Chimera Investment Corp (CIM) 2025 Q2 法說會逐字稿

Greetings and welcome to the Chimera Investment Corporation second-quarter earnings conference call. (Operator Instructions) As a reminder, this conference is being recorded.

大家好，歡迎參加 Chimera Investment Corporation 第二季財報電話會議。（操作員指示）提醒一下，本次會議正在錄音。

It's now my pleasure to turn the call over to Miyun Sung. Please go ahead.

現在我很高興將電話轉給 Miyun Sung。請繼續。

Thank you, operator. And thank you, everyone, for participating in Chimera's second-quarter 2025 earnings conference call. Before we begin, I'd like to review the Safe Harbor statement. During this call, we will be making forward-looking statements, which are predictions, projections, or other statements about future events.

謝謝您，接線生。感謝大家參加 Chimera 2025 年第二季財報電話會議。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 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 release and our quarterly and annual filings.

這些事件是基於當前的預期和假設，但受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概述。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 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。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 Phil Kardis。

Thank you. Good morning, and welcome to the Chimera Investment Corporation's second-quarter 2025 earnings call. It's great to have you with us today. Joining me on the call are Jack Macdowell, our Chief Investment Officer; and Subra Viswanathan, our Chief Financial Officer. After my remarks, Subra will review the financial results, and then Jack will review our portfolio before opening the call for questions.

謝謝。早安，歡迎參加 Chimera Investment Corporation 2025 年第二季財報電話會議。今天很高興您能和我們在一起。和我一起參加電話會議的還有我們的投資長 Jack Macdowell 和我們的財務長 Subra Viswanathan。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。

You may be familiar with the ancient Greek parable, the fox knows many things, but the hedgehog knows one big thing. It's a simple parable, but powerful. The fox is clever, always trying new things. The hedgehog? It just sticks to what it knows best, and the fox cannot defeat him.

您可能熟悉古希臘寓言，狐狸知道很多事情，但刺蝟知道一件大事。這是一個簡單的寓言，但很有力量。狐狸很聰明，總是嘗試新事物。刺蝟？它只是堅持自己最了解的事情，而狐狸無法打敗它。

In Good to Great, Jim Collins took that idea and asked, what separates great companies from the rest? He found the answer was not simply trying new things. It was focus. He called it the hedgehog concept, the intersection of three key questions: what are you deeply passionate about, what can you be the best in the world at, and what drives your economic engine?

在《從優秀到卓越》一書中，吉姆‧柯林斯提出了這個想法並問道：偉大的公司與其他公司的差異是什麼？他發現答案不只是嘗試新事物。這是焦點。他稱之為刺蝟理念，即三個關鍵問題的交集：你對什麼最熱衷，你能在什麼方面成為世界上最優秀的人，以及什麼推動著你的經濟引擎？

A couple of years ago, we looked at ourselves in the mirror and realized we were too focused on securitizing, re-performing residential mortgage loans. We needed to change, but not by becoming something new, not by chasing the new hot idea, rather by becoming more of who we already are, something we're deeply passionate about, that we believe we can be the best at, and will drive our economic engine.

幾年前，我們審視自己，意識到我們過於專注於證券化和重新履行住宅抵押貸款。我們需要改變，但改變不是透過變成新的東西，也不是透過追逐新的熱門想法，而是透過成為我們本來的樣子，成為我們深感熱情的東西，我們相信我們可以做到最好，並將推動我們的經濟引擎。

That's residential mortgage credit. The first step? The acquisition of the Palisades Group, which enhanced our existing expertise in residential mortgage credit, brought us third-party mortgage loan management, portfolio optimization, and third-party private capital raising.

這就是住宅抵押貸款。第一步？收購 Palisades Group 增強了我們在住宅抵押貸款方面的現有專業知識，並為我們帶來了第三方抵押貸款管理、投資組合優化和第三方私人資本籌集。

The second step was portfolio diversification. We have started selling some of our assets and have re-levered some of our securitizations, and used those proceeds to acquire agency RMBS, which supports our REIT and '40 Act compliance, as well as providing us with a source of liquidity and income; and more recently, to acquire 6.5 billion of Fannie Mae mortgage servicing rights through a servicing partnership. We made progress, but there's still more work to be done.

第二步是投資組合多元化。我們已經開始出售部分資產，並重新利用部分證券，並利用這些收益收購機構RMBS，這支持我們的房地產投資信託基金和‘40法案’合規性，並為我們提供流動性和收入來源；最近，我們透過服務合作夥伴關係收購了65億美元的房利美抵押貸款服務權。我們取得了進展，但仍有更多工作要做。

The third step is the acquisition of HomeXpress, a leading non-QM originator with a history of growth and profitability. We currently have broad, deep experience in acquiring, financing, and managing a range of residential mortgage credit assets both for ourselves and for others. And HomeXpress adds the production of those assets to our platform. But this is not just vertical integration. This is strategic clarity.

第三步是收購 HomeXpress，這是一家領先的非 QM 發起人，擁有成長和獲利的歷史。目前，我們在為自己和他人收購、融資和管理一系列住宅抵押貸款資產方面擁有廣泛而深厚的經驗。HomeXpress 將這些資產的生產加入我們的平台。但這不僅僅是垂直整合。這是戰略上的明確性。

With both Palisades and HomeXpress, we looked for companies that expanded and enhanced our existing capabilities. We expect both acquisitions to be accretive not through subtraction or reduction in headcount or other so-called cost-saving synergies, but through addition, the addition of complementary capabilities, the addition of talent, and the addition of scale and scope.

透過 Palisades 和 HomeXpress，我們尋找能夠擴展和增強我們現有能力的公司。我們預計這兩次收購都不會透過減少員工人數或其他所謂的成本節約協同效應來實現增值，而是透過增加、增加互補能力、增加人才以及增加規模和範圍來實現增值。

So what's next? We're not done yet. We'll continue to look for opportunities to grow the platform both organically as well as adding new pieces, all the while being diligent to our core principles, our expertise in residential mortgage credit, our hedgehog status.

那麼下一步是什麼？我們還沒完成。我們將繼續尋找機會，透過有機方式發展平台並添加新內容，同時認真遵守我們的核心原則、我們在住宅抵押貸款方面的專業知識以及我們的刺蝟地位。

Our new trajectory will not be linear, as we noted during the last earnings call. While we successfully relevered our NR securitization, it takes time to effectively deploy capital, especially given the volatility surrounding Liberation Day, which resulted in a short-term drag on earnings in April and May before we hit our stride in June.

正如我們在上次財報電話會議上指出的那樣，我們的新軌跡不會是線性的。雖然我們成功地重新調整了我們的 NR 證券化，但有效部署資本需要時間，特別是考慮到解放日前後的動盪，這導致我們在 4 月和 5 月的盈利受到短期拖累，然後在 6 月達到頂峰。

Also, while we believe HomeXpress acquisition will be meaningfully accretive to our earnings as we expect 2026 and 2027 to be especially strong years for non-QM originations, we may experience decreased earnings in the short term as we redeploy capital for the acquisition and integrate them as an operating subsidiary.

此外，雖然我們相信 HomeXpress 的收購將顯著增加我們的收益，因為我們預計 2026 年和 2027 年將是非 QM 發起特別強勁的一年，但由於我們為收購重新部署資本並將其整合為營運子公司，我們的短期收益可能會下降。

We also expect to invest some of those earnings to grow the platform and our assets to support future growth of our dividend. As we look forward to the future, what's the big takeaway? We're a company that knows one big thing, residential mortgage credit, and executes it.

我們也希望將部分收益用於投資發展平台和資產，以支持未來股息的成長。當我們展望未來時，最大的收穫是什麼？我們是一家了解住宅抵押貸款這一重要事項並能付諸實踐的公司。

We'll continue diversifying our portfolio and income streams, growing recurring fee income, adding liquidity, and looking for opportunities to add accretive platforms and invest in accretive assets, all with the focus of growing our assets in dividend, our total economic return, over the long term.

我們將繼續實現投資組合和收入來源多元化，增加經常性費用收入，增強流動性，並尋找機會增加增值平台和投資增值資產，所有這些都是為了長期增加我們的股息資產，即我們的總經濟回報。

I'll now 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 second quarter of 2025. GAAP net income for the second quarter was $14 million or $0.17 per share. GAAP book value at the end of second quarter was $20.91 per share.

謝謝你，菲爾。我將回顧 Chimera 2025 年第二季的財務亮點。第二季的 GAAP 淨收入為 1,400 萬美元，即每股 0.17 美元。第二季末的 GAAP 帳面價值為每股 20.91 美元。

For the second quarter, our economic return on GAAP book value was 0.5% based on the quarterly change in book value and the $0.37 second-quarter dividend per common share. And year-to-date 2025, our economic return on GAAP book value was 9.8%.

第二季度，根據帳面價值的季度變化和每股普通股 0.37 美元的第二季度股息，我們的 GAAP 帳面價值經濟回報率為 0.5%。截至 2025 年，我們的 GAAP 帳面價值經濟回報率為 9.8%。

On an earnings available for distribution basis, net income for the second quarter was $32.1 million or $0.39 per share. Our economic net interest income for the second quarter was $69 million. For the second 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%.

以可供分配收益計算，第二季淨收入為 3,210 萬美元，即每股 0.39 美元。我們第二季的經濟淨利息收入為 6,900 萬美元。第二季度，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%。

Total leverage for the second quarter was 4.5:1, while recourse leverage ended the quarter at 1.8:1. Recourse leverage increased this quarter as we increased our investments in agency securities. For liquidity and strategic developments, the company ended the quarter with $561 million in total cash and unencumbered assets.

第二季總槓桿率為4.5:1，季末追索槓桿率為1.8:1。由於我們增加了對代理證券的投資，本季追索槓桿有所上升。就流動性和策略發展而言，該公司本季末的現金和無抵押資產總額為 5.61 億美元。

As Phil mentioned, during the quarter, we announced a definitive agreement to acquire HomeXpress Mortgage Corporation. This transaction is expected to close in the fourth quarter of 2025. On the investment front, we deployed approximately $2.3 billion in new agency RMBS investments during the quarter, primarily in the back half as opportunities arose.

正如菲爾所提到的，在本季度，我們宣布了收購 HomeXpress Mortgage Corporation 的最終協議。預計該交易將於 2025 年第四季完成。在投資方面，我們在本季部署了約 23 億美元的新機構 RMBS 投資，主要是在下半年出現機會時。

For repo and hedging, we had $2.4 billion outstanding repo liabilities secured by the residential credit portfolio. 58% of the outstanding residential credit repo or $1.4 billion had a floating rate sensitivity. And we maintained $1.6 billion in notional value of various interest rate hedges protecting the repo liabilities. We had $1.4 billion in either non- or limited mark-to-market features on our outstanding repo agreements representing 58% of our secure recourse funding for the residential credit portfolio.

對於回購和對沖，我們有 24 億美元的未償還回購債務，由住宅信貸組合擔保。 58% 的未償還住宅信貸回購或 14 億美元具有浮動利率敏感性。我們維持了 16 億美元的各種利率對沖名目價值，以保護回購負債。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，占我們住宅信貸組合安全追索權融資的 58%。

On the agency RMBS side, we had $2 billion of interest rate swap notionals with various tenants protecting against $2.1 billion of outstanding repo liabilities. Additionally, during the quarter related to the agency RMBS hedges, we entered and closed out $2.5 billion notional of swaption contracts with varying maturities.

在機構RMBS方面，我們擁有20億美元的利率互換名目合約，由各種承租者來防範21億美元的未償回購債務。此外，在與機構 RMBS 對沖相關的季度中，我們簽訂並平倉了名義金額為 25 億美元、期限各異的掉期選擇權合約。

For the second quarter of 2025, our economic net interest income return on average equity was 10.5%. Our GAAP return on average equity was 5.4%, and our EAD return on average equity was 7.5%. And lastly, compensation, general, administrative, and servicing expenses were marginally lower this quarter. Our transaction expenses were lower by $5 million this quarter, reflecting the costs associated with increased security rates activity in the prior quarter.

2025 年第二季度，我們的經濟淨利息收入平均股本報酬率為 10.5%。我們的 GAAP 平均股本回報率為 5.4%，我們的 EAD 平均股本回報率為 7.5%。最後，本季薪資、一般、行政和服務費用略有下降。本季我們的交易費用降低了 500 萬美元，反映了與上一季增加的證券利率活動相關的成本。

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

現在我將把電話轉給傑克來審查我們的投資組合和投資活動。

Thanks, Subra, and good morning, everyone. The second quarter was shaped primarily by policy developments, including international trade uncertainty, the administration's tax proposal, regulatory capital relief initiatives, geopolitical events, and ongoing scrutiny of Federal Reserve rate policy.

謝謝，Subra，大家早安。第二季主要受到政策發展的影響，包括國際貿易的不確定性、政府的稅收提案、監管資本救濟措施、地緣政治事件以及對聯準會利率政策的持續審查。

The early April tariff escalation rattled risk markets, pushing interest rate volatility to levels not seen since October 2023. Investors repriced the odds of a June Fed rate cut, peaking at an implied 1.6 cuts on April 8, as concerns of a tariff-induced recession increased. But as trade timelines extended and policy tensions eased, risk sentiment stabilized and volatility finished the quarter below its starting point.

4月初的關稅上調震動了風險市場，將利率波動率推高至2023年10月以來的最高水準。由於對關稅引發經濟衰退的擔憂加劇，投資者重新評估了聯準會 6 月降息的可能性，4 月 8 日降息次數達到 1.6 次的峰值。但隨著貿易時間表的延長和政策緊張局勢的緩解，風險情緒趨於穩定，本季波動性低於起點。

Economic data remained a key market driver, as the Fed maintained its data-dependent stance. While early Q2 consumer sentiment surveys showed weakness, June data improved notably. Hard data revealed surprising economic resilience despite tariff concerns. Employment statistics consistently met or exceeded expectations. And core PCE inflation ended the quarter at 2.8%, just 10 basis points above where it began.

由於聯準會維持依賴數據的立場，經濟數據仍然是關鍵的市場驅動力。儘管第二季初的消費者信心調查顯示疲軟，但 6 月數據明顯改善。儘管存在關稅擔憂，但硬數據顯示經濟表現出令人驚訝的韌性。就業統計數據持續達到或超過預期。本季末核心個人消費支出 (PCE) 通膨率為 2.8%，僅比本季初高出 10 個基點。

The yield curve steepened during the quarter, with the two-year Treasury yield declining approximately 16 basis points, supported by softening inflation expectations and a more balanced economic backdrop. Conversely, long-duration Treasuries faced headwinds, with the 10-year edging up 2 basis points, while the 30-year sold off roughly 20, pressured by mounting fiscal supply concerns and uncertainty around duration demand.

本季殖利率曲線趨陡，受通膨預期減弱和經濟背景更加平衡的支撐，兩年期公債殖利率下降約 16 個基點。相反，長期公債則面臨阻力，10 年期公債上漲 2 個基點，而 30 年期公債則下跌約 20 個基點，因為財政供應擔憂加劇以及期限需求的不確定性。

This dynamic produced significant curve steepening, with the 2s, 10s spread widening approximately 19 basis points and the 2s and 30s by roughly 37 basis points. Corporate credit spreads outperformed non-agency RMBS, as investment-grade and high-yield corporates tightened 11 and 57 basis points, respectively, while non-agency RMBS was wider by 5 to 10 basis points across the capital stack.

這種動態導致曲線明顯變陡，2 年期和 10 年期利差擴大約 19 個基點，2 年期和 30 年期利差擴大約 37 個基點。企業信用利差表現優於非機構 RMBS，投資等級和高收益企業分別收緊 11 個和 57 個基點，而非機構 RMBS 在整個資本結構中則擴大 5 至 10 個基點。

Generically, agency MBS held up better against Treasury hedges, with current coupon OAS tightening 8 basis points, whereas swap OAS traded within a 23-basis-point range, ending 2 basis points wider. Housing conditions remain challenging against a backdrop of low affordability and market uncertainty. Through June 2025, existing home sales registered the weakest year-to-date activity in nearly 27 years, outside of 2009.

整體而言，機構 MBS 的表現優於國債對沖，目前票面利率 OAS 收緊了 8 個基點，而掉期利率 OAS 在 23 個基點的範圍內交易，最終收寬了 2 個基點。在低負擔能力和市場不確定性的背景下，住房條件仍然充滿挑戰。截至 2025 年 6 月，現房銷售量將創下近 27 年來（2009 年除外）最疲軟的年初至今水準。

While resale inventory remains historically low, May's 1.5 million units represented the highest level since June 2020. Home price forecasts have moderated, with most year-to-date projections now ranging between 0% and 4% for 2025. The bright spot continues to be the non-QM market, where originations and issuance volumes continue to outpace 2024 levels and are on track to reach the highest post-crisis level on record.

儘管轉售庫存仍處於歷史低位，但 5 月的 150 萬套庫存是自 2020 年 6 月以來的最高水準。房價預測已經放緩，今年迄今的大多數預測都在 2025 年 0% 至 4% 之間。非 QM 市場繼續成為亮點，其發起量和發行量繼續超過 2024 年的水平，並有望達到危機後的歷史最高水平。

Our book value declined 1.2% during the quarter, primarily driven by the rally at the short end of the curve that impacted our securitized debt valuations more significantly than the corresponding gains in our loan portfolio. With respect to the portfolio, we entered April with $253 million in cash and a fortified liability structure that allowed us to navigate market volatility comfortably.

本季我們的帳面價值下降了 1.2%，主要原因是曲線短端的上漲對我們的證券化債務估值的影響大於我們貸款組合的相應收益。就投資組合而言，我們在四月擁有 2.53 億美元現金和強化的負債結構，這使我們能夠輕鬆應對市場波動。

Our funding remained stable throughout the turbulence, as approximately 61% of our portfolio liabilities are comprised of non-recourse term financing. The remaining 39% is made up of repo with approximately $2.1 billion secured against liquid agency MBS and $2.4 billion against non-agency RMBS. Notably, 58% of our non-agency repo or $1.4 billion is non-mark-to-market or limited mark-to-market, providing stability in our funding during times of market stress.

在整個動盪時期，我們的資金保持穩定，因為我們投資組合負債的約 61% 由無追索權定期融資組成。其餘 39% 由回購組成，其中約 21 億美元以流動性機構 MBS 作抵押，24 億美元以非機構 RMBS 作抵押。值得注意的是，我們的非機構回購中有 58% 或 14 億美元是非按市價計價或有限按市價計價的，這在市場壓力時期為我們的資金提供了穩定性。

We ended Q2 with approximately 62% of the portfolio's capital allocated to legacy re-performing loans, which compares to roughly 68% at the end of the first quarter. RPL portfolio fundamentals performed consistent with expectations, cash flow velocity remained steady, prepayments increased each month of the quarter consistent with seasonal factors, while RPL delinquencies ended the quarter lower at 8.4%.

截至第二季末，我們約有 62% 的投資組合資本分配給了遺留的重新履行貸款，而第一季末這一比例約為 68%。RPL 投資組合的基本面表現與預期一致，現金流速度保持穩定，預付款在本季度每個月都有所增加，與季節性因素一致，而 RPL 拖欠率在本季度末下降至 8.4%。

With ample liquidity coming into Q2, we remained disciplined while markets worked through early quarter volatility. Consistent with the strategy we outlined in Q1, we focused on repositioning toward more liquid assets through an expanded agency MBS allocation.

隨著第二季度流動性的充裕，我們在市場度過本季初的波動期間保持了紀律。與我們在第一季概述的策略一致，我們專注於透過擴大機構 MBS 配置來重新定位更具流動性的資產。

We began deploying capital following the peak volatility period, adding positions opportunistically in late April and more aggressively in May when spreads remained wide, with the majority of settlement activity occurring in the back half of the quarter.

我們在波動高峰期之後開始部署資本，在 4 月底伺機增持頭寸，並在利差仍然較大的 5 月份更積極地增持頭寸，大部分結算活動發生在本季度後半段。

That deliberate pacing resulted in a modest drag on earnings in Q2, while also preserving strategic flexibility and underscoring our commitment to disciplined risk management amid evolving market dynamics. During the quarter, we committed over $300 million of capital toward the purchase of approximately $2.3 billion of agency pass-throughs, utilizing approximately 6.5 turns of leverage.

這種審慎的節奏導致第二季的獲利略有下降，同時也保持了策略靈活性，並強調了我們在不斷變化的市場動態中對嚴格風險管理的承諾。在本季度，我們投入了超過 3 億美元的資金，用於購買約 23 億美元的代理轉手債券，利用了約 6.5 倍的槓桿率。

We hedged these positions with swaps to achieve tighter duration alignment, match our SOFR-based funding profile, and capitalize on structural carry advantages in the current negative swap spread environment. We expect these positions to deliver high-quality carry with levered ROEs in the low to mid-teens.

我們利用掉期對這些部位進行對沖，以實現更緊密的久期調整，匹配我們基於 SOFR 的融資狀況，並在當前負掉期利差環境下利用結構性套利優勢。我們預計這些部位將帶來高品質的收益，槓桿淨值 (ROE) 將在 15% 至 19% 之間。

After quarter-end, we close on our first MSR transaction consisting of $6.5 billion of Fannie Mae loans through a third-party servicing partnership. The portfolio consists of four-year season loans with a 4% average interest rate, $220,000 average balance, 71% loan to value, and 750 average borrower credit score.

季度末之後，我們透過第三方服務合作夥伴完成了第一筆 MSR 交易，其中包括 65 億美元的房利美貸款。該投資組合包括四年期季節性貸款，平均利率為 4%，平均餘額為 220,000 美元，貸款價值比為 71%，平均借款人信用評分為 750。

The transaction deployed approximately $37 million of capital at an expected levered ROE in the low teens. This asset class complements our residential credit and agency MBS holdings while helping balance portfolio interest rate sensitivities.

該交易投入了約 3700 萬美元的資本，預期槓桿 ROE 為 15% 左右。此資產類別補充了我們的住宅信貸和機構 MBS 持有量，同時有助於平衡投資組合的利率敏感度。

Looking ahead, we continue to evaluate liquidity-generating opportunities within our portfolio of securitizations where we hold exercisable redemption rights. That currently includes 18 callable deals consisting of approximately $6 billion of loans. We analyze the economics of exercising call rights and either selling the underlying loans or, as we did in Q1, resecuritize them.

展望未來，我們將繼續評估我們持有可行使贖回權的證券化投資組合中的流動性創造機會。目前其中包括 18 筆可贖回交易，貸款總額約 60 億美元。我們分析了行使贖回權的經濟效益，要么出售基礎貸款，要么像我們在第一季所做的那樣，將其重新證券化。

Our decision framework incorporates breakeven ROE thresholds, near-term book value impacts, and longer-term earnings accretion potential. While some opportunities may offer accretive redeployment, they may require near-term book value reductions when redeeming discounted securitization debt at par.

我們的決策架構包含損益平衡 ROE 門檻、近期帳面價值影響和長期獲利成長潛力。雖然一些機會可能提供增值性重新部署，但在以面額贖回折扣證券化債務時，它們可能需要短期帳面價值減少。

We carefully weigh enhanced earnings power against book value impacts and corresponding payback periods. And as we identify deals that meet our economic thresholds, we expect to pursue these strategies as we continue repositioning our portfolio and platform.

我們仔細權衡增強的獲利能力與帳面價值影響以及相應的回報期。當我們確定符合我們經濟門檻的交易時，我們期望在繼續重新定位我們的投資組合和平台的同時推行這些策略。

As mentioned, on June 12, we announced the acquisition of HomeXpress, marking another strategic step in transforming our portfolio and platform capabilities. From a business standpoint, HomeXpress' founders and senior leadership have built a high-caliber team serving brokers and correspondent lenders in the non-QM and DSCR markets at scale.

如前所述，6 月 12 日，我們宣布收購 HomeXpress，這標誌著我們在轉變產品組合和平台能力方面又邁出了策略一步。從商業角度來看，HomeXpress 的創始人和高層領導已經建立了一支高素質的團隊，為非 QM 和 DSCR 市場的經紀人和代理商貸款人提供大規模服務。

Additionally, they have a strong network of institutional investment partners that have been consistent buyers of HomeXpress' loan production over the years. And we intend to continue supporting and growing those relationships.

此外，他們擁有強大的機構投資合作夥伴網絡，這些合作夥伴多年來一直是 HomeXpress 貸款產品的穩定買家。我們打算繼續支持和發展這些關係。

From a portfolio perspective, the HomeXpress platform creates a pipeline of investable assets not only for the REIT but also for our investment and asset management clients, while simultaneously supporting the growth of our third-party MSR footprint. We're excited about the cultural alignment, business synergy, and HomeXpress' ability to capture market share in the expanding non-QM sector.

從投資組合的角度來看，HomeXpress 平台不僅為 REIT 而且為我們的投資和資產管理客戶創建了可投資資產管道，同時支援我們第三方 MSR 足跡的成長。我們對文化一致性、業務協同效應以及 HomeXpress 在不斷擴大的非 QM 領域佔領市場份額的能力感到非常興奮。

We are pleased with the progress made in Q2 as we patiently deploy the capital raised, ending with over $300 million allocated to agency MBS, prepared for our first MSR investment that closed in early July, and announced the acquisition of HomeXpress. We look forward to maintaining this momentum through the third quarter.

我們對第二季的進展感到滿意，我們耐心地部署了籌集的資金，最終向機構 MBS 分配了超過 3 億美元，為 7 月初完成的首筆 MSR 投資做好了準備，並宣布收購 HomeXpress。我們期待在第三季保持這一勢頭。

And that concludes our prepared remarks. We'll now turn the line back over to the operator for questions.

我們的準備好的演講到此結束。我們現在將把電話轉回給接線生以便提問。

(Operator Instructions) Bose George, KBW.

（操作員指示）Bose George，KBW。

Hey, everyone. Good morning. In the prepared remarks, you suggested that there might be more to do in terms of -- on the acquisition front or sort of pieces of the company continues to evolve. But can you just, discuss what direction that could be?

嘿，大家好。早安.在準備好的發言中，您建議在收購方面或公司某些部分繼續發展方面可能還有更多工作要做。但是您能否討論一下這可能是一個什麼方向？

Yeah. What I want to signal is that as with HomeXpress, I mean, we will continue to be open to opportunities that make sense within our kind of core competency of residential credit. And that's -- we'll just remain open to those things. And we're more signaling that it's still possible to continue to grow those to the extent that they could be synergistic within that framework.

是的。我想表明的是，就像 HomeXpress 一樣，我們將繼續對符合我們住宅信貸核心競爭力的機會持開放態度。那就是——我們將對這些事情保持開放態度。我們進一步表明，仍然有可能繼續發展這些領域，使它們在該框架內發揮協同作用。

Okay, that makes sense. Thanks. And then after the HomeXpress deal closes, do you think you have all the pieces in place to generate a double-digit ROE next year?

好的，這很有道理。謝謝。那麼，在 HomeXpress 交易完成後，您是否認為您已經做好了一切準備，可以在明年實現兩位數的 ROE？

Yeah. I think, Bose, just from an earnings power perspective, I mean, obviously, we're doing several things that are focused on increasing our earnings power, increasing our EAD. HomeXpress is obviously a critical component to that. We think that's going to be materially accretive as we go forward in 2026 and beyond.

是的。我認為，Bose，僅從盈利能力的角度來看，顯然我們正在做幾件事，重點是提高我們的盈利能力，增加我們的 EAD。HomeXpress 顯然是其中的關鍵組成部分。我們認為，隨著 2026 年及以後的發展，這將帶來實質的增值。

The other thing that we alluded to in some of the prepared remarks was just our efforts to generate liquidity and earnings power just from our existing callable securitization. So that's something that we're continuing to focus on and try to identify the economics of.

我們在一些準備好的發言中提到的另一件事是，我們努力透過現有的可贖回證券化來創造流動性和獲利能力。因此，我們會繼續關注這個問題，並嘗試找出其經濟效益。

The other thing, too, is just looking across our portfolio. We've got a lot of legacy positions, so identifying any underperforming or fully valued assets and seeking to sell those, redeploy them into more accretive investments.

另一件事就是審視我們的投資組合。我們有很多遺留頭寸，因此要找出任何表現不佳或估值過高的資產，並尋求出售這些資產，將其重新部署到更具增值性的投資中。

And I think as we mentioned on prior calls, another element that we're very focused on is continuing to increase the revenue and earnings attribution from fee-based businesses, our asset management and investment management platforms.

我認為，正如我們在之前的電話會議中提到的那樣，我們非常關注的另一個因素是繼續增加收費業務、資產管理和投資管理平台的收入和盈利貢獻。

So look, all those pieces and then there's obviously market dynamics that flow into this, with respect to the path of Fed rate policy. And that, obviously, impacts our net interest margin and things like that. But we certainly believe that we're laying the foundation and are on the right path for continuing to increase our earnings power going forward.

所以看看所有這些因素，然後顯然就會出現與聯準會利率政策路徑相關的市場動態。這顯然會影響我們的淨利差等等。但我們確信，我們正在奠定基礎，並且正走在繼續提高未來獲利能力的正確道路上。

Okay, that's helpful. Thank you.

好的，這很有幫助。謝謝。

Trevor Cranston, Citizens JMP.

特雷弗·克蘭斯頓 (Trevor Cranston)，公民 JMP。

Hey, thanks. Good morning. As you guys continue to go through the portfolio repositioning process, can you talk about how you sort of envision the long-term capital allocation mix between the legacy credit portfolio and the newer agency/MSR asset classes? Thanks.

嘿，謝謝。早安.在您們繼續進行投資組合重新定位的過程中，您能否談談您如何設想傳統信貸投資組合和較新的機構/ MSR 資產類別之間的長期資本配置組合？謝謝。

Yeah, sure, it's a good question. And obviously, that is a function of several things, market conditions being one; two, the legacy portfolio, naturally, will run off over time. But we're certainly focused on sort of what we have in-house that we're looking at, which is kind of our model portfolio. And one of our primary goals there is to have a diversified portfolio across complementary sectors or product types that would provide stability and durability across different economic, housing, and interest rate environments.

是的，當然，這是個好問題。顯然，這是由多種因素決定的，其一是市場條件；其二，遺留投資組合自然會隨著時間的推移而耗盡。但我們當然關注的是我們正在關注的內部資源，也就是我們的模型組合。我們的主要目標之一是建立跨互補產業或產品類型的多元化投資組合，以便在不同的經濟、住房和利率環境下提供穩定性和持久性。

The legacy portfolio primarily made up of the re-performing loans, super season loans. They've got a ton of equity in them. In many cases and for many reasons, we like those assets. At the same time, they were securitized in a different period of the market. And so we're looking and they delevered. And as they continue to delever, that has an impact on our earnings power.

遺留投資組合主要由重新履行職責的貸款和超級季節貸款組成。他們擁有大量股權。在很多情況下，出於許多原因，我們喜歡這些資產。同時，它們在市場的不同時期被證券化。因此，我們正在尋找並去槓桿。隨著他們繼續去槓桿，這將對我們的獲利能力產生影響。

So going forward, I would say MSRs -- we did our first MSR transaction. It's now less than 2% of our overall capital allocation as we think about where we want to be from an equity duration perspective. Again, depending on the types of MSRs that we're buying -- are they at the money? Are they more out of the money like the trade that we did in July? I see those being anywhere from 15% to 25%, something like that, give or take.

因此，展望未來，我想說 MSR——我們完成了第一筆 MSR 交易。當我們從股權期限的角度考慮我們希望達到的目標時，它現在還不到我們整體資本配置的 2%。再次，這取決於我們購買的 MSR 類型——它們值錢嗎？它們是否像我們七月進行的交易一樣虧損更多？我認為這個比例在 15% 到 25% 之間，大概就是這樣。

Agencies, we've mentioned, is a very important component of our overall portfolio allocation. But that's going to be a function of our liquidity needs, where we're seeing relative value, some of the opportunistic relative value opportunities we're seeing in other products and sectors. So it's hard to nail down like what is our specific long-term portfolio allocation.

我們已經提到，代理商是我們整體投資組合配置的一個非常重要的組成部分。但這將取決於我們的流動性需求，我們看到相對價值，以及我們在其他產品和產業中看到的一些機會性相對價值機會。因此很難確定我們具體的長期投資組合配置是什麼。

But what I can say is agencies has a permanent role there. MSRs have a permanent role there and being opportunistic around other product sectors. It's something that we're always going to do just because we've got the capabilities to allocate and manage assets across the entire spectrum of residential credit products. And so we don't want to limit ourselves to any just one or two.

但我可以說的是，機構在那裡發揮永久的作用。MSR 在那裡發揮永久的作用，並在其他產品領域中抓住機會。我們會一直這樣做，因為我們有能力分配和管理整個住宅信貸產品範圍內的資產。因此，我們不想將自己局限於一兩個。

I don't know if that helps. But hopefully, it gives you some idea of what we're thinking.

我不知道這是否有幫助。但希望它能讓你了解我們的想法。

Yeah, that's very helpful. Okay, thank you.

是的，這非常有幫助。好的，謝謝。

Doug Harter, UBS.

瑞銀的道格·哈特。

Thanks and good morning. Hoping you could talk about how you're thinking about the dividend strategy going forward once HomeXpress closes and how you think about retaining some capital from that business versus increasing the payout.

謝謝，早安。希望您能談談一旦 HomeXpress 關閉，您如何考慮未來的股息策略，以及您如何考慮從該業務中保留一些資本而不是增加派息。

Hi, this is Phil. Yes, I mean, as we signaled, we're -- we look at a variety of factors. We look at what our liquidity needs are, what the investment horizon is. And we're looking to maintain and grow kind of the total economic return, and there's a couple of levers there. As you know, there's the dividend. There's book value. There's assets that support both.

你好，我是菲爾。是的，我的意思是，正如我們所暗示的，我們正在考慮多種因素。我們會考慮我們的流動性需求是什麼，投資期限是什麼。我們希望保持並增加總體經濟回報，這其中有幾個槓桿。如你所知，這是紅利。有帳面價值。有資產可以支持這兩者。

And so as we look at HomeXpress, we do believe it's going to be materially accretive to our earnings. And the question will be at the time next year as we look through things, we will want to take some of that and make sure we invest it to grow that platform and assets. And some of that we'll want to make sure that we're providing some near-term dividend.

因此，當我們看 HomeXpress 時，我們確實相信它將大大增加我們的收益。問題是，明年當我們審視事情時，我們會想從中拿出一些資金，並確保我們對其進行投資，以擴大該平台和資產。我們希望確保能夠提供一些短期股利。

That mix we haven't determined, but those are the kind of factors we'll think about as we go forward. Because acquiring a new and accretive assets is going to support the current dividend and allow that dividend to grow. So we have to strike an appropriate balance between using some of those earnings to grow the dividend now versus making the investments that will grow the dividend in the future.

我們還沒有確定這種組合，但這些都是我們未來要考慮的因素。因為收購新的增值資產將支持當前的股息並使股息成長。因此，我們必須在使用部分收益來增加當前股息與進行未來增加股息的投資之間取得適當的平衡。

Great. And then shifting to the secured financing, it looks like, as of June 30, that rate came down about 60 basis points from the prior quarter. I guess, can you just talk about what drove that and how much of that benefit you saw during the second quarter?

偉大的。然後轉向擔保融資，截至 6 月 30 日，該利率較上一季下降了約 60 個基點。我想，您能否談談是什麼推動了這一趨勢，以及您在第二季度看到了多少好處？

Hey, Doug. It's Subra. Thanks for your question. So that 60 basis points is really a result of an increase in financing of our agency portfolio. So that just brought the weighted average rate down.

嘿，道格。是斯布拉。謝謝你的提問。因此，60 個基點實際上是我們代理組合融資增加的結果。所以這只是降低了加權平均利率。

Okay, that makes sense. And then, is there -- has there been any significant change in book value quarter to date or through July, whichever?

好的，這很有道理。那麼，截至本季或截至 7 月份，帳面價值是否有任何重大變化？

Yeah. I think as of the end of last Friday, we were down about 55 basis points on book value. That was primarily driven by our loan portfolio being relatively flat quarter to date. And we are seeing spreads tighten marginally on senior securitized debt. So that increased the value of our sec debt and had a nominal impact on our book value.

是的。我認為截至上週五結束時，我們的帳面價值下降了約 55 個基點。這主要是因為我們的貸款組合本季迄今相對穩定。我們看到優先證券化債務的利差略有收窄。因此，這增加了我們的證券債務的價值，並對我們的帳面價值產生了名義上的影響。

Great, thank you.

太好了，謝謝。

(Operator Instructions) Eric Hagen, BTIG.

（操作員指示）Eric Hagen，BTIG。

Hey, thanks. Good morning. Maybe following up on that last point. I mean, you mentioned some mark-to-market noise related to the move at the short end of the yield curve last quarter. I mean, what's the outlook from here if the Fed cuts rates? And how will that drive your appetite to call the remaining securitized debt that you have that's currently callable?

嘿，謝謝。早安.也許可以繼續討論最後一點。我的意思是，您提到了上個季度殖利率曲線短端變動帶來的一些以市價計價的噪音。我的意思是，如果聯準會降息，前景會怎麼樣？這將如何激發您贖回當前可贖回的剩餘證券化債務的興趣？

Yeah, no, that's a great question, Eric. And certainly, if rates -- if they cut rates sort of where we're seeing, Fed futures and things like that, that would certainly have multiple impacts on how we look at things. I mean, one, that would increase our net interest margin. We've set up our non-agency hedges in a bit of an asymmetric way with our $1 billion cap that we put on earlier this year.

是的，不，這是一個很好的問題，艾瑞克。當然，如果利率——如果他們降低我們所看到的聯準會期貨等利率，這肯定會對我們看待事物的方式產生多重影響。我的意思是，首先，這會增加我們的淨利差。我們以有點不對稱的方式設立了非機構對沖，今年稍早我們設定了 10 億美元的上限。

So as rates go down -- we're protected if rates go up. But to the extent that rates go down, we're going to see a benefit there from our net interest margin. At the same time, if rates go down that -- depending on where other parts of the curve move, that should also help the economics in our callable securitization analysis.

因此，當利率下降時——如果利率上升，我們就會受到保護。但只要利率下降，我們的淨利差就會受益。同時，如果利率下降——取決於曲線其他部分的走勢，這也應該有助於我們可贖回證券化分析中的經濟效益。

So we certainly could see some of those deals that may not be currently economic to call. We could certainly see them move into the box and be more actionable. So yeah, those things are definitely something that we're paying close attention to.

因此，我們肯定會看到一些目前可能沒有經濟效益的交易。我們當然可以看到他們進入禁區並採取更多行動。是的，這些事情確實是我們密切關注的事情。

Got it. That's helpful. That's helpful. Thank you. All right. So we're looking at the really low mark-to-market LTV for the season re-performing loans. I imagine the DTI is probably too high for most of those folks to get a cash out refi or take on more debt.

知道了。這很有幫助。這很有幫助。謝謝。好的。因此，我們正在研究本季重新履行貸款的真正低市價 LTV。我想，對大多數人來說，DTI 可能太高了，無法獲得現金再融資或承擔更多債務。

But there's so much innovation in our market right now, right, especially with like home equity products. I mean, are there other equity products which could appeal to these borrowers which either drive a refi event or strengthen the underlying credit in some way?

但是現在我們的市場上有許多創新，特別是像房屋淨值產品這樣的。我的意思是，是否有其他股票產品可以吸引這些借款人，從而推動再融資事件或以某種方式加強基礎信貸？

Yeah, no, that's another good question. And you know we're very familiar with a lot of these home equity products that are out there, including the ones that require no monthly scheduled payments. So I do think they -- some of these borrowers would be ripe for those types of products to the extent that they wanted to tap into the equity in their homes.

是的，不，這是另一個好問題。你知道，我們非常熟悉許多這樣的房屋淨值產品，包括那些不需要每月定期付款的產品。所以我確實認為，其中一些借款人已經準備好購買這類產品，因為他們希望利用自己房屋的資產。

With that being said, if you think about the profile of the borrower in this portfolio, they've been in the house 17, 18, 19, 20 years. If they didn't refinance back in 2021, I think in many cases, these folks are just planning on living in these places for the rest of their lives, almost. And basically, we're seeing that captured in the pre-payment speeds that are basically right around housing turnover levels.

話雖如此，如果你考慮一下這個投資組合中藉款人的狀況，他們已經住在這棟房子裡 17、18、19、20 年了。如果他們沒有在 2021 年重新融資，我認為在很多情況下，這些人幾乎只是計劃在這些地方度過餘生。基本上，我們看到預付款速度與住房週轉率基本一致。

So I agree with you that very well could be a world where some of these home equity products and the marketing reach that -- they're making gets to these borrowers. And we could see some pickup in payoff speeds.

因此，我同意你的觀點，在未來，一些房屋淨值產品和行銷手段可能會觸及借款人。我們可以看到回報速度有所加快。

But I will say from a credit perspective, I'm not sure that any of those products will really -- we're looking toward those to improve the credit profile. We're seeing, like I said in the prepared remarks, very good cash flow velocity.

但從信用角度來看，我不確定這些產品是否真的能改善信用狀況。正如我在準備好的演講中所說的那樣，我們看到了非常好的現金流速度。

You've got a ton of equity in these loans. The profile of borrower, they may miss a payment or two around the holidays. They pick it back up again when they get their tax returns just as a general profile. So, yeah, it's -- yeah, I'm not sure if that answered the question.

您在這些貸款中擁有大量股權。借款人的概況，他們可能會在假期期間錯過一兩次付款。當他們收到納稅申報單時，他們會再次將其作為一般資料。所以，是的，是的——是的，我不確定這是否回答了這個問題。

That was really helpful detail. No, that was good stuff. I appreciate that. One more if I may, I mean, do you have a sense for how much of the production from HomeXpress will be capitalized on the balance sheet versus sold to third parties going forward?

這確實是很有幫助的細節。不，那是好東西。我很感激。如果可以的話，我再問一個問題，您是否知道 HomeXpress 生產的多少產品將在資產負債表上資本化，以及未來有多少產品將出售給第三方？

Yeah, I think it's really important for us to really emphasize the fact that -- and I alluded to it in the prepared remarks. But their business has been built around relationships they have with institutional investors who have been multi-year partners to them and buying their production. And we expect to continue to support that and continue to develop those relationships and sell to third parties.

是的，我認為我們真正強調這一事實非常重要——我在準備好的發言中提到了這一點。但他們的業務是建立在與機構投資者的關係之上的，這些投資者是他們的多年合作夥伴併購買他們的產品。我們希望繼續支持這一點，繼續發展這些關係並向第三方銷售。

At the same time, as we see HomeXpress' production volume grow, we do expect to be in a position to retain a portion of that production, whether it's for the rebalance sheet, for our credit funds, our third-party clients on the asset management side.

同時，隨著 HomeXpress 產量的成長，我們確實希望能夠保留一部分產量，無論是用於再平衡表、信貸基金或資產管理方面的第三方客戶。

But we certainly do not want -- we want to strike a very good balance with respect to continuing to make sure that we grow the relationships that they already have in place and that they've been building over the years versus what we're retaining. I can't tell you that -- we don't have a specific number or percentage at this point. I think it's something that we're still working through and making sure that we're thoughtful as we go down that path.

但我們當然不想——我們希望在繼續確保發展他們已經建立的、多年來一直在建立的關係與我們保留的關係之間取得很好的平衡。我無法告訴你——目前我們還沒有具體的數字或百分比。我認為這是我們仍在努力解決的問題，並確保我們在推進這一進程時深思熟慮。

Yup, that's really helpful. Thank you, guys.

是的，這確實很有幫助。謝謝你們。

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

謝謝。我們的問答環節已經結束。我想再次請大家發表進一步的結論。

Hi, this is Phil Kardis again. I want to thank everyone for participating in our second quarter earnings call. And we look forward to speaking with you in November for our third quarter call. Thank you.

大家好，我是 Phil Kardis。我要感謝大家參加我們的第二季財報電話會議。我們期待在 11 月的第三季電話會議上與您交談。謝謝。

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

謝謝。今天的電話會議網路直播到此結束。此時您可以斷開線路並享受美好的一天。我們感謝您今天的參與。