Chimera Investment Corp (CIM) 2024 Q3 法說會逐字稿

Greetings, and welcome to the Chimera Investment Corporation third-quarter earnings call.

您好，歡迎參加 Chimera Investment Corporation 第三季財報電話會議。

(Operator Instructions)

（操作員說明）

As a reminder, this conference is being recorded. It is now my pleasure to introduce Victor Falvo, Head of Capital Markets. Thank you. You may begin.

提醒一下，本次會議正在錄製中。現在我很高興向大家介紹資本市場主管 Victor Falvo。謝謝。你可以開始了。

Thank you, operator. And thank you, everyone, for participating in Chimera's third quarter 2024 earnings conference call.

謝謝你，接線生。感謝大家參加 Chimera 2024 年第三季財報電話會議。

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.

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 文件中的風險因素部分中進行了概述。

Actual events and results may differ materially from these forward-looking statements. We encourage you to read the forward-looking statement disclaimers in our earnings release and our quarterly and annual filings.

實際事件和結果可能與這些前瞻性陳述有重大差異。我們鼓勵您閱讀我們的收益報告以及季度和年度文件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 for the most comparable GAAP measures. Additionally, the content 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，以了解最具可比性的 GAAP 衡量標準。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 President and Chief Executive Officer, Phillip Kardis.

我現在將會議交給我們的總裁兼執行長菲利普·卡迪斯 (Phillip Kardis)。

Thanks, Vic. Good morning, and welcome to the Chimera Investment Corporation's third-quarter 2024 earnings call.

謝謝，維克。早安，歡迎參加 Chimera Investment Corporation 的 2024 年第三季財報電話會議。

Joining me on the call are Subra Viswanathan, our Chief Financial Officer; Dan Thakkar, our Chief Investment Officer; and Vic Falvo, our Head of Capital Markets and Investor Relations. After my remarks about the quarter, I will briefly discuss our recent acquisition announcement, and then turn -- and then Subra will review the financial results before opening the call for questions.

與我一起參加電話會議的是我們的財務長 Subra Viswanathan； Dan Thakkar，我們的首席投資長；以及我們的資本市場和投資者關係主管 Vic Falvo。在我對本季度的評論之後，我將簡要討論我們最近的收購公告，然後 Subra 將在開始提問之前審查財務業績。

After a prolonged period of rising rates and higher for longer, inflation abated to a point where the Federal Reserve is more concerned about a softening labor market. In September, the Fed cut the funds rate by 50 basis points, and provided guidance for another 50 basis point reduction by year end. The market reacted by pricing in a more rapid interest rate decrease than projected by the Fed.

在經歷了長期的利率上升和更長的走高之後，通膨已經減弱到聯準會更加擔心勞動市場疲軟的程度。9月，聯準會將基金利率下調50個基點，並指導年底前再降息50個基點。市場的反應是，利率下降的速度比聯準會預期的還要快。

The yields on US treasury notes ended the quarter materially lower, with the yield difference showing a positive slope from the two years out to the 10 years for the first time since the middle of 2022. We believe achieving a lower short-term funding cost and a steeper yield curve environment will be beneficial for our future operating performance.

美國公債殖利率本季末大幅走低，殖利率差異自 2022 年中期以來首次從兩年到十年期呈正斜率。我們相信，實現較低的短期融資成本和更陡峭的殖利率曲線環境將有利於我們未來的營運績效。

Since the beginning of the fourth quarter, treasury yields have risen with the change in market sentiment mostly due to a stronger economic data and concerns over trade and the federal deficit. As the market has adjusted, we expect one more and maybe a second rate cut this year, but expect further Fed cuts to be in a smaller 25-basis-point increments.

自第四季初以來，國債殖利率隨著市場情緒的變化而上升，主要是由於經濟數據走強以及對貿易和聯邦赤字的擔憂。隨著市場的調整，我們預計今年將再次降息，甚至可能是第二次降息，但預計聯準會進一步降息的幅度將較小，為 25 個基點。

Housing fundamentals remain strong for residential mortgage credit. Home prices are higher by approximately 5% on a year-over-year basis, and delinquencies and default rates remain low. While existing home inventories have increased recently and are at their highest level in the past four years, they are in line with pre-pandemic levels. On a more macro level, the housing supply shortage should continue to support home prices, albeit at a slower pace moving forward.

住宅抵押信貸的房屋基本面依然強勁。房價年增約 5%，拖欠率和違約率仍然很低。雖然現有房屋庫存最近有所增加，並達到過去四年來的最高水平，但與大流行前的水平一致。從更宏觀的層面來看，住房供應短缺應該會繼續支撐房價，儘管前進的步伐會放緩。

Investor demand for mortgage credit securities remains strong. Non-agency RMBS issuances for 2024 may reach $100 billion, which would be approximately 40% greater than in 2023. While credit spreads in the residential market have tightened significantly since the beginning of the year, they continue to remain attractive relative to the investment-grade and high-yield corporate bond markets. We believe market conditions align well with our residential credit strategy.

投資者對抵押信貸證券的需求依然強勁。2024 年非機構 RMBS 發行量可能達到 1,000 億美元，比 2023 年增加約 40%。儘管住宅市場的信貸利差自今年年初以來已大幅收緊，但相對於投資級和高收益公司債市場而言，它們仍然具有吸引力。我們相信市場狀況與我們的住宅信貸策略非常契合。

In July, we sponsored CIM 2024-R1, a $468 million securitization of seasoned RPLs. We sold securities in a private placement with an aggregate balance of approximately $352 million or 75% of the capital structure. We retained approximately $116 million investment in subordinate bonds in certain IO securities. Our weighted average cost of the debt sold was 5.7%.

7 月，我們贊助了 CIM 2024-R1，這是一項價值 4.68 億美元的經驗豐富的 RPL 證券化項目。我們以私募方式出售了證券，總餘額約為 3.52 億美元，佔資本結構的 75%。我們保留了約 1.16 億美元的投資，投資於某些 IO 證券的次級債券。我們出售債務的加權平均成本為 5.7%。

In August, we issued $75 million of 9.25% unsecured notes due August 15, 2029, which are callable beginning in August of 2026. This was our second unsecured bond offer for the year, resulting in a combined total issuance of $140 million.

8 月份，我們發行了 7,500 萬美元、年利率 9.25% 的無擔保票據，將於 2029 年 8 月 15 日到期，可從 2026 年 8 月開始贖回。這是我們今年第二次無擔保債券發行，發行總額達 1.4 億美元。

While we continue to favor repurchase agreements and securitized debt as lower-cost source of financing for our loans, the ability to issue unsecured debt helps us to further diversify our capital structure and invest in new and accretive assets.

雖然我們繼續青睞回購協議和證券化債務作為貸款的低成本融資來源，但發行無擔保債務的能力有助於我們進一步實現資本結構多元化，並投資於新的增值資產。

Upon the issuance, we produced and settled on 430 -- excuse me, $543 million agency CMOs. We expect that the levered return on this investment will be accretive to earnings and more than exceed our cost of the debt. These investments provide attractive returns and a source of capital as we seek to make future investments in residential loans and credit securities.

發行後，我們制定並確定了 430 個——對不起，價值 5.43 億美元的機構 CMO。我們預計這項投資的槓桿回報將增加收益，並超過我們的債務成本。當我們尋求對住宅貸款和信貸證券進行未來投資時，這些投資提供了有吸引力的回報和資金來源。

Over the course of the quarter, we purchased and settled on approximately $47 million of non-agency subordinate bonds from newly issued mortgage securitizations, backed by collateral that included RPLs and small balance commercial properties. We purchased these investments at a discount to their par values and expect to achieve mid-teen returns.

在本季中，我們從新發行的抵押貸款證券化中購買並結算了約 4,700 萬美元的非機構次級債券，這些債券由包括 RPL 和小額商業地產在內的抵押品支持。我們以低於面額的折扣購買了這些投資，並期望實現中等回報。

This quarter, we also committed to purchase $118 million of residential transition loans, and we expect to close these loans during the fourth quarter. These loans have characteristics like residential transition loans we have purchased in the past. We will use leverage through our warehouse facilities for these loans and expect to achieve levered return in the mid to high teens.

本季度，我們還承諾購買 1.18 億美元的住宅過渡貸款，預計在第四季度結束這些貸款。這些貸款具有類似於我們過去購買的住宅過渡貸款的特徵。我們將透過我們的倉庫設施利用槓桿來發放這些貸款，並期望實現中到高的槓桿回報。

As we announced a couple of weeks ago, we signed a definitive agreement to acquire the Palisades Group, which is an alternative asset manager and residential mortgage credit based in Austin, Texas. Palisades provides asset management and servicer and vendor oversight services to third parties, as well as manages third-party funds and residential credit space.

正如我們幾週前宣布的那樣，我們簽署了收購 Palisades Group 的最終協議，該集團是一家位於德克薩斯州奧斯汀的另類資產管理公司和住宅抵押貸款信貸公司。Palisades 向第三方提供資產管理、服務商和供應商監督服務，並管理第三方基金和住宅信貸空間。

Like the team here at Chimera, the Palisades Group has a successful history of analyzing and investing in residential mortgage credit. We were particularly impressed by their ability to perform deep asset-level analysis, review borrower credits, and perform high-quality data validation and monitoring of loans. These capabilities overlap quite well and complement Chimera's existing business.

與 Chimera 的團隊一樣，Palisades Group 在分析和投資住宅抵押信貸方面擁有成功的歷史。他們執行深入資產層級分析、審查借款人信用以及執行高品質數據驗證和貸款監控的能力給我們留下了特別深刻的印象。這些功能重疊得很好，補充了 Chimera 的現有業務。

Also, Palisades brings to us a proven suite of proprietary technologies, and when combined with our own in-house capabilities, will improve upon our strengths in both portfolio and credit risk management. Palisades acquisition is complementary and enables us to provide a new fee-based asset management service for third parties that would like to invest in residential mortgage credit.

此外，Palisades 為我們帶來了一套經過驗證的專有技術，與我們自己的內部能力相結合，將提高我們在投資組合和信用風險管理方面的優勢。Palisades 的收購是互補的，使我們能夠為想要投資住宅抵押信貸的第三方提供新的收費資產管理服務。

When completed, on a combined basis, Chimera and Palisades will have over $30 billion of notional value in loans and real estate owned, advised or managed. This benefits Chimera as it will increase the depth and breadth of our residential credit expertise, while adding strong partnerships with already established investment management and insurance companies.

竣工後，Chimera 和 Palisades 所擁有、諮詢或管理的貸款和房地產的名義價值將超過 300 億美元。這對 Chimera 有利，因為它將增加我們住宅信貸專業知識的深度和廣度，同時增加與已經建立的投資管理和保險公司的牢固合作夥伴關係。

We're excited about this transaction and expect it to close in the fourth quarter. We believe we'll achieve accretive benefits from this acquisition in 2025.

我們對這筆交易感到興奮，並預計在第四季度完成。我們相信，我們將在 2025 年透過此次收購實現增值效益。

Finally, upon closing, Jack Macdowell, the Co-Founder and Chief Investment Officer of Palisades, will become Chimera's new Chief Investment Officer.

最後，交易完成後，Palisades 聯合創始人兼首席投資長 Jack Macdowell 將成為 Chimera 的新首席投資長。

So what does this mean for Chimera's shareholders? We feel good about our business. We're finding new opportunities, and we've increased the quarterly dividend by 12% over the past two quarters. And as we approach the end of 2024, the Federal Reserve has lowered short-term interest rates by 50 basis points, and as indicated, lower short-term rates may be on the horizon.

那麼這對 Chimera 的股東意味著什麼？我們對我們的業務感覺良好。我們正在尋找新的機會，並且在過去兩個季度中我們將季度股息增加了 12%。隨著 2024 年底的臨近，聯準會將短期利率降低了 50 個基點，正如所顯示的，短期利率可能即將下降。

Residential credit markets are robust, which aligns with our business strategy. We have established a new source of unsecured funding through the capital markets. And we believe the acquisition of Palisades will further strengthen and expand our existing business and provide additional opportunities for growth.

住宅信貸市場強勁，這符合我們的業務策略。我們透過資本市場建立了新的無擔保融資來源。我們相信，收購 Palisades 將進一步加強和擴大我們現有的業務，並提供更多的成長機會。

Over the balance of the year, we'll work diligently to close this acquisition. The team at Chimera has a long and successful history of buying and securitizing residential credit assets. And with the acquisition of Palisades, we will increase and broaden our existing capabilities and add a new fee-based, third-party investment management business. We're working hard for our shareholders, and we'll continue to seek ways to position the company to achieve the best possible results over the long term.

在今年剩下的時間裡，我們將努力完成這項收購。Chimera 團隊在購買住宅信貸資產並將其證券化方面擁有悠久而成功的歷史。透過收購 Palisades，我們將增強和擴大我們現有的能力，並增加新的收費第三方投資管理業務。我們正在為我們的股東努力工作，我們將繼續尋找方法使公司能夠在長期內實現最佳業績。

I will now turn the call over to Subra to review our quarterly financial results.

我現在將把電話轉給 Subra，以審查我們的季度財務業績。

Thank you, Phil.

謝謝你，菲爾。

I will review Chimera's financial highlights for the third quarter of 2024. GAAP net income for the third quarter was $113.7 million or $1.39 per share. GAAP book value at the end of the third quarter was $22.35 per share. For the third quarter, our economic return on GAAP book value was 6.8% based on the quarterly change in book value and the third quarter dividend per common share. And year-to-date 2024, our economic return on GAAP book value was 15.6%.

我將回顧 Chimera 2024 年第三季的財務亮點。第三季 GAAP 淨利潤為 1.137 億美元，即每股 1.39 美元。第三季末的 GAAP 帳面價值為每股 22.35 美元。根據帳面價值的季度變化和第三季每股普通股股息，第三季我們的 GAAP 帳面價值經濟回報率為 6.8%。截至 2024 年，我們的 GAAP 帳面價值經濟回報率為 15.6%。

On an earnings available for distribution basis, net income for the third quarter was $29.9 million or $0.36 per share. Our economic net interest income for the third quarter was $71.5 million. For the third quarter, the yield on average interest-earning assets was 6.1%, our average cost of funds was 4.5%, and our net interest spread was 1.6%. Total leverage for the third quarter was 3.9 to 1, while recourse leverage ended the quarter at 1.2 to 1.

以可供分配收益計算，第三季淨利為 2,990 萬美元，即每股 0.36 美元。我們第三季的經濟淨利息收入為 7,150 萬美元。第三季度，平均生息資產收益率為6.1%，平均資金成本為4.5%，淨利差為1.6%。第三季的總槓桿率為 3.9 比 1，而本季末的追索槓桿率為 1.2 比 1。

For financing and liquidity, the company ended the quarter with $648 million in total cash and unencumbered assets. For hedging, we had $2.5 billion floating rate exposure on our outstanding repo liabilities. We had $1.5 billion pay interest rate swaps at a weighted average fixed pay rate of 3.56% as a hedge position for our floating rate liabilities.

在融資和流動性方面，該公司本季末的現金和未支配資產總額為 6.48 億美元。為了對沖，我們對未償回購負債持有 25 億美元的浮動利率風險敞口。我們有 15 億美元的支付利率互換，加權平均固定支付率為 3.56%，作為我們浮動利率負債的對沖部位。

The company also has a long position in $500 million one-year swaption on a one-year pay fixed interest rate swap with a blended rate of 3.45%. We had $1.4 billion in either non or limited mark-to-market features on our outstanding repo agreements representing 43% of our secured recourse funding.

該公司還持有價值 5 億美元的一年期互換選擇權多頭頭寸，該交換選擇權為一年期支付固定利率互換，混合利率為 3.45%。我們未償還的回購協議中有 14 億美元的非或有限以市價交易，占我們有擔保追索資金的 43%。

As Phil mentioned, we closed our CIM 2024-R1 securitization during the third quarter. As part of our strategy to mitigate securitization execution risk on certain securitizations, we closed out $307 million of short five-year treasury futures contract position to protect the net interest spread of CIM 2024-R1.

正如 Phil 所提到的，我們在第三季完成了 CIM 2024-R1 證券化。作為我們降低某些證券化的證券化執行風險的策略的一部分，我們平倉了 3.07 億美元的短期五年期國債期貨合約頭寸，以保護 CIM 2024-R1 的淨利差。

For the third quarter of 2024, our economic net interest income return on equity was 10.6%. Our GAAP return on average equity was 20.3%. Our EAD return on average equity was 6.8%. Also for the third quarter, the company increased the common stock dividend to $0.37 per share, up from $0.35 in Q2 and $0.33 in Q1.

2024年第三季度，我們的經濟淨利息收入股本報酬率為10.6%。我們的 GAAP 平均股本回報率為 20.3%。我們的 EAD 平均股本回報率為 6.8%。同樣在第三季度，該公司將普通股股息提高至每股 0.37 美元，高於第二季的 0.35 美元和第一季的 0.33 美元。

And lastly, for the third quarter 2024 expenses, excluding servicing fees and transaction expenses were $12.8 million, down modestly from the second quarter.

最後，2024 年第三季的費用（不包括服務費和交易費用）為 1,280 萬美元，較第二季小幅下降。

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) Trevor Cranston, Citizens JMP.

（操作員說明）Trevor Cranston，Citizens JMP。

Hi, thanks. You talked a lot about some of the opportunities you guys are seeing on the loan side. One thing we've heard from some of the non-bank originators recently is a focus on trying to grow home equity lending. I was wondering if you could talk about kind of what you guys are seeing there and if you think that's a potential opportunity for Chimera to participate in in the future? Thanks.

你好，謝謝。你們談了很多關於你們在貸款方面看到的一些機會。最近，我們從一些非銀行發起人那裡聽到的一件事是，他們專注於嘗試增加房屋淨值貸款。我想知道您是否可以談談您在那裡看到的情況，以及您認為這是否是 Chimera 未來參與的潛在機會？謝謝。

Listen, yes, we are looking at that space and, it actually is an area that Palisades has got some experience in. And it's an area that we are looking at, pretty closely. It just hasn't worked for us right now, but we've heard the same things and we're seeing things that are interesting. We just haven't found something yet to pull the trigger on.

聽著，是的，我們正在研究這個領域，實際上帕利塞茲在這方面已經累積了一些經驗。這是我們正在密切關注的領域。現在它對我們來說還不起作用，但我們聽到了同樣的事情，並且看到了有趣的事情。我們只是還沒找到可以扣下板機的東西。

Okay, got it. And then in terms of the overall, interest rate exposure or net duration of the portfolio, could you say where that was at September 30? And also, maybe provide an update on book value given the move in rates in the fourth quarter so far? Thanks.

好的，明白了。然後就投資組合的整體利率風險或淨久期而言，您能說出 9 月 30 日的情況嗎？另外，考慮到迄今為止第四季的利率變動，也許可以提供帳面價值的最新情況？謝謝。

So I'm going to -- on the book value, I'm going to turn that over here in just a second to Dan Thakkar. But on the other part, it's something that, we haven't traditionally made public. But let me let Vic address kind of where we think book value has gone since the end of the quarter -- I mean, excuse me, Dan --

因此，關於帳面價值，我將立即將其轉交給 Dan Thakkar。但另一方面，這是我們傳統上沒有公開的事情。但讓我讓維克談談我們認為自本季末以來賬面價值的去向——我的意思是，對不起，丹--

Yes. So -- yes, so the sell-off in the rates market getting more pronounced the same as we all saw, like the intermediate treasuries that we raised all gains that they, gained in the quarter plus some. So I would say versus quarter end, we are flat this morning, Trevor.

是的。所以，是的，利率市場的拋售變得更加明顯，就像我們都看到的那樣，就像我們提高了中間國債在本季獲得的所有收益加上一些收益一樣。所以我想說，與季度末相比，我們今天早上持平，特雷弗。

Okay, great. Thank you.

好的，太好了。謝謝。

Thank you. Our next questions come from the line of Doug Harter with UBS. Please proceed with your questions.

謝謝。我們的下一個問題來自瑞銀集團的 Doug Harter。請繼續回答您的問題。

Thanks. Just to follow up on that. When you say you're flat from the end of the quarter, I guess what are you comparing that time frame to? Just to make sure we're on the same page.

謝謝。只是為了跟進此事。當你說你從本季末開始持平時，我猜你正在將這個時間範圍與什麼進行比較？只是為了確保我們在同一頁上。

So the book value as of end of 9/30 versus the move today. That's what we're looking at.

因此，截至 9/30 年底的帳面價值與今天的變動相比。這就是我們正在關注的。

Okay.

好的。

Yes.

是的。

Great. And can you just talk about with the acquisition of Palisades, kind of how you think about kind of growth in, kind of like broadly defined AUM, how you would think about whether you want that to kind of be on balance sheet for Chimera versus kind of third-party funds and how you would look to balance that?

偉大的。您能否談談收購 Palisades 的情況，您如何看待廣義 AUM 的增長，您如何考慮是否希望 Chimera 與 kind 的資產負債表上有這種增長第三方基金的規模以及您將如何平衡這一點？

Sure. So right before I answer, I just want to make sure to clarify. I think what we meant to say on the book value is we've given up, most or nearly all of the gains that we showed at the end of the third quarter prior -- relative to the end of the second quarter. So most of that increase --

當然。因此，在我回答之前，我想先澄清一下。我認為我們對帳面價值的意思是，我們已經放棄了我們在第三季末相對於第二季末所顯示的大部分或幾乎所有收益。所以大部分增加--

So that would be more flat with the second --

這樣第二個會比較平坦--

That's correct.

這是正確的。

(multiple speakers) June?

（多位發言者）六月？

Yes.

是的。

Okay, that makes sense. Thank you.

好吧，這是有道理的。謝謝。

Okay, yes. Okay, on Palisades, that is something, we are working through in terms of how we're going to think about third-party asset management in the fund business. We will develop a pretty detailed allocation policy that will be -- that will work well for Chimera's shareholders and any limited partners and any future funds that we create through that. That's kind of an early-stage business for them and we'll look to grow that, but we'll look to grow it in a way that's beneficial for all parties.

好吧，是的。好的，在 Palisades 上，我們正​​在研究如何考慮基金業務中的第三方資產管理。我們將制定一項非常詳細的分配政策，這將非常適合 Chimera 的股東、任何有限合夥人以及我們透過該政策創建的任何未來基金。這對他們來說是一項早期業務，我們將尋求發展它，但我們會尋求以對各方都有利的方式發展它。

And then, as I said, their third-party asset management is an interesting business and to the extent we'll look to grow that as well and they have, capabilities, both investment and collateral management that we'll find useful on our own portfolio.

然後，正如我所說，他們的第三方資產管理是一項有趣的業務，我們也會尋求發展這項業務，他們擁有投資和抵押品管理的能力，我們會發現這些能力對我們自己很有用文件夾。

I appreciate that. And then just one more on interest rate exposure. How do you think about your kind of earnings EAD exposure to the short end? I know you updated your swap positions, but, just how to think about your -- kind of your net interest spread or earnings sensitivity to lower short-term rates or a steeper curve?

我很欣賞這一點。然後再談一談利率風險。您如何看待您的 EAD 短期收益曝險？我知道您更新了掉期頭寸，但是，如何考慮您的淨利差或收益對較低短期利率或更陡峭曲線的敏感度？

Hi, Doug. This is Subra. Thanks for the question. We -- I mean, the way to think about it is EAD will react both positively and significantly. So if you think about our floating rate liabilities at the end of the quarter, that was about $2.5 billion. So that will continue to see some benefit, right? Now hedging those floating rate liabilities, we have $1.5 billion of swaps. And we have those at a rate of 3.56%.

嗨，道格。這是蘇布拉。謝謝你的提問。我們——我的意思是，思考這個問題的方式是 EAD 將會做出積極而重大的反應。因此，如果您考慮本季末我們的浮動利率負債，則約為 25 億美元。那麼這將繼續帶來一些好處，對吧？現在，我們有 15 億美元的掉期資金來對沖這些浮動利率負債。我們的利率為 3.56%。

So some of the ops -- the benefits we receive from the floating rate liabilities going down will be offset by these swaps losing some of that benefit. However, as the rates go below 3.56%, we will continue to see benefit. Now also, I will remind you that the swaps, most of them mature by the end of the second quarter of 2025. So we'll have to readjust and evaluate our hedging strategy there.

因此，我們從浮動利率負債下降中獲得的一些好處將被這些掉期損失的部分好處所抵消。然而，隨著利率低於 3.56%，我們將繼續看到收益。現在，我還要提醒您，大部分互換將在 2025 年第二季末到期。因此，我們必須重新調整和評估我們的對沖策略。

Outside of that, we have about $525 million of preferred dividend -- preferred dividends, which are again floating rate. And so those, we'll continue to see benefit right away because of the floating rate changes.

除此之外，我們還有大約 5.25 億美元的優先股股息——優先股股息，同樣是浮動利率。因此，由於浮動利率的變化，我們將繼續立即看到好處。

Okay. And then, separately, we obviously have some longer dated limited mark-to-market liability -- sorry, non-mark-to-market or limited mark-to-market facilities that would be maturing early in 2025, about $115 million. So as those get restructured, we will see some benefit there.

好的。然後，另外，我們顯然還有一些期限較長的有限按市值計價的負債——抱歉，非按市值計價或有限按市值計價的融資工具將於 2025 年初到期，約為 1.15 億美元。因此，隨著這些重組，我們將看到一些好處。

And then obviously, as paydowns happen and we reinvest, we should hopefully be able to reinvest the paydowns in higher-yielding assets. So that's kind of like the summary of how to think about the interest rate sensitivity and how it will affect EAD.

顯然，隨著償付發生並且我們進行再投資，我們應該有望能夠將償付再投資於更高收益的資產。這有點像是如何思考利率敏感度及其如何影響 EAD 的總結。

I appreciate that, Subra. Very helpful.

我很感激，蘇布拉。非常有幫助。

(Operator Instructions) Bose George, KBW.

（操作員說明）Bose George，KBW。

Hi, good morning. This is Frankie Labetti on for Bose. I just wanted to touch on the fact that your EAD seems to be run-rating around the $0.36 to $0.37 range. Can you just discuss some of the drivers that can get you from here to a double-digit net ROE after expenses, please?

嗨，早安。我是 Bose 的 Frankie Labetti。我只是想談談您的 EAD 運行評級似乎在 0.36 美元至 0.37 美元範圍內。您能否討論一些可以讓您在扣除費用後達到兩位數淨股本回報率的驅動因素？

I mean, I just explained some of the, EAD growth that we could expect. But the -- as the rates go down, obviously, we will continue to go up. But I would say -- I mean, in my prepared remarks, I did say that the return on our economic net interest, net interest income return on EAD is about 10.6%. So we are, on an economic, perspective, getting the 10.6%. And as rates continue to go down and our interest expense go down, we will see some additional benefits.

我的意思是，我剛剛解釋了我們可以預期的一些 EAD 增長。但顯然，隨著利率下降，我們將繼續上升。但我想說——我的意思是，在我準備好的發言中，我確實說過我們的經濟淨利息回報率、EAD 淨利息收入回報率約為 10.6%。因此，從經濟角度來看，我們獲得了 10.6%。隨著利率繼續下降和我們的利息支出下降，我們將看到一些額外的好處。

The one other thing that I will say is there are some investments that still don't go through EAD like our investment in a -- LP investment in an RIA. But some of those, we will get it. But even though it doesn't go through EAD, it's really from an economic net interest income perspective, we are seeing growth and we will continue to see growth.

我要說的另一件事是，有些投資仍然沒有經過 EAD，例如我們對 RIA 的 LP 投資。但其中一些，我們會得到的。但即使它沒有通過 EAD，但實際上從經濟淨利息收入的角度來看，我們正在看到成長，而且我們將繼續看到成長。

Thank you. And then just a follow-up. Given like the current environment, where do you see the best opportunities for investing incremental capital going forward? Thanks.

謝謝。然後只是後續行動。鑑於當前環境，您認為未來投資增量資本的最佳機會在哪裡？謝謝。

Yes. So, we did the RPL deal, right? So just like the deal, we expect to make, low to double-digit returns in there. And in addition, like Phil also talked about in his prepared remarks that we found attractive pockets of relative value on non-agency subs and deployed capital there.

是的。那麼，我們完成了 RPL 交易，對嗎？因此，就像這筆交易一樣，我們期望在那裡獲得低至兩位數的回報。此外，菲爾在他準備好的演講中也談到，我們發現非代理子公司具有相對價值的有吸引力的領域，並在那裡部署了資本。

So those are the things that we are targeting in addition to RTLs. That's where we deployed or committed to buy approximately $118 million. That's going to get mid to high double-digit returns. So those are the areas that we are focusing on, in addition to looking at every sector which, kind of meets our return bogeys in non-QM as well as, home equity stuff that we just mentioned.

因此，除了 RTL 之外，這些就是我們的目標。我們在那裡部署或承諾購買約 1.18 億美元。這將獲得中高兩位數的回報。因此，除了關注在非 QM 以及我們剛才提到的房屋淨值方面符合我們回報的各個領域之外，這些就是我們關注的領域。

Thank you.

謝謝。

Eric Hagen, BTIG.

艾瑞克‧哈根，BTIG。

Hi, good morning. This is Jake Katsikis on for Eric. Thanks for taking my question. Just wondering if you could walk through the opportunity you have to potentially raise the dividend further or more quickly if you're able to resecuritize the callable debt. Thank you.

嗨，早安。我是傑克卡西基斯 (Jake Katsikis) 為埃里克 (Eric) 發言。感謝您提出我的問題。只是想知道如果您能夠對可贖回債務進行再證券化，您是否可以度過進一步或更快提高股息的機會。謝謝。

Okay, so I'll start with that. So just like as when we raised capital and we're able to invest it accretively, I think that adds to the earnings power of the portfolio. We've held off on the relevering of some of the existing deals, in part because we could raise capital with a lower hurdle than we could in terms of collapsing those deals at the time. But they've now paid down further and rates have come down.

好的，我就從這個開始吧。因此，就像我們籌集資金並且能夠進行增值投資一樣，我認為這會增加投資組合的獲利能力。我們推遲了一些現有交易的重新槓桿化，部分原因是我們可以以比當時破壞這些交易更低的門檻籌集資金。但他們現在已經進一步還款，利率也有所下降。

So we are looking, more aggressively and given where the securitization market is to begin to look for opportunities to relever and pull cash out. And we think there's opportunities to reinvest that money accretively, which will be a driver to enhance the returns on the portfolio.

因此，考慮到證券化市場將開始尋找重新槓桿化和提取現金的機會，我們正在更積極地尋找機會。我們認為有機會對這些資金進行增值再投資，這將成為提高投資組合回報的動力。

Great. Appreciate that color. Thank you.

偉大的。欣賞那個顏色。謝謝。

Thank you. There are no further questions at this time. I'd now like to hand the call back over to Phil Kardis for any closing comments.

謝謝。目前沒有其他問題。我現在想將電話轉回菲爾卡迪斯（Phil Kardis）徵求結束意見。

Thank you, everyone, for participating in our third-quarter earnings call, and we look forward to speaking to you next year when we give our fourth quarter and fiscal year 2024 report. Thank you very much.

感謝大家參加我們的第三季財報電話會議，我們期待明年在發布第四季和 2024 財年報告時與大家交談。非常感謝。

Thank you. This does conclude today's teleconference. We appreciate your participation. You may disconnect your lines at this time. Enjoy the rest of your day.

謝謝。今天的電話會議到此結束。我們感謝您的參與。此時您可以斷開線路。享受你一天剩下的時間。