Chimera Investment Corp (CIM) 2025 Q3 法說會逐字稿

Greetings. Welcome to Chimera Investment Corporation third-quarter earnings call. (Operator Instructions) Please note this conference is being recorded.

問候。歡迎參加奇美拉投資公司第三季財報電話會議。（操作員說明）請注意，本次會議正在錄音。

I would now like to turn the conference over to Miyun Sung, Chief Legal Officer. Thank you. You may begin.

現在我將把會議交給首席法務官 Miyun Sung。謝謝。你可以開始了。

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

謝謝接線員，也謝謝各位參加 Chimera 2025 年第三季財報電話會議。

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. 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.

在開始之前，我想先回顧一下安全港聲明。在本次電話會議中，我們將發表一些前瞻性聲明，這些聲明是對未來事件的預測、展望或其他陳述。這些事件是基於當前的預期和假設，但存在風險和不確定性，這些風險和不確定性已在我們最新的年度和季度美國證券交易委員會文件中「風險因素」部分進行了概述。實際事件和結果可能與這些前瞻性陳述有重大差異。我們建議您閱讀我們獲利報告以及季度和年度文件中關於前瞻性聲明的免責聲明。

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，我們也可能會討論非GAAP財務指標。請參考我們向美國證券交易委員會提交的文件和收益補充文件，以了解與最可比較的GAAP指標的調節情況。此外，本次電話會議的內容可能包含有時效性的信息，這些信息僅在本次財報電話會議當天有效。我們不承擔更新或修改此資訊的義務，並特此聲明免除任何此類義務。

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

現在我將把會議交給我們的總裁兼執行長菲爾·卡迪斯。

Thanks, Miyun. Good morning and welcome to Chimera Investment Corporation's third-quarter 2025 earnings call. It's great to have you with us today.

謝謝，美雲。早安，歡迎參加奇美拉投資公司2025年第三季財報電話會議。今天能和您一起來真是太好了。

Joining me are Jack Macdowell, our Chief Investment Officer; and Subra Viswanathan, our Chief Financial Officer. After my remarks, Subra will review our results, and then Jack will discuss the portfolio before we open it up for questions.

與我一同出席的有我們的首席投資官傑克·麥克道爾和首席財務官蘇布拉·維斯瓦納坦。我發言結束後，Subra 將回顧我們的結果，然後 Jack 將討論投資組合，之後我們將開放提問環節。

This quarter's story doesn't start in ancient Greece, and it doesn't involve hedgehogs or foxes, though we remain proud to be a hedgehog. It began this past spring when we learned that HomeXpress mortgage was for sale.

本季的故事並非始於古希臘，也與刺蝟或狐狸無關，儘管我們仍然為自己是一隻刺蝟而感到自豪。事情始於今年春天，當時我們得知HomeXpress抵押貸款公司要出售。

At that point, we weren't looking for an originator. We had just completed our strategic analysis, sharpened our focus, and executed on that clarity with the acquisition of Palisades. That integration went smoothly, proof that discipline and culture matter. Because Palisades manages assets for third parties who own HomeXpress loans, we knew the high-quality of their production.

當時，我們並沒有尋找原創者。我們剛剛完成了策略分析，明確了方向，並透過收購 Palisades 來貫徹這一清晰的策略目標。這次整合進行得很順利，證明了紀律和文化的重要性。因為 Palisades 為擁有 HomeXpress 貸款的第三方管理資產，所以我們知道他們的產品品質很高。

So when HomeXpress came to market, we reached out. We had an introductory call with Kyle Walker, CEO, and members of the senior team. That conversation was the first of many over the ensuing months that confirmed we weren't just buying a platform, we were partnering with a team that shares our values and vision.

所以當 HomeXpress 進入市場時，我們就聯繫了他們。我們與執行長 Kyle Walker 和高級團隊成員進行了介紹通話。那次談話是接下來幾個月多次談話中的第一次，這些對話證實我們不僅僅是在購買一個平台，而是在與一個擁有共同價值觀和願景的團隊合作。

We saw seven key reasons why this acquisition made sense. First, it met our high standard. When we look at a potential acquisition, we ask three questions. Does the management team share our values and vision? Is it profitable and well run? Can it make the whole greater than the sum of the parts? HomeXpress passed each test.

我們總結了此次收購合理的七個關鍵原因。首先，它符合我們的高標準。當我們考慮一項潛在的收購時，我們會問自己三個問題。管理團隊是否認同我們的價值觀和願景？它盈利狀況良好且運營得當嗎？它能使整體大於部分之和嗎？HomeXpress 通過了所​​有測試。

I'll discuss profitability, operations, and synergy shortly. But what are our values and visions? Our values are simple. Long-term orientation, high ethical standards, and an insistence on operational excellence. Our vision is to build a company that endures, one where our team members are proud to work, clients receive tangible value, and shareholders are rewarded for their partnership. That's the standard and Home express method.

我稍後會討論獲利能力、營運和協同效應。但我們的價值觀和願景是什麼？我們的價值觀很簡單。著眼長遠，秉持高道德標準，堅持卓越營運。我們的願景是打造一家能夠長久發展的公司，讓團隊成員為此感到自豪，讓客戶獲得實際價值，讓股東因其合作而獲得回報。這是標準和家庭快捷方式。

Second, the size and growth of the non-QM market. While there's not a lot of data on non-QM originations, we believe such originations have grown every year since 2021, from about 1.1% of total residential mortgage originations in 2021 to an expected 5.1% or more than $100 billion in 2025. That's a roughly fivefold increase in the sector's market share in the last four years. Forecasts for the size of the 2026 non-QM market ranged between $110 billion and $150 billion. We like markets with durable tailwinds.

其次，非QM市場的規模和成長。雖然關於非合格抵押貸款發放的數據不多，但我們相信，自 2021 年以來，此類貸款發放量逐年增長，從 2021 年佔住宅抵押貸款發放總量的約 1.1% 增長到 2025 年預計的 5.1% 或超過 1000 億美元。這意味著該行業的市場份額在過去四年裡增長了大約五倍。預計到 2026 年，非 QM 市場的規模將在 1,100 億美元至 1,500 億美元之間。我們喜歡那些有持續順風的市場。

Third, the management team. HomeXpress has an experienced management team that knows how to grow in a disciplined manner, placing quality of production over volume.

第三，管理團隊。HomeXpress 擁有一支經驗豐富的管理團隊，他們懂得以嚴謹的方式發展，將產品品質置於產量之上。

Fourth, the synergies. The synergies with Palisades and Chimera, we believe, are obvious. Palisades already manages assets for some of the buyers of HomeXpress's loans. By connecting origination and asset management, we can widen that reach to others and support the performance of HomeXpress's loans.

第四，協同效應。我們認為，與 Palisades 和 Chimera 的協同效應是顯而易見的。Palisades 已經為 HomeXpress 貸款的部分買家管理資產。透過連結貸款發起和資產管理，我們可以擴大業務範圍，惠及更多人，並支持 HomeXpress 貸款的表現。

While HomeXpress has not had its own securitization program, Chimera is a leader in securitizing residential mortgage loans. We believe that the ability to securitize some of their production at the cost to originate while still satisfying their customer base will provide an additional or longer-term source of income.

雖然 HomeXpress 沒有自己的證券化項目，但 Chimera 是住宅抵押貸款證券化的領導者。我們相信，以原始成本將他們的一些產品證券化，同時也能滿足他們的客戶群，這將為他們提供額外的或更長期的收入來源。

Fifth, expansion runway. Today, HomeXpress originates business purpose loans in 46 states and consumer loans in 42 states. We plan on adding additional states including New York and accelerate the correspondent channel growth alongside the already successful wholesale channel.

第五，擴建跑道。目前，HomeXpress 在 46 個州發放商業貸款，在 42 個州發放消費貸款。我們計劃增加包括紐約在內的其他州，並在已經成功的批發管道之外，加快代理商管道的發展。

Sixth, the MSR opportunity. HomeXpress currently sells all loan servicing release. They plan to obtain the servicing license they don't have which will enable us to grow our own MSR book, both from our production and from purchases from third parties, which will create a hedge for our loan portfolio and reoccurring income engine. Seventh, agency originations, a small but promising business that adds optionality and balance.

第六，MSR機會。HomeXpress目前銷售所有貸款服務解除產品。他們計劃獲得他們目前沒有的服務許可證，這將使我們能夠發展自己的抵押貸款服務權 (MSR) 業務，包括透過我們自己的業務和從第三方購買的業務，這將為我們的貸款組合和經常性收入引擎創造對沖。第七，代理貸款業務，這是一項規模雖小但前景廣闊的業務，可以增加選擇餘地和平衡性。

Turning to the transaction, we closed the acquisition on October 1 for $267 million. That's the sum of the 6/30 book value of nearly $120 million premium, and about $28 million in stock. The price will be adjusted based on the 9/30 book value and some other true-ups, which we expect will result in an increase in the purchase price of around $5 million. Importantly, the HomeXpress leadership team remains in place, and we granted retention stock to HomeXpress's employees that vests in three years because ownership builds alignment and alignment builds results.

關於這筆交易，我們在 10 月 1 日完成了這筆收購，金額為 2.67 億美元。這是 6 月 30 日帳面價值近 1.2 億美元溢價和約 2,800 萬美元股票的總和。價格將根據 9 月 30 日的帳面價值和其他一些調整進行調整，我們預計這將導致收購價格增加約 500 萬美元。重要的是，HomeXpress 的領導團隊保持不變，我們向 HomeXpress 的員工授予了留任股票，這些股票將在三年後歸屬，因為所有權可以建立一致性，而一致性可以帶來成果。

Let's talk about the numbers. Through September 30, HomeXpress originated $2.4 billion by UPB, up 36% year over year, about 40% consumer, just under 60% business purpose, and the rest agency. For Q4, we expect around $1 billion in originations, yielding expected pretax earnings of $15 million to $18 million and after-tax earnings of $13 million to $15 million. That's after the application of our net operating losses, and annualized return on equity of 19% to 23%.

我們來談談數字。截至 9 月 30 日，HomeXpress 的未償付餘額 (UPB) 為 24 億美元，年增 36%，其中約 40% 為消費者貸款，近 60% 為商業用途貸款，其餘為機構貸款。預計第四季貸款發放約 10 億美元，稅前利潤預計為 1,500 萬至 1,800 萬美元，稅後利潤預計為 1,300 萬至 1,500 萬美元。這是在扣除我們的淨經營虧損後，年化股本回報率為 19% 至 23%。

For 2026, we project $4 billion to $4.4 billion in originations, pretax earnings of $62 million to $80 million, and after-tax earnings of $53 million to $68 million, again, after the application of our NOLs. That's a 20% to 25% return on equity.

2026 年，我們預計貸款發放額為 40 億至 44 億美元，稅前利潤為 6,200 萬至 8,000 萬美元，稅後利潤為 5,300 萬至 6,800 萬美元（同樣是在扣除淨營業虧損之後）。這意味著股本回報率達到20%至25%。

So looking ahead, what does it all mean? It means we believe HomeXpress is accretive to our earnings. It gives us a new revenue stream, greater diversification, and more recurring income. It accelerates our strategy, growing our assets and fee generation, which we believe will lead to an increase in our dividend-paying ability and advance total economic return over the long-term. We're not just building a bigger company, we're building a better one, one designed for the long-term.

那麼展望未來，這一切又意味著什麼呢？這意味著我們相信 HomeXpress 能提升我們的收益。它為我們帶來了新的收入來源、更大的多元化以及更多的經常性收入。它加速了我們的策略，增加了我們的資產和費用收入，我們相信這將提高我們的股利能力，並在長期內提升整體經濟回報。我們不只是在打造一家更大的公司，我們是在打造一家更好的公司，一家專注於長遠發展的公司。

Now I'll turn it over to Subra to walk you through the financials.

現在我將把發言權交給蘇布拉，讓他為大家講解財務狀況。

Thank you, Phil. I will review Chimera's financial highlights for the third quarter of 2025. GAAP net loss for the third quarter was $22 million or $0.27 per share. GAAP book value at the end of third quarter was $20.24 per share. For the third quarter, our economic return on GAAP book value was negative 1.4% based on the quarterly change in book value and the $0.37 third-quarter dividend per common share. And year-to-date 2025, our economic return on GAAP book value was 8.3%.

謝謝你，菲爾。我將回顧 Chimera 公司 2025 年第三季的財務亮點。第三季GAAP淨虧損為2,200萬美元，即每股虧損0.27美元。第三季末的GAAP帳面價值為每股20.24美元。第三季度，根據帳面價值的季度變化和每股普通股0.37美元的第三季股息，我們的GAAP帳面價值經濟回報率為負1.4%。截至 2025 年，我們以 GAAP 帳面價值計算的經濟回報率為 8.3%。

On an earnings available for distribution basis, net income for the third quarter was $30 million or $0.37 per share. Our economic net interest income for the third quarter was $69 million. For the third quarter, the yield on average interest-earning assets was 5.9%, our average cost of funds was 4.5%, and our net interest spread was 1.4%.

以可供分配的收益計算，第三季淨收入為 3,000 萬美元，即每股 0.37 美元。第三季我們的經濟淨利息收入為 6,900 萬美元。第三季度，平均生息資產收益率為 5.9%，平均資金成本為 4.5%，淨利差為 1.4%。

Total leverage for the third quarter was 4.8 to 1, while recourse leverage ended the quarter at 2 to 1. Recourse leverage increased this quarter as we continue to increase our capital allocation to agency RMBS securities.

第三季總槓桿率為 4.8 比 1，而追索權槓桿率在本季末為 2 比 1。本季追索權槓桿率上升，因為我們持續增加對機構RMBS證券的資本配置。

For liquidity and strategic developments, the company ended the quarter ended the third quarter with $752 million in total cash and unencumbered assets compared to $561 million at the end of the second quarter. During the quarter, we strategically raised liquidity through staggered sales of select assets. We sold $617 million of retained bonds, non-agency RMBS, and agency CMBS IO positions, releasing $116 million of capital. In addition, we issued $120 million of 8.875% senior unsecured notes due 2030. Net of the underwriting discount and other debt issuance costs, we raised $116 million in capital.

就流動性和策略發展而言，該公司第三季末的總現金和未抵押資產為 7.52 億美元，而第二季末為 5.61 億美元。本季度，我們透過分階段出售部分資產，有策略地提高了流動性。我們出售了 6.17 億美元的留存債券、非機構 RMBS 和機構 CMBS IO 頭寸，釋放了 1.16 億美元的資本。此外，我們還發行了 1.2 億美元的 8.875% 優先無抵押票據，該票據將於 2030 年到期。扣除承銷折扣和其他債務發行成本後，我們籌集了 1.16 億美元的資金。

The increase in cash balance prepared us with anticipated funds required to close the HomeXpress acquisition which was finalized on October 1. We closed on our acquisition of HomeXpress for $240 million in cash comprised of an estimated adjusted book value of $120 million. This is subject to certain post-closing adjustments and a cash premium of $120 million plus the issuance of 2,077,151 shares of common stock.

現金餘額的增加使我們有了完成 HomeXpress 收購所需的預期資金，該收購已於 10 月 1 日完成。我們以 2.4 億美元現金完成了對 HomeXpress 的收購，其調整後的帳面價值估計為 1.2 億美元。這取決於交割後的某些調整，以及1.2億美元的現金溢價加上發行2,077,151股普通股。

Okay. So I just wanted to update one remark from Phil's earlier said remark. Phil mentioned that the adjusted book value was at as of 6/30. But it is actually the adjusted book value as of 8/30. Make that correction -- the purchase price that we pay.

好的。所以我想對菲爾之前說過的一句話做補充說明。Phil提到，調整後的帳面價值截至6月30日。但實際上這是截至 8 月 30 日的調整後帳面價值。請更正一下－我們所支付的購買價格。

And for liquidity, continuing on, separately during the quarter, we added $275 million of agency RMBS securities and closed on our initial $38 million MSR investment. For repo and hedging, we had $2.1 billion outstanding repo liabilities secured by the residential credit portfolio. 53% of the outstanding residential credit repo or $1.1 billion had a floating rate sensitivity. And we maintain $2.2 billion in notional value of various interest rate hedges protecting the repo liabilities.

至於流動性方面，本季我們分別增加了 2.75 億美元的機構 RMBS 證券，並完成了我們最初的 3,800 萬美元 MSR 投資。對於回購和對沖，我們有21億美元的未償回購負債，以住宅信貸組合作為擔保。其中，53%的未償住宅信貸回購（即11億美元）對浮動利率敏感。我們持有價值 22 億美元的各種利率對沖工具，以保護回購負債。

We had $1.3 billion of either non or limited market-to-market features on our outstanding repo agreements representing 64% of our secured recourse funding for the residential credit portfolio. On the agency RMBS side, we had $2.4 billion notional value of interest rate swap, swap futures, and cancelable swaps with varying tenors protecting against $2.4 billion of outstanding repo liabilities.

我們未償付的回購協議中有 13 億美元的非市場對市場或有限的市場對市場功能，占我們住宅信貸組合擔保追索權融資的 64%。在機構RMBS方面，我們有24億美元的名目價值的利率互換、互換期貨和可取消互換，期限各不相同，用於對沖24億美元的未償回購負債。

For the third quarter of 2025, our economic net interest income return on average equity was 10.6%. Our GAAP return on average equity was negative 0.1%. And our EAD return on average equity was 7.3%.

2025 年第三季度，我們的經濟淨利息收入平均權益報酬率為 10.6%。我們的平均權益報酬率（以美國通用會計準則計算）為負0.1%。我們的 EAD 平均權益報酬率為 7.3%。

And lastly, compensation, general, administrative, and servicing expenses were higher by $2 million primarily driven by one-time severance payments. Our transaction expenses were higher by $10 million this quarter, reflecting the costs associated with HomeXpress acquisition.

最後，由於一次性遣散費，補償、一般、行政和服務費用增加了 200 萬美元。本季我們的交易費用增加了 1,000 萬美元，反映了與收購 HomeXpress 相關的成本。

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

現在我將把電話交給傑克，讓他來回顧我們的投資組合和投資活動。

Thanks, Subra, and good morning, everyone. We had a busy third quarter as the team remained focused on repositioning the portfolio while maintaining elevated levels of cash in preparation for the HomeXpress acquisition.

謝謝蘇布拉，大家早安。第三季我們非常忙碌，團隊專注於重新調整投資組合，同時保持較高的現金水平，為收購 HomeXpress 做準備。

Against this backdrop, the US economy remained mixed but generally resilient. Growth was supported by continued strength in non-residential investment, particularly in artificial intelligence-related infrastructure, equipment, and software, while labor conditions showed gradual signs of cooling.

在此背景下，美國經濟表現喜憂參半，但整體上具有韌性。非住宅投資的持續強勁成長支撐了經濟成長，尤其是在人工智慧相關的基礎設施、設備和軟體領域，而勞動力狀況則逐漸出現降溫跡象。

Policy and regulatory developments once again shaped the tone of financial markets. The federal reserve shifted from holding the line on restrictive policy to actively easing, cutting the target Fed funds rate by 25 basis points in September. Importantly, the Fed acknowledged that risks had begun to tilt toward labor market conditions rather than inflation alone, reinforcing a market narrative that policy is now oriented towards sustaining growth and employment rather than focusing solely on price stability.

政策和監管方面的發展再次影響了金融市場的走向。聯準會從維持緊縮政策轉向積極寬鬆政策，9 月將聯邦基金目標利率下調了 25 個基點。重要的是，聯準會承認風險已開始轉向勞動力市場狀況，而不僅僅是通貨膨脹，這強化了一種市場觀點，即政策現在的目標是維持成長和就業，而不是僅僅關注價格穩定。

In rates, the curve steepened as front-end yields led the rally. The two-year Treasury declined 11 basis points during the quarter, while the tenure fell 8, winding the 2-10 spread to 54 basis points. Agency MBS continued to offer attractive carry even as OAS tightened amid lower volatility and strong demand. Current coupon nominal spreads tightened by 24 basis points versus swaps and 21 basis points versus treasuries.

利率方面，由於近月殖利率領漲，殖利率曲線趨於陡峭。本季兩年期公債殖利率下降了 11 個基點，期限下降了 8 個基點，使得 2 年期和 10 年期公債殖利率之間的利差縮小至 54 個基點。儘管波動性降低和需求強勁，導致OAS收緊，但機構MBS仍提供有吸引力的收益率。當前票息名目利差較互換利差收窄 24 個基點，較國債利差收窄 21 個基點。

Primary mortgage rates declined roughly 35 basis points to 6.32%, spurring a rise in refinance activity as a refinance share of applications climbed from 40% in early July to more than 60% in late September. Housing activity improved modestly, though existing home sales at a $4.1 million annual pace remains well below the 27-year average of $5.2 million.

一級抵押貸款利率下降約 35 個基點至 6.32%，刺激了再融資活動的增加，再融資申請佔從 7 月初的 40% 攀升至 9 月下旬的 60% 以上。住房活動略有改善，但現有房屋的年銷售額為 410 萬美元，仍遠低於 27 年平均 520 萬美元。

Credit markets remained firm. Investment-grade and high-yield corporate spreads tightened 9 and 23 basis points, respectively. Non-agency RMBS saw strong demand and healthy absorption of supply, with the non-QM credit curve flattening as AAA spreads tightened in the context of 15 basis points and BBB spreads held steady.

信貸市場維持堅挺。投資等級和高收益公司債的利差分別收窄了 9 個基點和 23 個基點。非機構RMBS需求強勁，供給吸收良好，非QM信用曲線趨於平緩，AAA級利差收窄15個基點，BBB級利差維持穩定。

In the legacy reperforming loan sector, which represents the majority of our portfolio, AAA and senior unrated bonds tightened by approximately 10 and 25 basis points. Overall, mortgage credit fundamentals remain solid, supported by high homeowner equity, low incidence of default, and near historic low unemployment. Even so, rising defaults and isolated idiosyncratic events in non-mortgage sectors have prompted heightened investor awareness.

在傳統再融資貸款領域（占我們投資組合的大部分），AAA 級和高級未評級債券的利率分別收緊了約 10 和 25 個基點。總體而言，抵押貸款信貸基本面依然穩健，這得益於較高的房屋所有者權益、較低的違約率以及接近歷史最低水平的失業率。即便如此，非抵押貸款領域的違約率上升和零星的特殊事件也提高了投資者的警覺性。

Turning to our portfolio, book value declined approximately 3.2% during the quarter, largely driven by the combined effects of tighter non-agency RMBS spreads and the rally in short-term rates, each of which lifted the valuation of our securitized debt more significantly than the corresponding gains in our loan portfolio.

再來看我們的投資組合，本季帳面價值下降了約 3.2%，這主要是由於非機構 RMBS 利差收窄和短期利率上漲的綜合影響，這兩方面都比貸款組合的相應收益更顯著地提升了我們證券化債務的估值。

We made substantial progress in repositioning the portfolio during the quarter while also preparing for the HomeXpress acquisition. To put that in context, excluding the Palisades acquisition, we began the year with more than 90% of our economic capital allocated to residential credit, just 4% in agency MBS and the remainder in cash.

本季我們在重新調整投資組合方面取得了實質進展，同時也為收購 HomeXpress 做好了準備。為便於理解，若不計入 Palisades 的收購，年初時我們超過 90% 的經濟資本分配給了住宅信貸，只有 4% 分配給了機構抵押貸款支持證券 (MBS)，其餘為現金。

As of October 1, we are beginning to see a more balanced and diversified portfolio with robust sources of income. The residential credit allocation is now below 70%, agency MBS has increased to about 17%. MSRs are small but growing at just over 1%. And importantly, we deployed roughly $267 million, or about 13% of our economic portfolio into the HomeXpress investment. The issuance of $120 million in senior unsecured debt during the quarter allowed us to retain a larger portion of the agency MBS portfolio in advance of that acquisition.

截至10月1日，我們開始看到一個更平衡和多元化的投資組合，並擁有穩健的收入來源。目前住宅信貸分配比例低於 70%，機構抵押貸款支持證券 (MBS) 比例已增至約 17%。MSR 規模雖小，但成長速度略高於 1%。更重要的是，我們向 HomeXpress 投資了約 2.67 億美元，約占我們經濟組合的 13%。本季發行 1.2 億美元的優先無擔保債務，使我們能夠在收購之前保留更大比例的機構 MBS 投資組合。

Our investment strategy remains centered on rotating out of fully valued assets and redeploying capital across opportunities that align with our long-term portfolio construction goals and enhance earnings power.

我們的投資策略仍然是以輪動出售估值過高的資產，並將資本重新部署到符合我們長期投資組合建構目標並能提高獲利能力的投資機會中為中心。

During the quarter, we exited $453 million of retained and non-agency bonds, including senior and subordinate positions, along with the $164 million notional agency CMBS IO position. These sales released approximately $116 million of net liquidity at a breakeven GAAP ROE of just over 7%.

本季度，我們退出了 4.53 億美元的保留和非機構債券，包括高級和次級頭寸，以及 1.64 億美元的名義機構 CMBS IO 頭寸。這些銷售釋放了約 1.16 億美元的淨流動性，損益兩平 GAAP ROE 略高於 7%。

We purchased a net $275 million of agency MBS, settled our previously announced MSR transaction, and increased our cash balance ahead of the HomeXpress closing. This elevated cash balance was a temporary drag on earnings, but we believe that drag will be more than offset by the near-term contributions from HomeXpress, as illustrated on slide 9 of the presentation.

我們淨購入了價值 2.75 億美元的機構抵押貸款擔保證券 (MBS)，完成了先前宣布的抵押貸款服務權 (MSR) 交易，並在 HomeXpress 交易完成前增加了現金餘額。現金餘額的增加暫時拖累了盈利，但我們相信，HomeXpress 的近期貢獻將足以抵消這種拖累，正如演示文稿第 9 頁所示。

Our agency pass-through portfolio now stands at just over $2.5 billion across the coupon stack. Leverage on the agency pass-through book increased modestly to 7.3 times from 6.6 times during the quarter, with rate and spread sensitivities remaining within risk parameters. We continue to hedge with swaps to maintain tight duration alignment, match our SOFR-based funding, and capture additional carry. These positions continue to deliver high-quality income with levered ROEs in the low to mid-teens.

目前，我們代理商的轉售組合規模已超過 25 億美元，涵蓋了各種類型的優惠券。本季度機構轉手貸款組合的槓桿率從 6.6 倍小幅上升至 7.3 倍，利率和利差敏感度仍維持在風險參數範圍內。我們繼續透過互換進行對沖，以保持嚴格的久期一致性，匹配我們基於 SOFR 的融資，並獲得額外的收益分成。這些職位持續帶來高品質的收入，槓桿化的股本回報率在十幾到十幾之間。

On the credit side, the majority of our portfolio is made up of reperforming loans that exhibit high levels of borrower home equity and over 17 years of seasoning. Loan performance remains stable, with these loans reporting a modest increase in delinquencies of 20 basis points during the quarter.

在信貸方面，我們的大部分投資組合由重新發放的貸款組成，這些貸款的借款人房屋淨值較高，且貸款期限超過 17 年。貸款表現保持穩定，本季這些貸款的違約率僅小幅上升了 20 個基點。

Recourse leverage on the residential credit portfolio declined by approximately $329 million to $2.1 billion, reflecting asset sales and normal course paydowns. 64% of this financing was structured as non-mark-to-market or limited mark-to-market, up from 58% in the second quarter, while the floating rate component declined from 58% to 53%.

住宅信貸組合的追索權槓桿率下降約3.29億美元至21億美元，主要反映了資產出售和正常還款。其中64%的融資結構為非市值計價或有限市值計價，高於第二季的58%；而浮動利率部分則從58%下降至53%。

As discussed last quarter, our interest rate hedging strategy for the residential credit portfolio remains designed to protect earnings power in a rising rate environment while maintaining upside in a declining rate scenario. During the quarter, we added $600 million in 1.5 by 2-year swaptions to further hedge our floating rate liability exposure further out the curve.

正如上個季度所討論的，我們針對住宅信貸組合的利率對沖策略仍然旨在保護在利率上升環境下的獲利能力，同時在利率下降的情況下保持上漲空間。本季度，我們增加了 6 億美元的 1.5 至 2 年期互換選擇權，以進一步對沖我們未來一段時間的浮動利率負債風險。

We continue to evaluate opportunities to unlock value in reinvestment capital by exercising call rights on our legacy securitizations. The scope of our review currently includes 18 transactions collateralized by approximately $5.9 billion of loans. At times, we may call these deals and either sell or re-securitize the loans. These activities can allow us to unlock capital to reinvest in higher return opportunities that drive earnings growth and support our portfolio repositioning efforts.

我們將繼續評估透過行使我們遺留證券的贖回權來釋放再投資資本價值的機會。我們目前的審查範圍包括 18 筆交易，這些交易的抵押貸款總額約為 59 億美元。有時，我們可能會將這些交易稱為“債務重組”，然後出售或重新證券化這些貸款。這些活動可以讓我們釋放資金，用於再投資於回報更高的機會，從而推動盈利增長並支持我們的投資組合重新定位工作。

While redeeming debt at par can reduce book value when the debt is valued at a discount, we balance those near-term effects against the benefits of our long-term portfolio objectives. These activities are designed to enhance earnings durability and reinforce the portfolio's resilience across economic, interest rate, and credit environments.

雖然以面額贖回債務可能會降低折價債務的帳面價值，但我們會權衡這些短期影響與長期投資組合目標的益處。這些活動旨在提高獲利的持久性，並增強投資組合在經濟、利率和信貸環境下的韌性。

Turning to HomeXpress, we're excited to welcome the team as this transaction further diversifies our earnings space, creates synergies with our third-party asset management activities, and supports our long-term portfolio goals by enabling us to retain loans for our own investment and securitization programs.

我們很高興歡迎 HomeXpress 團隊的加入，因為此次交易將進一步使我們的收入來源多元化，與我們的第三方資產管理活動產生協同效應，並透過使我們能夠保留貸款用於我們自己的投資和證券化計劃，來支持我們的長期投資組合目標。

Overall, the third quarter was another transitional period for both the portfolio and the broader business. We continued to unlock value organically through strategic divestitures; redeployed capital into accretive investments, most notably Home Express; diversified our portfolio and sources of income; and enhanced our platform capabilities.

整體而言，第三季對於投資組合和更廣泛的業務而言都是另一個過渡時期。我們繼續透過策略性資產剝離釋放有機價值；將資本重新部署到增值投資中，尤其是 Home Express；使我們的投資組合和收入來源多元化；並增強了我們的平台能力。

We remain focused on executing our strategy. And with the HomeXpress acquisition now closed, we are well-positioned to capture earnings tailwinds heading into the fourth quarter and into 2026.

我們將繼續專注於執行我們的策略。隨著對 HomeXpress 的收購完成，我們已做好充分準備，迎接第四季和 2026 年的獲利成長。

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

我們的發言稿到此結束。現在我們將線路交還給接線員，回答問題。

(Operator Instructions) Bose George, KBW.

（操作說明）Bose George，KBW。

Good morning, guys. This is Frankie Labetti on for Bose. Congrats on the deal closing as well. And first question is on book value. You noted that the change was due to the steeper yield curve and the increase in value of the securitized debt more than the value of the loans. Can you just walk through that and why the loans don't get a similar mark? Is it due to liquidity or -- yeah.

各位早安。這裡是 Frankie Labetti 為 Bose 帶來的報導。恭喜交易順利完成。第一個問題是關於帳面價值的。您指出，這種變化是由於殖利率曲線更加陡峭以及證券化債務價值的增加，而不是貸款價值的增加。你能詳細解釋為什麼貸款沒有獲得類似的評分嗎？是因為流動性問題嗎？ ——是的。

Yeah. No, it's a good question. And part of it is a lag in just the timing with respect to when we're seeing spreads change and the securitization markets versus when we actually see that propagate down into the loan market. So that has one effect.

是的。不，這是個好問題。部分原因是，我們看到利差變化和證券化市場的變化與實際看到這種變化向下傳導到貸款市場之間存在時間滯後。所以這會產生一個影響。

The other piece is the shape of the yield curve. So as we saw the two-year rally, the 11 basis points, the five-year only 6 basis points, so that steepening caused the yields in our securitized debt to decrease more than on the loan side. So that has the effect -- while our loans actually increased in value, the increase in the value of our liabilities increased more.

另一部分是殖利率曲線的形狀。因此，我們看到兩年期債券殖利率上漲了 11 個基點，而五年期債券殖利率僅上漲了 6 個基點，這種殖利率陡峭化導致證券化債務的殖利率下降幅度大於貸款的殖利率下降幅度。因此，雖然我們的貸款價值實際上增加了，但我們負債價值的增加幅度更大。

The other piece I would highlight there, we saw spreads tighten across non-agency RMBS during the quarter. But when you think about what our portfolio is comprised of, it's really reperforming loans.

我想重點指出的是，本季非機構RMBS的利差收窄。但當你仔細想想我們的投資組合構成時，你會發現它實際上正在回收不良貸款。

So there's a rated and a non-rated component there. And the unrated portion of the RPL market is where we saw the tightness spreads that came in somewhere between 20, 25 basis points. So that represents somewhere between 55% to 60% of our securitized debt. And again, that's what caused the increase in value of our debt more so than what we saw on the loan side.

所以這裡有一個評級組件和一個非評級組件。在 RPL 市場未評級部分，我們看到價差收窄，介於 20 到 25 個基點之間。所以這相當於我們證券化債務的 55% 到 60%。再次強調，這才是導致我們債務價值增加的主要原因，而不是貸款方面的改變。

Great. That's very helpful. And do we have an update of book for the quarter?

偉大的。那很有幫助。我們有本季的最新帳目資訊嗎？

Yeah. And actually, we've seen some of that reverse. Some of that has to do with the timing and seeing some loan activity during the course of October. But we're up about 2.4% through October 31.

是的。事實上，我們已經看到一些情況發生了逆轉。部分原因在於時機，以及10月出現的一些貸款活動。但截至10月31日，我們上漲了約2.4%。

Awesome. Thank you. And just one last one on the deal. Is goodwill $120 million? The deal, that was a premium to book, is that -- just want to confirm that.

驚人的。謝謝。關於這筆交易，還有最後一個問題。商譽值1.2億美元嗎？那筆交易，也就是預訂時需要支付的溢價，是這樣嗎？ ——我只是想確認一下。

Yeah. This is Subra. Thanks for the question. Well, the total premium was -- well, all the payments above the $120 million book value, obviously, we haven't closed. And there will be an adjustment, meaning there is some final adjustments to the book value that'll come through as we tow up September.

是的。這是蘇布拉。謝謝你的提問。總溢價是——顯然，所有超過 1.2 億美元帳面價值的款項，我們還沒有完成交易。此外，還會進行一些調整，這意味著帳面價值會有一些最終調整，這些調整將在9月公佈。

Now as far as everything is going to be goodwill, that all depends on the purchase accounting. We're going through these numbers right now. And portion of the purchase accounting, we're still evaluating how much of that premium is related to intangibles versus goodwill.

至於所有收益是否都屬於商譽，這完全取決於採購會計處理。我們現在正在分析這些數據。至於收購會計處理的一部分，我們仍在評估其中有多少溢價與無形資產相關，又有多少與商譽相關。

Great. Thank you. That's all for me.

偉大的。謝謝。我就說這些了。

(Operator Instructions) Trevor Cranston, Citizens JMP.

（操作說明）特雷弗·克蘭斯頓，市民 JMP。

Thanks. Good morning. Couple of questions on HomeXpress. First of all, thank you for your projections for Q4 in 2026. That's very helpful. I guess when you guys think about the earnings contribution that you're going to get from HomeXpress, can you talk about how you guys are going to approach that with the dividend? Would you expect to pay out the majority of HomeXpress's earnings as part of the dividend? Or do you think a lot of that will be retained to finance future growth in that business? Thanks.

謝謝。早安.關於HomeXpress，我有幾個問題。首先，感謝您對 2026 年第四季的預測。那很有幫助。我想，當你們考慮從 HomeXpress 獲得的收益貢獻時，能否談談你們將如何處理分紅問題？您認為HomeXpress的大部分收益會以股利的形式發放嗎？或者您認為其中大部分資金將被保留下來，用於資助該業務的未來發展？謝謝。

Sure. This is Phil. So that's a question that we started to address last time. First, as you know, it's a final determination by the Board. But we'll look at a variety of factors which are related to how much Home HomeXpress would need to retain to continue to grow and as we want to be able to grow our own asset base, even through securitizations, for example, versus current dividend needs. I mean, we recognize the benefits for both, and we're just going to have to look at the timing and make assessments at that time where we think the split is appropriate between current dividend needs and future growth.

當然。這是菲爾。這是我們上次開始探討的問題。首先，如您所知，這是董事會的最終決定。但我們將考慮各種因素，這些因素與 Home HomeXpress 需要保留多少資產才能繼續成長有關，因為我們希望能夠擴大自己的資產基礎，例如透過證券化，而不是當前的股息需求。我的意思是，我們認識到兩者對雙方都有好處，我們只需要考慮時機，並在我們認為當前股息需求和未來成長之間進行適當分配的時候做出評估。

Okay. Got it.

好的。知道了。

I know it's a little bit [wishy], but it's hard to predict right now for that.

我知道這有點不切實際，但現在很難預測。

Sure. Okay. And then as you look at the origination volume that they're producing, can you talk about your near-term expectation as to how much of that you might retain and securitize for an ongoing investment on the balance sheet? And how do you view returns on retaining that production of investment relative to some of the other areas you've been deploying capital? Thanks.

當然。好的。然後，當您查看他們正在產生的貸款發放量時，您能否談談您近期的預期，即您可能會保留其中多少資金並將其證券化，作為資產負債表上的持續投資？那麼，您如何看待將資金投入生產性投資的回報，與您已投入資金的其他一些領域相比呢？謝謝。

Sure. Hey. This is Jack. I guess what we would say first and foremost is our intent is not to disrupt any of the partnerships that they have with their existing investor base. That's a very important component of their business. We continue to believe that our job is, in part, to support that effort.

當然。嘿。這是傑克。我想我們首先要說明的是，我們的目的不是要破壞他們與現有投資者之間的任何合作關係。這是他們業務中非常重要的組成部分。我們仍然認為，我們的工作之一就是支持這項工作。

With that being said, given just the predictions for the growth in overall mortgage originations in 2026 and the fact that the non-QM share of total mortgage originations has increased every single year since 2020, we believe that their volume is going to be such that our retention of loans will not disrupt any of those partnerships.

也就是說，考慮到對 2026 年整體抵押貸款發放量增長的預測，以及自 2020 年以來非合格抵押貸款 (non-QM) 在抵押貸款發放總量中所佔份額逐年增加的事實，我們認為，它們的規模將如此之大，以至於我們保留貸款不會擾亂任何合作關係。

So I think a fair assessment of that is we'll look to do something in the context of four to five securitizations a year, maybe one per quarter. When that starts will be a function of market conditions. And it's also a balance between they are generating some healthy gain on sale income and when we retain those loans for our portfolio, that's a long-term investment decision. But we're also giving up some of those near-term gains. So there's an economic assessment that we go through as well. But I think it's a fair assessment to assume something along the lines of one deal per quarter.

所以我認為，比較合理的評估是，我們將在每年四到五次證券化交易的背景下進行一些工作，也許每季一次。何時開始將取決於市場狀況。同時，我們也需要在出售這些貸款以獲得可觀收益和將這些貸款保留在我們的投資組合中之間取得平衡，這是一個長期的投資決策。但我們也放棄了一些短期收益。所以我們還要進行一項經濟評估。但我認為，假設每季達成一筆交易是合理的。

And the other piece of your question, I think, is with respect to economics. I mean, it depends on the structure of the deal, how far we settle down in the capital structure, and what we ultimately retain. But we're looking at returns on our retained pieces of those deals somewhere in the context of mid to high teens.

我認為，你問題的另一部分是關於經濟學的。我的意思是，這取決於交易的結構，我們在資本結構中能穩定到什麼程度，以及我們最終能保留什麼。但我們認為，我們從這些交易中保留的部分所獲得的收益大概在 15% 到 10% 之間。

Okay. Got it. Very helpful. Thank you.

好的。知道了。很有幫助。謝謝。

Thank you. We have reached the end of our question-and-answer session. I would now like to turn the floor back over to Phil Kardis for closing comments.

謝謝。我們的問答環節到此結束。現在我想把發言權交還給菲爾·卡迪斯，讓他做總結發言。

Thanks for participating in our third-quarter earnings call. We look forward to speaking to you in February for the fourth quarter and 2025 end of the year. So look forward to seeing you. Thanks for joining.

感謝您參加我們的第三季財報電話會議。我們期待在二月與您討論第四季和 2025 年底的情況。期待見到你。謝謝參與。

Ladies and gentlemen, thank you for your participation. This does conclude today's teleconference. Please disconnect your lines at this time and have a wonderful day.

女士們、先生們，感謝各位的參與。今天的電話會議到此結束。請暫時斷開您的線路，祝您有美好的一天。