Chimera Investment Corp (CIM) 2023 Q4 法說會逐字稿

Hello, and welcome to the Chimera Investment Corporation fourth-quarter and full-year 2023 earnings call and webcast. (Operator Instructions) As a reminder, this conference is being recorded.

您好，歡迎參加 Chimera Investment Corporation 2023 年第四季和全年財報電話會議和網路廣播。（操作員指示）謹此提醒，本次會議正在錄製中。

It is now my pleasure to turn the call over to Victor Falvo, Head of Capital Markets and Investor Relations. Please go ahead, Victor.

現在我很高興將電話轉給資本市場和投資者關係主管 Victor Falvo。請繼續，維克多。

Thank you, operator, and thank you, everyone, for participating in Chimera's fourth-quarter and full-year 2023 earnings conference call.

謝謝營運商，也謝謝大家參加 Chimera 第四季和 2023 年全年財報電話會議。

Before we begin, I'd like to review the Safe Harbor statements. During this call, we will be making forward-looking statements, which are predictions, projections, or other statements about future events. These statements are based on current expectations and assumptions that are subject to risks and uncertainties which are outlined in the Risk Factors section in our most recent annual and quarterly SEC filings. Actual events and results may differ materially from these forward-looking statements. We encourage you to read the forward-looking statement disclaimer in our earnings release, in addition to our quarterly and annual filings.

在我們開始之前，我想回顧一下安全港聲明。在這次電話會議中，我們將做出前瞻性陳述，即對未來事件的預測、預測或其他陳述。這些陳述基於當前的預期和假設，這些預期和假設受到風險和不確定性的影響，這些風險和不確定性在我們最近的年度和季度 SEC 文件的風險因素部分中概述。實際事件和結果可能與這些前瞻性陳述有重大差異。除了我們的季度和年度文件之外，我們鼓勵您閱讀我們的收益發布中的前瞻性聲明免責聲明。

During the call today, we may also discuss non-GAAP financial measures. Please refer to our SEC filings and earnings supplement for reconciliation to the most comparable GAAP measures. Additionally, the contents of this conference call may contain time-sensitive information that is accurate only as of the date of this earnings call. We do not undertake and specifically disclaim any obligation to update or revise this information.

在今天的電話會議中，我們也可能討論非公認會計準則財務指標。請參閱我們向 SEC 提交的文件和收益補充資料，以了解與最具可比性的 GAAP 衡量標準的對帳情況。此外，本次電話會議的內容可能包含時間敏感訊息，這些資訊僅截至本次財報電話會議之日準確。我們不承擔並明確否認任何更新或修改此資訊的義務。

I will now turn the conference over to our Chief Executive Officer, Phil Kardis.

我現在將會議交給我們的執行長菲爾卡迪斯 (Phil Kardis)。

Good morning, and welcome to Chimera Investment Corporation's fourth-quarter and full-year 2023 earnings call. Joining me on the call are Choudhary Yarlagadda, our President, Chief Operating Officer, and Co-Chief Investment Officer; Dan Thakkar, our Co-Chief Investment Officer; Subra Viswanathan, our Chief Financial Officer; and Vic Falvo, our Head of Capital Markets and Investor Relations. After my remarks, Subra will review the financial results and then we'll open the call for questions.

早安，歡迎參加 Chimera Investment Corporation 的第四季和 2023 年全年財報電話會議。與我一起參加電話會議的還有我們的總裁、營運長兼聯席首席投資長喬杜里·亞拉加達 (Choudhary Yarlagadda)； Dan Thakkar，我們的聯合首席投資長； Subra Viswanathan，我們的財務長；以及我們的資本市場和投資者關係主管 Vic Falvo。在我發言後，蘇布拉將審查財務業績，然後我們將開始提問。

Let me begin by recognizing Choudhary Yarlagadda who announced his retirement. CY, as he's affectionately known, has been here since the beginning. He has been involved in all aspects of our business, from structuring our securitizations and unique financings, to managing our operations and information technology groups. These are some big shoes to fill, and I'm confident, with CY's assistance, our transition will be seamless. While we're saddened by his departure, we are happy for him as he begins the next stage of his journey, and we wish CY nothing but the best.

首先讓我向宣布退休的喬杜里·亞拉加達致意。CY，正如他被親切地稱呼的那樣，從一開始就在這裡。他參與了我們業務的各個方面，從建立我們的證券化和獨特的融資，到管理我們的營運和資訊技術團隊。這些都是需要填補的重要問題，我相信，在 CY 的幫助下，我們的過渡將是無縫的。雖然我們對他的離開感到悲傷，但我們為他開始下一階段的旅程感到高興，我們祝 CY 一切順利。

As I think back about last year, I'm reminded of Maxine Nightingale's song, Get Right Back To Where We Started From. When we ended 2022, 10-year treasury had a yield of 3.87%. And again, as we ended 2023, the 10-year had a yield of 3.88%. But as we got right back to where we started from, we took a very volatile, circuitous route. During the year, we saw the 10-year treasury yield drop to 3.3% in early April and reached as high as nearly 5% in October before finishing the year at 3.88%.

當我回想起去年時，我想起了瑪克辛·南丁格爾的歌曲《回到我們開始的地方》。截至 2022 年末，10 年期公債殖利率為 3.87%。同樣，截至 2023 年末，10 年期公債的殖利率為 3.88%。但當我們回到起點時，我們走了一條非常不穩定、迂迴的路線。年內，我們看到 10 年期公債殖利率在 4 月初跌至 3.3%，並在 10 月高達近 5%，年底為 3.88%。

Silicon Valley Bank and several other large regional banks failed and nearly sparked a full-fledged banking crisis. The Federal Reserve raised interest rates four times, for a total of 100 basis points, and the rate for 30-year mortgages reached a peak of 8%, a level not seen since the year 2000.

矽谷銀行和其他幾家大型地區銀行倒閉，幾乎引發了全面的銀行業危機。聯準會四次升息，總計100個基點，30年期抵押貸款利率達到8%的峰值，為2000年以來的最高水平。

Geopolitically, we saw the war in Ukraine continue on its Sisyphean path, and a new conflict develop in the Middle East. Despite these adverse market conditions, we achieved some significant accomplishments throughout the year. We believe our portfolio performed well during the volatile environment, as evidenced by interest income for 2023, essentially unchanged from 2022 at $773 million. And our credit metrics continued to be in line or better than originally expected at acquisition.

從地緣政治角度來看，烏克蘭戰爭繼續沿著西西弗斯式的道路發展，而中東地區又出現了新的衝突。儘管市場條件不利，我們全年仍取得了一些重大成就。我們相信，我們的投資組合在動盪的環境中表現良好，2023 年的利息收入證明了這一點，與 2022 年的 7.73 億美元基本持平。我們的信用指標持續符合或優於收購時的最初預期。

We reduced our total recourse financing by approximately $1 billion, and we refinanced $250 million of high-cost debt with a new facility, providing considerable savings. We continued our business strategy of acquiring and securitizing mortgage loans. In total, for 2023, we purchased $1.4 billion of mortgage loans. 50% of the loans were seasoned re-performing loans, 33% were [DSCR] investor loans, and the remainder were business purpose loans. We securitized $841 million of the re-performing loans and $475 million of the DSCR loans.

我們將追索融資總額減少了約 10 億美元，並透過新融資為 2.5 億美元的高成本債務進行了再融資，節省了大量資金。我們繼續實施收購抵押貸款並將其證券化的業務策略。2023 年，我們總共購買了 14 億美元的抵押貸款。 50% 的貸款是經驗豐富的再履約貸款，33% 是 [DSCR] 投資者貸款，其餘的則是商業目的貸款。我們將 8.41 億美元的再履約貸款和 4.75 億美元的 DSCR 貸款進行了證券化。

We called six existing deals and issued four new deals, totaling $1.2 billion, enabling us to recapture $133 million. And we raised approximately $74 million from ATM issuance and have begun deploying the capital into high-coupon non-agency securities, which we purchased at a discount, generating low- to mid-teen unlevered returns and committed to purchase approximately $150 million of business purpose loans with mid-teen levered returns.

我們召集了 6 項現有交易並發行了 4 項新交易，總額達 12 億美元，使我們能夠重新獲得 1.33 億美元。我們透過 ATM 發行籌集了大約 7,400 萬美元，並開始將資金部署到高息非機構證券中，我們以折扣價購買這些證券，產生中低青少年無槓桿回報，並承諾購買約 1.5 億美元的商業用途具有中等青少年槓桿回報的貸款。

So what do we see in 2024? We continue to follow the Fed mantra of higher for longer, especially as evidenced by recent statements by Chairman Powell, the recent blow out of January employment numbers, and yesterday's core CPI of 3.9%, all of which support our view on higher for longer. We are hopeful for rate cuts by this summer, but we're planning for cuts later in the year, likely after the election, with more cuts to come in 2025. We feel now is the opportunity to begin to scale in and acquire high-yielding assets in front of the expected Fed cuts. As I mentioned, we have already begun adding assets.

那麼 2024 年我們會看到什麼呢？我們繼續遵循聯準會長期走高的口號，特別是鮑威爾主席最近的聲明、最近一月份就業數據的大幅增長以及昨天3.9%的核心CPI，所有這些都支持了我們長期走高的觀點。我們希望在今年夏天之前降息，但我們計劃在今年晚些時候（可能是在大選之後）降息，並在 2025 年進一步降息。我們認為現在是在聯準會降息預期之前開始擴大規模並收購高收益資產的機會。正如我所提到的，我們已經開始添加資產。

In addition, we have entered into forward contracts to acquire loans, and we expect to expand our forward purchases and flow arrangements in 2024. Additionally, with expected rate cuts by the end of the year, we may acquire loans now and hold them on warehouse facilities until securitization economics are more stable and provide better long-term returns for our portfolio.

此外，我們還簽訂了遠期合約來獲取貸款，我們預計將在2024年擴大遠期購買和流動安排。此外，隨著預計年底降息，我們可能現在就獲得貸款並將其持有在倉庫設施中，直到證券化經濟更加穩定並為我們的投資組合提供更好的長期回報。

Finally, as of December 2023, we had 14 outstanding securitizations that are callable and four more have become callable in 2024. The timing of exercising our option to call these securitizations depends on a variety of factors, as we have discussed in the past. I note that our non-REMIC deals present some nuances that are slightly different from most of our securitizations. For instance, generally, as the percentage of REMIC-eligible loans increases in those securitizations, economics of exercising the call improves. With rate cuts in the not-too-distant future, I am optimistic about our future. We have a talented team, an outstanding assets, and a clear business.

最後，截至 2023 年 12 月，我們有 14 項可贖回的未償還證券化，還有 4 項將於 2024 年可供贖回。正如我們過去所討論的，行使我們選擇將這些證券化稱為證券化的時間取決於多種因素。我注意到我們的非 REMIC 交易存在一些細微差別，與我們的大多數證券化略有不同。例如，一般來說，隨著這些證券化中符合 REMIC 資格的貸款比例的增加，行使贖回權的經濟性也會提高。隨著在不久的將來降息，我對我們的未來感到樂觀。我們擁有優秀的團隊、優秀的資產、清晰的業務。

I would now like to turn to Subrah to give a more detailed overview of our financial results.

現在我想請 Subrah 更詳細地介紹我們的財務表現。

Thank you, Phil. I will review Chimera's financial highlights for the fourth-quarter and full-year 2023. GAAP net income for the fourth quarter was $12 million or $0.05 per share, and GAAP net income for the full year was $52 million or $0.23 per share. GAAP book value at the end of the fourth quarter was $6.75 per share. The reduction in value this quarter was mostly driven by a small realized loss on asset sales during the quarter, higher marks on two separate liability facilities, and dilution from ATM issuance.

謝謝你，菲爾。我將回顧 Chimera 第四季和 2023 年全年的財務亮點。第四季 GAAP 淨利為 1,200 萬美元，即每股 0.05 美元；全年 GAAP 淨利潤為 5,200 萬美元，即每股 0.23 美元。第四季末的 GAAP 帳面價值為每股 6.75 美元。本季價值下降的主要原因是本季資產銷售實現的小幅虧損、兩項獨立負債融資的較高分數以及 ATM 發行的稀釋。

For the fourth quarter, our economic return on GAAP book value was negative 58 basis points based on the quarterly change in book value and the fourth-quarter dividend [or] common share. And for the full year, our economic return was negative 53 basis points, which included $0.70 of dividends declared in 2023. On an earnings available for distribution basis, net income for the fourth quarter was $31 million or $0.13 per share, and net income for the full year was $119 million or $0.51 per share.

根據帳面價值和第四季股利[或]普通股的季度變化，第四季我們的 GAAP 帳面價值經濟回報為負 58 個基點。全年經濟回報為負 53 個基點，其中包括 2023 年宣布的 0.70 美元股息。以可供分配收益計算，第四季淨利為 3,100 萬美元，即每股 0.13 美元，全年淨利潤為 1.19 億美元，即每股 0.51 美元。

Our economic net interest income for the fourth quarter was $68 million and $271 million for the full year. For the fourth quarter, the yield on average interest earning assets was 5.9%, our average cost of funds was 4.4%, and our net interest spread was 1.5%. Total leverage for the fourth quarter was 4:1, while recourse leverage ended the quarter at 1:1.

我們第四季的經濟淨利息收入為 6,800 萬美元，全年為 2.71 億美元。第四季度，平均生息資產收益率為5.9%，平均資金成本為4.4%，淨利差為1.5%。第四季的總槓桿率為 4:1，而本季末的追索槓桿率為 1:1。

For financing and liquidity, this quarter, we refinanced $250 million high-cost debt into a new facility, which will reduce the interest expense by more than 600 basis points. The company had $599 million of total cash and unencumbered assets at year-end. Whad $1.7 billion floating rate exposure on our outstanding repo liabilities. We had $1 billion pay-fixed interest rate swap at a rate of 3.26% as a hedge position for our floating rate liabilities. These swaps mature in the second quarter of 2024, and we had $1.5 billion swaptions to pay fixed for one year beginning in the second quarter of 2024 at a weighted average strike rate of 3.56% as a hedged position for liability.

在融資和流動性方面，本季度，我們將 2.5 億美元的高成本債務再融資到一項新設施中，這將使利息支出減少 600 多個基點。截至年底，該公司的現金和未支配資產總額為 5.99 億美元。我們未償回購負債的浮動利率風險敞口為 17 億瓦特。我們有 10 億美元的支付固定利率互換，利率為 3.26%，作為我們浮動利率負債的避險部位。這些掉期選擇權將於 2024 年第二季到期，我們有 15 億美元的掉期選擇權，從 2024 年第二季開始，以 3.56% 的加權平均執行利率固定支付一年，作為負債對沖頭寸。

We have $1.5 billion of either non or limited mark-to-market features on our outstanding repo agreements, representing 60% of our total recourse funding. For the full year, our economic net interest income return on equity was 10.5%, our GAAP return on average equity was 4.9%, and our EAD return on average equity was 7.2%. And lastly, for the full-year 2023 expenses, excluding servicing fees and transaction expenses, were $55.7 million, down $16.3 million from full-year 2022, a year-over-year reduction of 23%.

我們未償還的回購協議中有 15 億美元的非或有限按市價特徵，占我們追索資金總額的 60%。全年，我們的經濟淨利息收入股本回報率為 10.5%，GAAP 平均股本回報率為 4.9%，EAD 平均股本回報率為 7.2%。最後，2023 年全年費用（不含服務費和交易費用）為 5,570 萬美元，比 2022 年全年減少 1,630 萬美元，年減 23%。

That concludes our remarks. We will now open the call for questions.

我們的發言到此結束。我們現在開始提問。

(Operator Instructions) Bose George, KBW.

（操作員說明）Bose George，KBW。

Good morning. The first question was on the comment you made on the book value change in the mark on the liability side. Was there any no corresponding mark on the asset side for some of those holdings?

早安.第一個問題是關於您對負債方標記帳面價值變化的評論。其中部分持股資產端是否沒有對應標記？

Hi, this is Subra. Thanks for the question. The portfolio overall experienced a mark-to-market benefit during the quarter. What I highlighted those, there were actually -- the reasons were some of the items that actually caused the book value to go down. But overall, the portfolio -- the residential credit portfolio experienced a significant mark-to-market gain.

嗨，這是蘇布拉。謝謝你的提問。該投資組合在本季總體上實現了按市值計價的收益。我強調的那些其實是——原因是一些項目實際上導致帳面價值下降。但總體而言，住宅信貸投資組合按市值計價取得了顯著的成長。

Okay. So the drivers really then were just the ATM issuance and the realized loss that you mentioned?

好的。那麼驅動因素真的只是 ATM 發行和您提到的已實現損失嗎？

Well, there's a realized loss. And there's, like, two liability facilities: one is a prime jumbo facility which had a bunch of embedded swaps in it, which had, quite honestly, a higher mark. But because it was a higher mark on a liability, it was a lower book value for us; and also, the other reason was previously we had two unsold securities from our prior securitizations which were financed in our repo facilities. We then sold them out this past quarter, so now they became sec debt. So the sec debt, from the time it became sec debt and where we sold it to the end of the period mark, it experienced further increase in value which reduced our book value.

嗯，有一個已實現的損失。還有，例如，兩個責任設施：一個是一個主要的巨型設施，裡面有一堆嵌入的掉期，老實說，它的分數更高。但因為它對負債的評分較高，所以對我們來說帳面價值較低；此外，另一個原因是我們先前的證券化有兩種未售出的證券，這些證券是透過我們的回購設施融資的。然後我們在上個季度賣掉了它們，所以現在它們變成了次級債務。因此，二級債務，從它成為二級債務以及我們將其出售到期末，它的價值進一步增加，從而降低了我們的帳面價值。

Okay, that's helpful. Thanks. And then actually in terms of the ATM issuance, what was the average price for that?

好的，這很有幫助。謝謝。那麼實際上就 ATM 發行而言，其平均價格是多少？

Give me one second. Let me just confirm. It's at low five. Low five.

給我一秒鐘。讓我確認一下。現在是五點半。低五。

Trevor Cranston, JMP Securities.

特雷弗克蘭斯頓，JMP 證券。

Hey, thanks. Actually just a follow-up on the question about the ATM issuance this quarter. Can you sort of talk through the thought process on issuing a current valuation versus how you guys think about potentially buying back stock and what goes into that decision? Thanks.

嘿，謝謝。其實只是本季ATM發行問題的後續。您能否談談發布當前估值的思考過程以及您如何考慮可能回購股票以及該決定的因素是什麼？謝謝。

Sure. I think as we mentioned, we were looking at where we see Fed rate cuts coming later in the year and opportunities to acquire higher coupon assets at a discount. We thought now is the time to do that. These assets, on a current basis, more than cover the dividend associated with that stock and have potential for upside as rates begin coming down. So we thought this was a good time to go ahead and acquire these kinds of assets.

當然。我認為正如我們所提到的，我們正在研究聯準會在今年稍後降息的情況，以及以折扣價購買更高息票資產的機會。我們認為現在是時候這樣做了。目前，這些資產足以支付與該股票相關的股息，而隨著利率開始下降，這些資產還有上漲的潛力。因此，我們認為現在是繼續收購此類資產的好時機。

Okay. And in terms of continuing to add assets, 2024 ahead of rate cuts, can you talk about how much free capital you feel you have available to do that by deploying cash on hand versus potentially using more capital issuance to buy new assets in the near term? Thanks.

好的。就繼續增加資產而言，2024 年降息之前，您能否談談您認為可以透過部署手頭現金來實現這一目標，而不是在短期內使用更多資本發行來購買新資產？謝謝。

Yeah, sure. So we would look at -- there could be a couple of sources. Clearly, we have cash on hand, and the amount of cash and other liquidity that we would be willing to use is going to be a function of kind of where we see market volatility and rates. And as those calm down, we can see deploying some of that into new assets. As also I mentioned, depending on a variety of factors, we do have callable securitizations. I mentioned, for example, those non-REMIC securitizations, as, in particular, those are very high sec debt.

好，當然。所以我們會看看——可能有幾個來源。顯然，我們手頭上有現金，我們願意使用的現金和其他流動性數量將取決於我們看到的市場波動和利率。隨著這些情緒平靜下來，我們可以看到將其中一些部署到新資產中。正如我所提到的，根據多種因素，我們確實有可贖回的證券化。例如，我提到了那些非 REMIC 證券化，特別是那些非常高的證券債務。

And so there's opportunities to call and collapse those, and they have a higher percentage of performing loans and we can convert those into REMIC and another non-REMIC. And so the sec debt on those, on a blended rate, could be lower. So that could be another source of capital. So we have several potential sources of capital that we could use in addition to the capital markets. And we constantly look at those opportunities.

因此，有機會收回和取消這些貸款，而且它們的履約貸款比例較高，我們可以將它們轉換為 REMIC 和另一個非 REMIC。因此，以混合利率計算，這些債券的二級債務可能會更低。所以這可能是另一個資金來源。因此，除了資本市場之外，我們還有幾個可以利用的潛在資本來源。我們不斷關注這些機會。

Stephen Laws, Raymond James.

史蒂芬勞斯，雷蒙德詹姆斯。

Hi. Good morning. Just one last question on the ATM or follow-up. I think you said the issue in the low five, stocks at 4.5 now, like what's your valuation sensitivity? You mentioned the yield versus the mid-teen return. So is it strictly the dividend yield or how do you guys think about your valuation sensitivity around the continued issuance on ATM?

你好。早安.只是關於 ATM 或後續的最後一個問題。我想你說的是低五的問題，股票現在是4.5，你的估值敏感度是多少？您提到了收益率與中位數回報的比較。那麼，嚴格來說是股息殖利率，還是你們如何看待 ATM 上持續發行的估值敏感度？

I mean, it's a combination of those. And I think where the stock is now, I think there is a limit in terms of how much dilution we'd be willing to handle, even though we could cover the dividend yield. And so we do look at those factors. So it's a combo. We want to make sure that we cover the dividend yield and we need to have upside from there.

我的意思是，它是這些的組合。我認為股票現在的情況，我認為我們願意處理的稀釋程度是有限的，即使我們可以覆蓋股息收益率。所以我們確實會考慮這些因素。所以這是一個組合。我們希望確保能夠覆蓋股息收益率，並且我們需要從中獲得上漲空間。

And the amount of upside we need depends on how much dilution. And so we'll have to make that trade-off. And that's kind of how we look at it. Obviously, where we were in the lower 5s was one calculation, in the mid 4s is a different calculation.

我們需要的上漲空間取決於稀釋程度。所以我們必須做出權衡。我們就是這樣看待它的。顯然，我們處於下 5 秒的位置是一種計算，而處於中 4 秒的位置是一種不同的計算。

Great. And then as a follow-up, as you think about your outlook and potential upside -- I don't know if it's the long end or the short end or spread tightening or all of it. But if rates, say, drop 100 basis points, how does that change the return expectation versus the mid-teens current return on these new investments?

偉大的。然後作為後續行動，當你考慮你的前景和潛在的上行空間時 - 我不知道這是長期還是短期或利差收緊或全部。但如果利率下降 100 個基點，相對於這些新投資目前十幾歲左右的回報率，這會對回報預期產生怎樣的變化？

Yeah, yeah. I think when we talk about it, it's primarily, especially as Phil mentioned in his comments about purchasing the non-agency subs which are not financed right now. So to the extent, the funding costs go down and we are able to finance them. The returns would be boosted further. So it's primarily a function of funding rates, not necessarily rates going down in the long end.

是啊是啊。我認為當我們談論它時，主要是，特別是菲爾在他的評論中提到的關於購買目前沒有資金的非代理替補球員的評論。因此，在某種程度上，融資成本下降了，我們有能力為他們提供融資。回報將進一步提升。因此，它主要是融資利率的函數，不一定是長期利率下降的函數。

Obviously, and Phil mentioned in his comments too, as securitization markets become more stable, which we saw like how deals priced in January, and yesterday we kind of got a hiccup, to the extent they become stable and we are able to accumulate loans and securitize them in a stable macro environment, that's the sector that would be benefiting from the long end of the curve.

顯然，菲爾在他的評論中也提到，隨著證券化市場變得更加穩定，我們看到了 1 月份的交易定價方式，昨天我們有點小麻煩，直到它們變得穩定，我們能夠積累貸款和在穩定的宏觀環境中將它們證券化，這個產業將從曲線的長端受益。

Great. So the potential upside would be tied to declining short end as far as the new investments go.

偉大的。因此，就新投資而言，潛在的上行空間將與短期收益的下降有關。

Yeah, I think that's kind of fair.

是的，我認為這很公平。

Eric Hagen, BTIG.

艾瑞克‧哈根，BTIG。

Hey, thanks. Good morning. How are you guys thinking about conditions in the securitization market related to interest rate policy at the short end of the yield curve? How do you even see that demand equation changing from securitized debt investors themselves and their appetite for more debt, especially as you think about maybe calling some of the debt that you have in your securitization pipeline already?

嘿，謝謝。早安.你們如何看待與殖利率曲線短端利率政策相關的證券化市場狀況？您如何看待證券化債務投資者本身以及他們對更多債務的興趣所帶來的需求方程式的變化，特別是當您考慮可能會調用您的證券化管道中已經擁有的一些債務時？

So as I just said, Eric, we would like to see the securitization markets a little more stable before we get into the markets again. So we are going to be accumulating loans. We saw in January, especially in the non-QM space, the AAA is priced in a range of, like, 143 to 250 basis points. And as I said, if we get a little more clarity in the first half of the year, the loans that we would have accumulated are the loans that we're going to be securitizing.

正如我剛才所說，艾瑞克，我們希望在我們再次進入市場之前看到證券化市場更加穩定。因此，我們將累積貸款。我們在一月份看到，尤其是在非 QM 領域，AAA 的定價範圍為 143 至 250 個基點。正如我所說，如果我們在今年上半年更清楚一些，我們將累積的貸款就是我們將要證券化的貸款。

Okay. But how are you thinking about conditions with respect to calling the pipeline of debt that you have, which is callable right now, and just where you can issue some of that debt and maybe extract some capital.

好的。但是，您如何考慮調用現有債務管道（現在可以調用）的條件，以及您可以在哪裡發行一些債務並可能提取一些資本。

Currently, the sec debt, if we lock it in at the current rates, it is locked in for a longer period of time. So we are looking for the front-end rates and general market to be -- like, the rates to come down, so we can get better funding rates for a longer term.

目前，如果我們將其鎖定在當前利率，那麼美國證券交易委員會債務將被鎖定更長的時間。因此，我們正在尋求前端利率和整體市場利率的下降，這樣我們就可以在較長時期內獲得更好的融資利率。

Right. Okay, that's helpful. Thanks.

正確的。好的，這很有幫助。謝謝。

But it also depends on what is available in the market. So sometimes it might be lucrative to take on a little expense on funding, if you are getting very accretive assets in the marketplace.

但這也取決於市場上有什麼。因此，如果您在市場上獲得了非常增值的資產，有時承擔一點融資費用可能會有利可圖。

Right. No, that does make sense. How are we also thinking about the fixed to floating rate preferred? I mean, it looks like that's going to reset this year. Do you think there's situations or conditions where you might look to call those or redeem them as they turn into their floating leg?

正確的。不，這確實有道理。我們如何考慮固定利率與浮動利率的優先關係？我的意思是，看起來今年會重置。您是否認為在某些情況或條件下，當它們變成浮動腿時，您可能會考慮跟注或贖回它們？

Yeah, I think we evaluate all those options. And I think as we mentioned right now, we think that with cuts coming in the future, at the end of the year, and through next year, that -- we expect the floating rate to reset higher, we see that coming down over time and probably looking to deploy capital and buying new assets rather than, at this point, retire that. But that's a case-by-case and fact-based analysis that we're constantly looking at. So things could change and we could come to a view that it would make some more sense to actually start repurchasing it. But that's part of the mix of how we think about deploying capital in new investments versus reducing that expense.

是的，我認為我們會評估所有這些選項。我認為，正如我們現在提到的，我們認為，隨著未來、今年年底和明年的降息，我們預計浮動利率將重新設定得更高，我們看到隨著時間的推移，浮動利率會下降可能會尋求部署資本併購買新資產，而不是在此時放棄這些資產。但這是我們不斷關注的具體案例和基於事實的分析。因此，事情可能會發生變化，我們可能會認為，實際開始重新購買它會更有意義。但這是我們考慮如何在新投資中部署資本與減少開支的綜合考慮的一部分。

Trevor Cranston, JMP Securities.

特雷弗克蘭斯頓，JMP 證券。

Hey, thanks. Just one follow-up. Do you guys have an updated estimate on where book value stands so far in the first quarter?

嘿，謝謝。只是一個後續行動。你們對第一季到目前為止的帳面價值有最新的估計嗎？

Yeah, sure. So while the most recent Fannie RPL sale traded pretty well, with the sell-off in rates since quarter end, and especially yesterday, which accelerated, I would say, like, we are down roughly a point or so.

好，當然。因此，雖然最近的房利美 RPL 銷售交易相當不錯，但自季度末以來，尤其是昨天，利率拋售加速了，但我想說，我們大約下跌了一個點左右。

A percent.

百分之一。

1%.

1%。

Thank you. We've reached the end of our question-and-answer session. I'd like to turn the floor back over to management for any further or closing comments.

謝謝。我們的問答環節已經結束。我想將發言權交還給管理階層，以徵求進一步的意見或結束意見。

Hi, this is Phil Kardis, and I'd like to thank everyone for participating in our fourth-quarter and full-year earnings call, and we look forward to speaking to you on our earnings call for the first quarter of 2024.

大家好，我是 Phil Kardis，我要感謝大家參加我們的第四季和全年財報電話會議，我們期待在 2024 年第一季的財報電話會議上與您交談。

Thank you. That does conclude today's teleconference and webcast. You may disconnect your line at this time and have a wonderful day. We thank you for your participation today.

謝謝。今天的電話會議和網路廣播到此結束。此時您可以斷開線路並度過美好的一天。我們感謝您今天的參與。