Cherry Hill Mortgage Investment Corp (CHMI) 2022 Q4 法說會逐字稿

Thank you for standing by, and welcome to the conference call, the Cherry Hill Mortgage Investment Corporation's Fourth Quarter '22 Earnings Call. (Operator Instructions) As a reminder, today's call is being recorded.

感謝您的支持，歡迎參加電話會議，Cherry Hill Mortgage Investment Corporation 的第四季度 22 財報電話會議。 （操作員說明）提醒一下，今天的通話正在錄音中。

I would now like to turn the conference to your host, Mr. Garrett Edson of ICR. Please go ahead.

我現在想把會議轉給你的東道主，ICR 的 Garrett Edson 先生。請繼續。

We'd like to thank you for joining us today for Cherry Hill Mortgage Investment Corporation's Fourth Quarter 2022 Conference Call. In addition to this call, we have filed a press release that was distributed earlier this afternoon and posted in the Investor Relations section of our website at www.chmireit.com.

感謝您今天加入我們，參加 Cherry Hill Mortgage Investment Corporation 的 2022 年第四季度電話會議。除了此次電話會議之外，我們還提交了一份新聞稿，該新聞稿於今天下午早些時候發布，並發佈在我們網站 www.chmireit.com 的投資者關係部分。

On today's call, management's prepared remarks and answers to your questions may contain forward-looking statements that are subject to risks and uncertainties that could cause actual results to differ from those discussed today. Examples of forward-looking statements include those related to interest income, financial guidance, IRRs, future expected cash flows as well as prepayment and recapture rates, delinquencies and non-GAAP financial measures, such as earnings available for distribution or EAD and comprehensive income. Forward-looking statements represent management's current estimates, and Cherry Hill assumes no obligation to update any forward-looking statements in the future.

在今天的電話會議上，管理層準備好的評論和對您問題的回答可能包含前瞻性陳述，這些陳述受到風險和不確定性的影響，可能導致實際結果與今天討論的結果不同。前瞻性陳述的示例包括與利息收入、財務指導、內部收益率、未來預期現金流量以及提前還款和回收率、拖欠和非公認會計準則財務指標（例如可分配收益或 EAD 和綜合收益）相關的那些。前瞻性陳述代表管理層當前的估計，Cherry Hill 不承擔在未來更新任何前瞻性陳述的義務。

We encourage listeners to review the more detailed discussions related to these forward-looking statements contained in the company's filings with the SEC and the definitions contained in the financial presentations available on the company's website.

我們鼓勵聽眾查看公司向美國證券交易委員會提交的文件中包含的與這些前瞻性陳述相關的更詳細討論，以及公司網站上提供的財務演示文稿中包含的定義。

Today's conference call is hosted by Jay Lown, President and CEO; Julian Evans, the Chief Investment Officer; and Michael Hutchby, the Chief Financial Officer. Now I will turn the call over to Jay.

今天的電話會議由總裁兼首席執行官 Jay Lown 主持；首席投資官朱利安·埃文斯 (Julian Evans)；和首席財務官 Michael Hutchby。現在我將把電話轉給傑伊。

Thanks, Garrett. Welcome to our Fourth Quarter 2022 Earnings Call.

謝謝，加勒特。歡迎來到我們的 2022 年第四季度財報電話會議。

Our efforts were effective in the fourth quarter to protect book value as investment markets remained in a challenging economic environment. High inflation and a well-supported U.S. employment market led the Fed to hike rates 125 basis points during the fourth quarter, and it appeared that the Fed was making headway with its efforts to lower inflation back to its target level. Volatility subsided during the quarter and spread sector assets recovered some of the losses experienced in the third quarter.

由於投資市場仍處於充滿挑戰的經濟環境中，我們在第四季度保護賬面價值的努力取得了成效。高通脹和良好支撐的美國就業市場導緻美聯儲在第四季度加息 125 個基點，美聯儲似乎正在努力將通脹降至目標水平。本季度波動性減弱，利差行業資產收復了第三季度的部分損失。

As many of our peers have noted, the mortgage basis improved throughout the quarter as well. The U.S. treasury yield curve, however, remained inverted and has shown no signs of steepening thus far this year, which has significantly impacted the earnings power of many companies in our sector. Given the most recent economic data, markets are bracing for a higher for longer scenario and the potential for a recession later this year.

正如我們的許多同行所指出的那樣，整個季度的抵押貸款基礎也有所改善。然而，美國國債收益率曲線仍然倒掛，今年迄今沒有出現變陡的跡象，這對我們行業中許多公司的盈利能力產生了重大影響。鑑於最新的經濟數據，市場正在為更長期的更高情景和今年晚些時候經濟衰退的可能性做好準備。

The combination of our efforts to refine our investment and hedging strategies has enabled us to be successful at stabilizing and protecting book value in recent quarters. Given the expectation of continued interest rate hikes and the evolving macro environment, we remain positioned for additional rate hikes. To that point, we continue to utilize TBAs to partially spread-widening risk as we await the Fed to convey when it expects to end its tightening cycle, at which point we could look to increase our risk profile.

我們努力完善我們的投資和對沖策略，使我們能夠在最近幾個季度成功地穩定和保護賬面價值。鑑於持續加息的預期和不斷變化的宏觀環境，我們仍然為進一步加息做好準備。到那時，我們繼續利用 TBA 來部分擴大風險，因為我們等待美聯儲傳達其預計何時結束其緊縮週期，屆時我們可以考慮增加我們的風險狀況。

For the fourth quarter, while we generated a GAAP net loss applicable to common stockholders of $1.59 per diluted share, we generated earnings available for distribution or EAD, a non-GAAP financial measure, of $5.3 million or $0.24 per share.

對於第四季度，雖然我們產生了適用於普通股股東的每股攤薄後 1.59 美元的 GAAP 淨虧損，但我們產生了可供分配的收益或 EAD，這是一種非 GAAP 財務指標，為 530 萬美元或每股 0.24 美元。

It bears repeating that EAD is only one of several factors considered in setting our dividend policy. Thus, while not aligned this quarter, our Board continues to monitor our earnings capabilities to ensure our dividend is at an appropriate level.

值得重申的是，EAD 只是我們在製定股息政策時考慮的幾個因素之一。因此，雖然本季度未保持一致，但我們的董事會繼續監控我們的盈利能力，以確保我們的股息處於適當水平。

Book value per common share finished at $6.06 as of December 31, up $0.01 from the prior quarter. We believe creating a more stable book value profile is in our shareholders' best interest and remains a top priority for us.

截至 12 月 31 日，每股普通股賬面價值為 6.06 美元，比上一季度增加 0.01 美元。我們相信創造更穩定的賬面價值符合我們股東的最佳利益，並且仍然是我們的首要任務。

When you consider that our preferred stock makes up a significant portion of our overall equity profile, we were pleased that, on an NAV basis and before taking into account any issuances of equity through our common stock ATM program, we posted a stable NAV relative to the third quarter. As such, during the second half of 2022, NAV was off approximately 5.1%, which we believe compares favorably to the performance of many others in our industry and speaks well to our ability to navigate a very challenging macro environment and the unprecedented speed of Fed rate hikes.

當您認為我們的優先股占我們整體股權概況的很大一部分時，我們很高興，在資產淨值的基礎上，在考慮通過我們的普通股 ATM 計劃發行的任何股權之前，我們公佈了相對於第三季度。因此，在 2022 年下半年，資產淨值下跌了約 5.1%，我們認為這與我們行業中許多其他公司的表現相比是有利的，並且很好地說明了我們有能力駕馭極具挑戰性的宏觀環境和美聯儲前所未有的速度加息。

During the fourth quarter, we acquired approximately $780 million in UPB Fannie and Freddie MSRs via flow and bulk purchases. Prepayment speeds on our MSR portfolio remain low, and thus, the pace of reinvestment to maintain the allocation of capital to the asset class has decelerated. Recapture rates on MSRs also slowed to the low single digits as expected given the higher interest rate levels. Our strategy of pairing MSRs with Agency RMBS, along with proactive portfolio management and hedging, has continued to benefit shareholders.

在第四季度，我們通過流動和批量購買獲得了大約 7.8 億美元的 UPB Fannie 和 Freddie MSR。我們的 MSR 投資組合的預付速度仍然很低，因此，為維持資產類別的資本配置而進行的再投資步伐已經放緩。考慮到較高的利率水平，MSR 的回收率也正如預期的那樣放緩至較低的個位數。我們將 MSR 與代理 RMBS 相結合的策略，以及積極的投資組合管理和對沖，繼續使股東受益。

At the end of the year, financial leverage improved modestly to 3.8x as we took a more targeted and disciplined approach in the fourth quarter with respect to deploying capital. Given the ongoing market volatility, we believe we remain prudently levered and expect to be opportunistic in deploying capital and increasing our leverage in 2023. We ended the year with $57 million in unrestricted cash on the balance sheet, maintaining a solid liquidity profile.

到年底，由於我們在第四季度在資本配置方面採取了更有針對性和更嚴格的方法，財務槓桿率小幅上升至 3.8 倍。鑑於持續的市場波動，我們認為我們仍然謹慎地使用槓桿，並預計將在 2023 年投機取巧地部署資本和提高槓桿率。到年底，我們的資產負債表上有 5700 萬美元的不受限制現金，保持了穩健的流動性狀況。

As we look forward in 2023, we expect to maintain our conservative and proactive approach to portfolio management. Where there are risk-adjusted opportunities to selectively deploy capital, we will take advantage. Additionally, we anticipate our hedge ratio will likely remain elevated given our expectations of ongoing Fed rate hikes to further combat stubborn inflation. Our priority remains to protect book value, and we will remain mindful of our liquidity and leverage profile given the environment.

展望 2023 年，我們預計將保持保守和積極主動的投資組合管理方法。如果存在風險調整機會以選擇性地配置資本，我們將加以利用。此外，鑑於我們預期美聯儲將持續加息以進一步對抗頑固的通貨膨脹，我們預計我們的對沖比率可能會保持高位。我們的首要任務仍然是保護賬面價值，我們將繼續關注我們在環境下的流動性和槓桿狀況。

With that, I will turn the call over to Julian who will cover more details regarding our investment portfolio and its performance over the fourth quarter.

有了這個，我將把電話轉給 Julian，他將介紹有關我們的投資組合及其第四季度業績的更多細節。

Thank you, Jay. Investment themes that were prominent in the third quarter rolled over into the fourth quarter. Heightened volatility, thinly liquid investment markets, widening spread sectors and a weakening equity markets were all influenced by a Fed determined to reduce inflation. All changed after the October-November CPI reports as the reported inflationary numbers suggested that inflation was moderating faster than expected.

謝謝你，傑伊。第三季度突出的投資主題延續到第四季度。波動加劇、投資市場流動性稀薄、利差擴大和股市疲軟都受到美聯儲決心降低通脹的影響。在 10 月至 11 月的 CPI 報告發布後，一切都發生了變化，因為報告的通脹數據表明通脹放緩的速度快於預期。

Post the inflationary numbers, spread sector and equity markets tightened and interest rate markets firmed as investor sentiment changed. The sentiment change was driven by a perception that the Fed might end up doing fewer Fed fund rate increases than were initially expected. With that said, most inflationary measures have moderated but remained elevated above the Fed's 2% target for the first 2 months of 2023. Stubbornly high inflation has led to renewed predictions of the Fed having to increase the Fed funds rate greater than what the market had initially perceived.

隨著投資者情緒的變化，通脹數據公佈後，利差行業和股票市場收緊，利率市場走強。這種情緒變化是由於人們認為美聯儲最終加息幅度可能低於最初預期。話雖如此，大多數通脹指標已經放緩，但在 2023 年前兩個月仍高於美聯儲 2% 的目標。頑固的高通脹導致人們重新預測美聯儲必須將聯邦基金利率上調至高於市場預期的水平初步察覺。

The market is currently expecting a terminal Fed's fund rate level between 5.25% and 5.75%. As a result, we continue to employ a thoughtful hedging strategy in the fourth quarter to protect our book value, and we believe those efforts have largely been working as intended. This investment strategy has carried over into the first quarter of 2023. At year-end, our MSR portfolio had a UPB of $21.7 billion and a market value of approximately $280 million. During the quarter, we purchased approximately $780 million UPB of new MSRs through our bulk and flow programs.

目前市場預期美聯儲基金利率最終水平在5.25%至5.75%之間。因此，我們在第四季度繼續採用深思熟慮的對沖策略來保護我們的賬面價值，我們相信這些努力在很大程度上取得了預期效果。這一投資策略一直延續到 2023 年第一季度。到年底，我們的 MSR 投資組合的 UPB 為 217 億美元，市值約為 2.8 億美元。在本季度，我們通過批量和流動計劃購買了大約 7.8 億美元的 UPB 新 MSR。

At year-end, the MSRs and related assets represented approximately 38% of our equity capital and approximately 30% of our investable assets, excluding cash. Meanwhile, our RMBS portfolio accounted for approximately 45% of our equity capital. As a percentage of investable assets, the RMBS portfolio represented approximately 70%, excluding cash at year-end.

截至年底，MSR 和相關資產約占我們股本的 38% 和我們可投資資產（不包括現金）的約 30%。同時，我們的 RMBS 投資組合約占我們股本的 45%。作為可投資資產的百分比，RMBS 投資組合約佔 70%，不包括年底的現金。

During the quarter, we continued to experience CPR improvements in both our MSR and RMBS portfolios. Our MSR portfolio's net CPR averaged approximately 5% for the fourth quarter, down from approximately 7% net CPR in the previous quarter. The decline was mainly driven by seasonality and the change in mortgage production coupons, which drove slower prepayment speeds in the quarter. The portfolio's recapture rate was lower at approximately 2% versus approximately 7% in the third quarter as expected, with mortgage rates rising as the incentive to refinance has lessened.

在本季度，我們的 MSR 和 RMBS 產品組合繼續經歷 CPR 改進。我們的 MSR 投資組合的淨 CPR 在第四季度平均約為 5%，低於上一季度約 7% 的淨 CPR。下降的主要原因是季節性因素和抵押貸款生產息票的變化，這導致本季度預付速度放緩。該投資組合的回收率低於預期，第三季度約為 7%，低於預期，隨著再融資動機的減弱，抵押貸款利率上升。

Moving forward, we continue to expect low recapture rates and stable or improved net CPRs for the foreseeable future given the current levels of interest and mortgage rates. The RMBS prepayment speeds remained low. The lower CPR was driven by a combination of new asset purchases as well as the fact that the current higher mortgage rate environment is compressing CPRs for the existing portfolio.

展望未來，鑑於當前的利率和抵押貸款利率水平，我們繼續預計在可預見的未來，回收率較低，淨 CPR 穩定或改善。 RMBS 預付速度仍然很低。較低的 CPR 是由新資產購買以及當前較高的抵押貸款利率環境正在壓縮現有投資組合的 CPR 共同推動的。

As of today, the majority of the mortgage universe remains out of the money in terms of refinancing. We would expect prepayments to remain at low levels as long as interest rates stay at these levels or move higher. For the quarter, the RMBS portfolio's weighted average 3-month CPR reduced to approximately 3.8% compared to approximately 4.7% in the third quarter.

截至今天，就再融資而言，大部分抵押貸款領域仍處於虧損狀態。只要利率保持在這些水平或走高，我們預計預付款將保持在較低水平。本季度，RMBS 投資組合的加權平均 3 個月 CPR 從第三季度的約 4.7% 降至約 3.8%。

As of December 31, the RMBS portfolio inclusive of TBAs stood at approximately $646 million compared to $759 million at the previous quarter end. Quarter-over-quarter, the spec pool portion of the portfolio continued to grow as we opportunistically took advantage of higher interest rate levels and lower price premiums by putting new cash to work as well as converting a few dollar rolls into pools as dollar rolls weakened further.

截至 12 月 31 日，包括 TBA 在內的 RMBS 投資組合約為 6.46 億美元，而上一季度末為 7.59 億美元。與上一季度相比，投資組合的投機池部分繼續增長，因為我們通過投入新現金並在美元投機走弱時將少量美元投機轉入投機池中，從而機會性地利用更高的利率水平和更低的價格溢價更遠。

The RMBS portfolio number is lower as we further utilize TBA securities to hedge a portion of the portfolio. We also continue to proactively change the portfolio's composition moving into higher coupons and reducing spread duration for the portfolio. At the end of the fourth quarter, the 30-year securities position represented the entire RMBS portfolio, up from 96% at the end of the third quarter.

RMBS 投資組合數量較低，因為我們進一步利用 TBA 證券對沖部分投資組合。我們還繼續主動改變投資組合的構成，轉向更高的息票並縮短投資組合的利差期限。截至第四季度末，30 年期證券頭寸佔整個 RMBS 投資組合，高於第三季度末的 96%。

For the fourth quarter, we saw an increase in our RMBS net interest spread to 3.77% as compared to 3.49% net interest spread reported for the third quarter. The improved NIM was driven by previously mentioned factors. One, we took advantage of wider mortgage spreads and higher yield levels by putting new money to work throughout the quarter. Two, we rotated our portfolio, swapping out of low-yielding assets and purchasing higher coupon mortgages with better yields. Overall expenses were greater but were more than offset by increased income, which was driven by the previously mentioned reasons. At year-end, the portfolio's financial leverage stood at approximately 3.8x at the aggregate portfolio and the portfolio was managed with a negative duration gap. Looking forward, we remain mindful of the current environment as we expect the investment markets to remain choppy until there is a clear sense that the Fed is reaching its terminal rate.

第四季度，我們的 RMBS 淨利差增加至 3.77%，而第三季度報告的淨利差為 3.49%。改進的 NIM 是由前面提到的因素驅動的。第一，我們通過在整個季度投入新資金來利用更大的抵押貸款利差和更高的收益率水平。第二，我們調整了我們的投資組合，換出低收益資產併購買收益更高的高息抵押貸款。總體支出較高，但被上述原因驅動的收入增加所抵消。年底時，投資組合的財務槓桿約為總投資組合的 3.8 倍，並且投資組合的久期缺口為負。展望未來，我們仍然關注當前的環境，因為我們預計投資市場將保持震盪，直到人們清楚地感覺到美聯儲正在達到其最終利率。

I will now turn the call over to Mike for our fourth quarter financial discussion.

我現在將電話轉給邁克進行我們第四季度的財務討論。

Thank you, Julian. Our GAAP net loss applicable to common stockholders for the fourth quarter was $34.5 million or $1.59 per weighted average diluted share outstanding during the quarter, while comprehensive income attributable to common stockholders, which includes the mark-to-market of our held-for-sale RMBS, was $6.2 million or $0.29 per weighted average diluted share. Our earnings available for distribution attributable to common stockholders were $5.3 million or $0.24 per share. Our book value per common share as of December 31, 2022, was $6.06 compared to a book value of $6.05 as of September 30, 2022.

謝謝你，朱利安。我們第四季度適用於普通股股東的 GAAP 淨虧損為 3450 萬美元，即本季度已發行在外加權平均稀釋股 1.59 美元，而歸屬於普通股股東的綜合收益，包括我們持有待售的按市值計價的收益RMBS 為 620 萬美元或每股加權平均攤薄股份 0.29 美元。我們可分配給普通股股東的收益為 530 萬美元或每股 0.24 美元。截至 2022 年 12 月 31 日，我們的每股普通股賬面價值為 6.06 美元，而截至 2022 年 9 月 30 日的賬面價值為 6.05 美元。

We use a variety of derivative instruments to mitigate the effects of increases in interest rates on a portion of our future repurchase borrowings. At the end of the fourth quarter, we held interest rate swaps, TBAs, treasury futures and options on treasury futures, all of which had a combined notional amount of $930 million. You can see more details with respect to our hedging strategy in our 10-K as well as in our fourth quarter presentation.

我們使用各種衍生工具來減輕利率上升對我們未來回購借款的一部分的影響。第四季度末，我們持有利率互換、TBA、國債期貨和國債期貨期權，所有這些的名義金額合計為 9.3 億美元。您可以在我們的 10-K 以及我們的第四季度演示中看到有關我們對沖策略的更多詳細信息。

For GAAP purposes, we have not elected to apply hedge accounting for our interest rate derivatives, and as a result, we record the change in estimated fair value as a component of the net gain or loss on interest rate derivatives. Operating expenses were $3.2 million for the quarter.

出於 GAAP 的目的，我們沒有選擇對我們的利率衍生品應用對沖會計，因此，我們將估計公允價值的變化記錄為利率衍生品淨損益的一個組成部分。本季度的運營費用為 320 萬美元。

On December 15, 2022, the Board of Directors declared a dividend of $0.27 per common share for the fourth quarter of 2022, which was paid in cash on January 31, 2023. We also declared a dividend of $0.5125 per share on our 8.2% Series A cumulative redeemable preferred stock and a dividend of $0.515625 on our 8.25% Series B fixed to floating rate cumulative redeemable preferred stock, both of which were paid on January 17, 2023.

2022 年 12 月 15 日，董事會宣布 2022 年第四季度每股普通股股息為 0.27 美元，該股息於 2023 年 1 月 31 日以現金支付。我們還宣布我們的 8.2% 系列股息為每股 0.5125 美元我們的 8.25% B 系列固定利率至浮動利率累積可贖回優先股的累積可贖回優先股和股息 0.515625 美元，均於 2023 年 1 月 17 日支付。

At this time, we will open up the call for questions. Operator?

這個時候，我們會開放提問的電話。操作員？

(Operator Instructions) Our first question comes from the line of Mikhail Goberman of JMP Securities.

（操作員說明）我們的第一個問題來自 JMP 證券公司的 Mikhail Goberman。

Could you perhaps expand a little bit further on the comment about the viability of the dividend versus what sort of a sustainable level of core earnings you might see going forward given the -- especially given Powell's comments today about where rates are headed. And also, I don't know if I heard you guys correctly, but did you say that book value was down 5% thus far this quarter?

考慮到 - 特別是考慮到鮑威爾今天關於利率走向的評論，你能否進一步擴展關於股息可行性的評論與你可能會看到的核心收益的可持續水平。而且，我不知道我是否聽錯了你們，但是你們是說本季度到目前為止賬面價值下降了 5% 嗎？

Mikhail, the answer to the second question is, no, we didn't say that at all. Book value at the end of February prior to the dividend is flat. That's right.

米哈伊爾，第二個問題的答案是，不，我們根本沒有這麼說。分紅前 2 月底的賬面價值持平。這是正確的。

Okay. Apologies for that.

好的。對此表示歉意。

No worries. With respect to the dividend, look, I think you've heard from us before and you'll continue to hear that we consider EAD as a measure. And I think we alluded to that in the script, but we look at total return. We obviously think about where rates may go and how sustainable the dividend is over time.

不用擔心。關於股息，看，我想你以前聽過我們的消息，你會繼續聽到我們將 EAD 視為一種衡量標準。我認為我們在劇本中提到了這一點，但我們看的是總回報。我們顯然會考慮利率可能走向何方，以及股息隨著時間的推移有多可持續。

And broadly speaking, the Board meets every quarter and will continue to evaluate the strength of the dividend relative to earnings power and the requirements of the market relative to our space. And we expect to provide more information on that later this week.

從廣義上講，董事會每個季度都會開會，並將繼續評估相對於盈利能力的股息強度以及相對於我們空間的市場要求。我們希望在本週晚些時候提供更多相關信息。

All right. And just going forward, how do you guys think about the trade-off between building the portfolio towards Agency RMBS and MSRs if interest rates do keep sort of breaking through the 5.25% to 5.75% expected rate? If we start going into a 6 handle, how do you start thinking about your portfolio then?

好的。展望未來，如果利率確實繼續突破 5.25% 至 5.75% 的預期利率，你們如何看待建立針對機構 RMBS 和 MSR 的投資組合之間的權衡？如果我們開始進入 6 句柄，那麼您如何開始考慮您的投資組合？

Mikhail, look, I think the early read is that we have preferred our Agency RMBS at these particular levels, which we would say is kind of in the mid-teens that we kind of see the returns. We have also -- aiding, I think, some of the performance, we have a large -- rather large swap portfolio which has kind of moved -- kind of coincided with repo rates rising almost on a 1:1 basis for us. So that has offset some of the rising repo costs that we've seen, so as the Fed is moving higher, that portfolio has kind of benefited us.

米哈伊爾，看，我認為早期的閱讀是我們在這些特定級別更喜歡我們的機構 RMBS，我們會說我們在十幾歲左右看到了回報。我們也 - 我認為，幫助一些表現，我們有一個很大 - 相當大的掉期投資組合，它已經移動 - 與回購利率幾乎以 1：1 的比例上漲相吻合。因此，這抵消了我們所看到的部分回購成本上升，因此隨著美聯儲走高，該投資組合使我們受益。

In terms of MSR and the kind of the returns that we're seeing right now in terms of the portfolio, I would say kind of low to mid-teens is kind of what we're seeing for those type of returns. But in general, we're evaluating that constantly over time. But I would say, just from a spread widening perspective, Agency RMBS looks rather attractive.

就 MSR 和我們現在在投資組合方面看到的回報類型而言，我想說的是我們看到的那種回報類型是低至中等。但總的來說，我們會隨著時間的推移不斷評估這一點。但我想說，僅從點差擴大的角度來看，機構 RMBS 看起來相當有吸引力。

Our next question comes from the line of Mr. Howlett of B. Riley, Matthew Howlett.

我們的下一個問題來自 B. Riley 的 Howlett 先生，Matthew Howlett。

I would love to hear from the team, how do you characterize the risk profile of the company, I mean, today? I mean, clearly, the leverage is low from historical basis. It went down in the fourth quarter.

我很想听聽團隊的意見，你如何描述公司的風險狀況，我的意思是，今天？我的意思是，很明顯，從歷史的角度來看，槓桿率很低。它在第四季度下降了。

I look at your sensitivities and in terms of interest rates, it's nothing one way or the other. The book doesn't change all that much. You're obviously overhedged. What -- how do you characterize it? And without asking the obvious question, what's it going to take to begin taking -- increasing leverage, taking advantage of these underpriced market, these cheap MBS values, and so forth.

我看看你的敏感性，就利率而言，這不是一種方式。這本書並沒有太大的改變。你顯然多慮了。什麼——你如何描述它？不用問明顯的問題，開始採取什麼措施——增加槓桿，利用這些定價過低的市場、這些廉價的 MBS 價值等等。

I'd just love to hear you put that in the context in terms of where the company is versus historically where it's operated.

我只是想听聽你把它放在公司所處位置與歷史運營位置的背景下。

It's Julian again. Look, I think we sit here and say, look, the market looks very attractive, but I think you need better clarity from the Fed. Clearly, Paul had statements too today. And in the statements, he's kind of alluded to interest rates and the Fed funds rate moving kind of higher. The market is kind of projecting it, at this point in time, to be 5.25%, somewhere between 5.25%, 5.75%.

又是朱利安。看，我想我們坐在這裡說，看，市場看起來非常有吸引力，但我認為你需要美聯儲提供更清晰的信息。顯然，保羅今天也有陳述。在聲明中，他有點暗示利率和聯邦基金利率會走高。市場在某種程度上預測它在這個時間點為 5.25%，介於 5.25% 和 5.75% 之間。

I would say if we just take a month ago outside of the more improved data that we got from January, the market was probably expecting the Fed to stop somewhere between 5% and 5.25% at that point in time. I think if we get greater clarity from the Fed in terms of the directionality or how high they want to take rates, I think that becomes your opportunity time to kind of take -- probably increase leverage and take more advantage of the market.

我想說的是，如果我們就在一個月前從 1 月份獲得更多改善的數據之外，市場可能預計美聯儲將在那個時間點停止在 5% 到 5.25% 之間的某個位置。我認為，如果我們從美聯儲的方向性或他們希望將利率提高到多高方面得到更明確的說明，我認為這將成為你採取行動的機會——可能會增加槓桿率並更多地利用市場。

And then in terms of the, what they do with the balance sheet, how much -- any sort of thoughts regarding their MBS holdings? And what are your thoughts there?

然後就他們對資產負債表的處理方式而言，有多少 - 關於他們持有的 MBS 的任何想法？你有什麼想法？

I think the initial reception is that basically that the Fed would not sell MBS. They've had multiple opportunities to kind of sell MBS throughout this time period that they've been actually raising the Fed funds rate. I think that's their most effective tool at least from their perception is that they'd like to continue to raise the Fed funds rate to levels they perceive that will kind of slow down the economy and retain the balance sheet.

我認為最初的反應基本上是美聯儲不會出售 MBS。在這段時間裡，他們實際上一直在提高聯邦基金利率，他們有過多次出售 MBS 的機會。我認為這是他們最有效的工具，至少從他們的看法來看，他們希望繼續將聯邦基金利率提高到他們認為會減緩經濟增長並保持資產負債表的水平。

I can't allude to that at some point, if continuing to raise the Fed funds rate proves to be ineffective that they might try to do something on the balance sheet. It's a possibility, but it wouldn't be, in my mind, a high percentage of that's what they would like to do.

我不能在某些時候提及這一點，如果繼續提高聯邦基金利率被證明是無效的，他們可能會嘗試在資產負債表上做些什麼。這是一種可能性，但在我看來，這並不是他們想要做的事情的很大一部分。

Got you. It makes a lot of sense. And then, look, moving to servicing, and it's been a great asset and a great strategy for you. How do you -- I mean, when you look at it, where MSR values are today, and obviously rates, you have a low coupon and underlying coupon in the servicing.

明白了這很有道理。然後，看，轉向服務，這對你來說是一筆巨大的財富和一個偉大的戰略。你好嗎 - 我的意思是，當你看它時，今天的 MSR 值，顯然是利率，你在服務中有一個低息票和基礎息票。

Would you look -- if there's a scenario where some are forecasting the Fed to cut at some point, maybe later next -- later this year or early next year, would you look to reallocate more MBS, the servicing sort of run its course? Or do you feel like that profile with your recapture is still going to be a core asset going forward or if the interest rate cycle does change. I'm just curious how you look at servicing this year.

你會不會看——如果有人預測美聯儲會在某個時候降息，也許是明年晚些時候——今年晚些時候或明年初，你會考慮重新分配更多的 MBS，這種服務會順其自然嗎？或者您是否覺得您收回的個人資料仍將成為未來的核心資產，或者如果利率週期確實發生變化。我只是好奇你如何看待今年的服務。

Yes, sure, Matt. So the portfolio has a note rate of, let's just call it 3.5%. And the current interest rate on mortgages is let's just round at 6.5%. So from the perspective of that portfolio, the way we look at that portfolio is there's a lot of runway in terms of having pretty strong cash flows before that portfolio is in danger of refinancing outside of normal life events. And so we really feel good about the strength of the cash flows in that portfolio despite the rates at this point given the duration and the convexity of that portfolio, which is almost nonexistent at this point.

是的，當然，馬特。因此，該投資組合的票據利率為 3.5%。目前的抵押貸款利率大約為 6.5%。因此，從該投資組合的角度來看，我們看待該投資組合的方式是，在該投資組合面臨正常生活事件之外的再融資危險之前，在擁有相當強勁的現金流方面有很多跑道。因此，儘管考慮到該投資組合的久期和凸性，目前的利率在這一點上幾乎不存在，但我們對該投資組合中現金流量的實力感到非常滿意。

We think there's a lot of room to run on that portfolio should the Fed cut rates at some point in time before we have to even start thinking about recapture and things around the degradation of that portfolio. So we feel really good about the profile of that portfolio today because the reality is speeds are your enemy. You can hedge a lot of things rate-wise, but speeds are your worst enemy. And from our vantage point, given the kind of characteristics that are inherent in the portfolio today, we think that asset is going to continue to perform pretty strong.

我們認為，如果美聯儲在某個時間點降息，甚至在我們不得不開始考慮收回和圍繞該投資組合退化的事情之前，我們認為該投資組合有很大的運行空間。所以我們今天對該投資組合的概況感覺非常好，因為現實是速度是你的敵人。您可以在利率方面對沖很多事情，但速度是您最大的敵人。從我們的角度來看，鑑於當今投資組合的內在特徵，我們認為該資產將繼續表現強勁。

Yes, look, I mean, the speeds, I mean, what were they under [5]? I've never seen them this low in my lifetime, in my career. I don't know if you've seen -- I don't know how much lower they can go, but I mean it's been just incredible to see the speeds fall where they are in it.

是的，看，我的意思是，速度，我的意思是，它們低於 [5] 是多少？在我的職業生涯中，我從未見過他們如此低落。我不知道你是否已經看到——我不知道它們可以降低多少，但我的意思是看到速度下降到它們所在的位置真是令人難以置信。

And I ask that, I know your prepayment protected on the MBS side. I was just curious on the servicing. It makes a lot of sense with the strong cash flows, I mean, would -- on that scenario, are you seeing -- I mean would you be more active in the bulk market with some of these small originators that are selling or buying in the business? Just I mean it seems like I missed -- the value has cheapened up a little bit earlier this year. Would you look to grow that portfolio, Jay, given what looks like to be a lot of sellers out there, even some big sellers.

我問，我知道你的預付款在 MBS 方面受到保護。我只是對服務很好奇。強勁的現金流很有意義，我的意思是，在那種情況下，你看到了嗎？這生意？我的意思是，我好像錯過了——今年早些時候價格已經便宜了一點。傑伊，考慮到看起來有很多賣家，甚至是一些大賣家，你會希望增加這個投資組合嗎？

So we look at portfolios every day. And for the smaller originators, it's our expectation that there is a concession in price, which is favorable to us in terms of yield. And so we absolutely look and see -- look at and see a lot of those portfolios on a regular basis. If you're asking me if we're seeing a lot of small guys sell, I wouldn't say we're seeing a lot of small guys sell. We're seeing a decent steady flow of volume away from what I would call [the wells] dynamic going on today. But there is an opportunity to acquire the asset at levels that I would say were -- that are slightly lower than the craziness in the fourth quarter.

所以我們每天都會查看投資組合。對於較小的發起者，我們期望價格有所讓步，這在收益率方面對我們有利。因此，我們絕對會看到並看到 - 定期查看並看到很多這些投資組合。如果你問我是否看到很多小公司出售，我不會說我們看到很多小公司出售。我們看到了一個體面的穩定流量，遠離我今天所說的 [the wells] 動態。但有機會以我認為的水平收購資產——略低於第四季度的瘋狂水平。

Yes. Right. Exactly. That's -- afterwards, well, that might be an opportunity for you guys. Well, look, I'll just say that the performance has been terrific. I mean the yield curve is inverted, and you guys are generating this positive economic return that looks just terrific. And really congratulations on really some great results and hopefully a very strong '23.

是的。正確的。確切地。那是 - 之後，好吧，這對你們來說可能是一個機會。好吧，看，我只想說表演非常棒。我的意思是收益率曲線倒掛了，你們正在產生這種看起來非常棒的積極經濟回報。真的祝賀你取得了一些很棒的成績，希望 23 年能有一個非常強大的成績。

Thanks, Matt.

謝謝，馬特。

Thank you. I'm showing no questions at this time. I'd like to turn the call back over to management for any closing remarks.

謝謝。我現在沒有問題。我想將電話轉回給管理層，聽取任何結束語。

Thank you, operator. Thank you, everybody, for joining us on our fourth quarter 2022 earnings call. We look forward to updating you on our first quarter results sometime in May. Have a good evening.

謝謝你，運營商。感謝大家參加我們 2022 年第四季度的財報電話會議。我們期待在 5 月的某個時候向您更新我們第一季度的業績。晚上好。

Thank you. Ladies and gentlemen, this does conclude today's conference. Thank you all for participating. You may now disconnect. Have a great day.

謝謝。女士們，先生們，今天的會議到此結束。謝謝大家的參與。您現在可以斷開連接。祝你有美好的一天。