdings are scheduled to reset in 2023, with more than $300 million resetting in the next four years. Our net interest margin should benefit as these loans are almost entirely funded with fixed rate securitized debt. We remain positive on overall residential credit fundamentals. While housing is expected to cool, we do not see a significant risk of widespread defaults or severe home price correction. Inflation is likely to moderate this year, so volatility of rates and spreads should also decline. We believe that we are well positioned to benefit from spread normalization, and when combined with strong and improving yields, the environment should be conducive to an attractive total return for our portfolio. Non-QM loan yields are attractive, and we will be selective and opportunistic about adding new target assets as we balance the objectives of redeploying capital and managing our balance sheet. With that, I'll turn the call over to Greg Handler to discuss our commercial holdings. Greg? Thanks, Sean. During the fourth quarter, while spreads continued to remain wide across the commercial mortgage credit sector, our commercial holdings were only slightly impacted as the value of our commercial loan portfolio remained stable and our Non-Agency CMBS holdings experienced modest spread widening. At year-end, we held six commercial whole loans at a fair value of $90 million. Of the six remaining loans, all but one continued to perform in line with expectations. The five performing loans represent $82 million of principal balance and are currently being marked at just over $81 million, a negligible discount to cost. For certain borrowers, we have extended loan maturities in exchange for an increased interest rate, partial pay downs, and extension fees, and we expect these loans to pay off over the next several quarters as properties are either sold or refinanced. However, the ultimate timing and realization of loan payoffs depends on the specific factors pertaining to each property. With respect to the junior mezzanine loan we refer to as CRE 3, as Bonnie Wongtrakool noted, in February of this year, we fully exited our ownership position in this loan, selling it to an unaffiliated third party for $8.8 million, which was equal to the fair value of the loan at both September 30 and December 31 year-end. Exiting this position frees up capital, reduces the complexity of our balance sheet, and will lead to an annualized reduction in management fees of approximately $1.2 million. Within the Non-Agency CMBS securities, our single asset, single borrower credit portfolio is valued at $75 million. Down from $78 million in the prior quarter. This portfolio consists mainly of Class A retail and hotel properties that cater to leisure travelers, we are continuing to see positive operating momentum at a number of these properties. This portion of our portfolio had an approximate 65% original loan to value, all but one of these loans, representing less than $1 million of the $75 million portfolio, remain current. These properties are generally high quality assets with strong equity sponsors that we believe that their collateral values have not been materially or permanently impaired. Our CMBS conduit exposure is valued at $10.5 million, consistent with the third quarter. Overall, in 2022, we made good progress towards monetizing our commercial portfolio by exiting and pay downs of over $68 million in assets. We remain focused on this goal and intend to use proceeds from additional exits to pay down our recourse debt levels and to opportunistically reinvest into new target assets that continue to offer attractive risk-adjusted returns. I'll now turn the call over to Bob Lehman, our CFO. Bob? Thank you, Greg. We've provided great detail regarding our portfolio in both our fourth quarter press release and in our earnings presentation. I'm gonna focus here only on items that warrant additional attention. We reported Distributable Earnings of $2 million, or $0.33 per share for the third quarter, down from the third quarter's level of $2.3 million or $0.37 per share. Decline in Distributable Earnings was primarily driven by a $346,000 decrease in adjusted net interest income and a $50,000 increase in core operating expenses. The lower adjusted net interest income was the result of a higher sequential interest expense due to higher borrowing costs on lower average borrowings. This was partially offset by higher total interest income, driven by a higher yield on total investments on a slightly lower average investment balance. We received $22.8 million from the sale and repayment of residential whole loans during the quarter, down from $41.3 million in the third quarter. This resulted in $677,000 of premium amortization, which was down from $945,000 in the third quarter. We remain focused on disciplined expense management while recognizing that we will continue to support the strategic review process and will likely incur some associated transactions expenses as a result. While our distributable earnings in the quarter fell short of our dividend of $0.40 per share, we will continue to evaluate the level of the dividend every quarter based on several factors, including our outlook for the long-term sustainable earnings power of the portfolio and our taxable income. GAAP book value for the quarter was $15.70 per share, a decrease of $0.52 or 3.2% from the third quarter. The decline was primarily driven by realized losses on a few investments that were sold during the quarter, as well as modest spread widening across some of our commercial holdings. Economic book value, which reflects the value of our retained interest in the consolidated securitization trust rather than the associated gross assets and liabilities, decreased by 10.5% for the quarter to $17.23 per share. The value of the retained interest we hold in the securitization trust increased at a lower rate than the value of the assets, impacting the economic value of our retained interest. With respect to leverage, our recourse leverage ratio at year-end was 2.9 x, down from 3.1 x in early October after the retirement of our 2022 Notes. With respect to liquidity, we ended the year with unrestricted cash of $18 million and approximately $27 million of unencumbered assets. During the quarter, we extended the maturity date of our residential whole loan facility to October 25, 2023, and our commercial whole loan facility to November 3rd, 2023. In summary, we remain focused on actions that will solidify our balance sheet and build our liquidity. With a significant portion of our assets now financed by attractive longer-term financing, we feel that we are well positioned to generate consistent Distributable Earnings with the objective of supporting our dividend in the quarters ahead. With that, operator, we're ready to take questions. We will now begin the question and answer session. To ask a question, you may press star then one on your touchtone phone. If you are using a speakerphone, please pick up your handset before pressing the keys. If at any time your question has been addressed and you would like to withdraw your question, please press star then two. At this time, we'll pause momentarily to assemble our roster. Our first question comes from Jason Stewart from Jones Trading. Jason, please go ahead. Great. Thank you, and thanks for taking Q&A on this call. I wanna start with the resi portfolio, and maybe you could update us on any delinquency transition rate trends you're seeing currently in the Alt-A or the prime side. Sure. This is Sean, and good talking to you, Jason. We, as Bonnie had mentioned in the prepared remarks, we've actually seen delinquencies decline over the last year. You know, we continue to see healing from, you know, the COVID stresses and 60+ delinquencies are now below 1%. And we don't see any, like, underlying trends that make us concerned that will turn on us. Just, you know, the LTV of this portfolio is extremely low. CMOs are high, and, you know, underwriting standards are pretty tight. We haven't been really concerned about those moving up. Okay. Gotcha. maybe just one more follow-up on that part. you know, what's your HPA assumption, you know, as you think about modeling those trends going forward? Hey, Jason, it's Greg. I'll take that. We're still assuming about another 5% decline from here. Peak, you know, home prices in June of last year, already down about 5%, you know, in the second half of last year and probably another 5% to go from here. You know, when stress testing it, we'll go out to 20, you know, 25%-30% stress test just to, you know, to see. We, we do think that, you know, pretty remarkable how quickly, you know, just the 1% decline in mortgage rates, you know, really brought housing demand back in, into the, into January. We saw, you know, housing activity pick back up and new home inventories, you know, are headed back down. You know, so the stress in the market seems to be, you know, pretty well contained, to the, I would say the home builders and maybe some of the, you know, short-term, you know, holders. Long-term holders of real estate, you know, the borrowers that we target, you know, have locked in very nice mortgage rates. If they're, you know, if anything, you know, we think they're, you know, gonna be much more likely to wanna keep that home, keep that mortgage. Gotcha. Okay. Then how should we think about the management fee, you know, as you've exited some of the assets? How should we think about that going forward from a modeling perspective? Sure. Jason, this is Bonnie. Thanks for the question. Yes, you may recall, of course, that Western did reduce its management fee by 25% last year. That was primarily to adjust for some of our non-performing assets, including CRE 3. Now that we've sold that position for $8.8 million, you know, our base management fees will be lower by $1.2 million on an annualized basis. Western Asset does remain, you know, fully supportive of WMC and has been since the WMC went public since 2012, and we continue to benefit from the global scale of Western Asset's platform. I would say both WMC and Western Asset recognize the challenges that WMC faces but are very focused on addressing those challenges, preserve value for shareholders. Yeah. You know, I know it's a challenging market, times have you know, certainly changed pretty quickly. As you think about that process in terms of, one, timing, is there sort of a timeframe that you could put on it? Two, what would just keep Western from not, you know, buying WMC? I totally appreciate the question. As we've noted, you know, we're still in the process of reviewing our alternatives, so we can't share anything further on that process at this point. We will definitely do that when the time is appropriate. Okay. Well, thanks again for taking Q&A. Appreciate it. Thanks, Jason. Let me remind you that if you are ready to ask a question, please press star then one. No further questions at this moment. We are going to conclude our question and answer session. I would like to turn the conference back over to management for any closing remarks. Go ahead. I'd like to thank all of you again for joining us today for the call. We do appreciate your interest in WMC and wish that you have a good day, and we look forward to keeping you updated on our progress in the months ahead. Thank you. The conference has now concluded. Thank you for attending today's presentation. You may now disconnect.