Cherry Hill Mortgage Investment Corp (CHMI) 2024 Q2 法說會逐字稿

Good day, and welcome to the Cherry Hill Mortgage Investment Corporation's second-quarter 2024 Conference Call. (Operator Instructions) As a reminder, this call may be recorded.

美好的一天，歡迎參加 Cherry Hill 抵押投資公司 2024 年第二季電話會議。（操作員說明）謹此提醒，此通話可能會被錄音。

I would now like to turn the call over to Garrett Edson with Investor Relations. Please go ahead.

我現在想將電話轉給投資者關係部門的加勒特·埃德森 (Garrett Edson)。請繼續。

We would like to thank you for joining us today for Cherry Hill Mortgage Investment Corporation's second quarter 2024 conference call. In addition to this call, we have issued a press release that was distributed earlier this afternoon and posted that press release and a second quarter 2024 Investor Presentation to the Investor Relations section of our website at www.chmireit.com.

我們感謝您今天參加 Cherry Hill Mortgage Investment Corporation 的 2024 年第二季電話會議。除了本次電話會議之外，我們還發布了一份新聞稿，該新聞稿於今天下午早些時候分發，並將該新聞稿和2024 年第二季度投資者介紹發佈到我們網站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 our ability to complete the planned internalization of our management 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.

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有所不同。前瞻性陳述的例子包括與我們完成管理利息收入的計劃內部化的能力、財務指導、內部收益率、未來預期現金流量以及預付款和收回率、拖欠和非公認會計原則財務指標（如收益）相關的陳述可用於分配或 EAD 和綜合收入。

Forward-looking statements represent management's current estimates, and Cherry Hill assumes no obligation to update any forward-looking statements in the future. 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.

前瞻性陳述代表管理層目前的估計，Cherry Hill 不承擔未來更新任何前瞻性聲明的義務。我們鼓勵聽眾查看與該公司向美國證券交易委員會提交的文件中包含的這些前瞻性陳述以及該公司網站上的財務演示文稿中包含的定義相關的更詳細的討論。

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

今天的電話會議由總裁兼執行長 Jay Lown 主持；朱利安埃文斯，首席投資長；和財務長邁克爾·哈奇比(Michael Hutchby)。

Now I will turn the call over to Jay.

現在我將把電話轉給傑伊。

Thanks, Garrett, and welcome to our second quarter 2024 earnings call. The second quarter was very much a tale of two halves. As we entered April, markets continue to react to the Fed, which maintained hawkish language with respect to rates as inflation hovered slightly below 3%. As the quarter progressed, the Fed became considerably more dovish given the uptick in unemployment and softer economic data. The weaker data has ultimately led to expectations to the Federal Ease monetary policy starting in September.

謝謝 Garrett，歡迎參加我們的 2024 年第二季財報電話會議。第二節基本上是一個分成兩個半場的故事。進入 4 月份，市場繼續對聯準會做出反應，聯準會在利率方面保持鷹派語言，通膨徘徊在略低於 3% 的水平。隨著本季的進展，鑑於失業率上升和經濟數據疲軟，Fed變得更加鴿派。疲軟的數據最終引發了人們對聯準會將於 9 月開始實施寬鬆貨幣政策的預期。

We expect volatility will persist in the near-term, in part due to current geopolitical unrest, the upcoming US Presidential election and central banks globally having begun to cut interest rates. This was evident in the past week's market activity across equities and bonds. Wider spreads ultimately impacted our portfolio's performance in the quarter, albeit mitigated by our hedging strategy of utilizing TBAs in addition to interest rate derivatives.

我們預計短期內波動將持續存在，部分原因是當前的地緣政治動盪、即將舉行的美國總統選舉以及全球央行開始降息。這在過去一周的股票和債券市場活動中顯而易見。利差擴大最終影響了我們投資組合在本季的表現，儘管我們利用 TBA 和利率衍生性商品的對沖策略緩解了這種影響。

Looking forward, we are optimistic about what we and the market are seeing in terms of the economy's resilience thus far. We are mindful of the economy cooling off. With a high degree of likelihood around rate cuts, the yield curve is steepening, and we are continuing to align our portfolio to take advantage as the curve steepens. We continue to watch economic indicators and the Fed closely and believe our overall strategy of pairing MSR with Agency RMBS works well in the current environment.

展望未來，我們對我們和市場迄今為止所看到的經濟彈性感到樂觀。我們注意到經濟正在降溫。由於降息的可能性很大，殖利率曲線正在變得陡峭，我們將繼續調整我們的投資組合，以便在曲線陡峭時利用這一優勢。我們繼續密切關注經濟指標和聯準會，並相信我們將 MSR 與機構 RMBS 結合的整體策略在當前環境下效果良好。

Post quarter end, we announced at our Special Committee, which is comprised solely of independent and disinterested directors determined and recommended to the Board to internalize management of Cherry Hill, and that Cherry Hill's officers take all steps necessary to begin operating Cherry Hill as a fully integrated internally managed mortgage REIT. Once completed, internalization should reduce our expenses, enhance earnings and better align management in the investment community.

季度末後，我們在我們的特別委員會上宣布，該委員會僅由獨立且無利害關係的董事組成，並向董事會推薦，以實現Cherry Hill 的管理內部化，並且Cherry Hill 的管理人員將採取一切必要措施，開始將Cherry Hill 作為一家全面運營的公司。一旦完成，內部化應該會減少我們的開支，提高收益，並更好地協調投資界的管理。

Subsequent to our announcement, we've been working to complete the internalization so that we can transition to self-management. As we noted on our last earnings call, we will not discuss any information or developments relating to the Special Committee or as processed until the evaluation of strategic alternatives has been completed or the Special Committee determines their disclosure is appropriate or legally required. Their focus remains on doing what is in the best interest of the company and its shareholders.

在我們宣布這一消息之後，我們一直在努力完成內部化，以便我們能夠過渡到自我管理。正如我們在上次財報電話會議上指出的那樣，在戰略替代方案的評估完成或特別委員會確定其披露是適當的或法律要求之前，我們不會討論與特別委員會相關或已處理的任何信息或進展。他們的重點仍然是做符合公司及其股東最大利益的事情。

For the second quarter, we generated GAAP net loss applicable to common stockholders of $0.06 per diluted share, and we generated earnings available for distribution or EAD, a non-GAAP financial measure of $2.3 million or $0.08 per share. EAD for the quarter was impacted by $0.06 per share of expenses related to the Special Committee's efforts.

第二季度，我們產生的適用於普通股股東的 GAAP 淨虧損為稀釋後每股 0.06 美元，可用於分配或 EAD 的收益（非 GAAP 財務指標）為 230 萬美元或每股 0.08 美元。本季的 EAD 受到與特別委員會工作相關的每股 0.06 美元的影響。

A reminder, that EAD is just one factor that the Board of Directors considers in setting our dividend policy, as we've previously noted, and is not the primary factor. Also considered is the existing market environment, portfolio return potential, our level of taxable income, including hedging impacts and the degree of certainty regarding forward investment return economics. Thus, while EAD may continue to remain under our dividend level in the near-term, we believe other factors are important when considering whether we can sustainably cover our dividend.

提醒一下，正如我們之前指出的，EAD 只是董事會在製定股息政策時考慮的因素之一，而不是主要因素。也考慮了現有的市場環境、投資組合回報潛力、我們的應稅收入水平，包括對沖影響以及遠期投資回報經濟學的確定性程度。因此，雖然 EAD 短期內可能繼續保持在我們的股息水平以下，但我們認為，在考慮我們是否能夠可持續支付股息時，其他因素也很重要。

During the quarter, we strategically sold over $1 billion of UPB and low loan balance MSRs. We believe the sale will improve our portfolio's efficiency and reduced servicing costs for our remaining MSR portfolio. Book value per common share finished the quarter at $4.15 compared to $4.49 on March 31. The reduction was driven in part by Special Committee expenses and higher dividend payments on our Class B preferred.

本季度，我們策略性地出售了超過 10 億美元的 UPB 和低貸款餘額 MSR。我們相信此次出售將提高我們產品組合的效率並降低我們剩餘 MSR 產品組合的服務成本。本季末每股普通股帳面價值為 4.15 美元，而 3 月 31 日為 4.49 美元。這項減少的部分原因是特別委員會費用和我們的 B 級優先股股息支付增加。

We continue to opportunistically repurchase Class B preferred shares to further stabilize our equity profile. On an NAV basis, which includes preferred stock in the calculation, NAV was off approximately $12.4 million or 5% relative to March 31.

我們繼續擇機回購 B 類優先股，以進一步穩定我們的股權狀況。以資產淨值（NAV）為基礎（計算中包括優先股），資產淨值較 3 月 31 日減少約 1,240 萬美元，即 5%。

This is inclusive of repurchasing approximately $2.2 million of Class B preferred shares and approximately $1.7 million of Special Committee-related expenses. Financial leverage at the end of the quarter rose to 4.9 times as we continue to stay prudently levered, given the volatility in the market. We ended the quarter with $52 million of unrestricted cash on the balance sheet, maintaining a solid liquidity profile.

這包括回購約 220 萬美元的 B 類優先股和約 170 萬美元的特別委員會相關費用。鑑於市場波動，我們繼續保持審慎的槓桿水平，季末財務槓桿升至4.9倍。本季結束時，我們的資產負債表上有 5,200 萬美元的不受限制的現金，保持了穩健的流動性狀況。

As we've previously discussed, while our financial leverage has stayed relatively low, our capital structure leverage, consisting of our mix of common preferred equity, amplifies how changes in our NAV or total equity impacts our common book value per share. Thus, we've been repurchasing Series B preferred shares to stabilize our equity profile, particularly since the Series B preferred shares are now floating rate.

正如我們之前討論的，雖然我們的財務槓桿保持相對較低，但我們的資本結構槓桿（包括普通優先股組合）放大了我們的資產淨值或總股本的變化對我們每股普通賬面價值的影響。因此，我們一直在回購 B 系列優先股以穩定我們的股權狀況，特別是因為 B 系列優先股現在採用浮動利率。

As of August 7, we have repurchased approximately 9.4 million of Series B preferred shares, and we expect to continue repurchasing preferred shares moving ahead, while remaining mindful of our balance sheet strength in our investment portfolio. Looking ahead, we are closely monitoring the macro environment as we look to position our portfolio appropriately should the Fed begin to lower rates.

截至 8 月 7 日，我們已回購約 940 萬股 B 系列優先股，我們預計將繼續回購優先股，同時繼續關注我們投資組合中的資產負債表實力。展望未來，我們正在密切關注宏觀環境，因為我們希望在聯準會開始降息時適當配置我們的投資組合。

In the near-term, we will expect to deploy capital into Agency RMBS, which still presents a strong risk adjusted return profile and reduce the portion of preferred equity in our capital structure to provide greater stability of our equity profile for the ultimate benefit of common shareholders while maintaining our strong liquidity and leverage.

短期內，我們預計將資本部署到機構RMBS，該機構仍具有強大的風險調整回報率，並減少我們資本結構中優先股的比例，從而為我們的股權狀況提供更大的穩定性，從而實現共同的最終利益股東，同時保持強大的流動性和槓桿作用。

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

接下來，我將把電話轉給朱利安，他將介紹有關我們的投資組合及其第二季業績的更多詳細資訊。

Thank you, Jay. As Jay noted, the Fed started the quarter concerned that inflation was too high. As the quarter progressed, inflation reduced to levels that were in line with their expectations. The Fed voice turn dovish as economic data did not meet market expectations. Given recent market data and Fed rhetoric, we expect the Fed to reduce rates at the September meeting. The magnitude of the eases is yet to be determined.

謝謝你，傑伊。正如傑伊指出的那樣，聯準會在本季開始擔心通膨過高。隨著本季的進展，通貨膨脹率降至符合他們預期的水平。由於經濟數據未達市場預期，聯準會聲音轉為鴿派。鑑於最近的市場數據和聯準會的言論，我們預計聯準會將在 9 月會議上降息。緩解措施的幅度尚未確定。

While wider spreads, Special Committee expenses and preferred share repurchases impacted our book value in the second quarter with more certainty potentially coming into the market surrounding rates, we may finally, begin to see the macro environment normalize and potentially the end of the inverted yield curve. We will continue to monitor the Fed closely in case there is any shift from the current sentiment. At quarter end, our MSR portfolio had a UPB of $18 billion and a market value of approximately $234 million.

雖然利差擴大、特別委員會費用和優先股回購影響了我們第二季的帳面價值，而且利率市場可能出現更多確定性，但我們最終可能會開始看到宏觀環境正常化，並有可能結束殖利率曲線倒掛。我們將繼續密切關注聯準會，以防當前情緒出現任何變化。截至季末，我們的 MSR 投資組合的 UPB 為 180 億美元，市值約為 2.34 億美元。

As Jay mentioned, we sold over $1 billion of UPB during the quarter to make our MSR portfolio more efficient and reduce servicing costs. The MSR and related net assets represented approximately 42% of our equity capital and approximately 26% of our investable assets, excluding cash at quarter end. Meanwhile, our RMBS portfolio accounted for approximately 40% of our equity capital.

正如 Jay 所提到的，我們在本季度出售了超過 10 億美元的 UPB，以使我們的 MSR 產品組合更有效率並降低服務成本。MSR 及相關淨資產約占我們股本的 42%，約占我們可投資資產的 26%（不含季末的現金）。同時，我們的RMBS投資組合約占我們股本的40%。

As a percentage of investable assets, the RMBS portfolio represented approximately 74%, excluding cash at quarter end. Prepayment speeds for our MSR and RMBS portfolios continue to remain relatively steady compared to the prior quarter, given the elevated mortgage rate environment.

以可投資資產的百分比計算，RMBS 投資組合約佔 74%（不包括季末的現金）。鑑於抵押貸款利率上升的環境，我們的 MSR 和 RMBS 投資組合的提前還款速度與上一季相比繼續保持相對穩定。

Our MSR portfolio's net CPR averaged approximately 5.5% for the second quarter compared to 3.9% net CPR in the previous quarter. The portfolio's capture rate remained low at approximately 0.3% as the incentive to refinance continue to be minimal. Moving forward, we continue to expect a lower capture rate and a stable net CPR for at least the near-term, given our portfolio's loan rate.

我們的 MSR 投資組合第二季的淨 CPR 平均約為 5.5%，而上一季的淨 CPR 為 3.9%。由於再融資的激勵因素仍然微乎其微，因此投資組合的捕獲率仍然較低，約為 0.3%。展望未來，考慮到我們投資組合的貸款利率，我們仍然預期至少在短期內捕獲率會降低，淨 CPR 將保持穩定。

The RMBS portfolio's prepayment speeds remained low, driven by a combination of new asset purchases as well as the current higher mortgage rate environment, which continues to compress APRs for the existing portfolio. At quarter end, most of the mortgage universe remain out of the money in terms of refinancing based on those levels. We would expect prepayments to remain at low levels based on quarter end levels.

在新資產購買以及當前較高的抵押貸款利率環境的共同推動下，RMBS 投資組合的提前還款速度仍然較低，這繼續壓縮了現有投資組合的年利率。到季度末，大多數抵押貸款領域在基於這些水準的再融資方面仍然處於資金短缺狀態。我們預計預付款項將維持在季末水準的較低水準。

Since the end of the quarter, interest rates have declined to levels that should cause refinancing activities start to pick up. The expectation for the Fed to lower rates has increased. We could see prepayments rise as the Fed follows through with lowering rates. For the quarter, the RMBS portfolio's weighted average 3-month CPR fell to approximately 4.6% compared to approximately 5.2% in the first quarter.

自本季末以來，利率已降至應會導致再融資活動開始回升的水平。對聯準會降息的預期增加。隨著聯準會降息，我們可能會看到預付款增加。本季度，RMBS 投資組合的加權平均 3 個月 CPR 降至約 4.6%，而第一季約為 5.2%。

As of June 30, the RMBS portfolio inclusive of TBA, stood at approximately $674 million, up marginally compared to the previous quarter end. Quarter-over-quarter, we acquired additional higher coupon RMBS, and we continue to remain positioned to protect against additional spread widening. For the second quarter, our RMBS net interest spread was approximately 3.23%. The reduction from the prior quarter was driven primarily by higher repo costs as we financed more securities and a reduction in our swap income, which offset increased RMBS income for purchases.

截至 6 月 30 日，包含 TBA 在內的 RMBS 投資組合約為 6.74 億美元，較上一季末略有增加。與上一季相比，我們獲得了額外的息票較高的 RMBS，並且我們繼續保持立場以防止利差進一步擴大。第二季度，我們的 RMBS 淨利差約為 3.23%。較上一季的減少主要是由於我們為更多證券融資而導致回購成本上升，以及掉期收入減少，這抵消了購買人民幣支持證券收入的增加。

As Jay mentioned, the portfolio's financial leverage stood at approximately 4.9x, and the 30-year securities position continued to represent 100% of the RMBS portfolio at quarter end. Moving forward, we will continue to proactively manage our portfolio while continuing to shift our overall capital structure to add value for shareholders through improved performance and earnings.

正如 Jay 所提到的，該投資組合的財務槓桿約為 4.9 倍，截至季度末，30 年期證券頭寸繼續佔 RMBS 投資組合的 100%。展望未來，我們將繼續積極管理我們的投資組合，同時繼續改變我們的整體資本結構，透過改善績效和收益為股東增加價值。

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

我現在將把電話轉給麥克，進行我們第二季的財務討論。

Thank you, Julian. GAAP net loss applicable to common stockholders for the second quarter was $1.9 million or $0.06 per weighted average diluted share outstanding during the quarter, while comprehensive loss attributable to common stockholders, which includes the mark-to-market of our available for sale RMBS was $5.5 million or $0.18 per weighted average diluted share.

謝謝你，朱利安。第二季適用於普通股股東的GAAP 淨虧損為190 萬美元，即本季已發行加權平均稀釋股0.06 美元，而普通股股東應佔的綜合虧損（包括按市值計價的可供出售RMBS）為5.5 美元百萬或每股加權平均稀釋股份 0.18 美元。

Our earnings available for distribution attributable to common stockholders were $2.3 million or $0.08 per share. EAD is inclusive of approximately $1.7 million or $0.06 per share of expenses related to the Special Committee's work. Our book value per common share as of June 30 was $4.15 compared to a book value of $4.49 as of March 31.

我們可供普通股股東分配的收益為 230 萬美元，即每股 0.08 美元。EAD 包括約 170 萬美元或每股 0.06 美元與特別委員會工作相關的費用。截至 6 月 30 日，我們的每股普通股帳面價值為 4.15 美元，而截至 3 月 31 日，我們的每股普通股帳面價值為 4.49 美元。

We used 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 second quarter, we held interest rate swaps, TBAs and treasury futures, all of which had a combined notional amount of approximately $954 million. You can see more details with respect to our hedging strategy in our 10-Q as well as in our second quarter presentation.

我們使用了各種衍生性工具來減輕利率上升對我們未來部分回購借款的影響。截至第二季末，我們持有利率互換、TBA 和國債期貨，所有這些合約的名目金額合計約為 9.54 億美元。您可以在我們的 10-Q 以及第二季的演示中看到有關我們對沖策略的更多詳細資訊。

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 $5.1 million for the quarter, which included the $1.7 million of Special Committee-related expenses.

出於公認會計原則的目的，我們沒有選擇對我們的利率衍生性商品應用對沖會計。因此，我們將估計公允價值的變動記錄為利率衍生性商品淨損益的一部分。本季營運費用為 510 萬美元，其中包括 170 萬美元的特別委員會相關費用。

On June 13, our Board of Directors declared a dividend of $0.15 per common share for the second quarter of 2024, which was paid in cash on July 31. We also declared a dividend of $0.5125 per share on our 8.2% Series A cumulative redeemable preferred stock and a dividend of $0.695 on our 8.25% Series B fixed to floating rate cumulative redeemable preferred stock, both of which were paid on July 15.

6 月 13 日，我們的董事會宣布 2024 年第二季派發每股普通股 0.15 美元的股息，並於 7 月 31 日以現金支付。我們也宣布對8.2% A 系列累積可贖回優先股派發每股0.5125 美元的股息，對8.25% B 系列固定至浮動利率累積可贖回優先股派發每股0.695 美元的股息，兩者均於7月15 日支付。

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

此時，我們將開放提問。操作員？

(Operator Instructions)

（操作員說明）

Michael Goldman, Citizen's GMP.

邁克爾·戈德曼 (Michael Goldman)，公民 GMP。

Hey, good evening, guys. Hope everybody is doing well. If I could start with the, I don't know if you guys can answer this given that it's related to the Special Committee, but the $0.06 of expenses this quarter, is that something that is going to be popping up until the committee completes its work?

嘿，晚上好，夥計們。希望每個人都做得很好。如果我可以從這個開始，我不知道你們是否能回答這個問題，因為它與特別委員會有關，但是本季度 0.06 美元的費用是在委員會完成其工作之前將會出現的事情。

Hey, Mikhail. It's Jay. I don't have a number for the third quarter, so I can't tell you that what I think that number would be for the current quarter, but the committee is still in effect, and I would anticipate some expenses this quarter related to the committee's efforts.

嘿，米哈伊爾。是傑伊。我沒有第三季的數字，所以我無法告訴你我認為當前季度的數字是多少，但委員會仍然有效，我預計本季度的一些費用與委員會的努力。

Got you. Thanks. And can you guys maybe flesh out your comments as you're thinking about the interplay between Agency MBS and MSRs going forward in a lower rate environment, how are you thinking about the trade-offs between the portfolio stewards, especially in terms of lowering the MSR component? Thanks.

明白你了。謝謝。你們能否在考慮較低利率環境下機構 MBS 和 MSR 之間的相互作用時充實您的評論，您如何考慮投資組合管理者之間的權衡，特別是在降低利率方面MSR 組件？謝謝。

Hi, Mikhail. It's Julian. At the moment, we see RMBS as a good place to invest money. Right now, those yields are probably between 14% and let's call it, 17% return on equity So we like that return. So I would say, at the moment, additional cash flows will be probably going into RMBS.

嗨，米哈伊爾。這是朱利安。目前，我們認為 RMBS 是一個投資的好地方。目前，這些收益率可能在 14% 之間，我們稱之為 17% 股本回報率，所以我們喜歡這樣的回報率。所以我想說，目前額外的現金流可能會流入人民幣支持證券。

And in terms of MSR sales, that's something you guys are going to continue to opportunistically look into.

就 MSR 銷售而言，你們將繼續機會主義地研究這一點。

So good question. That sales is very strategic. I think we looked at the portfolio, looked at the low balance loans, and the drag that it was putting relative to the expense side of running that business. And we've been engaged with the counterparty for a while that has interest in that portfolio, and we are very happy with the execution on that portfolio.

好問題。這種銷售非常具有戰略意義。我認為我們研究了投資組合，研究了低餘額貸款，以及它相對於經營該業務的費用方面所造成的拖累。我們已經與對該投資組合感興趣的交易對手進行了一段時間的接觸，我們對該投資組合的執行非常滿意。

And, look, you're always mark-to-market, you're available for sale. So to the extent that something occurs where we think there's an opportunity to take advantage of the strong market that there's a possibility, but there's nothing planned today around a sale in that portfolio that would be meaningful.

而且，你看，你總是按市場定價，你可以出售。因此，如果我們認為有機會利用強勁市場的情況發生，那麼這種可能性是有的，但今天沒有任何圍繞該投資組合出售的計劃是有意義的。

Got you. Thanks, guys. And it wouldn't be an earnings call without a question about current book value. So I figured --

明白你了。謝謝，夥計們。如果沒有對當前帳面價值的問題，就不會成為財報電話會議。所以我想--

So at the end of July, we see our book value basically flat to quarter end. And that is, of course, before any third quarter dividend accrual as the Board has not yet met to approve a dividend for the quarter.

因此，到 7 月底，我們的帳面價值基本上與季末持平。當然，這是在第三季應計股息之前，因為董事會尚未開會批准該季度的股息。

Got you. Thanks, guys. Best of luck going forward with the internalization and everything else. Thanks.

明白你了。謝謝，夥計們。祝內化和其他一切順利。謝謝。

Matt Howlett, B. Riley.

馬特·豪利特，B.萊利。

Hey, Jay. Hi, guys. Thanks for taking my question, and congratulations on the enormous milestone of internalizing the company. Again, I know you're limited on what you can say, but just Jay, high-level, what -- this is a huge turn for the company. Can you just give us some holistic -- what you can tell us about how the company will operate now internally versus what it's done historically? And just some high-level words around that, if you could.

嘿，傑伊。嗨，大家好。感謝您提出我的問題，並祝賀公司內部化的巨大里程碑。再說一次，我知道你能說的話有限，但傑伊，高層，這對公司來說是一個巨大的轉變。您能否提供我們一些整體資訊—您可以告訴我們公司現在的內部運作方式與歷史上的做法有何不同？如果可以的話，只是圍繞這一點做一些高層次的描述。

Yeah, hey, Matt. So I'll apologize upfront for saying there's not much I can say. The goal we've been looking at this for a long time relative to being externally managed, understanding the efficiencies around running the company internally.

是的，嘿，馬特。所以我先為我無話可說而道歉。長期以來，我們一直在關注與外部管理相關的目標，以了解公司內部營運的效率。

And I think the Special Committee has evaluated that versus other options and announced in the press release elected to move forward to terminate being externally managed and restoring the company independently and internally.

我認為特別委員會已經對此與其他選擇進行了評估，並在新聞稿中宣布選擇繼續終止外部管理並恢復公司的獨立和內部運作。

But broadly speaking, it's the same group of people. It's the same structure, and we are looking forward to being able to do a better job of being able to respond to changes in the market, the ability to potentially make some changes in the assets that we invest in, et cetera, and we think it will give us a lot more flexibility with respect to how we run the business. So we are pretty excited about the development.

但從廣義上講，都是同一群人。這是相同的結構，我們期待能夠做得更好，能夠應對市場的變化，能夠對我們投資的資產進行一些潛在的改變等等，我們認為這將使我們在經營業務方面擁有更大的靈活性。所以我們對它的發展感到非常興奮。

Yeah. Look, I think the independent Board made the right decision as we can all do the math, efficiencies. And we just look forward to, I mean are you expecting this to next quarter and by the fourth quarter, be able to come out and just unveiled this and tell everyone about what to be done by then. I mean just can you give us a sense when it will be completed.

是的。看，我認為獨立董事會做出了正確的決定，因為我們都可以計算效率。我們只是期待，我的意思是，您是否期望在下個季度和第四季度之前能夠出來公佈這一點，並告訴大家到那時要做什麼。我的意思是你能否告訴我們它何時完成。

Yeah. So I tried to be pretty clear on the script that the Special Committee is comprised of the Independent Directors, and that does not include me. So broadly speaking, I don't have a feel for timing on that just today. And I expect that should they feel compelled to put something out that's more definitive than what was previously announced. I'm sure they would do that.

是的。因此，我試圖在劇本中明確表示，特別委員會由獨立董事組成，但不包括我。總的來說，我對今天的時機沒有感覺。我預期他們是否會覺得有必要推出比之前宣布的內容更明確的內容。我確信他們會這麼做。

Great. Okay. Well, we look forward to that. And I think it's an exciting time for everybody, and congrats on the outcome. I guess just moving towards the portfolio, you're staying up in coupon, it looks like the pay-ups. Just give us a sense on: one, what are the premiums that you're paying in the specified pools? I mean what are you looking at? And then, two, let's just talk about the Fed. I mean I think you guys said you don't really know whether it's, you think it's 25 or it's 50 in September, but let's just talk about next year.

偉大的。好的。嗯，我們對此充滿期待。我認為這對每個人來說都是一個激動人心的時刻，並對結果表示祝賀。我想只是轉向投資組合，你會保留優惠券，看起來像是付款。請讓我們了解一下：第一，您在指定池中支付的保費是多少？我的意思是你在看什麼？然後，第二，我們來談談聯準會。我的意思是，我想你們說你們真的不知道 9 月是 25 還是 50，但我們只討論明年。

I mean is it 150, 200. I mean, how are things going to change in the portfolio from asset selection, from hedging if the Fed is going to really start lowering aggressively here? Or we just don't know and you're just going to have to wait and see. I just think it's such an interesting time. You guys have been very defensive and you really manage the volatility very well better than probably than any mortgage rate at it.

我的意思是150、200。我的意思是，如果聯準會真的要開始大幅降息，資產選擇和對沖方面的投資組合將會發生怎樣的變化？或者我們只是不知道，你只能拭目以待。我只是覺得這是一個非常有趣的時刻。你們一直非常防守，而且你們確實比任何抵押貸款利率都更好地管理了波動性。

But now it looks like we are in the cusp of these changes. So first, talk about the asset selection. And then two, just tell me how are you going to position if the Fed does start cutting aggressively.

但現在看來我們正處於這些變化的風口浪尖。首先，談談資產選擇。第二，請告訴我，如果聯準會確實開始大幅降息，您將如何定位。

Hi, Matt, Julian. I'll start with kind of like the positioning in terms of like security selection. In terms of like specified pools, we've been purchasing specified pools. We've been purchasing specified pools probably for like the last -- throughout the last year kind of trying to improve the overall quality of our portfolio, buying loan balance type of collateral, pretty much been sticking somewhere between 200,000 and 250,000 max type pools.

嗨，馬特，朱利安。我將從類似安全選擇方面的定位開始。就指定池而言，我們一直在購買指定池。我們可能像去年一樣一直在購買指定的池子——在過去的一年裡，我們試圖提高我們投資組合的整體質量，購買貸款餘額類型的抵押品，幾乎一直堅持在200,000 到250,000 個最大類型池子之間。

You can obviously see that in the collateral story slide that we've in the portfolio. And if you go back a couple of presentations, kind of show you kind of the migration. In the beginning, we probably haven't paid a lot for pools. We've been really trying to stick to something that's probably been around 0.5 point. We probably migrated to a few things that have gotten up to maybe a full point that we are having to purchase.

您可以在我們投資組合中的附屬故事幻燈片中清楚地看到這一點。如果您回顧幾個演示文稿，就會向您展示遷移的情況。一開始，我們可能沒有為泳池支付太多費用。我們一直在努力保持在 0.5 點左右的水平。我們可能會遷移到一些已經達到我們必須購買的完整點的東西。

I think as rates have kind of lowered here in the last couple of weeks, specified stories have obviously gotten more expensive. And so we are trying to be cautious approach about what we are adding to the portfolio and does it meet kind of investment returns.

我認為，隨著過去幾週這裡的利率有所下降，特定的故事顯然變得更加昂貴。因此，我們試圖對我們在投資組合中添加的內容以及它是否滿足投資回報採取謹慎的態度。

I think as the Fed kind of progresses in terms of what they want to do over the next year, the portfolio will obviously change. I think as a group, our new expectation was that the Fed, let's say, within this year to the end of 2025 would probably end up doing about 6 eases, so maybe 2 this year and 4 throughout 2025.

我認為，隨著聯準會在明年想要做的事情方面取得進展，投資組合顯然會改變。我認為，作為一個整體，我們的新預期是，聯準會在今年到 2025 年底之前可能最終會實施約 6 次寬鬆政策，所以今年可能有 2 次，整個 2025 年可能有 4 次。

Now that is making a basic assumption that we are not in a recession and the Fed is basically trying to do some normalization type of eases. If we are entering into a period of possibly a recession, I think the Fed would obviously be a lot more aggressive in terms of the amount of cuts that they want to do. So you could easily end up seeing 200 basis points or more of cuts if the Fed had to get very aggressive to kind of bring growth back into the environment.

現在這是一個基本假設，即我們沒有陷入衰退，而聯準會基本上正在嘗試採取一些正常化類型的寬鬆政策。如果我們正在進入一個可能陷入衰退的時期，我認為聯準會在他們想要的削減幅度方面顯然會更加激進。因此，如果聯準會必須採取非常積極的行動來恢復經濟成長，那麼最終很容易就會出現 200 個基點或更多的降息。

Look, I think anytime you're managing a portfolio like this, you're trying to look and manage the portfolio within 25 basis point increments, once it steps out of 25 basis point increments, you have to think about readjusting your hedges and always think about the different types of positioning.

看，我認為任何時候你管理這樣的投資組合，你都會試圖在 25 個基點增量內查看和管理投資組合，一旦超出 25 個基點增量，你就必須考慮重新調整你的對沖，並且始終考慮不同類型的定位。

I think some of the things we've been seeing from the Fed, obviously, is the potential if we are entering into a slowdown in terms of labor versus rates and rates want to move very aggressively forward. At one point, we are probably almost down 70 basis points within the quarter. Obviously, we have to think about adjustments on the portfolio.

我認為，我們從聯準會看到的一些事情顯然是，如果我們在勞動力與利率方面進入放緩狀態，並且利率希望非常積極地向前推進，那麼就有可能出現這種情況。在某一時刻，本季我們可能幾乎下跌了 70 個基點。顯然，我們必須考慮對投資組合進行調整。

I think July, we were down maybe about 20 25, and obviously, the first couple of days of August, we pushed almost another 50 down and then have subsequently reversed some of that. So we are trying to be very selective and cautious about where we think that policy will be going. But not only is there volatility within that, I think we also have to think about the election and the overall economy in terms of what it's doing. I'll see if Jay you had anything.

我認為 7 月，我們可能下跌了 20 25 左右，顯然，8 月的前幾天，我們又下跌了近 50 點，然後又扭轉了其中的一些。因此，我們對政策的走向非常有選擇性和謹慎。但其中不僅存在波動，我認為我們還必須考慮選舉和整體經濟的情況。我看看傑伊你有沒有什麼東西。

Yes, the only thing I'll add, Matt, is look, we are not opposed to investing in MSRs. I think we are not the only entity out there over the last 3 to 4 plus months that have taken advantage of what we would call a very strong market for that asset class. And I think Two Harbors also sold some assets as well. So from our perspective, it's a risk return profile discussion around where we think we are supposed to deploy the capital.

是的，馬特，我唯一要補充的是，我們並不反對投資 MSR。我認為我們並不是過去 3 到 4 個多月中唯一利用我們所說的該資產類別非常強勁的市場的實體。我認為兩港也賣了一些資產。因此，從我們的角度來看，這是圍繞我們認為應該在何處部署資本的風險回報概況討論。

And as Julian has mentioned a couple of times today, sitting here today, we think that's RMBS. That could change. If the MSR market sort of stabilizes and gets a little cheaper, then sure, we are not opposed to owning current coupon MSRs at the right levels. We just are supposed to take advantage of opportunities that benefit shareholders, and we think we did that in the second quarter.

正如朱利安今天多次提到的，今天坐在這裡，我們認為這就是 RMBS。這可能會改變。如果 MSR 市場趨於穩定並變得便宜一些，那麼當然，我們並不反對以適當的水平擁有當前的息票 MSR。我們只是應該利用有利於股東的機會，我們認為我們在第二季度做到了這一點。

Okay. That's interesting. Because your existing MSR book is 3.5% WACC. I mean, those, I think we'll agree that mortgage rates, it would take a lot to get people in the money to refinance. But what you're saying is you'd be open current coupon MSRs at the right price. That's interesting. Is it because you feel a bit about recapture because you feel good about just assets what you look at? Or do you just feel like prices could fall off a cliff at some point you'd be interested at that time?

好的。那很有意思。因為您現有的 MSR 帳簿是 3.5% WACC。我的意思是，我認為我們會同意抵押貸款利率，這需要很多錢才能讓人們有錢進行再融資。但你的意思是，你會以合適的價格開放當前的優惠券 MSR。那很有意思。是因為你對自己看到的資產感覺良好，所以對重新奪回有一點感覺？或者您只是覺得價格可能會在您當時感興趣的某個時刻跌落懸崖？

No. At the rate level, we think current coupon MSRs do a good job of hedging the MBS. And so with the MSR current note rate of 3.5, it's not significantly hedging the RMBS portfolio. It's performing like a rock star, but broadly speaking, it's not the best hedge for that for the MBS given the differential in the current coupons. But at the right levels, we've always been prepared to buy MSRs.

不。在利率層面，我們認為目前的票面 MSR 在對沖 MBS 方面做得很好。因此，在 MSR 目前票據利率為 3.5 的情況下，它並不能顯著對沖 RMBS 投資組合。它的表現就像搖滾明星一樣，但從廣義上講，考慮到當前優惠券的差異，這對MBS來說並不是最好的對沖。但在適當的水平上，我們一直準備購買 MSR。

Right. Now it's been an excellent strategy. And I don't think anyone -- I mean, it's a nice trade you did, it sounds like it's going to improve your cost and it's an excellent trade. But it's great to hear that you're still committed to that strategy.

正確的。現在看來，這是一個非常好的策略。我不認為任何人——我的意思是，你所做的這是一筆很好的交易，聽起來這會提高你的成本，而且這是一筆很棒的交易。但很高興聽到您仍然致力於該策略。

Last question. I think it wouldn't be an earnings call, but I didn't ask about leverage and you guys have a lot of dry powder, but what would it take, I mean, for you guys to really just say that this is a curve going to steepen, spreads are going to tighten, and we are going to take our leverage up because at some point, we are both going to be at 2.6% rate looking out? I mean just talk about the excess capital in the company today and what would you need to see to get more aggressive on leverage?

最後一個問題。我認為這不會是財報電話會議，但我沒有問到槓桿問題，而且你們有很多乾粉，但我的意思是，你們需要什麼才能真正說這是一條曲線會變得陡峭，利差會收緊，我們會提高槓桿率，因為在某個時候，我們的利率都會達到2.6%？我的意思是只談談今天公司的過剩資本，以及您需要看到什麼才能更積極地利用槓桿？

So we are definitely on the low end of the leverage side relative to, I would guess, our peers that share the same strategies, and that comes from really less leverage on the MBS side. From the MSR side, we're levered pretty similarly to our peers.

因此，我猜想，相對於共享相同策略的同行，我們的槓桿率肯定處於低端，而這來自於 MBS 方面的槓桿率確實較低。從MSR方面來看，我們的槓桿水平與同行非常相似。

And so the question really becomes when do we get comfortable enough with MBS relative to spread risk and just the market around what the Fed is doing and who the true buyers are for the asset classes. And it's an ongoing conversation and debate about where we think spreads could go from here.

因此，真正的問題是，我們什麼時候才能對抵押貸款證券（MBS）相對於分散風險以及圍繞美聯儲正在做什麼以及資產類別的真正買家是誰的市場感到足夠滿意。關於我們認為利差可能會走向何方，這是一場持續的對話和辯論。

But I do expect that as we get closer to an easing cycle on the Fed side, we would be more comfortable taking additional risk on that side of the house.

但我確實預計，隨著聯準會方面接近寬鬆週期，我們會更願意在聯準會方面承擔額外的風險。

Yes, clearly, that's the true upside that we are all looking at an all potential. But I think that obviously congrats with the internalization and the new chapter in Cherry Hill. We really look forward to it and really look forward to the next year. So congrats to the team and everybody. Thanks. Thanks, Jay.

是的，顯然，這就是我們都在關注的真正的優勢。但我認為這顯然對櫻桃山的內部化和新篇章表示祝賀。我們非常期待它，也非常期待明年。祝賀團隊和每個人。謝謝。謝謝，傑伊。

Sure. Thanks, Matt.

當然。謝謝，馬特。

Thank you. (Operator Instructions) There are no further questions at this time. I'd like to turn the call back over to Jay Lown for closing remarks.

謝謝。（操作員說明） 目前沒有其他問題。我想將電話轉回給傑伊·朗 (Jay Lown) 致閉幕詞。

Thanks, operator. Thank you, everyone, for joining us on our second quarter 2024 earnings call, and we look forward to updating you on our third quarter earnings call in November.

謝謝，接線生。感謝大家參加我們的 2024 年第二季財報電話會議，我們期待在 11 月的第三季財報電話會議上向您通報最新情況。

Thank you for your participation. This does conclude the program, and you may now disconnect. Everyone, have a great day.

感謝您的參與。這確實結束了程序，您現在可以斷開連接。大家，祝你有美好的一天。