Chimera Investment Corp (CIM) 2025 Q1 法說會逐字稿

Ladies and gentlemen, and welcome to the Chimera Investment first-quarter 2025 earnings call. (Operator Instructions) At this time, it is my pleasure to turn the floor over to your host, Victor Falvo, Head of Capital Markets. Welcome, sir. The floor is yours.

女士們，先生們，歡迎參加 Chimera Investment 2025 年第一季財報電話會議。（操作員指示）現在，我很高興將發言權交給主持人、資本市場主管 Victor Falvo。歡迎光臨，先生。現在輪到你了。

Thank you, operator, and thank you everyone for participating in Chimera's first-quarter 2025 earnings conference call. 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.

謝謝接線員，也謝謝大家參加 Chimera 2025 年第一季財報電話會議。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。

These events are based on current expectations and assumptions that are subject to risks and uncertainties which are outlined in the risk factors section of our most recent annual and quarterly SEC filings. Actual events and results may differ materially from these forward-looking statements.

這些事件是基於當前的預期和假設，但受我們最近提交給美國證券交易委員會的年度和季度文件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。

We encourage you to read the forward-looking statement, disclaimers in our earnings release and our quarterly and annual filings. 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.

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和免責聲明。在今天的電話會議中，我們也可能會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 指標的對帳情況。

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.

此外，本次電話會議的內容可能包含僅在本次收益電話會議之日準確的時間敏感資訊。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。

Thanks, Vic, and good morning and welcome Chimera Investment Corporation's first-quarter 2025 earnings call. It's great to have you with us today. Joining me on the call are Jack Mcdowell, our Chief Investment Officer; Subra Viswanathan, our Chief Financial Officer; and Vic Falvo, our Head of Capital Markets and Investor Relations.

謝謝，維克，早上好，歡迎參加 Chimera Investment Corporation 2025 年第一季財報電話會議。今天很高興您能和我們在一起。參加電話會議的還有我們的首席投資長 Jack Mcdowell、我們的財務長 Subra Viswanathan 以及我們的資本市場和投資者關係主管 Vic Falvo。

After my remarks, Subra will review the financial results, and then Jack will review the portfolio before opening the call for questions. This has been a strong quarter for Chimera. Earnings available for distribution improved by 11%. Our book value increased by 7.4%, and our economic return was 9.2%. This quarter also marks something new. It was our first full quarter since acquiring Palisades.

在我發言之後，Subra 將審查財務結果，然後 Jack 將審查投資組合，然後開始提問。對於 Chimera 來說，這是一個表現強勁的季度。可供分配的收益提高了11%。我們的帳面價值成長了7.4%，經濟報酬率為9.2%。本季也出現了一些新情況。這是我們收購 Palisades 以來的第一個完整季度。

The integration was fast, seamless. Cultural fit, excellent. Strategic alignment, even better. Whether it's third-party advisory, portfolio oversight, or core investment strategy, Palisades is now part of the Chimera platform.

整合過程快速、無縫。文化契合度非常好。戰略協調，甚至更好。無論是第三方諮詢、投資組合監督或核心投資策略，Palisades 現在都是 Chimera 平台的一部分。

Third party loans under management by Palisades Advisory Services are up 43% year over year, including an increase of $1.5 billion during the first quarter to nearly $24 billion. Today, when you combine our on balance sheet assets with the assets we manage for others, we're at nearly $37 billion.

Palisades Advisory Services 管理的第三方貸款年增 43%，其中第一季增加 15 億美元，達到近 240 億美元。今天，如果將我們的資產負債表上的資產與我們為他人管理的資產加在一起，總資產將接近 370 億美元。

That's everything in the residential mortgage market from re-performing, jumbo prime, residential transition, and Non-QM loans to agency RMBS and residential equity products. It's a deep, diversified residential mortgage platform, and it's backed by over $2.6 billion in equity.

這涵蓋了住宅抵押貸款市場的一切，從重新履行貸款、巨額優質貸款、住宅過渡貸款、非 QM 貸款到機構 RMBS 和住宅股權產品。它是一個深度、多元化的住宅抵押貸款平台，擁有超過 26 億美元的股權支持。

Why does this matter? Because we are not just adding businesses, we're building capabilities. We're diversifying our revenue, and it's already having a real impact on our bottom line. We also made impactful balance sheet moves. This quarter, we exercised our call rights on all our non-emic securitizations and issued two new securitizations backed by those loans.

這為什麼重要？因為我們不只是增加業務，我們還在建立能力。我們正在實現收入多元化，這已經對我們的利潤產生了實際影響。我們也做出了有影響力的資產負債表調整。本季度，我們行使了所有非通膨證券化的贖回權，並發行了兩筆由這些貸款支持的新證券化。

This was effectively a cash out refinancing that unlocked $187 million at a reinvestment hurdle below 6%. And there's more. In January, we acquired and securitized $288 million in Non-QM loans. We're holding the retained bonds unlevered on our balance sheet and expect a low teen return.

這實際上是現金再融資，在低於 6% 的再投資門檻下解鎖了 1.87 億美元的資金。還有更多。一月份，我們收購並證券化了 2.88 億美元的非 QM 貸款。我們在資產負債表上持有未槓桿的保留債券，並預期較低的報酬率。

In March we picked up $149 million of agency specified pools. We also settled $100 million in residential transition loans during the quarter. In each case, we expect mid-team leverage returns. And lastly, we refinanced two key non-mark to market facilities before market volatility hit. Increasing their capacity, improving their terms, and extending their maturities.

3 月份，我們從機構指定資金池中獲得了 1.49 億美元的資金。本季我們也結算了 1 億美元的住宅過渡貸款。在每種情況下，我們都期望中隊槓桿回報。最後，我們在市場波動來臨之前對兩項關鍵的非以市價計價工具進行了再融資。提高其承保能力、改善其條款並延長其期限。

Importantly, we extracted more than $100 million of additional cash from these refinancings. So what's next? Even in a volatile market, we're holding steady. As of earlier this week, we estimate the current book value to be flat to slightly down from the end of the first quarter.

重要的是，我們從這些再融資中提取了超過1億美元的額外現金。那麼下一步是什麼？即使在動盪的市場中，我們也能保持穩定。截至本週早些時候，我們估計當前帳面價值與第一季末持平或略有下降。

We're continuing to grow our third party loans under management. We're adding agency RMBS, assets that deliver returns, liquidity, and flexibility, and we're doing it all with a stronger balance sheet and more liquidity than we had at the start of the year.

我們管理的第三方貸款規模正在持續成長。我們正在增加機構 RMBS，即能夠帶來回報、流動性和靈活性的資產，而且我們正在以比年初更強勁的資產負債表和更多的流動性來實現這一切。

Looking ahead to the rest of 2025, we're staying focused. We expect to diversify the portfolio, grow recurring fee income, add liquidity, and look for opportunities to add a creative platforms. Here's the big takeaway. We're not just playing defense. We're building Chimera into a hybrid mortgage that's resilient and diversified.

展望 2025 年剩餘時間，我們將繼續保持專注。我們希望實現投資組合多元化，增加經常性費用收入，增加流動性，並尋找機會增加創意平台。這是最重要的一點。我們不只是在防守。我們正在將 Chimera 打造成為一種具有彈性和多樣化的混合抵押貸款。

Now, I'll hand it off to Subra to walk you through the financials.

現在，我將把這個交給 Subra，讓他向您介紹財務狀況。

Thank you, Phil. I will review Chimera's financial highlights for the first quarter of 2025. GAAP net income for the first quarter was $145.9 million or $1.77 per share. GAAP book value at the end of the first quarter was $21.17 per share. For the first quarter, our economic return on GAAP book value was 9.2% based on the quarterly change in book value and the $0.37 first quarter dividend per common share.

謝謝你，菲爾。我將回顧 Chimera 2025 年第一季的財務亮點。第一季 GAAP 淨收入為 1.459 億美元，即每股 1.77 美元。第一季末的 GAAP 帳面價值為每股 21.17 美元。第一季度，根據季度帳面價值變化和每股 0.37 美元的第一季股息，我們的 GAAP 帳面價值經濟回報率為 9.2%。

On an earnings available for distribution basis, net income for the first quarter was $33.5 million or $0.41 per share. Our economic net interest income for the first quarter was $72.3 million. For the first quarter, the yield on average interest earning assets was 5.9%. Our average cost of funds was 4.4%, and our net interest rate was 1.5%. Total leverage for the first quarter was 3.9 to 1, while recourse's leverage ended the quarter at 1.2 to 1.

以可供分配收益計算，第一季淨收入為 3,350 萬美元，即每股 0.41 美元。我們第一季的經濟淨利息收入為 7,230 萬美元。第一季平均生息資產收益率為5.9%。我們的平均資金成本為4.4%，淨利率為1.5%。第一季的總槓桿率為 3.9 比 1，而本季末的 recourse 槓桿率為 1.2 比 1。

For liquidity and securitized financing, the company ended the quarter with $697 million in total cash and unencumbered assets. In January, we closed on our CIM 2025-I1 securitization as part of a strategy to mitigate securitization, execution risks on certain securitizations. We were short two year treasury future contracts to protect the net interest spread of CIM 2025-I1.

對於流動性和證券化融資，該公司本季末的現金和無抵押資產總額為 6.97 億美元。今年 1 月，我們完成了 CIM 2025-I1 證券化，這是減輕某些證券化執行風險的策略的一部分。我們做空兩年期公債期貨合約，以保護 CIM 2025-I1 的淨利差。

This short position was closed out in January. In March, we exercised our call rights and terminated seven outstanding CIM securitizations and refinanced the loans with two new CIM securitizations enabling the company to extract $187 million in cash.

該空頭部位已於一月平倉。3 月份，我們行使了贖回權，終止了 7 筆未償還的 CIM 證券化，並透過兩筆新的 CIM 證券化對貸款進行了再融資，使公司能夠提取 1.87 億美元現金。

Jack will review in more detail the economics of this activity during his prepared remarks. For repo and hedging, we had $2 billion floating rate sensitivity on our outstanding repo liabilities, and we had $3.2 billion in notional value of various interest rate hedges. Of this total we have $1.5 billion hedge positions rolling off during the second quarter, which will result in a more balanced liability hedge position.

傑克將在準備好的發言中更詳細地回顧這項活動的經濟效益。對於回購和對沖，我們對未償還回購債務的浮動利率敏感度為 20 億美元，各種利率對沖的名目價值為 32 億美元。其中，有 15 億美元的對沖部位將在第二季結轉，這將使負債對沖部位更加平衡。

We had $1.4 billion in either non or limited mark to market features on our outstanding repo agreements representing 47% of our secure recourse funding.

我們的未償還回購協議中有 14 億美元是非以市價計價或以市價計價的，占我們安全追索權融資的 47%。

During the quarter, we converted a long position in $500 million swaption into a one-year pay fixed interest rate swaps with a rate of 3.45%. This quarter we also entered into a $1 billion two year so for interest rate cap with a 3.95% strike to protect against future interest rate movements as existing interest rate swaps mature.

在本季度，我們將 5 億美元掉期選擇權的多頭部位轉換為一年期固定利率掉期，利率為 3.45%。本季度，我們還簽訂了一項為期兩年、金額達 10 億美元的利率上限協議，執行利率為 3.95%，以防止現有利率互換到期時出現的未來利率波動。

We executed on a total of $155 million pay fixed (inaudible) swap futures at a weighted average par rate equivalent pay fixed rate of 3.84%. For the first quarter of 2025, our economic net interest return on average equity was 11.2%.

我們執行了總額為 1.55 億美元的固定支付（聽不清楚）掉期期貨，加權平均票面利率相當於 3.84% 的固定支付利率。2025 年第一季度，我們的平均股本經濟淨利息回報率為 11.2%。

Our GAAP return on average equity was 25.9%, and our EAD return on average equity was 8.1%. And lastly, compensation, general administrative, and servicing expenses were marginally higher quarter over quarter, when excluding imputed compensation expenses related to the Palisade's acquisition. Our transaction expenses were $5.7 million this quarter, reflecting the costs associated with increased securitization activity.

我們的 GAAP 平均股本回報率為 25.9%，我們的 EAD 平均股本回報率為 8.1%。最後，若不包含與 Palisade 收購相關的估算薪資費用，薪資、一般行政和服務費用較上季略有上升。本季我們的交易費用為 570 萬美元，反映了與證券化活動增加相關的成本。

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

現在我將把電話轉給傑克來審查我們的投資組合和證券化活動。

Thanks, Subra and good morning everyone. I'll provide a brief overview of our investment activity during the first quarter, as well as provide insight as to how we were positioned heading into April's volatility.

謝謝，Subra，大家早安。我將簡要概述我們在第一季的投資活動，並提供有關我們如何應對四月份波動的見解。

During the quarter, markets continued adjusting to the new administration's policy priorities, namely immigration reform, efforts to improve government efficiency, and an emphasis on redefining global trade partnerships.

本季度，市場繼續適應新政府的政策重點，即移民改革、努力提高政府效率以及強調重新定義全球貿易夥伴關係。

Interest rate volatility remained contained through mid-February, but spiked on February 19 after the January FOMC minutes reinforced a more hawkish, higher for longer stance. Volatility peaked in early March, and then eased following the release of a softer than expected February PPI, and a well received 10-year treasury auction on March 12.

2 月中旬，利率波動性仍受到控制，但在 2 月 19 日，即 1 月 FOMC 會議紀要強調更強硬、長期利率走高的立場後，利率波動性大幅上升。波動性在 3 月初達到頂峰，隨後隨著 2 月份 PPI 數據低於預期以及 3 月 12 日 10 年期國債拍賣大獲成功而有所緩解。

Over the course of the quarter, Treasury yields rallied 36 basis points across 2s and 10s, maintaining the year-end curve steepness of 33 basis points. Credit spreads wind during the period, with investment grade and high yield corporate spreads gapping out by 14 and 60 basis points respectively. Instructured products, Non-QM AAA spreads win by 25 basis points while BBB's backed up by 10.

本季度，美國公債殖利率在 2 年期和 10 年期殖利率上上漲了 36 個基點，維持了年底 33 個基點的曲線陡度。在此期間，信用利差不斷擴大，投資等級和高收益公司債利差分別擴大 14 個基點和 60 個基點。在結構化產品中，非 QM AAA 利差增加 25 個基點，而 BBB 利差則上漲 10 個基點。

In the agency space, current coupon OAS traded within an 18 basis point range versus swaps and 13 basis points versus treasuries, ending the quarter roughly unchanged. Housing conditions continue to moderate. National home price growth in February was 3.9% year over year, with markets in Texas and Florida flat to down, while Northeast cities, along with Chicago and Cleveland posting stronger gains in the 6% to 8% range. Resale inventory rose 20% year over year, but remains roughly 46% below pre-pandemic levels.

在代理領域，目前票面利率 OAS 與掉期交易在 18 個基點範圍內，與國債交易在 13 個基點範圍內，本季末基本保持不變。住房條件持續緩和。2 月全國房價年增 3.9%，其中德州和佛羅裡達州的市場持平或下降，而芝加哥和克利夫蘭等東北部城市則出現 6% 至 8% 的強勁漲幅。轉售庫存年增 20%，但仍比疫情前的水準低約 46%。

Affordability remains challenged, with 30-year mortgage rates averaging around 7% throughout the quarter based on bank rate statistics. Existing home sales declined to a 4 million unit annualized pace, marking the slowest first-quarter print since 2009. Single family housing starts were down 14% from the prior quarter as builders remained cautious in the face of rate pressures, price uncertainty, and input cost volatility.

負擔能力仍面臨挑戰，根據銀行利率統計，本季 30 年期抵押貸款利率平均約為 7%。現房銷售量年率下降至 400 萬套，為 2009 年以來第一季最慢增速。由於建商在利率壓力、價格不確定性和投入成本波動面前仍保持謹慎，獨棟住宅開工量較上一季下降了 14%。

That said, mortgage credit fundamentals remain healthy. Borrower equity is at record levels, and both delinquency and foreclosure activity remain near historic lows. Early April brought renewed volatility tied to the announcement of US tariffs.

儘管如此，抵押貸款信貸基本面依然健康。借款人權益處於創紀錄水平，拖欠率和止贖活動仍接近歷史低點。四月初，美國宣布徵收關稅，市場再次出現波動。

The move index surged more than 50% in just over a week, and unusually, Treasury yields sold off amid the volatility on speculation of foreign selling and purported unwinds of levered basis trades. Credit spreads wind across both corporate and structured product markets, while volatility has since moderated, forecasts have generally shifted to reflect lower growth expectations and increased inflation risk for the balance of the year.

移動指數在短短一周多的時間裡飆升了 50% 以上，而且不同尋常的是，由於市場猜測外國拋售以及槓桿基差交易的平倉，美國國債收益率在市場波動中遭到拋售。信用利差在企業和結構性產品市場上波動，儘管波動性已經有所緩和，但預測已普遍轉向反映今年剩餘時間的成長預期下降和通膨風險上升。

Amid this backdrop, our season reperforming loan portfolio, which comprises the majority of our GAAP assets, continued to perform in line with expectations. Serious delinquencies were stable at 8.9%, and pre-payments ticked down to 5.5%. Our Palisades Advisory Services asset management team remained focused on integrating the portfolio into our systems with an emphasis on driving positive outcomes in the loan book.

在此背景下，我們季度表現優異的貸款組合（占我們大部分 GAAP 資產）繼續表現符合預期。嚴重拖欠率穩定在 8.9%，預付款率小幅下降至 5.5%。我們的 Palisades 諮詢服務資產管理團隊始終致力於將投資組合整合到我們的系統中，重點是推動貸款帳簿的正面成果。

Our book value increased 7.4% during the quarter, largely driven by compression by yield compression and performing loans, which was partially offset by wider yields in the non-performing loan cohort. Yields on securitized debt were largely unchanged as spreads wind rapidly in the last week of March, neutralizing much of the rate rally during the quarter.

本季我們的帳面價值成長了 7.4%，這主要是由於收益率壓縮和正常貸款的壓縮，但被不良貸款群體收益率的擴大部分抵消。由於三月最後一周利差迅速縮小，抵消了本季大部分利率上漲的勢頭，證券化債務收益率基本上保持不變。

We continue to deploy capital in a deliberate and disciplined manner. In light of the macro backdrop, we have built additional liquidity and positioned our portfolio to withstand volatility, spread widening, and funding shocks if they were to emerge. Importantly, this should also allow us to be opportunistic during periods of market dislocation.

我們將繼續以審慎且有紀律的方式部署資本。鑑於宏觀背景，我們建立了額外的流動性，並調整了投資組合，以抵禦可能的波動、利差擴大和融資衝擊。重要的是，這也能讓我們在市場混亂時期抓住機會。

During the quarter, we settled a $288 million DSCR securitization and purchased $149 million of specified pools. We also closed $100 million of short duration residential transition loans and committed to another $32 million for settlement in the second quarter.

本季度，我們結算了 2.88 億美元的 DSCR 證券化，並購買了價值 1.49 億美元的指定資金池。我們也完成了 1 億美元的短期住宅過渡貸款，並承諾在第二季再提供 3,200 萬美元的結算。

Our team continues to actively evaluate MSR opportunities with potential for us to execute in that sector later in 2025 as a way to generate attractive returns while simultaneously helping to balance the duration risk in other parts of the portfolio.

我們的團隊將繼續積極評估 MSR 機會，以便我們在 2025 年下半年在該領域執行，以產生可觀的回報，同時幫助平衡投資組合其他部分的持續時間風險。

As mentioned by Phil and Subra, some of the quarter's most impactful activity was on the liability side. We refinanced two structured repo lines with combined capacity of more than $610 million, extending the maturities by 18 and 24 months while lowering costs and securing mostly fixed rate, non-mark to market terms. This unlocked more than $100 million of investable cash at attractive rates.

正如 Phil 和 Subra 所提到的，本季最具影響力的活動集中在負債方面。我們為兩條結構性回購額度進行了再融資，總規模超過 6.1 億美元，將期限分別延長 18 個月和 24 個月，同時降低了成本，並確保了大部分固定利率、非按市價計價的條款。這以誘人的利率釋放了超過 1 億美元的可投資現金。

I'm going to pause briefly, and ask that you turn your attention to Page 16 of our investor presentation. Here we added a supplemental slide that walks through a series of transactions we completed in March. As part of these transactions, we exercised our redemption rights on all $312 million of its outstanding securities tied to our seven non-REMIC securitizations. These deals, collateralized by $646 million of season loans, had built significant embedded equity over the years as senior bonds had paid down and loan performance improved.

我將稍作停頓，請您將注意力轉向我們投資者簡報的第 16 頁。這裡我們加入了一個補充幻燈片，介紹了我們在三月完成的一系列交易。作為這些交易的一部分，我們對與我們的七個非 REMIC 證券化相關的全部 3.12 億美元未償還證券行使了贖回權。這些交易以 6.46 億美元的季節性貸款作為抵押，隨著優先債券的償還和貸款業績的改善，多年來積累了大量的嵌入式股權。

We refinanced those loans into two new securitizations totaling $517 million in senior bonds, one REMIC and one non-REMIC transaction, further enhancing the cash flow profile of our retained interest and releasing $187 million of cash for reinvestment.

我們將這些貸款再融資為兩筆新的證券化，總額為 5.17 億美元的優先債券，一筆是 REMIC 交易，另一筆是非 REMIC 交易，進一步增強了我們保留權益的現金流狀況，並釋放了 1.87 億美元現金用於再投資。

As you can see from the middle box on the slide, while our overall cost of funds went down, the additional debt will increase our annual run rate interest expense by approximately $11 million. That implies our break even return on capital is approximately 5.8%, meaning any incremental return generated in excess of 5.8% should be accreted to earnings.

從幻燈片中間的方框中可以看出，雖然我們的整體資金成本下降了，但額外的債務將使我們的年度運行利率利息支出增加約 1,100 萬美元。這意味著我們的損益平衡資本報酬率約為 5.8%，也就是說，任何超過 5.8% 的增量回報都應計入收益。

Overall, we view these transactions as foundational. They reflect our ability to generate capital organically, enhance liquidity, and continue positioning the portfolio for resilience and optionality. These actions left us well positioned entering April. We ended the quarter with $253 million in cash and $444 million of unencumbered assets.

整體而言，我們認為這些交易是基礎性的。它們反映了我們有機地產生資本、增強流動性以及繼續為投資組合提供彈性和選擇性的能力。這些行動使我們在進入四月時處於有利地位。本季末，我們擁有 2.53 億美元現金和 4.44 億美元無抵押資產。

This allowed us to comfortably hold cash during the initial period of volatility. Importantly, the resilience of our liability structure limited margin calls to less than $20 million during the during the volatility, despite the market dislocation.

這使得我們在波動的初期能夠安心地持有現金。重要的是，儘管市場出現混亂，但我們負債結構的韌性將波動期間的保證金要求限制在 2,000 萬美元以下。

By mid to late April, we began selectively adding agency MBS exposure at attractive entry points. However, we remain cautious and expect a relatively high bar for capital deployment given the ongoing uncertainty in current macro environment.

到 4 月中下旬，我們開始在有吸引力的切入點選擇性地增加機構 MBS 敞口。然而，鑑於當前宏觀環境的持續不確定性，我們仍保持謹慎，並預期資本配置的門檻將相對較高。

As we mentioned last quarter, our focus remains on constructing a durable portfolio that supports attractive risk adjuster returns through cycles. Agency, MBS and MSRs remain areas of emphasis complementing our core credit-related loan investments.

正如我們上個季度所提到的，我們的重點仍然是建立一個持久的投資組合，以支持在整個週期中獲得有吸引力的風險調整回報。代理商、MBS 和 MSR 仍然是我們補充核心信貸相關貸款投資的重點領域。

We continue to evaluate Non-QM and DSCR loans. However, we anticipate any near-term investments being opportunistic in nature, given our stated portfolio objectives. We continue to recycle capital in our short duration residential transition loan book and intend to maintain that allocation as a component of our strategy moving forward.

我們繼續評估非 QM 和 DSCR 貸款。然而，考慮到我們所述的投資組合目標，我們預期任何近期投資本質上都是機會主義的。我們將繼續在短期住宅過渡貸款帳簿中回收資本，並打算將這種分配作為我們未來策略的一部分。

This was a strong quarter. We deployed capital tactically into accretive investments, raised cash organically, and significantly improved the flexibility of our funding stack, all of which helped us navigate April's volatility and positions us well going forward. As always, we remain focused on disciplined risk management and thoughtful portfolio construction.

這是一個強勁的季度。我們將資本策略性地部署到增值投資中，有機地籌集現金，並顯著提高我們資金結構的靈活性，所有這些都幫助我們應對了四月份的波動，並為我們未來的發展做好了準備。像往常一樣，我們仍然專注於嚴格的風險管理和深思熟慮的投資組合建構。

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

我們的發言到此結束。我們現在開放問答熱線。

Thank you. Ladies and gentlemen, the floor is now open for questions. (Operator Instructions)

謝謝。女士們、先生們，現在開始提問。（操作員指示）

Doug Harter, UBS.

瑞銀的道格·哈特。

Thanks. Just first for clarification, when you said book value was flat to slightly down, so far in the second quarter, just -- can you just put some numbers around what slightly down might mean?

謝謝。首先需要澄清的是，當您說帳面價值持平或略有下降時，到目前為止，到第二季度為止，您能否用一些數字來說明一下略有下降意味著什麼？

I think as of Tuesday, Doug is down about 40 basis points.

我認為截至週二，Doug 的股價已下跌約 40 個基點。

Great, that's super helpful. And then, I guess, how should we think about the timing to deploy that extra $187 million of investment capital that you freed up with the re-securitization, and then with, kind of with that and the earnings power you delivered this quarter, how are you thinking about the dividend?

太棒了，這非常有幫助。然後，我想，我們應該如何考慮部署透過再證券化釋放的額外 1.87 億美元投資資本的時機，然後，考慮到這一點以及您本季度實現的盈利能力，您如何考慮股息？

Yeah, so I can talk quickly about the deployment of the capital. So I would say up to this point we probably deployed about 3% to 40% of it, like we said in the prepared remarks. I mean, the bar for capital deployment in this environment, certainly on the credit side is somewhat high.

是的，所以我可以快速談談資本的部署。所以我想說，到目前為止，我們可能已經部署了大約 3% 到 40%，就像我們在準備好的發言中所說的那樣。我的意思是，在這種環境下，資本配置的門檻，當然在信貸方面是比較高的。

Our focus is, right now building up that liquidity bucket. We think that's an important component of our both near term and long term strategy, so we have been deploying that into agency MBS. We see the relative value there being attractive.

我們現在的重點是建立流動性桶。我們認為這是我們近期和長期策略的重要組成部分，因此我們一直將其部署到機構 MBS 中。我們認為那裡的相對價值具有吸引力。

We also see, based on how we're hedging out the duration risk that helping with our book value volatility. So in the near term that is our focus if we were trying to predict how long it would take to deploy, like I said, we're probably, 3% to 40% of it allocated up to this point, and we would tactically look to deploy the remainder subject to cash reserves and that kind of stuff over the next, four to eight weeks.

我們也看到，基於我們如何對沖持續時間風險，這有助於我們的帳面價值波動。因此，在短期內，如果我們試圖預測部署需要多長時間，這就是我們的重點，就像我說的，到目前為止，我們可能已經分配了 3% 到 40%，並且我們會從戰術上考慮在未來四到八週內根據現金儲備和類似的東西來部署剩餘部分。

And Douglas is still about the dividend, that's something that, we'll probably start thinking about in the next month or so. And as there's a variety of factors that go into that in terms of what we look at for a board determination, but I think it's just premature at this point for us to think about that given the market volatility. We'll see how things play out over the next month or so.

道格拉斯仍然關注股息，這是我們可能會在下個月左右開始考慮的事情。在董事會做出決定時，我們會考慮多種因素，但考慮到市場的波動性，我認為現在考慮這些還為時過早。我們將觀察未來一個月左右的情況如何發展。

Great. Thank you guys.

偉大的。謝謝你們。

Thank you. Trevor Cranston, Citizens.

謝謝。特雷弗克蘭斯頓，《公民》。

Hey, thanks. Good morning. Looking at the third-party business, the growth seems like it's been pretty consistent over the last several quarters. Can you talk about the outlook for that business in terms of the growth potential over the next year or two? Thanks.

嘿，謝謝。早安.從第三方業務來看，過去幾季的成長似乎相當穩定。您能否談談該業務在未來一兩年內的成長潛力前景？謝謝。

Look, I mean, we're -- we believe that there's a fair amount of growth potential there. It's so we're bullish on this, but you know it depends on a variety of factors as third parties continue to purchase loans. I mean we provide a valuable service to them in terms of what I would call the blocking and tackling aspect of it. And so, we think there's still upside as we continue to bring in new clients.

你看，我的意思是，我們相信那裡有相當大的成長潛力。所以我們對此持樂觀態度，但你知道這取決於多種因素，因為第三方會繼續購買貸款。我的意思是，我們在我稱之為阻止和解決問題方面為他們提供了有價值的服務。因此，我們認為，隨著我們繼續吸引新客戶，我們仍有上行空間。

But that is something that's, just going to depend on kind of where we see the mortgage market go, but it's both growing within existing clients and we're adding some new clients.

但這取決於我們看到的抵押貸款市場走向，但它在現有客戶中不斷成長，我們也在增加一些新客戶。

Got it. Okay, that's helpful. And then on the platform value performance in -- the start of the second quarter. Have you guys basically seen credit spreads fully recover from the widening in the early part of April, or can you just take us through kind of the moving parts of the flat book value? Thanks.

知道了。好的，這很有幫助。然後是第二季初的平台價值表現。你們是否已經看到信用利差從 4 月初的擴大中完全恢復，或者您能否向我們介紹一下平帳面價值的變動部分？謝謝。

Yeah, so we've seen, yeah, it's a good question. I mean, from a credit spread perspective we have seen just April through today generally some widening in spreads we've seen it retraced from the wides but about halfway I would say. Does that make sense?

是的，我們已經看到了，是的，這是一個好問題。我的意思是，從信用利差的角度來看，從 4 月到今天，利差普遍有所擴大，我們已經看到它從寬幅回撤，但我想說大約是一半。這樣有道理嗎？

Yeah. So is the remainder of how you get to a flat book value is that coming from like the interest rate component of things?

是的。那麼，如何獲得固定帳面價值的其餘部分是否來自諸如利率之類的因素？

Yeah, no, so you have to remember when we, our book value is impacted by both our assets and liabilities, so the change in book value is going to also be affected by how rates move across the curve. So some of our securitized debt is shorter duration and our loans are longer duration.

是的，不，所以你必須記住，我們的帳面價值受到資產和負債的影響，因此帳面價值的變化也會受到利率曲線變化的影響。因此，我們的部分證券化債務期限較短，而我們的貸款期限較長。

The way that we get back to a flat book value quarter -- in the second quarter, quarter to date, basically the deterioration in loan value from wider credit spreads has also been offset by the change in the securitized debt as well. So they're basically offsetting each other.

我們回到帳面價值持平的季度的方式——在第二季度，即本季度迄今為止，基本上，信貸利差擴大導致的貸款價值惡化也被證券化債務的變化所抵消。所以它們基本上是互相抵消的。

Yeah, got it. Okay, that makes sense. Thank you --

是的，明白了。好的，這很有道理。謝謝--

And just one thing I would point out to -- we tried to add additional disclosure in the investor presentation, so we put a couple of new slides in there that provide additional detail with respect to our loan and securitized debt portfolio. So hopefully having that information will help the market get a sense of how the book value is moving into the different components, but it is a nuanced portfolio.

我只想指出一點——我們試圖在投資者演示中添加額外的披露，因此我們在其中添加了幾個新幻燈片，提供有關我們的貸款和證券化債務組合的更多詳細資訊。因此，希望這些資訊能幫助市場了解帳面價值如何轉移到不同的組成部分，但這是一個微妙的投資組合。

Yeah, got it. Okay. Thank you.

是的，明白了。好的。謝謝。

Thank you. (Operator Instructions) Bose George, KBW.

謝謝。（操作員指示）Bose George，KBW。

Hey guys, good morning. In terms of the book value going forward after the hedges roll off in the second quarter, what is your portfolio duration going to look like?

大家好，早安。就第二季對沖結束後的帳面價值而言，您的投資組合持續時間將會如何？

Yeah, Bose, keep in mind, notwithstanding what we're doing on the agency side and in the first quarter that was relatively, minute, but we hedge the interest -- floating rate interest rate risk on our short duration repo. So even the hedges that we have on with our swaps and our cap and everything we have on now, that really isn't there to protect book value.

是的，Bose，請記住，儘管我們在第一季在代理商方面所做的工作相對較小，但我們對沖了短期回購的浮動利率風險。因此，即使我們利用掉期、上限和現在擁有的一切進行對沖，也無法真正保護帳面價值。

The way that we sort of look at things is when we buy loans we securitize them, that is in effect locking in our net interest margin and providing the hedge for our assets. Now that we consolidate the loans and securitizations on our balance sheet that does create some book value volatility, but when the way that we're looking at our hedge strategy is when those hedges roll off, that will increase our exposure to our floating rate liabilities.

我們看待事物的方式是，當我們購買貸款時，我們將其證券化，這實際上是鎖定我們的淨利差並為我們的資產提供對沖。現在，我們將資產負債表上的貸款和證券化合併起來，這確實會產生一些帳面價值波動，但當我們審視對沖策略時，這些對沖就會結束，這將增加我們對浮動利率負債的風險敞口。

It really won't have much impact at all on the volatility in our book value and the way that we're looking. Just like just to expand on that a little bit because the book value element is something that we are focused on from a portfolio construction standpoint we're not necessarily looking to hedge our book value risk and incur those costs given the way that we finance our portfolio, but we do believe that through adding an agency component, adding MSRs, that is a natural way where we can add yield generating assets that will balance the duration volatility in our credit book.

它實際上不會對我們的帳面價值波動和我們的看法產生太大影響。就像稍微擴展一下一樣，因為從投資組合構建的角度來看，賬面價值要素是我們關注的重點，考慮到我們為投資組合融資的方式，我們不一定希望對沖賬面價值風險並承擔這些成本，但我們確實相信，通過添加代理組件，添加 MSR，這是一種自然的方式，我們可以添加產生收益的資產，以平衡我們的信用期波動。

Okay, great. Thanks. And then just in terms of the deployable capital, there was $187 million. Now, was there another number you mentioned earlier in the call? I thought it was $100 million, but yeah, I just wanted to clarify if it was just a $187 million or was there another number as well?

好的，太好了。謝謝。僅就可部署資本而言，就有 1.87 億美元。那麼，您在先前的通話中是否提到了其他號碼？我以為是 1 億美元，但是的，我只是想澄清一下它是否只是 1.87 億美元，還是還有其他數字？

Yeah, so there were multiple activities or a series of transactions that occurred in the first quarter. In addition to the resecuritization of our non-REMIC transactions, that's the $187 million. We also refinanced two structured repo facilities, and we lowered our cost of funds in those facilities. We extended the term to 18 and 24 months and collectively we were able to extract an additional $100 million -- approximately $100 million in investable cash.

是的，第一季發生了多項活動或一系列交易。除了我們的非 REMIC 交易的再證券化之外，還有 1.87 億美元。我們也對兩項結構性回購工具進行了再融資，並降低了這些工具的資金成本。我們將期限延長至 18 和 24 個月，總共我們能夠額外提取 1 億美元——約 1 億美元的可投資現金。

Okay, and so should we see that $100 million is kind of fully deployable, so it's really [$287 million] that you can kind of invest?

好的，那麼我們是否應該看到 1 億美元是完全可部署的，所以它實際上是 [2.87 億美元] 可供投資？

That's right.

這是正確的。

Okay, great. Thanks.

好的，太好了。謝謝。

Thank you. Eric Hagen, BTIG.

謝謝。BTIG 的 Eric Hagen。

Hey, thanks. Good morning guys. What's the right way to maybe think about the sensitivity to higher delinquency rates from here, between the RPL portfolio, and things like the Non-QM and some of the newer issue loans and other opportunities you talked about.

嘿，謝謝。大家早安。從現在開始，如何正確看待 RPL 投資組合、非 QM 以及一些較新發行的貸款和您談到的其他機會對更高拖欠率的敏感度。

I mean, on the one hand, like the RPL portfolio is conditioned on being delinquent, right? And the DQ rate is already relatively high, and the Non-QM is starting from a lower point. So like what are your expectations for how each of those asset classes could respond to higher delinquency rates from here?

我的意思是，一方面，RPL 投資組合的條件是拖欠，對嗎？而且 DQ 率已經相對較高，Non-QM 的起點較低。那麼您對於今後每種資產類別如何應對更高的拖欠率有何預期？

Yeah, no, that's a great question, and we, I mean, obviously being a credit oriented shop, we think about that all the time, and I actually wouldn't characterize the delinquencies in the RPL portfolios being high for that type of product. I think, if you look across the RPL universe, right around that 10% level is pretty average, and I would say just looking at the trends in our portfolio, that level has been very stable over time.

是的，不，這是一個很好的問題，我的意思是，我們顯然是一家以信貸為導向的商店，我們一直在考慮這個問題，而且我實際上不會將 RPL 投資組合中的拖欠率描述為此類產品中的高水平。我認為，如果你縱觀 RPL 領域，10% 左右的水平是相當平均的，而且我想說，只要看看我們投資組合的趨勢，這個水平就一直非常穩定。

Keep in mind these are very unique borrower cohorts. They've got a lot of equity. They've been in the house for over 17 years. Oftentimes you have, life events that cause delinquencies for a month or two at a time. It does require some degree of engagement by the servicers, and that's sort of where our Palisades Asset Management capability comes into play, just making sure that when there is some sort of a hardship, oftentimes temporary that they're making right party contact with these borrowers, understanding what their situational profile is, and then working collaboratively to try to remedy that.

請記住，這些都是非常獨特的借款人群體。他們擁有很多股權。他們已經住在這房子裡17年多了。生活中常會遇到一些事件，導致你一次拖欠一兩個月的款項。它確實需要服務商一定程度的參與，而這正是我們的 Palisades 資產管理能力發揮作用的地方，只是確保當出現某種困難時，通常是暫時的，他們能夠與這些借款人進行正確的聯繫，了解他們的情況，然後共同努力嘗試解決問題。

And then on the Non-QM side, the nice thing about those portfolios these days, just given the amount of equity, the credit quality in those portfolios, we have seen just in general Non-QM delinquencies starting to trend upwards.

然後在非 QM 方面，這些投資組合目前的優點在於，考慮到這些投資組合中的股權數量和信用質量，我們已經看到非 QM 拖欠率總體上開始呈上升趨勢。

So it's definitely something that we're monitoring not just in our portfolio but just across the market in general as we think about deployment of capital. And just from a sensitivity standpoint, credit risk is the risk that we take, and that's why we have an asset management team.

因此，當我們考慮資本部署時，這絕對是我們不僅在投資組合中而且在整個市場中監控的事情。從敏感度的角度來看，信用風險是我們承擔的風險，這就是我們設立資產管理團隊的原因。

That's why we have systems and infrastructure in place to ensure that we are managing that risk appropriately. But right now, just given the equity in the market, given the credit fundamentals that we're seeing across mortgage finance, we don't have a high degree of concern that we're going to have significant risk in our portfolio with respect to an increase in the faults and delinquencies.

這就是為什麼我們建立系統和基礎設施來確保我們適當地管理風險。但目前，考慮到市場公平性以及我們在抵押貸款融資中看到的信用基本面，我們並不太擔心我們的投資組合會因違約和拖欠率的增加而面臨重大風險。

It's really good color. I appreciate that. You mentioned the two new loan facilities, I think I heard you say, what's the advance rate on those facilities and are those specifically for the subordinate securities that you guys retain, and the counterparty on those facilities are those banks or non-banks?

顏色確實很好。我很感激。您提到了兩項新的貸款安排，我想我聽到您說，這些安排的預付利率是多少？這些安排是否專門用於你們保留的次級證券？這些安排的交易對手是銀行還是非銀行？

Yeah, so they're structured repo facilities. We're really not going to give out the advance rate on these -- the assets are a lot of our derivatives and retained positions, so really the advance rate is sort of doesn't make a whole lot of sense unless you understand the underlying collateral, and those were done through banking relationships.

是的，所以它們是結構化回購工具。我們實際上不會透露這些資產的預付利率——這些資產是我們的許多衍生性商品和保留頭寸，因此，除非你了解基礎抵押品，否則預付利率實際上沒有什麼意義，而這些都是透過銀行關係完成的。

Got it. And are there margin call holidays or such on the structured repo facilities?

知道了。結構性回購協議中是否有保證金追繳假期或類似情況？

Yeah, no, that's a great question. So we extended the terms, and those are non-mark to market or limited mark to market facilities, which that actually in the prepared remarks is a big push that we have. And even during the April volatility, our margin calls were limited to less than $20 million during that entire time frame, which is really a testament to the efforts that have gone into structuring our different financing lines.

是的，不，這是一個很好的問題。因此，我們延長了期限，這些都是非按市價計價或有限按市價計價的設施，這實際上在準備好的評論中是我們採取的一大推動力。即使在 4 月市場波動期間，我們的保證金要求在整個時間段內也被限制在 2,000 萬美元以下，這充分證明了我們為建立不同的融資管道所付出的努力。

Great. Good stuff. Thank you guys so much.

偉大的。好東西。非常感謝你們。

(Operator Instructions) And there appear to be no further questions at this time, I'll turn the floor to Phil Kardis for closing remarks.

（操作員指示）現在似乎沒有其他問題了，我將請菲爾·卡迪斯作最後發言。

Hi, this is Phil Kardis, and I want to thank everyone for participating in our first-quarter 2025 earnings call, and we look forward to speaking to you in a couple of months for our second-quarter earnings call. Thank you.

大家好，我是 Phil Kardis，我要感謝大家參加我們的 2025 年第一季財報電話會議，我們期待在幾個月後的第二季財報電話會議上與您交談。謝謝。

Thank you. Ladies and gentlemen, this does conclude today's teleconference. We thank you for your participation. You may disconnect your lines at this time, and have a great day.

謝謝。女士們、先生們，今天的電話會議到此結束。我們感謝您的參與。現在您可以斷開線路，並享受美好的一天。