Chimera Investment Corp (CIM) 2024 Q4 法說會逐字稿

Greetings and welcome to Chimera Investment Corporation fourth quarter and full year 2024 earnings conference call. At this time, all participants are in a listen-only mode. A question-and-answer session will follow the formal presentation. (Operator Instructions) As a reminder, this conference is being recorded.

問候並歡迎參加 Chimera Investment Corporation 2024 年第四季和全年財報電話會議。此時，所有參與者都處於只聽模式。正式演講結束後將進行問答環節。（操作員指示）提醒一下，本次會議正在錄音。

It is now my pleasure to introduce your host, Victor Falvo, Head of Capital Markets and Investor Relations. Thank you. You may begin.

現在我很高興介紹您的主持人，資本市場和投資者關係主管 Victor Falvo。謝謝。你可以開始了。

Thank you, operator, and thank you, everyone, for participating in Chimera's fourth quarter and full year 2024 earnings conference call.

謝謝接線員，也謝謝大家參加 Chimera 2024 年第四季和全年財報電話會議。

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 disclaimers in our earnings releases and our quarterly and annual filings.

在我們開始之前，我想回顧一下安全港聲明。在本次電話會議中，我們將做出前瞻性陳述，即對未來事件的預測、預期或其他陳述。這些聲明是基於目前的預期和假設，這些預期和假設受我們最近的年度和季度 SEC 文件中的風險因素部分中概述的風險和不確定性的影響。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 to the most comparable GAAP measures. Additionally, the content of this conference call may contain time-sensitive information that is accurate only as 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。請參閱我們的 SEC 文件和收益補充文件，以了解與最具可比性的 GAAP 指標的對帳。此外，本次電話會議的內容可能包含時間敏感訊息，這些資訊僅在本次收益電話會議時準確無誤。我們不承擔更新或修改此資訊的任何義務，並明確否認有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, Phil Kardis.

現在，我將會議交給我們的總裁兼執行長菲爾·卡迪斯。

Good morning and welcome to Chimera Investment Corporation's fourth quarter 2024 earnings call. Joining me on the call are Jack Macdowell, our Chief Investment Officer; Subra Viswanathan, our Chief Financial Officer; Dan Thakkar, our Chief Risk and Credit Officer; and Vic Falvo, our Head of Capital Markets and Investor Relations. After my remarks, Subra will review the financial results, and then Jack will review our portfolio before opening the call for questions.

早安，歡迎參加 Chimera Investment Corporation 2024 年第四季財報電話會議。參加電話會議的還有我們的首席投資長 Jack Macdowell； Subra Viswanathan，我們的財務長； Dan Thakkar，我們的首席風險與信貸長；以及我們的資本市場和投資者關係主管維克·法爾沃（Vic Falvo）。在我發言之後，Subra 將審查財務結果，然後 Jack 將審查我們的投資組合，然後開始提問。

2024 was another year of reversals. The first part of the year saw continued progress on reducing inflation and long-term rates improved from a high of 4.7% in April to 3.6% in September. However, the second half of the year saw inflation reduction stall in the Fed with the softening labor market reduced the Fed fund rate by 100 basis points over their final three meetings of the year. Long-term rates did not react as expected. For the first time in seven rate cutting cycles dating back to the 1980s, the 10-year rose finishing the year at 4.6%, up 100 basis points despite the Fed cut.

2024年又是逆轉的一年。今年上半年，通膨率持續下降，長期利率從4月4.7%的高點回落至9月的3.6%。然而，下半年通膨降息步伐受阻，勞動市場疲軟，聯準會在年內最後三次會議上將聯邦基金利率下調了 100 個基點。長期利率並未如預期那樣做出反應。自 1980 年代以來的七次降息週期中，10 年期債券殖利率首次在年底上漲 4.6%，儘管聯準會降息，但仍上漲了 100 個基點。

During the fourth quarter of 2024, the term premium for the 10-year treasuries increased by 75 basis points, which reflects the market's uncertainty about future rates, the political environment and the underlying strength of the economy. The housing market continued to face various challenges and unevenness due to many factors, including interest rates, affordability and long-term supply-demand issues. The average 30-year fixed rate mortgage started the year at 6.6%, peaked at 7.2% in May and dropped to 6.1% in September, leading to a modest uptick in activity before ending the year at 6.9%.

2024年第四季度，10年期公債的期限溢價增加了75個基點，這反映了市場對未來利率、政治環境和經濟基本實力的不確定性。由於利率、負擔能力和長期供需問題等多種因素，房地產市場繼續面臨各種挑戰和不平衡。30 年期固定利率抵押貸款平均利率年初為 6.6%，5 月達到高峰 7.2%，9 月降至 6.1%，導致貸款活動小幅上升，年底降至 6.9%。

Unsurprisingly, home sales suffered. In 2024, sales of previously owned homes declined for the third consecutive year to the lowest level since the 1995, reflecting what we believe to be the continuation of the lock-in effects. New home construction was up slightly from 2023, but new homes for sale that are under construction peaked in March and were slightly down from that peak in December.

毫不奇怪，房屋銷售受到影響。2024 年，二手房銷量連續第三年下降，至 1995 年以來的最低水平，這反映了我們認為的鎖定效應的延續。新房建設量較 2023 年略有增加，但在建的待售新房數量在 3 月達到峰值，較 12 月的峰值略有下降。

The number of completed new homes for sale hit its highest level in December since 2009. The new home inventory represents 8.5 months' supply, which is above the balanced market of six months. But completed new homes were estimated to sell in 2.8 months, reflecting what we believe to be strong demand for newly built homes, which is supportive of the RTL market.

12 月竣工待售新屋數量達到 2009 年以來的最高水準。新房庫存相當於8.5個月的供應量，高於六個月的平衡市場。但已竣工的新房預計將在 2.8 個月內售出，這反映出我們認為對新建住宅的強勁需求，這對 RTL 市場起到了支撐作用。

On the positive side, home prices continue to increase. Between the third quarter 2023 and the third quarter 2024, US home prices rose 4.3% according to the FAHs Housing Price Index. We believe that this house price appreciation is positive for our existing portfolio due to further improvement in homeowners' equity.

從積極的一面來看，房價持續上漲。根據 FAH 房屋價格指數，2023 年第三季至 2024 年第三季期間，美國房價上漲了 4.3%。我們相信，由於房主權益的進一步改善，房價上漲對我們現有的投資組合有利。

Another positive development for our business was credit spreads for asset-backed securities and other securitized products. Residential credit performance was particularly strong in 2024, driven by robust fundamentals due to low defaults, rising home prices and record levels of homeowners' equity. In addition, technical indicators were strong as non-Agency RMBS gross issuance ended at approximately $137 billion, almost doubling from 2023's issuance levels of $71 billion. Investor demand was very strong and credit spreads tightened in 2024, especially at the bottom of the capital structure with credit curves flattening significantly.

我們業務的另一個積極發展是資產支持證券和其他證券化產品的信用利差。2024 年住宅信貸表現特別強勁，這得益於違約率低、房價上漲和房主權益創紀錄水準帶來的強勁基本面。此外，技術指標強勁，非機構 RMBS 總發行量最終達到約 1,370 億美元，幾乎是 2023 年 710 億美元發行水準的兩倍。投資人需求非常強勁，2024年信用利差收緊，尤其是在資本結構底部，信用曲線明顯趨於平緩。

So what did all of this mean for our strategy in 2024 and what will it mean for 2025? In 2024, we managed our portfolio to increase liquidity and diversified sources of income. Consistent with that strategy, we deployed $209 million in proceeds from our equity raise in December 2023 and our two senior debt raises in 2024. We invested in floating rate agency CMOs. We believe these investments provide an attractive return while serving as a source of liquidity as we seek to deploy capital in loans or other investments as we did for the Palisades acquisition.

那麼，這一切對我們 2024 年的策略意味著什麼，對 2025 年又意味著什麼？2024年，我們管理投資組合，以增加流動性和多元化收入來源。根據該策略，我們在 2023 年 12 月透過股權融資獲得了 2.09 億美元的收益，並在 2024 年透過兩次優先債務融資獲得了收益。我們投資了浮動利率機構 CMO。我們相信，這些投資將帶來頗具吸引力的回報，同時也作為流動資金的來源，因為我們尋求將資本部署在貸款或其他投資中，就像我們對 Palisades 的收購一樣。

We invested in subordinate tranches of newly issued third-party mortgage securitizations, packed by reperforming mortgage loans and small balance commercial loans. We purchased residential transition loans. We purchased RPLs and securitize them in CIM 2024-R1. And in the fourth quarter, we committed to purchase non-QM loans, which we securitized this year.

我們投資了新發行的第三方房屋抵押貸款證券化的次級部分，這些證券由重新履行的房屋抵押貸款和小額商業貸款組成。我們購買了住宅過渡貸款。我們購買了 RPL，並在 CIM 2024-R1 中將其證券化。在第四季度，我們承諾購買非 QM 貸款，並在今年將其證券化。

And finally, in December, we closed the acquisition of the Palisades Group, a US-based alternative asset manager specializing in residential real estate credit. Founded in 2012, Palisades manages and invests on behalf of third parties and residential real estate assets across the broad spectrum of credit products. Through this acquisition, we began providing third-party investment management and advisory services, which represents a new fee-based source of income, and we believe the ability to grow our income on a capital-light basis.

最後，12月，我們完成了Palisades Group的收購，這是一家專門從事住宅房地產信貸的美國另類資產管理公司。Palisades 成立於 2012 年，代表第三方和住宅房地產資產管理和投資廣泛的信貸產品。透過此次收購，我們開始提供第三方投資管理和諮詢服務，這代表了一種新的收費收入來源，我們相信我們有能力在輕資本的基礎上增加收入。

What are our plans for 2025? We continue to approach portfolio management in a disciplined manner and are expecting to operate in an uncertain environment. In 2025, we expect to continue to diversify our portfolio, increase liquidity and grow our fee-based income revenue stream. While we'll continue to look for opportunities to acquire and securitize mortgage loans, we expect to grow our Agency RMBS portfolio. In addition to supporting our regulatory compliance, we believe the Agency RMBS portfolio will provide diversification, more stable dividends and a source of liquidity for opportunistic asset and business acquisitions, and provide in periods of volatility, protection.

我們對 2025 年有什麼計畫？我們將繼續以嚴謹的方式進行投資組合管理，並準備在不確定的環境中進行營運。2025 年，我們預計將持續實現投資組合多元化、增強流動性並增加收費收入來源。在我們繼續尋找收購和證券化抵押貸款的機會的同時，我們預計也將擴大我們的機構 RMBS 投資組合。除了支持我們的監管合規之外，我們相信機構 RMBS 投資組合將提供多樣化、更穩定的股息和機會性資產和業務收購的流動性來源，並在波動時期提供保護。

By growing our agency portfolio, we are returning to our roots as a hybrid REIT. We intend to also look to potential opportunities to acquire mortgage servicing rights, which we believe will help hedge our loan portfolio as well as provide a diverse source of income for our dividends.

透過擴大我們的代理組合，我們正在回歸混合房地產投資信託基金的本源。我們還打算尋找獲得抵押貸款服務權的潛在機會，我們相信這將有助於對沖我們的貸款組合併為我們的股息提供多樣化的收入來源。

With the Palisades acquisition, we have embarked on our strategy of enhancing returns to our shareholders through diversification of revenue. Palisade's advisory services as the asset manager of our most recent securitization, and we expect to add them to our future securitizations, including the resecuritizations of our existing deals. We believe that combining Palisade's platform with ours will allow us to drive efficiency and performance across the portfolio.

透過收購 Palisades，我們已開始實施透過收入多元化來提高股東回報的策略。Palisade 作為我們最近的證券化的資產管理人的諮詢服務，我們希望將其添加到我們未來的證券化中，包括我們現有交易的再證券化中。我們相信，將 Palisade 的平台與我們的平台結合將使我們能夠提高整個產品組合的效率和效能。

Lastly, we've begun to see those investments of the fee-for-service based income. It's early in the process, but we continue to believe the acquisition will be accretive to earnings. As we move into 2025 and beyond, we will look to expand and grow our non-discretionary investment asset management and advisory services and continue to look for opportunities to grow through a combination of organic and external growth.

最後，我們開始看到那些基於收費服務收入的投資。雖然這個過程還處於早期階段，但我們仍然相信這項收購將會增加收益。隨著我們進入 2025 年及以後，我們將尋求擴大和發展我們的非全權投資資產管理和諮詢服務，並繼續尋找透過有機成長和外部成長相結合的方式實現成長的機會。

In addition, we plan on investing in technology that allows us to enhance and expand our asset management capabilities and drive operational efficiencies. We expect to source of funds for the portfolio diversification and growth initiatives that come from our existing portfolio as we return to our relever strategy. We have issued call notices on all of our outstanding NR securitizations, and we expect to resecuritize the loans in the next couple of months. In addition, we expect to call some of R securitizations in 2025. We'll also look for opportunities to raise capital in the capital markets.

此外，我們計劃投資技術，以增強和擴大我們的資產管理能力並提高營運效率。隨著我們回歸槓桿策略，我們期望從現有投資組合中尋找資金來源，用於投資組合多樣化和成長計劃。我們已經對所有未償還的 NR 證券化發出了贖回通知，並預計將在未來幾個月內對這些貸款進行重新證券化。此外，我們預計部分 R 資產證券化將在 2025 年實現。我們也將尋找在資本市場籌集資金的機會。

Finally, we continue to seek opportunities to finance our retained notes from securitizations with long-term limited or non-mark-to-market financing facilities. As we have discussed in the past, we had an expensive non-mark-to-market facility coming due in January 2025. We were able to enter into a new larger facility with better terms and greater than 400 basis points reduction in rate. By increasing the size of the facility, our interest expense is flat, but we were able to receive approximately $62 million to deploy in new investments.

最後，我們繼續尋求機會，透過長期有限或非以市價計價的融資方式為我們從證券化中保留的票據進行融資。正如我們過去討論過的，我們有一項昂貴的非以市價計價的工具將於 2025 年 1 月到期。我們能夠獲得新的、更大的貸款，且貸款條款更優惠，利率降低超過 400 個基點。透過擴大貸款規模，我們的利息支出持平，但我們能夠收到約 6,200 萬美元用於新投資。

Our goal is to build a durable, more diversified portfolio, and implement growth initiatives that are designed to provide stable and growing sources of income that will benefit our current stock price relative to our book value. We feel good about our business and we're finding new opportunities, and we increased the quarterly dividend by 12% to 2024. And lastly, we believe the acquisition of Palisades will further strengthen and or expand our business and provide additional opportunities for growth for our shareholders.

我們的目標是建立一個持久的、更加多樣化的投資組合，並實施旨在提供穩定和不斷增長的收入來源的成長計劃，這將有利於我們當前的股價相對於我們的帳面價值。我們對我們的業務感到滿意，並且正在尋找新的機遇，我們將季度股息提高 12%，直至 2024 年。最後，我們相信收購 Palisades 將進一步加強或擴大我們的業務，並為我們的股東提供額外的成長機會。

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

現在我將把電話轉給蘇布拉來審查我們的財務結果。

Thank you, Phil. I will review Chimera's financial highlights for the fourth quarter of 2024. GAAP net loss for the fourth quarter was $168.3 million or $2.07 per share. And GAAP net income for the full year was $90.3 million or $1.10 per share. GAAP book value at the end of the fourth quarter was $19.72 per share.

謝謝你，菲爾。我將回顧 Chimera 2024 年第四季的財務亮點。第四季 GAAP 淨虧損為 1.683 億美元，即每股 2.07 美元。全年 GAAP 淨收入為 9,030 萬美元，即每股 1.10 美元。第四季末的 GAAP 帳面價值為每股 19.72 美元。

For the quarter, our economic return on GAAP book value was negative 10.1% based on the quarterly change in book value and the fourth quarter dividend per common share. And for the full year, our economic return was a positive 4.4%, which includes $1.42 of dividends declared in 2024.

本季度，根據季度帳面價值變化和第四季度每股普通股股息，我們的 GAAP 帳面價值經濟回報率為負 10.1%。全年我們的經濟回報率為正 4.4%，其中包括 2024 年宣布的 1.42 美元股息。

On earnings available for distribution basis, net income for the fourth quarter was $30.4 million or $0.37 per share and net income for the full year was $121 million or $1.48 per share. Our economic net interest income for the fourth quarter was $69.2 million. For the fourth quarter, the yield on average interest-earning assets was 6%, our average cost of funds was 4.5% and our net interest spread was 1.5%. Total leverage for the fourth quarter was 4:1, while recourse leverage ended the quarter at 1.2:1.

以可供分配收益計算，第四季淨收入為 3,040 萬美元，即每股 0.37 美元，全年淨收入為 1.21 億美元，即每股 1.48 美元。我們第四季的經濟淨利息收入為 6,920 萬美元。第四季度，平均生息資產收益率為 6%，平均資金成本為 4.5%，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 1.2：1。

For hedging, financing and liquidity, the company ended the year with $610 million in total cash and unencumbered assets. At year-end, we had $2.2 billion forwarding rate exposure on our outstanding repo liabilities. Our total floating rate obligations net of hedges was $1.2 billion. We had $1.3 billion in either non- or limited mark-to-market features on our outstanding repo agreements representing 48% of our secured recourse funding. We had $1.5 billion pay fixed interest rate swaps at a weighted average pay fixed rate of 3.56% with a weighted average maturity of less than one year.

在對沖、融資和流動性方面，該公司年底的現金和無抵押資產總額為 6.1 億美元。截至年底，我們未償還回購債務的遠期利率曝險為 22 億美元。我們的浮動利率債務淨額（扣除對沖）總額為 12 億美元。在我們未償還的回購協議中，有 13 億美元屬於非以市價計價或有限以市價計價的特徵，占我們有擔保追索權融資的 48%。我們有 15 億美元的固定利率掉期，加權平均固定利率為 3.56%，加權平均期限少於一年。

The company also had a long position in $500 million swaption on a one-year pay fixed interest rate swap with a rate of 3.45%. The company executed this option in January. In January, we closed on CIM 2025 I-1 securitization as part of our strategy to mitigate securitization, execution risk on certain securitizations. At year-end, we will show two-year treasury future contracts to protect the net interest spread of CIM 2025 I-1. This short position was closed out in January. For the fourth quarter of 2024, our economic net interest income, return on equity was 10.5%. Our GAAP return on average equity was negative 22.3%, and our EAD return on average equity was 7.2%.

該公司還持有價值 5 億美元的一年期固定利率互換選擇權的多頭頭寸，利率為 3.45%。該公司於一月份執行了該選項。今年 1 月，我們完成了 CIM 2025 I-1 證券化，這是我們減輕某些證券化執行風險的策略的一部分。年末我們將展示兩年期公債期貨合約，以保障CIM 2025 I-1的淨利差。該空頭部位已於一月平倉。2024 年第四季度，我們的經濟淨利息收入、股本報酬率為 10.5%。我們的 GAAP 平均股本回報率為負 22.3%，我們的 EAD 平均股本回報率為 7.2%。

And lastly, compensation, general, administrative and servicing expenses were marginally lower year-over-year, while excluding expenses related to the Palisades acquisition. Our transaction expenses were significantly lower during the year due to reduced securitization activity in 2024. However, these expenses increased in fourth quarter by $4.7 million, primarily from expenses related to the Palisades acquisition.

最後，扣除與 Palisades 收購相關的費用後，薪資、一般行政和服務費用較去年同期略有下降。由於 2024 年證券化活動減少，我們本年度的交易費用大幅下降。然而，這些費用在第四季度增加了 470 萬美元，主要來自與 Palisades 收購相關的費用。

I will now turn the call over to Jack to review our portfolio.

現在我將把電話轉給傑克來審查我們的投資組合。

Thanks, Subra, and good morning, everyone. I'm excited to be here. Before diving into the portfolio, I'd like to start with a brief introduction and share a little bit about my background. My entire career, going back to late 1990s, has been dedicated to mortgage credit and structured products. I began on the sell side, focusing on mortgage and asset-backed securitization where I worked on both deal execution and security structuring. I then spent nearly eight years on the buy side, both before and after the financial crisis, acquiring, structuring and leading teams responsible for managing residential credit risks.

謝謝，蘇布拉，大家早安。我很高興來到這裡。在深入介紹作品集之前，我想做一個簡短的介紹，並分享一些我的背景。我的整個職業生涯，可以追溯到 1990 年代末，一直致力於抵押貸款信貸和結構化產品。我從賣方做起，專注於抵押貸款和資產支持證券化，負責交易執行和證券結構設計。隨後，我在金融危機前後花了近八年在買方，收購、建構和領導負責管理住宅信貸風險的團隊。

A little over 12 years ago, I co-founded Palisades with a core objective of providing clients with access to diversified opportunities across the mortgage credit spectrum through a variety of asset and investment management activities. Core to that objective was building a team of highly motivated individuals and fostering the challenging and rewarding work culture. We're incredibly proud of what we built, and we're even more excited to now be part of the Chimera team.

十二年前，我與他人共同創立了 Palisades，其核心目標是透過各種資產和投資管理活動，為客戶提供涵蓋抵押貸款各個領域的多樣化機會。該目標的核心是建立一支積極性很高的團隊，並培育富有挑戰性和回報性的工作文化。我們對自己所創造的一切感到無比自豪，而我們更加興奮現在能夠成為 Chimera 團隊的一員。

It has now been just over two months since the acquisition in early December. I'm happy to report that the integration is progressing well and collaboration between the teams has been strong. I want to extend a special thanks to the entire team of Chimera professionals as they have worked tirelessly and patiently over the last eight weeks to integrate the teams into a single cohesive unit, and I'm deeply grateful for their efforts.

從去年12月初收購至今，已經過了兩個多月。我很高興地報告，整合進展順利，團隊之間的合作非常緊密。我要向整個 Chimera 專業團隊致以特別的感謝，因為他們在過去八周里不知疲倦地、耐心地工作，將各個團隊整合成一個有凝聚力的單位，我對他們的努力深表感激。

Moving on to the portfolio. As Bill mentioned, the fourth quarter was marked by a significant rise in interest rates and was also the first full quarter since early 2022, where we had a positively sloping yield curve. The spread between the 10-year and two-year treasury widened by 19 basis points compared to the third quarter. At the same time, Agency MBS spreads moved slightly wider while non-agency credit spreads tightened. While this rate environment provided compelling investment opportunities, it also negatively impacted our GAAP book value on a mark-to-market basis.

繼續討論投資組合。正如比爾所提到的，第四季度的特點是利率大幅上升，也是自 2022 年初以來殖利率曲線首次呈現正向傾斜的完整季度。10年期和2年期公債利差較第三季擴大19個基點。同時，機構MBS利差略有擴大，而非機構信貸利差則有所收緊。雖然這種利率環境提供了引人注目的投資機會，但也對我們的以市價計算的 GAAP 帳面價值產生了負面影響。

It's important to note that the change in book value was a direct result of the changes in interest rates and credit spreads and not the result of any unexpected credit deterioration. In fact, credit performance remained strong across our various loan products, and we expect to further enhance our asset level credit risk management capabilities with the Palisades acquisition.

值得注意的是，帳面價值的變化是利率和信用利差變化的直接結果，而不是任何意外信用惡化的結果。事實上，我們各類貸款產品的信貸表現依然強勁，我們預期透過收購 Palisades 進一步增強我們的資產水準信貸風險管理能力。

Recall, our loan portfolio is primarily financed using non-recourse term securitization. This allows us to isolate credit risk while locking in our net interest margin and supporting our dividend paying ability. While non-recourse securitization financing provides structural leverage advantages compared to recourse debt, it can also introduce book value volatility during periods of sharp rate movements. And since we anticipate this question will come up in Q&A, through the end of business yesterday, we estimate our GAAP book value has increased approximately 3% due to rate and spread movements since year-end.

回想一下，我們的貸款組合主要採用無追索權定期證券化進行融資。這使我們能夠隔離信用風險，同時鎖定我們的淨利差並支持我們的股息支付能力。無追索權證券化融資與有追索權債務相比具有結構性槓桿優勢，但在利率劇烈波動期間也可能引入帳面價值波動。由於我們預計該問題將在問答環節出現，截至昨天營業結束，我們估計自年底以來，由於利率和利差變動，我們的 GAAP 帳面價值已增加約 3％。

During the quarter, we purchased $129 million of short-duration residential transition loans and were net sellers of $452 million in agency CMOs. And we ended the year with a $12.3 billion investment portfolio, consisting of $10.7 billion of residential loans, $1.1 billion of non-agency RMBS and $519 million of Agency MBS. Our residential loan book includes $9.6 billion of seasoned legacy reperforming loans 566 million of loans collateralized by investment properties, $389 million of prime jumbo and $213 million of residential transition loans.

在本季度，我們購買了 1.29 億美元的短期住宅過渡貸款，並淨賣出了 4.52 億美元的代理 CMO。到年底，我們的投資組合達到 123 億美元，其中包括 107 億美元的住宅貸款、11 億美元的非機構 RMBS 和 5.19 億美元的機構 MBS。我們的住宅貸款包括 96 億美元的成熟遺留重組貸款、5.66 億美元的投資性房地產抵押貸款、3.89 億美元的優質巨額貸款和 2.13 億美元的住宅過渡貸款。

Our seasoned reperforming loan portfolio, which makes up the vast majority of our GAAP assets, were on average originated over 17 years ago and have delevered considerably as a result of years of principal amortization and rising home values. The portfolio's average loan balance is approximately $99,000 with an estimated loan-to-value ratio of 40%. Credit performance remained stable with serious delinquencies effectively flat quarter-over-quarter at 9.1% and down from 9.9% in the same period last year. The average interest rate on the portfolio sits right at 6% or just about 100 basis points below today's 30-year fixed mortgage rate of 6.9%. Given elevated mortgage rates, prepayments have remained range-bound for the last two years and that continued in Q4 with speeds holding in the 6% to 7% range.

我們經驗豐富的再貸款組合構成了我們 GAAP 資產的絕大部分，這些貸款平均起源於 17 年前，由於多年的本金攤銷和房屋價值上漲，其槓桿率已大幅降低。該投資組合的平均貸款餘額約為 99,000 美元，估計貸款價值比率為 40%。信貸表現維持穩定，嚴重拖欠率與上一季基本持平，為 9.1%，低於去年同期的 9.9%。該投資組合的平均利率正好為 6%，比當今 30 年期固定抵押貸款利率 6.9% 低約 100 個基點。由於抵押貸款利率上升，過去兩年預付款項一直維持在區間波動，第四季度也延續了這一趨勢，利率保持在 6% 至 7% 的區間內。

While our portfolio has limited exposure to the recent Southern California wildfires, our thoughts are with all the affected families and individuals in those communities, including many of our close friends and colleagues. As for our exposure, while preliminary and subject to change, using property-level longitude and latitude coordinates, we have 36 properties located within a 5,000 square foot buffer zone of the wildfire boundaries. Four of these properties have confirmed damage. We have two confirmed cases of affected borrowers requesting assistance as a result of having to relocate due to smoke damage.

雖然我們的投資組合對最近的南加州山火的關注有限，但我們的想法與這些社區所有受影響的家庭和個人同在，其中包括我們許多親密的朋友和同事。至於我們的曝光度，雖然是初步的並且可能會發生變化，但使用財產級經度和緯度座標，我們有 36 處房產位於野火邊界 5,000 平方英尺的緩衝區內。其中四處房產已確認受損。我們已經確認有兩起受影響的借款人因煙霧損害而不得不搬遷而請求援助的案例。

Our asset management team continues to actively monitor developments and remain in close coordination with our mortgage loan servicing partners to ensure impacted borrowers receive support, communication is fluid and our exposure is properly mitigated. While some areas affected remain inaccessible or close to the public, we currently do not expect any material economic impact on our portfolio from these events.

我們的資產管理團隊繼續積極監控事態發展，並與我們的抵押貸款服務合作夥伴保持密切協調，以確保受影響的借款人獲得支持、溝通順暢並適當減輕我們的風險。雖然一些受影響的地區仍然無法進入或遠離公眾，但我們目前預計這些事件不會對我們的投資組合產生任何重大的經濟影響。

I'll speak briefly about portfolio financing. We ended the year with $7.1 billion of non-recourse securitized financing collateralized by our residential loan portfolio. Additionally, we had $2.8 billion of secured recourse liabilities collateralized by a combination of loans, some of our retained interest and securitizations as well as our non-agency and agency MBS portfolios. Of our $2.8 billion of secured repo, $2.2 billion or 77% was floating rate and importantly, nearly half or $1.3 billion was non-mark-to-market or limited mark-to-market. Our average repo funding cost declined by 22 basis points during the quarter due in part to Federal Reserve policy easing. During the year, our recourse financing increased by $392 million, with over 90% of the increase attributable to the growth in the agency CMO portfolio.

我將簡單談談投資組合融資。截至年底，我們以住宅貸款組合為抵押的無追索權證券化融資總額達 71 億美元。此外，我們還有 28 億美元的擔保追索權負債，由貸款、部分保留權益和證券化以及非機構和機構 MBS 投資組合作為抵押。在我們的 28 億美元的擔保回購中，有 22 億美元（77%）是浮動利率，重要的是，近一半（13 億美元）是非以市價計價或有限以市價計價。由於聯準會政策放鬆，我們的平均回購融資成本在本季下降了 22 個基點。本年度，我們的追索權融資增加了 3.92 億美元，其中 90% 以上的增幅歸因於代理商 CMO 投資組合的成長。

Subsequent to year-end, in January, we closed our first securitization of 2025, effectively financing $287 million of investor loans. These loans carry a 7.9% average interest rate, an average credit score of 748 and an average loan-to-value ratio of 64%. We ended up selling $276 million of senior securities, representing 96% of the capital structure at a 5.8% cost of funds with strong demand from institutional investors across the capital structure, and we retained $12 million in subordinate and interest-only securities.

年底之後，也就是 1 月份，我們完成了 2025 年首次證券化，有效為 2.87 億美元的投資者貸款提供融資。這些貸款的平均利率為 7.9%，平均信用評分為 748，平均貸款價值比為 64%。我們最終出售了價值 2.76 億美元的優先證券，佔資本結構的 96%，資金成本為 5.8%，整個資本結構中的機構投資者需求強勁，並且我們保留了價值 1200 萬美元的次級證券和僅付利息證券。

With respect to our interest rate hedges, we maintain hedges primarily for the purpose of reducing risk related to our floating rate liabilities in order to maintain our EAD and dividend paying ability. We ended the year with $1.5 billion of active interest rate swaps with a weighted average pay fixed rate of 3.56%, effectively locking in a fixed rate on approximately 69% of our floating rate liabilities, or 56%, including our floating rate preferred equity. In addition, in January, we further optimized our liability hedges by exercising the $500 million swaption with a fixed pay rate of 3.45%, shorting $50 million of swap futures and purchasing a $1 billion two-year interest rate cap at a 3.95% strike.

關於我們的利率對沖，我們維持對沖主要是為了降低與浮動利率負債相關的風險，以維持我們的 EAD 和股息支付能力。截至年底，我們的活躍利率互換總額為 15 億美元，加權平均固定利率為 3.56%，有效鎖定了約 69% 浮動利率負債（包括浮動利率優先股在內的 56%）的固定利率。此外，1 月份，我們進一步優化了負債對沖，行使了 5 億美元的互換選擇權（固定支付率為 3.45%）、做空 5,000 萬美元的互換期貨，併購買了 10 億美元的兩年期利率上限（執行率為 3.95%）。

Moving on to the topic of portfolio construction. We enjoy a stable portfolio of seasoned, well-equitized and consistently paying reperforming loans. However, to echo Phil's opening remarks, we are committed to and excited about the opportunity to use that foundation to further develop a resilient and diversified investment portfolio. Capital for this diversification effort can be sourced organically from our cash and unencumbered assets, portfolio paydowns and also from equity capital that is embedded in our delevered securitizations where we retain the right to call or redeem the senior securities.

繼續討論投資組合建構的議題。我們擁有穩定的貸款組合，包括經驗豐富、資產負債良好且持續償還的貸款。然而，與菲爾的開場白相呼應，我們致力於並且很高興有機會利用這個基礎進一步開發一個有彈性和多樣化的投資組合。這項多元化努力的資金可以從我們的現金和無抵押資產、投資組合償還款項以及嵌入我們去槓桿證券化的股本資本中有機獲取，我們保留贖回或贖回優先證券的權利。

As we elect to exercise these call rights, we can either sell the loans or refinance them into a new securitization. In each case, this has the effect of unlocking capital that will give us the ability to redeploy into complementary investments. Credit fundamentals in housing finance are strong and optimism is priced into many asset classes. We are focused on making purposeful allocations in areas that we believe will enhance our portfolio construction, diversification, risk profile and supplement our overall risk-adjusted return. Currently, the areas of focus that we believe have the potential to enhance the long-term durability of our portfolio, include possible allocations to agency MBS, mortgage servicing rights and perhaps continue to increase our allocation to short duration, high-yielding residential transition loans.

當我們選擇行使這些贖回權時，我們可以出售貸款或將其再融資為新的證券。在每種情況下，這都會產生釋放資本的效果，使我們能夠重新部署到互補投資。房屋融資的信貸基本面強勁，樂觀情緒已反映到許多資產類別。我們專注於在我們認為可以增強我們的投資組合建立、多樣化、風險狀況並補充我們的整體風險調整回報的領域進行有目的的分配。目前，我們認為有潛力增強我們投資組合的長期耐久性的重點領域包括可能分配給機構MBS和抵押貸款服務權，以及可能繼續增加對短期、高收益住宅過渡貸款的分配。

The agency allocation is intended to provide balance to the portfolio with a more liquid asset base relative to the less liquid subordinate securities we retained from our securitization programs. That liquid portion of the portfolio will allow us to pivot quickly into credit opportunities and we can dynamically ratchet up the agency allocation to capture relative value opportunities when they emerge or take a more defensive posture during periods of market stress.

機構配置的目的是透過更具流動性的資產基礎（相對於我們從證券化計劃中保留的流動性較差的次級證券）為投資組合提供平衡。投資組合中的流動性部分將使我們能夠迅速轉向信貸機會，並且我們可以動態地增加代理配置，以在相對價值機會出現時抓住它們，或者在市場壓力期間採取更具防禦性的姿態。

Similarly, we see MSRs as an important component of our near-term investment strategy. Not only do we view the asset class as one that can produce an attractive risk-adjusted return but can also serve as a natural hedge to our loan portfolio and help offset book value volatility associated with movements in interest rates. Our investment team has a reach and infrastructure to source and manage products across the residential spectrum, and we seek to continue deploying these resources in the quarters to come.

同樣，我們將 MSR 視為我們近期投資策略的重要組成部分。我們認為該資產類別不僅能夠產生具有吸引力的風向調整回報，而且可以作為我們貸款組合的自然對沖，並有助於抵消與利率變動相關的帳面價值波動。我們的投資團隊擁有豐富的資源和基礎設施來採購和管理整個住宅領域的產品，我們希望在未來幾季繼續部署這些資源。

Turning to resources. One of the most compelling aspects of our combined platform is the strength of our scaled infrastructure, advanced data management capabilities and proprietary technologies. These tools are designed to empower our asset and investment management teams and optimize key workflows by enhancing asset level outcomes from the pre-acquisition due diligence phase through post-closing default management and loss mitigation, we work closely with our servicing partners to drive efficiency and performance across the portfolio.

轉向資源。我們的綜合平台最引人注目的方面之一是我們的規模基礎設施、先進的資料管理能力和專有技術的強大性。這些工具旨在增強我們的資產和投資管理團隊的能力，並透過提高從收購前盡職調查階段到交易結束後違約管理和損失緩解的資產水準結果來優化關鍵工作流程，我們與我們的服務合作夥伴密切合作，以提高整個投資組合的效率和績效。

In just the first eight weeks since the acquisition, we have already taken the first step in this initiative by having Palisade's advisory services named as the asset manager on our first securitization of 2025. And and we plan on continuing to roll out this capability across the broader portfolio.

自收購以來的短短八週內，我們已邁出了這一舉措的第一步，即聘請 Palisade 的諮詢服務擔任我們 2025 年首次證券化的資產管理人。我們計劃繼續在更廣泛的產品組合中推出這項功能。

Finally, I would like to reiterate Phil's comments about Palisade's acquisition. Our third-party asset and investment management capability presents a significant opportunity to grow our fee-based revenue by providing clients with diversified access to residential credit products and portfolios. This includes non-discretionary customized solutions, discretionary separate accounts and private asset-backed credit bonds. Palisades has experienced steady growth in recent years. However, by uniting these capabilities under the scaled Chimera platform, we expect to unlock substantial resources and enhance our ability to serve a broader range of institutional clients, including insurance companies, asset managers, endowments, foundations and other institutional investors and allocators.

最後，我想重申 Phil 對 Palisade 收購的評論。我們的第三方資產和投資管理能力透過向客戶提供多樣化的住宅信貸產品和投資組合，為增加我們的收費收入提供了重要機會。其中包括非全權委託客製化解決方案、全權委託單獨帳戶和私人資產支持信用債券。近年來，Palisades 一直保持著穩定成長。然而，透過在規模化的 Chimera 平台下整合這些功能，我們期望釋放大量資源並增強我們服務更廣泛的機構客戶的能力，包括保險公司、資產管理公司、捐贈基金、基金會和其他機構投資者和配置者。

We see these partnerships as highly complementary to our investment sourcing efforts for the REIT portfolio. The diverse capital base from our advisory clients and credit funds not only enhances our market reach but also positions our team as a solutions provider in periods of market stress.

我們認為這些合作關係與我們為房地產投資信託基金 (REIT) 投資組合尋找投資來源的努力高度互補。來自我們的諮詢客戶和信貸基金的多元化資本基礎不僅增強了我們的市場覆蓋範圍，而且使我們的團隊成為市場壓力時期的解決方案提供者。

In closing, the combination of the Palisades and Chimera team strengthens our position as a leader in mortgage credit. Our combined team is passionate and takes great pride in our activities within this dynamic and the central industry, and our team remains committed to executing our strategy with discipline and focus as we move into 2025.

最後，Palisades 和 Chimera 團隊的合併加強了我們在抵押貸款領域的領先地位。我們的聯合團隊充滿熱情，並對我們在這個充滿活力的核心行業中的活動感到非常自豪，在邁向 2025 年之際，我們的團隊將繼續致力於以紀律性和專注度執行我們的策略。

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

我們的發言到此結束。我們現在開始回答問題。

Thank you. The floor is now open for questions. (Operator Instructions) Bose George, KBW.

謝謝。現在請大家提問。(操作員指示) Bose George，KBW。

Can you talk about incremental ROEs and what you see as the normalized ROE, just given the current rate environment, which looks like it's going to be higher for longer?

您能否談談增量 ROE 以及您認為的標準化 ROE 呢？

Bose, this is Jack. Just with respect to normalized ROE, if you're referring to sort of what the opportunities we are looking at in the market today and where we're seeking to allocate capital. I mean, our target return, at least on invested assets, is going to be in that mid-teens area. And I think in the areas that we're focused on, notwithstanding the agency MBS, which has a purpose within our portfolio, but not necessarily seeking to be the driver of returns with respect to MSRs and certainly, what we're investing in on the RTL side of the portfolio, those are all hitting those types of return targets.

博斯，這是傑克。僅就標準化 ROE 而言，如果您指的是我們今天在市場上看到的機會以及我們尋求分配資本的地方。我的意思是，我們的目標報酬率，至少對於投資資產而言，將達到十幾歲的水平。我認為，在我們關注的領域中，儘管機構 MBS 在我們的投資組合中有一個目的，但不一定尋求成為 MSR 回報的驅動力，當然，我們在投資組合的 RTL 方面進行投資，這些都達到了這些類型的回報目標。

With that being said, as we think about the entire portfolio, we're in a position of receiving paydowns, re-levering our deals. And when we do that, that will have the intended effect of allowing us to reinvest into higher-yielding assets than what is currently producing.

話雖如此，當我們考慮整個投資組合時，我們正處於獲得回報、重新利用我們的交易的狀態。當我們這樣做時，將產生預期的效果，讓我們能夠重新投資於比當前產量更高收益的資產。

And so on a net basis for the portfolio to kind of roll forward to, say, a double-digit net ROE, is there a way to think about the timeline for that to happen?

那麼，在淨基礎上，投資組合要向前滾動到兩位數的淨 ROE，有沒有辦法考慮實現這一目標的時間表？

Yeah, I mean, it's a good question, and we talk about that a lot, and it really is a function of market conditions. When we think about areas where we have availability of capital, that's going to come from the things that we mentioned in our prepared remarks, organically at least with respect to relevering some of our securitizations where we have the call rights. And so we're constantly looking at those deals to understand what the economic impact of calling those deals are and redeploying that into new investments. So it's really hard to predict sort of what the timeline is to reposition the portfolio, but that's definitely something that is top of mind for the balance of 2025.

是的，我的意思是，這是一個很好的問題，我們也經常談論這個問題，它確實是市場條件的一個函數。當我們考慮擁有可用資本的領域時，這將來自於我們在準備好的評論中提到的內容，至少在重新利用我們擁有贖回權的一些證券化方面是有機的。因此，我們不斷關注這些交易，以了解這些交易的經濟影響，並將其重新部署到新的投資中。因此，很難預測重新定位投資組合的時間表，但這絕對是 2025 年平衡期間首要考慮的事情。

And then just switching over to book value. Can you just talk about sort of the book value roll forward this quarter, just the drivers of the change?

然後就轉換為帳面價值。您能否談談本季帳面價值的滾動變化以及變化的驅動因素？

Yes. I mean, again, this is Jack. I mean, the book value change was somewhat nuanced and a lot of it was driven by the steepening of the yield curve in December. Where, I mean, we saw a bigger -- well, typically, the loans in our securitized debt, they move in some -- they're somewhat correlated. But as we saw the longer end of the curve rise in December, in particular, relative to the short end, then credit spreads heightened that had the effect of having a disproportionate impact on the value of our loans relative to our securitized debt.

是的。我再說一遍，這是傑克。我的意思是，帳面價值的變化有些微妙，其中很大一部分是由 12 月殖利率曲線的陡化所推動的。我的意思是，我們看到了更大的 — — 嗯，通常，我們的證券化債務中的貸款，它們會有一些變動 — — 它們有點相關。但正如我們所看到的，12 月曲線較長的一端相對於較短的一端有所上升，因此信用利差也隨之擴大，對我們的貸款價值相對於證券化債務產生了不成比例的影響。

And one thing that is interesting to look at and how you can see that the fourth quarter was somewhat nuanced is if you look at the change in value with respect to the loans versus the securitized debt for the entire year. I think there was a $6 million overall difference, something like that, where the loan value increased by $6 million relative to securitize debt. So we do view that as somewhat of an anomaly. But if you think about our balance sheet and our investment portfolio, it really is all driven by changes in value of the loans versus securitized debt in large part.

有趣的是，如果你觀察全年貸款與證券化債務的價值變化，你會發現第四季的情況有些微妙。我認為總體差額是 600 萬美元，大概是這樣的，其中貸款價值相對於證券化債務增加了 600 萬美元。因此我們確實認為這有點異常。但如果你考慮我們的資產負債表和投資組合，你會發現，這在很大程度上都是由貸款與證券化債務價值的變化所驅動的。

Doug Harter, UBS.

瑞銀的道格·哈特（Doug Harter）。

You talked a little bit about the potential to add MSR. Can you just talk about the thoughts around potentially adding other hedges that might look to dampen book value volatility or your comfort with kind of accepting that volatility currently?

您談到了一些添加 MSR 的可能性。您能否談談關於可能增加其他對沖措施以抑制帳面價值波動的想法，或者您目前對接受這種波動的舒適度？

Yes, good question. So if you think about our strategy, our strategy is really focused on buying residential loans and securitizing them in nonrecourse term financing structures. Those term financing structures allow us to effectively lock in our net interest margin and our dividend-paying ability as long as the loans are in those financing structures. So that allows us to isolate credit risk and focus on the things that we believe are our core competency. So our hedging strategy up to this point has been focused on the floating rate liabilities, the repo that we have on where we refinance some of our non-agency securities or some of the retained portions of our securitizations.

是的，好問題。所以如果你考慮我們的策略，我們的策略實際上集中在購買住宅貸款並在無追索權定期融資結構中將其證券化。只要貸款符合這些融資結構，這些定期融資結構就使我們能夠有效地鎖定我們的淨利差和股息支付能力。這樣，我們就可以隔離信用風險，並專注於我們認為的核心競爭力。因此，到目前為止，我們的對沖策略一直集中在浮動利率負債、回購上，我們透過回購為一些非機構證券或部分證券化的保留部分進行再融資。

So if you look at all of our hedges, they really have been focused on further locking in our earnings and dividend-paying ability. So I think just as we sit here today -- as a buy and hold investor, we have taken the position that we're accepting the risk of the book value volatility. However, as it relates to hedging with derivatives. Now the MSR strategy, as you pointed out, that is a portfolio construction element that we see as being very important to add to our portfolio in an effort to stabilize book value. But instead of doing it with the yield diluting or earnings diluting derivative hedge, we're able to do that with a cash flowing asset yielding allocation to the overall portfolio.

因此，如果你看看我們所有的對沖，你會發現它們實際上都專注於進一步鎖定我們的獲利和派息能力。因此我認為，就像我們今天坐在這裡一樣——作為買入並持有的投資者，我們已經採取了接受帳面價值波動風險的立場。然而，因為它與使用衍生性商品進行對沖有關。正如您所指出的，MSR 策略是投資組合建構元素之一，我們認為將其添加到我們的投資組合中非常重要，可以穩定帳面價值。但我們不需要使用收益率或收益稀釋衍生性商品對沖來實現這一目標，而是可以透過將現金流資產收益率分配給整個投資組合來實現這一目標。

I guess just on the buy and hold strategy. As you mentioned, you lever the subordinates of the retained pieces. Is there mark-to-market risk on those retained pieces that need to be hedged? Or are those all in non-mark-to-market facilities?

我猜只是採取買入並持有的策略。正如您所提到的，您可以利用保留部分的下屬。那些需要對沖的保留部分是否有以市價計價的風險？還是這些都是非以市價計量的設施？

Yes, that's a great question. So it's a combination. I think we provide that in some of our materials. The recourse financing that we have on our non-agency and the agency as well as our retained pieces do have -- I want to say about half of it is mark-to-market and yes, so I guess the quick answer is, some of it is mark-to-market. Some of it is non-mark-to-market. The big push that we have made over the course of the last year and continue to do so is to continue to put the less liquid retained portions of these securitizations into non-mark-to-market and even fixed rate facilities.

是的，這是一個很好的問題。所以這是一個組合。我認為我們在一些材料中提供了這一點。我們對非代理和代理以及我們保留部分的追索融資確實有 - 我想說其中大約一半是按市價計價的，是的，所以我想快速的回答是，其中一些是按市價計價的。其中有些是非以市價計價的。我們在過去一年中做出的重大推動（並將繼續這樣做）是繼續將這些證券化中流動性較差的部分投入非按市價計價甚至固定利率的設施。

Eric Hagen, BTIG.

BTIG 的 Eric Hagen。

During the quarter in response to the increase in interest rates, did you receive a margin call? And can you share how much cash or liquidity you posted for that margin call?

本季度，為了因應利率上升，您是否收到了追加保證金通知？您能否分享您為此次追加保證金投入了多少現金或流動資金？

So this is Phil. So we received some margin calls that were really immaterial. That's nothing that significant.

這是菲爾。因此，我們收到了一些實際上並不重要的追加保證金通知。那沒什麼重大的。

Okay. Maybe just turning to like conditions in the securitization market. Can you maybe share how you guys are thinking about the flow of capital in response to changing expectations for the Fed to cut interest rates?

好的。或許只是轉向證券化市場的類似條件。您能否分享一下，面對聯準會降息預期的變化，你們如何看待資本流動？

I mean you can see credit spreads have been tightening over the course of 2024 as well as coming into 2025. So from our perspective, we take all of that into account, and as part of the economic analysis that we go through as we're looking to exercise our call rights and seek to pull capital out and redeploy it. So notwithstanding the CPI news that came out this morning, through yesterday, that was something that we thought was favorable conditions, continues to be good demand throughout the capital structure, especially down at the bottom end of the capital structure just in the last deal that we did our first deal of 2025 that we talked about. There was strong demand. I think that was the first time we've sold down to a BB in history.

我的意思是，你可以看到信用利差在 2024 年以及 2025 年一直在收緊。因此，從我們的角度來看，我們將所有這些都考慮在內，並將其作為我們在尋求行使贖回權並尋求撤出資本並重新部署時進行的經濟分析的一部分。因此，儘管今天早上發布了 CPI 新聞，但直到昨天，我們都認為這是有利條件，整個資本結構的需求仍然良好，特別是在資本結構底端，就在我們談到的 2025 年第一筆交易的最後一筆交易中。需求強勁。我認為這是我們歷史上第一次將股份賣給 BB。

Trevor Cranston, Citizens JMP.

特雷弗·克蘭斯頓 (Trevor Cranston)，公民 JMP。

You mentioned adding MSR as a new asset class to help partially to help hedge some of the book value volatility. Can you elaborate a little bit on what kind of MSRs you guys are potentially looking at, if it's like current coupon type of product or if it's a little bit more seasoned, lower coupon? And maybe also just provide some color on sort of how much approximate capital you'd be looking to deploy into that asset class over the next year or so?

您提到添加 MSR 作為新的資產類別，以部分幫助對沖部分帳面價值波動。您能否詳細說明您可能正在考慮哪種 MSR，它是類似當前優惠券類型的產品，還是更成熟、優惠券更低的產品？或許您還可以提供一些信息，說明未來一年左右您希望向該資產類別投入大約多少資本？

I mean I'll start in reverse order here. From an allocation perspective, it's really hard to say. I mean we do have sort of our internal model portfolio, but sort of getting to that model portfolio is a function of a whole host of things, including market conditions, how much capital we're able to pull out from the resecuritizations and relevers that we're doing. So it's hard to give a definitive answer. I will say that we are laser-focused on moving in that direction. So more to come there over the course of 2025.

我的意思是我將從這裡按相反的順序開始。從分配的角度來看，這確實很難說。我的意思是，我們確實有某種內部模型投資組合，但獲得該模型投資組合取決於多種因素，包括市場條件、我們能夠從我們正在進行的再證券化和再槓桿中提取多少資本。所以很難給出明確的答案。我想說的是，我們正全心全意地朝著這個方向前進。因此，2025 年還會有更多事情發生。

Just MSRs as an asset class, where we see value. I mean we like the MSR for a couple of different reasons. One, we are really seeking to make purposeful allocations within the portfolio. So it's not just let's look at whatever trade is in front of us at any point in time. It's really thinking about portfolio construction, how do we want this portfolio to look over the next two, three, four, five years. And MSRs are a core component of that.

我們認為 MSR 是一種資產類別，具有價值。我的意思是，我們喜歡 MSR 有幾個不同的原因。首先，我們確實希望在投資組合中進行有目的的分配。因此，我們不能只關注當前我們面臨的貿易情況。這實際上是在考慮投資組合的構建，我們希望這個投資組合在未來兩年、三年、四年、五年內是什麼樣子。而 MSR 是其中的核心組成部分。

In order to get the most bang for the buck, if you will, from the negative duration attributes of an MSR, obviously, buying at the money coupons are going to have a more substantive effect versus out of the money. But we also have to look at things from a relative value perspective. So the lower coupons that have less prepayment volatility, those, at this point in time, have some attractive relative value characteristics just because I think a lot of the market and folks are looking at that current coupon as having more of a recapture component to it, and there's value there for a lot of these originators.

為了獲得最大的收益，如果你願意的話，從 MSR 的負持續時間屬性來看，顯然，以現金優惠券購買將比以現金購買產生更實質性的影響。但我們也必須從相對價值的角度來看事物。因此，預付款波動較小的低息票，在目前這個時間點，具有一些有吸引力的相對價值特徵，因為我認為許多市場和人們都認為當前的息票有更多的回收成分，並且對許多發起人來說是有價值的。

So we'll look across the coupon stack MSRs and see where relative value is. But when we think about it, we're really putting it in the context of what is the duration offset, how is it going to stabilize the overall portfolio. So if we -- I guess I'll just end with this. We did more current coupons. We could have less of an allocation. If we had a lower coupon portfolio, we would have to allocate more equity capital in order for it to achieve our objectives.

因此，我們將查看優惠券堆疊 MSR，看看相對價值在哪裡。但是當我們思考這個問題時，我們實際上是把它放在期限抵消的背景下，考慮如何穩定整個投資組合。所以如果我們——我想我將以此結束。我們製作了更多現行優惠券。我們的分配可以減少一些。如果我們的投資組合票面利率較低，我們就必須分配更多的股本才能實現我們的目標。

And then could you guys maybe talk a little bit about your thoughts around the likelihood of GSE reform and what kind of opportunities that could present for Chimera if that were to end up happening?

那麼，你們能否談談對 GSE 改革可能性的看法，以及如果最終實現 GSE 改革，將為 Chimera 帶來什麼樣的機會？

I mean, that's a tough one. I guess when we think about it and we talk about it in our investment committee. I mean, you kind of have to start with what are the administration's stated priorities. They seem to include tariffs and trade policy, immigration, border security, government efficiency. The question is how much is GSE privatization to sort of fall into that third bucket of government efficiency. I mean, I guess the last week, probably, I think the new HUD Secretary has come out and made comments about GSE privatization.

我的意思是，這是一個艱難的問題。我想我們會考慮這個問題並在我們的投資委員會中討論這個問題。我的意思是，你必須先了解政府所提出的優先事項是什麼。它們似乎包括關稅和貿易政策、移民、邊境安全、政府效率。問題在於政府支持企業私有化在多大程度上屬於政府效率的第三個範疇。我的意思是，我想可能上週，新任住房和城市發展部長已經出來並對 GSE 私有化發表了評論。

So whether it's going to be top of mind or not is hard to say. I think from our perspective, one thing that seems to be clear and a bit of a consensus is that we do not want to -- the policymakers do not want to do anything that is going to negatively impact or disrupt the housing finance market. And it sounds like that this is going to be -- if we do go down the path of privatization, it's likely to be a long process. It will be one that we'll seek to ensure that it doesn't have a material negative effect on housing policy, and it will likely focus on core objectives of the agencies, which just promote opportunities for increasing homeownership.

因此，很難說它是否會成為人們最關心的問題。我認為從我們的角度來看，有一點似乎很清楚並且達成了共識，那就是我們不想——政策制定者不想做任何會對住房金融市場產生負面影響或擾亂的事情。聽起來如果我們真的走私有化道路，這將會是一個漫長的過程。我們將努力確保它不會對住房政策產生重大負面影響，而且它可能會專注於機構的核心目標，即促進增加房屋所有權的機會。

From our perspective, if we had to lay sort of guess, if you will, like what could be some of the possible opportunities perhaps or even risks? I mean I guess as we seek to build our agency MBS portfolio, so much of the market today is driven by headlines of the day. And as headlines come out, that could present opportunities for us to sort of leg in to agencies when the headlines cause spreads to widen.

從我們的角度來看，如果我們必須進行猜測，那麼可能存在哪些機會或風險？我的意思是，當我們試圖建立我們的機構 MBS 投資組合時，今天的市場很大一部分是受到當天頭條新聞的驅動。隨著頭條新聞的出現，這可能為我們在頭條新聞導致利差擴大時進入機構提供機會。

The other element is, if they do move towards privatization, then one eventuality could be a scenario where they do focus more on some of the core products and that can move some of the more non-core products into the non-agency space. Beyond that, it's really anybody's guess, I would say.

另一個因素是，如果他們確實走向私有化，那麼最終的結果可能是他們更專注於一些核心產品，而一些非核心產品可能會轉移到非代理領域。除此之外，我想說，這真的是任何人的猜測。

Thank you. At this time, I'd like to turn the floor back over to Mr. Kardis for closing comments.

謝謝。現在，我想把發言權交還給卡迪斯先生，請他發表最後評論。

I'd like to thank everyone for participating in our fourth quarter 2024 earnings call. And I look forward to speaking to you on our 2025 first quarter earnings call. Thank you again.

我要感謝大家參加我們的 2024 年第四季財報電話會議。我期待在 2025 年第一季財報電話會議上與您交談。再次感謝您。

Ladies and gentlemen, thank you for your participation. This concludes today's event. You may disconnect your lines and log off the webcast at this time and enjoy the rest of your day.

女士們、先生們，感謝你們的參與。今天的活動到此結束。您可以立即斷開線路並退出網路直播，享受剩餘的一天。