Ellington Financial Inc (EFC) 2023 Q2 法說會逐字稿

Good morning, ladies and gentlemen. Thank you for standing by. Welcome to the Ellington Financial Second Quarter 2023 Earnings Conference Call. Today's call is being recorded. (Operator Instructions)

早上好，女士們，先生們。謝謝你的支持。歡迎參加 Ellington Financial 2023 年第二季度收益電話會議。今天的通話正在錄音。 （操作員說明）

It is now my pleasure to turn the call over to [Tara Byrne]. You may begin.

現在我很高興將電話轉給[塔拉·伯恩]。你可以開始了。

Thank you. Before we start, I would like to remind everyone that certain statements made during this conference call may constitute forward-looking statements within the meaning of the Safe Harbor provisions of the Private Securities Litigation Reform Act of 1995. Forward-looking statements are not historical in nature as described under Part 1, Item 1A of our annual report on Form 10-K and Part 2, Item 1A of our quarterly report on Form 10-Q for the quarter ended March 31, 2023. Forward-looking statements are subject to a variety of risks and uncertainties that could cause the company's actual results to differ from its beliefs, expectations, estimates and projections. Consequently, you should not rely on these forward-looking statements as predictions of future events. Statements made during this conference call are made as of the date of this call, and the company undertakes no obligation to update or revise any forward-looking statements whether as a result of new information, future events or otherwise.

謝謝。在我們開始之前，我想提醒大家，本次電話會議中所做的某些陳述可能構成 1995 年《私人證券訴訟改革法案》安全港條款含義內的前瞻性陳述。前瞻性陳述不具有歷史意義。性質如我們截至2023 年3 月31 日的季度10-K 表格年度報告第1 部分第1A 項和10-Q 表格季度報告第2 部分第1A 項所述。前瞻性陳述須遵守各種風險和不確定性可能導致公司的實際結果與其信念、期望、估計和預測不同。因此，您不應依賴這些前瞻性陳述作為對未來事件的預測。本次電話會議期間發表的聲明均截至本次電話會議之日，公司不承擔因新信息、未來事件或其他原因而更新或修改任何前瞻性聲明的義務。

I am joined on the call today by Larry Penn, Chief Executive Officer of Ellington Financial; Mark Tecotzky, Co-Chief Investment Officer of EFC; and JR Herlihy, Chief Financial Officer of EFC.

艾靈頓金融公司 (Ellington Financial) 首席執行官拉里·佩恩 (Larry Penn) 也參加了今天的電話會議。 Mark Tecotzky，EFC 聯席首席投資官； JR Herlihy，EFC 首席財務官。

As described in our earnings press release, our second quarter earnings conference call presentation is available on our website, ellingtonfinancial.com. Management's prepared remarks will track the presentation. Please note that any references to figures in the presentation are qualified in their entirety by the end notes at the back of the presentation.

正如我們的收益新聞稿中所述，我們的第二季度收益電話會議演示可在我們的網站 ellingtonfinancial.com 上查看。管理層準備好的評論將跟踪演示文稿。請注意，演示文稿中對圖表的任何引用均由演示文稿後面的尾註完整限定。

With that, I will now turn the call over to Larry.

現在，我將把電話轉給拉里。

Thank you, Tara, and good morning, everyone. As always, thank you for your time and interest in Ellington Financial.

謝謝你，塔拉，大家早上好。一如既往，感謝您花時間關注艾靈頓金融。

I'll begin on Slide 3 of the presentation. For the second quarter, we reported net income of $0.04 per share and adjusted distributable earnings of $0.38 per share. Steady performance from our non-QM, residential transition loan and commercial mortgage bridge loan portfolios, combined with notably strong performance from our credit risk transfer investments, offset net losses elsewhere in the portfolio, and Ellington Financial generated a modestly positive economic return overall.

我將從演示文稿的幻燈片 3 開始。第二季度，我們報告每股淨利潤為 0.04 美元，調整後可分配收益為每股 0.38 美元。我們的非QM、住宅過渡貸款和商業抵押貸款過橋貸款投資組合的穩定表現，加上信用風險轉移投資的顯著強勁表現，抵消了投資組合其他部分的淨虧損，艾靈頓金融總體上產生了適度的正經濟回報。

You can see on Slide 3 that the Credit strategy was the primary driver of our quarterly results, contributing $0.40 per share of net income, while Agency generated $0.06 per share on a relatively small capital allocation, and Longbridge contributed a positive $0.04 per share, even as wider HECM yield spreads compressed gain on sale margins and weighed on results. The lower margins at Longbridge were also the primary driver of the sequential decline in EFC's overall adjusted distributable earnings. HECM margins recovered somewhat in July, however. And notably, shortly after quarter end, Longbridge was able to acquire a reverse mortgage servicing portfolio out of a bankruptcy proceeding at a distressed price, which we expect will be immediately accretive to EFC's earnings and adjusted attributable earnings going forward.

您可以在幻燈片3 中看到，信貸策略是我們季度業績的主要驅動力，貢獻了每股0.40 美元的淨利潤，而Agency 憑藉相對較小的資本分配產生了每股0.06 美元的收益，Longbridge貢獻了每股0.04 美元的正收益，即使由於 HECM 收益率差擴大壓縮了銷售利潤的收益並拖累了業績。 Longbridge 較低的利潤率也是 EFC 整體調整後可分配收益連續下降的主要原因。然而，7 月份 HECM 利潤率有所回升。值得注意的是，在季度末後不久，Longbridge 能夠以低價收購破產程序中的反向抵押貸款服務組合，我們預計這將立即增加 EFC 的收益和調整後的權益收益。

The net interest margins for both Credit and Agency also ticked up sequentially as higher book asset yields due to portfolio rotation exceeded higher borrowing costs. Higher NIMs should, of course, be supportive of ADE going forward as well. Also during the second quarter, we signed definitive agreements for strategic acquisitions of 2 public mortgage REITs, Arlington Asset Investment Corp. and Great Ajax Corp. Each of these transactions will add assets that complement and further diversify Ellington Financial's existing investment strategies, align with our expertise and offer other strategic advantages.

由於投資組合輪換帶來的賬面資產收益率上升超過了借貸成本上升，信貸和代理機構的淨息差也相繼上升。當然，更高的 NIM 也應該支持 ADE 的發展。同樣在第二季度，我們簽署了戰略收購2 個公共抵押房地產投資信託基金（Arlington Asset Investment Corp. 和Great Ajax Corp.）的最終協議。這些交易中的每一項都將增加資產，以補充和進一步多元化Ellington Financial 的現有投資策略，並與我們的戰略保持一致。專業知識並提供其他戰略優勢。

With Arlington, we pick up a portfolio of low-coupon mortgage servicing rights at scale. These MSRs benefit in a rising interest rate environment, and so they provide an earnings profile that should function as a natural hedge to many of Ellington Financial's existing investments. And with Great Ajax, we substantially grow our RPL/NPL strategy by adding a portfolio of over $1 billion of first lien residential loans, also at scale and with limited credit risk by virtue of their low LTVs. This RPL/NPL portfolio includes both loans owned directly on balance sheet and loans financed via securitizations.

通過阿靈頓，我們大規模獲得了低息抵押貸款服務權的投資組合。這些 MSR 在利率上升的環境中受益，因此它們提供的收益狀況應該可以作為艾靈頓金融公司許多現有投資的自然對沖。通過 Great Ajax，我們通過增加超過 10 億美元的第一留置權住宅貸款組合，大幅發展了我們的 RPL/NPL 戰略，這些貸款的規模也很大，而且由於貸款價值比較低，信用風險也有限。該 RPL/NPL 組合包括資產負債表上直接擁有的貸款和通過證券化融資的貸款。

These transactions also provide other important benefits to Ellington Financial. With Arlington, we will assume more than $100 million of term non-mark-to-market unsecured debt and perpetual preferred stock, both with attractive cost of capital. And with Great Ajax, we will acquire a strategic equity investment in Gregory Funding LLC, Great Ajax's highly respected affiliated mortgage loan servicer, which could unlock multiple synergies and operating efficiencies across Ellington Financial's existing investment portfolio. In addition to these benefits, the acquisition should provide additional capital, both upfront and over time, to deploy into Ellington Financial's existing investment strategies at the highly-attractive yield spreads available in the market.

這些交易還為 Ellington Financial 帶來了其他重要的好處。對於阿靈頓，我們將承擔超過 1 億美元的定期非按市價計價的無擔保債務和永久優先股，兩者都具有有吸引力的資本成本。通過與 Great Ajax 合作，我們將收購 Great Ajax 備受推崇的附屬抵押貸款服務商 Gregory Funding LLC 的戰略股權投資，這可以釋放 Ellington Financial 現有投資組合的多重協同效應和運營效率。除了這些好處之外，此次收購還應提供額外的資本，無論是前期還是隨著時間的推移，以市場上極具吸引力的收益率利差部署到 Ellington Financial 的現有投資策略中。

You can find additional information about these transactions in the Presentations section of the Ellington Financial website.

您可以在艾靈頓金融網站的演示部分找到有關這些交易的更多信息。

Moving back to Ellington Financial's portfolio. We took several other steps during the quarter that should position us to drive earnings while continuing to navigate market volatility. With Agency yield spreads still wide on a historical basis, we grew that portfolio by 8% in the second quarter after shrinking it significantly in prior quarters. We also took advantage of an attractive entry point to add credit risk transfer investments early in the quarter before the spread tightening in that sector in June and July, and continue to expand our portfolio of high-yielding residential transition loans and proprietary reverse mortgage loans.

回到艾靈頓金融公司的投資組合。我們在本季度採取了其他幾項措施，這將使我們能夠在繼續應對市場波動的同時推動盈利。由於機構收益率利差在歷史基礎上仍然很大，我們在前幾個季度大幅縮減投資組合後，在第二季度將投資組合增長了 8%。我們還利用一個有吸引力的切入點，在六月和七月該行業利差收緊之前的季度初增加了信用風險轉移投資，並繼續擴大高收益住宅過渡貸款和自營反向抵押貸款的投資組合。

Similar to the prior 3 quarters, the size of our commercial bridge loan portfolio again declined in the second quarter as payoffs and principal paydowns significantly exceeded new originations. In addition, loans on multi-family continued to represent the majority of our commercial bridge portfolio. In non-QM, the bid from whole loan buyers, particularly insurance companies, continues to be relatively strong. As a result, we were able, this past quarter, to get good execution on one of our non-QM pools via an outright whole loan sale, and we now regularly consider whole loan sales as an alternative to securitization.

與前三個季度類似，我們的商業過橋貸款投資組合的規模在第二季度再次下降，因為償還額和本金償還額大大超過了新發放的貸款額。此外，多戶家庭貸款繼續占我們商業橋樑投資組合的大部分。在非 QM 領域，整體貸款買家（尤其是保險公司）的出價仍然相對強勁。因此，我們能夠在上個季度通過直接的整體貸款銷售在我們的一個非 QM 池中獲得良好的執行，並且我們現在定期考慮將整體貸款銷售作為證券化的替代方案。

Similarly, our originator affiliate, LendSure and American Heritage, have recently been selling more of their production to third-party whole loan buyers. Not surprisingly, given how high mortgage rates have been, new originations in the non-QM sector continue to be very low compared to last year. As a result, our non-QM whole loan portfolio remains relatively small, finishing the quarter at $446 million, which is a more than 40% year-over-year decline. Of course, other segments of our loan portfolio, especially residential transition loans, have taken up the slack. And if spreads widen and our securitization spreads continue to tighten, our non-QM portfolio should have plenty of room to regrow.

同樣，我們的發起機構 LendSure 和 American Heritage 最近也將更多產品出售給第三方整體貸款買家。毫不奇怪，考慮到抵押貸款利率如此之高，非質量管理領域的新增貸款與去年相比仍然非常低。因此，我們的非 QM 整體貸款組合仍然相對較小，本季度結束時為 4.46 億美元，同比下降超過 40%。當然，我們貸款組合的其他部分，特別是住宅過渡貸款，已經填補了這一空缺。如果利差擴大並且我們的證券化利差繼續收緊，我們的非 QM 投資組合應該有足夠的再生空間。

Our loan portfolios continue to benefit from the short duration and strong overall credit performance. We continue to dynamically adjust our interest rate and credit hedges, and this past quarter, that also included establishing new hedges related to those pending public and REIT acquisitions. In fact, it was the addition of interest rate hedges related to those pending acquisitions that explains why our interest rate sensitivity table, which you'll find on Slide 14 of the presentation, all of a sudden shows a modest negative duration.

我們的貸款組合繼續受益於短期和強勁的整體信用表現。我們繼續動態調整我們的利率和信用對沖，上個季度還包括建立與未決公開和房地產投資信託收購相關的新對沖。事實上，正是與那些待定收購相關的利率對沖的增加解釋了為什麼我們的利率敏感度表（您可以在演示文稿的幻燈片 14 上找到）突然顯示出適度的負久期。

Meanwhile, and as usual, we have maintained high levels of liquidity and additional borrowing capacity. We ended the quarter with a recourse debt-to-equity ratio of 2.1:1, which is still towards the lower end of our historical levels.

與此同時，與往常一樣，我們保持了高水平的流動性和額外的借貸能力。本季度末，我們的追索權債務與股本比率為 2.1:1，仍接近歷史水平的下限。

As you can see back on Slide 3, our cash and unencumbered asset levels reflect that we have substantial dry powder to invest. In particular, our commercial mortgage loan portfolio is as small as it's been in a while, and with the distress that we and others expect to hit the commercial real estate sector, I wouldn't be surprised if we ultimately deploy a lot of that dry powder in nonperforming commercial mortgage loans.

正如您在幻燈片 3 中看到的那樣，我們的現金和未支配資產水平反映出我們有大量的干粉可供投資。特別是，我們的商業抵押貸款組合規模與一段時間以來一樣小，而且考慮到我們和其他人預計商業房地產行業將遭受的困境，如果我們最終部署大量此類幹貸款，我不會感到驚訝。不良商業抵押貸款的粉末。

Finally, we look forward to closing the Arlington and Great Ajax acquisitions later this year, which will add meaningfully to our capital base.

最後，我們期待在今年晚些時候完成對阿靈頓和 Great Ajax 的收購，這將有意義地增加我們的資本基礎。

With that, I'll turn it over to JR to discuss our second quarter financial results in more detail.

接下來，我將把它交給 JR，更詳細地討論我們第二季度的財務業績。

Thanks, Larry, and good morning, everyone.

謝謝拉里，大家早上好。

For the second quarter, we reported net income of $0.04 per share on a fully mark-to-market basis and adjusted distributable earnings of $0.38 per share. These results compare to net income of $0.58 per share and ADE of $0.45 per share for the prior quarter.

第二季度，我們公佈的完全按市值計算的每股淨利潤為 0.04 美元，調整後的可分配收益為每股 0.38 美元。這些結果與上一季度每股淨利潤 0.58 美元和每股 ADE 0.45 美元相比。

On Slide 5, you can see the attribution of earnings between Credit, Agency and Longbridge. The Credit strategy generated $0.40 per share of net income driven by net interest income on our loan portfolios, net gains on our CRT portfolio and net gains on our interest rate hedges. A portion of these gains were offset by negative results in our investments in unconsolidated entities, including losses on equity investments in loan originators and commercial mortgage loan-related entities, as well as net realized and unrealized losses on our consumer loans and credit hedges.

在幻燈片 5 上，您可以看到 Credit、Agency 和 Longbridge 之間的收入歸屬。信貸策略產生了每股 0.40 美元的淨收入，其驅動因素包括貸款組合的淨利息收入、CRT 投資組合的淨收益以及利率對沖的淨收益。這些收益的一部分被我們對未合併實體的投資的負面結果所抵消，包括對貸款發起人和商業抵押貸款相關實體的股權投資損失，以及我們的消費貸款和信用對沖的已實現和未實現淨損失。

Finally, although we have seen uptick in delinquencies in these portfolios year-to-date, our residential and commercial mortgage loan portfolios continue to experience low levels of credit losses and strong overall credit performance. In fact, several classes of our non-QM securitizations were upgraded by Fitch in May. According to Bank of America research from June, among the 17 issuers with 5 or more deals outstanding, our EFMT non-QM shelf is tied for the lowest reported 30-plus day delinquencies. Since 2017, we've done 14 EFMT securitizations and currently have 11 deals outstanding, encompassing approximately 5,800 loans and $2.5 billion of UPB. And remarkably, despite the large size of that portfolio, those deals have experienced no cumulative losses like to date.

最後，儘管我們今年迄今發現這些投資組合的拖欠率有所上升，但我們的住宅和商業抵押貸款投資組合繼續經歷低水平的信用損失和強勁的整體信用表現。事實上，惠譽在 5 月份對我們的多個非 QM 證券化類別進行了升級。根據美國銀行 6 月份的研究，在有 5 筆或更多未完成交易的 17 家發行人中，我們的 EFMT 非 QM 貨架與報告的 30 多天拖欠率最低。自 2017 年以來，我們已完成 14 筆 EFMT 證券化，目前有 11 筆未完成交易，涵蓋約 5,800 筆貸款和 25 億美元的 UPB。值得注意的是，儘管該投資組合規模龐大，但這些交易並沒有像迄今為止那樣經歷累計損失。

Meanwhile, our Agency portfolio generated net income of $0.06 per share for the second quarter. The quarter began with elevated interest rate volatility and widening Agency MBS yield spreads as the market prepared for sales by the FDIC of MBS from failed regional banks. Later in the quarter, with the FDIC sales well absorbed and with the debt [deal] and dispute results, volatility declines and agency MBS yield spreads tighten. Accordingly, we experienced moderate losses in April, but these were reversed in May and June. And on balance, we had positive net income for the quarter in the Agency strategy.

與此同時，我們的代理投資組合第二季度每股淨利潤為 0.06 美元。本季度伊始，隨著市場準備 FDIC 出售破產地區銀行的 MBS，利率波動加劇，機構 MBS 收益率利差擴大。在本季度晚些時候，隨著 FDIC 銷售的良好吸收以及債務[交易]和爭議的結果，波動性下降，機構 MBS 收益率利差收緊。因此，我們在 4 月份經歷了適度的損失，但在 5 月和 6 月出現了逆轉。總的來說，我們的代理策略本季度淨利潤為正。

Finally, Longbridge contributed $0.04 per share of net income in the quarter. Longbridge's positive results were driven by net gains related to the resolutions of HECM buyout loans, net gains on proprietary reverse mortgage loans and net gains on interest rate hedges. These gains were partially offset by net losses on the HMBS MSR equivalent, which was driven by the combination of higher interest rates and wider yield spreads in the HECM market during the quarter, and a net loss in originations as reduced gain on sale margins on HECM loans more than offset an increase in overall origination volumes.

最後，Longbridge 在本季度貢獻了每股 0.04 美元的淨利潤。 Longbridge 的積極業績是由與 HECM 收購貸款決議相關的淨收益、自營反向抵押貸款淨收益以及利率對沖淨收益推動的。這些收益被 HMBS MSR 等值的淨虧損部分抵消，這是由於本季度 HECM 市場利率上升和收益率利差擴大共同推動的，以及 HECM 銷售利潤收益減少導致的原始淨虧損貸款遠遠抵消了總體發行量的增長。

EFC's net income for the second quarter also reflected expenses related to the Arlington and Great Ajax transactions, as well as net losses driven by higher interest rates on the interest rate swaps we use to hedge our preferred equity and unsecured long-term debt.

EFC 第二季度的淨利潤還反映了與阿靈頓和 Great Ajax 交易相關的費用，以及我們用來對沖優先股和無擔保長期債務的利率掉期利率上升帶來的淨虧損。

On Slide 6, you can see a breakout of the ADE among the investment portfolio, Longbridge and corporate overhead.

在幻燈片 6 上，您可以看到 ADE 在投資組合、Longbridge 和公司管理費用方面的突破。

Next, please flip to Slide 7. In the second quarter, our total loan credit portfolio increased by 1% sequentially to $2.45 billion as of June 30. The slight increase was driven by moderately larger non-QM and RTL loan portfolios quarter-over-quarter and by net purchases of CRT investments, which occurred primarily in May. A portion of the increase was offset by a smaller commercial bridge loan portfolio, where loan paydowns significantly exceeded new originations. For the RTL, commercial bridge and consumer loan portfolios in total, we received principal paydowns of $349 million during the second quarter, which represented 22% of the combined fair value of those portfolios coming into the quarter.

接下來，請翻到幻燈片7。截至6 月30 日，第二季度，我們的總貸款信貸組合環比增長1%，達到24.5 億美元。這一小幅增長是由於非QM 和RTL 貸款組合季度環比規模適度擴大所致。季度和主要發生在 5 月份的 CRT 投資淨購買。部分增長被較小的商業過橋貸款組合所抵消，其中貸款償還額大大超過新發放的貸款。對於 RTL、商業過橋貸款和消費貸款投資組合，我們在第二季度收到了 3.49 億美元的本金還款，佔本季度這些投資組合公允價值總額的 22%。

On the next slide, Slide 8, you can see that our total Long Agency RMBS portfolio increased by 8% quarter-over-quarter to $918 million as we opportunistically added specified pools during the quarter.

在下一張幻燈片（幻燈片 8）中，您可以看到我們的長期代理 RMBS 投資組合總額環比增長 8%，達到 9.18 億美元，因為我們在本季度機會性地增加了指定資金池。

On Slide 9, you can see that our Longbridge portfolio decreased by 3% to $430 million as of June 30. The decrease was driven primarily by the success Longbridge had during the quarter resolving HECM buyout loans, most of which were acquired -- which most of which were acquired in the transaction that closed in March. This decline was partially offset by originations of proprietary reverse mortgage loans. In the second quarter, Longbridge originated $297 million across HECM and prop, which was up 27% quarter-over-quarter. The share of originations through Longbridge's wholesale and correspondent channels increased incrementally to 79% from 77%, while Retail declined to 21% from 23%.

在幻燈片9 上，您可以看到截至6 月30 日，我們的Longbridge 投資組合下降了3%，至4.3 億美元。這一下降主要是由於Longbridge 在本季度成功解決了HECM 收購貸款，其中大部分是被收購的——其中大部分其中是在三月份完成的交易中獲得的。這一下降被自營反向抵押貸款的發放部分抵消。第二季度，Longbridge 通過 HECM 和支柱業務籌集了 2.97 億美元，環比增長 27%。通過 Longbridge 的批發和代理渠道發起的份額從 77% 逐步增加至 79%，而零售則從 23% 下降至 21%。

Next, please turn to Slide 10 for a summary of our borrowings. The top of this slide now shows the costs related to our recourse borrowings only. On our recourse borrowings, the weighted average borrowing rate increased by 29 basis points to 6.67% as of June 30, driven by the increase in short-term interest rates. Book asset yields for both our Credit and Agency strategies also increased during the quarter thanks to portfolio turnover, and we continue to benefit from positive carry on our interest rate swap hedges, where we overall receive a higher floating rate and pay a lower fixed rate. As a result, net interest margins in both our Credit and Agency strategies expanded sequentially.

接下來，請翻到幻燈片 10，了解我們藉用的摘要。這張幻燈片的頂部現在僅顯示與我們的追索權借款相關的成本。追索權借款方面，受短期利率上升影響，截至 6 月 30 日，加權平均借款利率上升 29 個基點至 6.67%。由於投資組合周轉，我們的信貸和代理策略的賬面資產收益率在本季度也有所增加，並且我們繼續受益於利率掉期對沖的正利差，我們總體上獲得更高的浮動利率並支付更低的固定利率。因此，我們的信貸和代理策略的淨息差相繼擴大。

Our recourse debt-to-equity ratio adjusted for unsettled purchases and sales remained low at 2.1:1 as of June 30 compared to 2:1 as of March 31. Our overall debt-to-equity ratio, again, adjusted for unsettled purchases and sales, increased incrementally to 9.2:1 as of June 30 as compared to 8.9:1 as of March 31.

截至 6 月 30 日，我們針對未結算採購和銷售調整後的追索權債務與股本比率仍處於 2.1:1 的低位，而截至 3 月 31 日為 2:1。截至6 月30 日，銷售額比例從3 月31 日的8.9:1 逐步增加至9.2:1。

Finally, at June 30, our combined cash and unencumbered assets totaled approximately $538 million, and our book value per common share was $14.70, down from $15.10 in the prior quarter. Including the $0.45 per share of common dividends that we declared during the quarter, our total economic return was 30 basis points for the second quarter.

最後，截至 6 月 30 日，我們的現金和未支配資產總計約為 5.38 億美元，每股普通股賬面價值為 14.70 美元，低於上一季度的 15.10 美元。包括我們在本季度宣布的每股 0.45 美元的普通股股息，我們第二季度的總經濟回報為 30 個基點。

Now over to Mark.

現在輪到馬克了。

Thanks, JR.

謝謝，JR。

EFC had a slightly positive return in a very volatile quarter. There was volatility in both the absolute level of rates as the 5-year note moved on an 86 basis point range and in the slope of the yield curve, as the slope of the 2-year versus 10-year moved in a 65 basis point range. That is a huge range and reflects the market as living between fear of more bank failures and fear of persistent inflation. Credit spreads also saw a lot of volatility with the on-the-run investment-grade index moving in the 17 basis point range.

EFC 在一個非常波動的季度中獲得了輕微的正回報。 5 年期國債的絕對利率水平波動了 86 個基點，而 2 年期國債與 10 年期國債的斜率則波動了 65 個基點，收益率曲線的斜率也出現了波動。範圍。這是一個巨大的範圍，反映出市場生活在對更多銀行倒閉的恐懼和對持續通脹的恐懼之間。信用利差也出現大幅波動，實時投資級指數在 17 個基點範圍內波動。

While it wasn't a memorable quarter for returns, we were busy at Ellington Financial with 2 announced public mREIT acquisitions and some new opportunities materializing that can help to drive future returns. Despite growing market consensus that the Federal Reserve is either at or very near the end of its tightening cycle, the heightened levels of interest rate volatility that characterized the market in 2022 have persisted in 2023, including into the third quarter. Larry mentioned that we kept our interest rate hedging discipline across all portfolios, and I think that is very important to preserve book value.

雖然這對於回報而言並不是一個令人難忘的季度，但我們在 Ellington Financial 忙於宣布 2 項公開 mREIT 收購，以及一些有助於推動未來回報的新機會的實現。儘管市場越來越多地認為美聯儲已處於或非常接近其緊縮週期的結束，但 2022 年市場特徵的利率波動加劇在 2023 年仍然持續，包括進入第三季度。拉里提到，我們在所有投資組合中都保持利率對沖紀律，我認為這對於保持賬面價值非常重要。

As you can see from Slide 7, the credit portfolio was remarkably stable in size. Most categories did not move much, although we did opportunistically add CRT at some very wide spreads. By late last year, we identified some specific sectors within CRT as potentially offering above-market returns. The 2020 and 2021 vintage Fannie, Freddie production that backed these bonds have had both tremendous HPA as well as very fast prepayment speeds until mid last year, both of which have helped to substantially derisk the bonds.

正如您從幻燈片 7 中看到的，信貸投資組合的規模非常穩定。儘管我們確實在一些非常廣泛的價差中機會性地增加了 CRT，但大多數類別的變動不大。到去年年底，我們發現 CRT 內的一些特定行業有可能提供高於市場的回報。直到去年年中，支持這些債券的 2020 年和 2021 年版房利美、房地美產品都擁有巨大的 HPA 和非常快的預付款速度，這兩者都有助於大幅降低債券的風險。

Additionally, unlike floating rate borrowers that are being strained by increasing debt service costs, these borrowers have locked in 30 years of very low fixed rate payments and now, wage gains are driving their debt-to-income ratios even lower. Combine this with a large GSE bond tendering program this year, and you have a combination of great fundamentals and great technicals, which has driven strong total returns. This is a good example of the breadth of Ellington's investment expertise and the flexibility of our mandate helping to drive EFC's total return.

此外，與因償債成本增加而面臨壓力的浮動利率借款人不同，這些借款人已經鎖定了 30 年非常低的固定利率付款，而現在，工資上漲正在推動他們的債務與收入比率進一步降低。將此與今年的大型 GSE 債券招標計劃相結合，您將獲得良好的基本面和技術面的結合，從而推動了強勁的總回報。這是 Ellington 廣泛的投資專業知識和我們任務的靈活性的一個很好的例子，有助於推動 EFC 的總回報。

On Slide 8, you can see the larger agency portfolio as discussed. And on Slide 9, you can see that through Longbridge, we added private label reverse , which we view as an exciting and growing part of the reverse mortgage market.

在幻燈片 8 上，您可以看到所討論的更大的代理機構組合。在幻燈片 9 上，您可以看到，通過 Longbridge，我們添加了自有品牌反向，我們認為這是反向抵押貸款市場中令人興奮且不斷增長的一部分。

On Slide 19, you can see that our credit hedges grew substantially in the quarter. We added protection as index spreads tightened both for those pending public acquisitions and as a spread hedge for non-QM agency. In terms of portfolio performance in the quarter, our RTL portfolio continues to chug along, generating substantial net interest income.

在幻燈片 19 上，您可以看到我們的信用對沖在本季度大幅增長。我們增加了保護措施，因為指數利差收緊，無論是對於那些即將進行的公開收購，還是作為非 QM 機構的利差對沖。就本季度的投資組合表現而言，我們的 RTL 投資組合繼續穩步發展，產生了大量的淨利息收入。

One area of focus for us is working through our second quarter 2022 vintage loans, which were originated at the top of the housing market. Some of these loans have extended their maturity because it has taken longer for the borrower to sell the property than they expected. But we ultimately expect credit performance to be strong for these loans, given the LTVs that we underwrote to.

我們的重點領域之一是處理 2022 年第二季度的老式貸款，這些貸款源自房地產市場的頂部。其中一些貸款的期限已經延長，因為藉款人出售房產的時間比他們預期的要長。但考慮到我們承保的貸款價值比，我們最終預計這些貸款的信用表現將會強勁。

For newer vintages, including loans originated in Q4 2022 and Q1 2023, we are seeing strong, albeit still early performance. Despite affordability challenges, home prices stabilized earlier this year and have been edging higher. Meanwhile, our commercial bridge loan portfolio continued to pay down, and we're starting to see some more interesting opportunities in that sector.

對於較新的年份，包括源自 2022 年第四季度和 2023 年第一季度的貸款，我們看到了強勁的表現，儘管仍處於早期階段。儘管面臨負擔能力方面的挑戰，房價今年早些時候仍趨於穩定，並一直在小幅走高。與此同時，我們的商業過橋貸款組合繼續償還，我們開始在該領域看到一些更有趣的機會。

A lot has been written about the pullback of regional banks from lending, and the recent Fed commission SLOOS report confirms that's happening in real time. This is all great for Ellington Financial. We're seeing some high-quality deals come to us that historically would have gone to regional banks. Also, the substantial cash flow stress in part of the commercial mortgage market is presenting us with more distressed and NPL opportunities. Those are exactly the kind of investments that were the bread and butter of our commercial mortgage strategy that started over a decade ago.

關於地區銀行撤回貸款的文章已經有很多，美聯儲委員會最近的 SLOOS 報告證實了這種情況正在實時發生。這對艾靈頓金融來說是一件好事。我們看到一些高質量的交易來到我們這裡，而這些交易在歷史上本來會流向地區銀行。此外，部分商業抵押貸款市場的巨大現金流壓力給我們帶來了更多不良貸款和不良貸款的機會。這些投資正是我們十多年前開始的商業抵押貸款戰略的基礎。

Sheridan Capital, our commercial mortgage loan originator and servicing partner, has been a great relationship for us so far and I expect them to be highly strategic for EFC going forward. Not only are they generating operating profits now, but their expertise in construction, renovation and property management further broadens EFC's own capabilities and expands the net in terms of what types of opportunities we can pursue.

Sheridan Capital 是我們的商業抵押貸款發起人和服務合作夥伴，迄今為止與我們保持著良好的關係，我預計他們對 EFC 的未來具有高度戰略意義。他們現在不僅產生營業利潤，而且他們在建築、翻新和物業管理方面的專業知識進一步拓寬了 EFC 自身的能力，並擴大了我們可以追求的機會類型。

Our portfolio of long term loans and retained tranches also performed well in the quarter. As Larry mentioned, that sector has attracted strong demand from insurance companies, which has helped solidify spreads, both for whole loan sales and securitizations. Loan sales and securitizations are now both viable and profitable exit strategies and provide some healthy competition for each other. That's true for both EFC portfolio loans as well as production from our originator affiliates.

我們的長期貸款和保留部分的投資組合在本季度也表現良好。正如拉里提到的，該行業吸引了保險公司的強勁需求，這有助於鞏固整個貸款銷售和證券化的利差。貸款銷售和證券化現在都是可行且有利可圖的退出策略，並為彼此提供了一些良性競爭。對於 EFC 投資組合貸款以及我們發起附屬公司的生產來說都是如此。

For EFC, our non-QM portfolio has shrunk substantially since the second half of last year when prices were quite depressed. Now, with securitization spreads tighter and liquidity improved, we see a substantial opportunity to grow the portfolio again moving forward.

對於 EFC 來說，自去年下半年價格相當低迷以來，我們的非 QM 投資組合已大幅萎縮。現在，隨著證券化利差收緊和流動性改善，我們看到了再次擴大投資組合的巨大機會。

Our non-Agency RMBS portfolio also had a strong quarter, led by CRT. We tend to increase allocation to non-agency RMBS when securities [creep] loans, and we have seen this dynamic a few times in the past 9 months. We constantly think about the relative value merits of loans versus securities, and pivoting some incremental capital between these 2 sectors is a great way to add excess return.

我們的非機構 RMBS 投資組合在 CRT 的帶動下，本季度也表現強勁。當證券[蠕動]貸款時，我們傾向於增加對非機構 RMBS 的配置，並且在過去 9 個月中我們已經多次看到這種動態。我們不斷思考貸款與證券的相對價值優點，在這兩個部門之間轉移一些增量資本是增加超額回報的好方法。

For our loan originator affiliates, it looks like the worst may be behind us. Loan prices are creeping up, and while the volume is still well below 2021 levels, it has been stable, in some cases, growing.

對於我們的貸款發起人附屬機構來說，最糟糕的時期似乎已經過去了。貸款價格正在攀升，雖然數量仍遠低於 2021 年的水平，但一直穩定，在某些情況下甚至還在增長。

In Agency MBS, we are modestly profitable for the quarter. There were some moments of very wide spreads in the quarter, which we used to grow that portfolio. It's almost unimaginable how the opportunity set in that space has been recharged. Fannie 6s closed in July at a lower price than where Fannie 2s traded just 2 years earlier. The forward curve is telling us that the Fed is probably nearing the end of its tightening cycle so some of the tailwinds probably taken out of the market, but rate volatility is yet to subside. Looking ahead, many sectors in our portfolio have very high unlevered asset yields, including RTL, commercial mortgage bridge and long term loans, which gives strong support to our ADE and our dividend.

在 Agency MBS 中，我們本季度實現了適度盈利。本季度有一些價差非常大的時刻，我們利用這些時刻來擴大投資組合。幾乎難以想像這個空間中的機會是如何被重新充電的。 Fannie 6 七月份的收盤價低於 Fannie 2 兩年前的交易價格。遠期曲線告訴我們，美聯儲可能已接近其緊縮週期的結束，因此市場上的一些有利因素可能會消失，但利率波動尚未消退。展望未來，我們投資組合中的許多行業都有非常高的無槓桿資產收益率，包括RTL、商業抵押貸款橋和長期貸款，這為我們的ADE和股息提供了強有力的支持。

These yields are a tailwind to be sure, but there are headwinds too. Origination volumes are low and competition in many asset classes, especially from insurance companies, is fierce. We have a lot of work ahead to complete the Arlington and Great Ajax acquisitions, but when we do, the incremental capital and strategic investments should only enhance our ability to take advantage of a broad range of investment strategies.

這些收益率固然是有利因素，但也存在不利因素。發行量較低，許多資產類別的競爭（尤其是來自保險公司的競爭）非常激烈。我們還有很多工作要做，才能完成對阿靈頓和 Great Ajax 的收購，但當我們這樣做時，增量資本和戰略投資只會增強我們利用廣泛投資策略的能力。

Now back to Larry.

現在回到拉里。

Thanks, Mark.

謝謝，馬克。

I am pleased with Ellington Financial's performance so far this year in what continues to be a fluid market. Despite the interest rate volatility, our regional banking crisis and a difficult origination environment, EFC generated an annualized economic return of 7.4% through the first 6 months of 2023. I think we're in a good position to grow adjusted distributable earnings going forward with wider net interest margins, both in Credit and in Agency, and at Longbridge as well, with improving HECM gain on sale margins and that recent distressed MSR purchase. And as Mark highlighted, we're benefiting from reduced competition from banks in our lending businesses, which could be another catalyst for strong long-term risk-adjusted returns.

我對艾靈頓金融公司今年迄今為止在持續流動的市場中的表現感到滿意。儘管存在利率波動、我們的區域銀行危機和艱難的創業環境，但到2023 年前6 個月，EFC 的年化經濟回報率為7.4%。我認為我們處於有利地位，可以在未來增加調整後的可分配收益隨著 HECM 銷售利潤率的提高以及最近陷入困境的 MSR 購買，信貸和代理方面以及長橋的淨息差都擴大了。正如馬克所強調的那樣，我們受益於貸款業務中銀行競爭的減少，這可能是強勁的長期風險調整回報的另一個催化劑。

Of course, the pending acquisitions of Arlington and Great Ajax represent important milestones for Ellington Financial. Each of these transactions will add strategic assets that complement and further diversify Ellington Financial's existing investment strategies and align with our expertise. And by significantly increasing our scale and bringing us a substantial additional group of shareholders, these transactions should enhance liquidity of our common stock while lowering our operating expense ratios to boot. We project that each of these transactions will be accretive to our earnings within the coming year. We expect to close both these transactions before the end of 2023, at which time EFC's equity base should exceed $1.7 billion. That would be around double our equity base at the end of 2019, right before COVID, no less.

當然，即將完成的對 Arlington 和 Great Ajax 的收購對於 Ellington Financial 來說是一個重要的里程碑。每筆交易都將增加戰略資產，以補充和進一步多元化 Ellington Financial 的現有投資策略，並與我們的專業知識保持一致。通過顯著擴大我們的規模並為我們帶來大量額外的股東，這些交易將增強我們普通股的流動性，同時降低我們的運營費用率。我們預計每筆交易都將在來年增加我們的收入。我們預計在 2023 年底之前完成這兩項交易，屆時 EFC 的股本基數將超過 17 億美元。到 2019 年底，也就是新冠疫情之前，這將是我們股本基數的兩倍左右，不少於。

It is clearly a time of consolidation in the mortgage REIT space, and Ellington Financial's strong balance sheet and track record of steady returns have enabled us to be an attractive partner in these 2 transactions. When you consider the accretive impact to earnings that we are expecting from these M&A transactions, the benefits of increased scale and the dry powder we have available for the attractive opportunity set in front of us, it is definitely an exciting time for Ellington Financial.

顯然，現在是抵押房地產投資信託領域的整合時期，Ellington Financial 強勁的資產負債表和穩定回報的記錄使我們成為這兩筆交易中有吸引力的合作夥伴。當你考慮到我們預期這些併購交易對收益的增值影響、擴大規模的好處以及我們為擺在我們面前的誘人機會提供的干粉時，這對艾靈頓金融來說絕對是一個激動人心的時刻。

Finally, I'd like to close by addressing existing Arlington and Great Ajax shareholders. We hope you agree that these pending transactions should be highly attractive and accretive for you as well. We look forward to introducing ourselves and our company to you, and we sincerely hope that your ownership continues.

最後，我想向現有的阿靈頓和 Great Ajax 股東致辭。我們希望您同意這些待處理的交易對您也應該具有高度的吸引力和增值性。我們期待著向您介紹我們自己和我們的公司，並真誠地希望您繼續擁有我們的所有權。

With that, we'll now open the call up to questions. Operator?

現在，我們將開始提問。操作員？

(Operator Instructions) Our first question comes from Bose George with KBW.

（操作員說明）我們的第一個問題來自 KBW 的 Bose George。

Trying to figure out the -- just the impact of the pending acquisition. So there was, I guess, it was like that $3.6 million of expenses related to the acquisition. And how much was the financial impact of the hedges that were in place ahead of the deal closing?

試圖弄清楚即將進行的收購的影響。所以，我猜，與收購相關的費用大約是 360 萬美元。交易完成前實施的對沖對財務影響有多大？

Sorry, you mean that the deals haven't closed? You mean had at quarter end, I guess, maybe?

抱歉，您的意思是交易尚未結束？你的意思是在季度末，我想，也許吧？

Yes. I think the comment that you made that you had some interest rate hedging on, I guess, in anticipation of the deal's closing. Is that right? That -- are these hedges?

是的。我認為你所說的你在交易完成之前進行了一些利率對沖的評論。是對的嗎？那——這些是樹籬嗎？

Yes. That's right.

是的。這是正確的。

So just curious what the impact, was there a financial impact related to that was also running through earnings this quarter?

所以只是好奇影響是什麼，是否有與此相關的財務影響也貫穿於本季度的收益中？

Yes. For -- for Q2, the impact of those hedges were not material, were very small. And you got the $3.6 million, and the $3.6 million is the right number of expenses that we put through related to the transactions in the second quarter.

是的。對於第二季度來說，這些對沖的影響並不重大，而且非常小。你得到了 360 萬美元，這 360 萬美元是我們在第二季度支付的與交易相關的費用的正確數字。

Okay. .

好的。 。

And then for the second half of the year or just before the deal -- until the deal closes, is there much in terms of transaction expenses? Or is this kind of the bulk of it?

然後在下半年或者交易之前——直到交易完成，交易費用方面有很多嗎？或者說這就是其中的大部分？

There are. The banker fees are success based, right? So that's right. And then otherwise, the expenses are taken as incurred, so we still have more legal work to do between now and then. So it's -- I think those are the big -- the primary components.

有。銀行家的費用是基於成功的，對嗎？所以說是這樣的。否則，費用按實際發生額計算，因此從現在到那時我們還有更多的法律工作要做。所以我認為這些是重要的主要組成部分。

Okay.

好的。

And then just on the MSR, the distressed reverse MSR you acquired, how much capital did that entail?

然後就 MSR 而言，您收購的不良反向 MSR 需要多少資本？

Negligible.

微不足道。

It was pretty small. Okay.

它很小。好的。

And then just one on excess capital. How would you characterize your sort of your dry powder? And are you keeping some excess also ahead of the acquisitions?

然後是關於過剩資本的問題。您如何描述您的干粉類型？在收購之前您是否也保留了一些多餘的資金？

Sure. So we had cash of $195 million, which is about 15% of our NAV. So we keep 10% to 15% typically. Other encumbered assets of $340 million and leverage on agency was about 6x. So between those 2 categories, we could probably add. In 2022, we were a range of 2.3 to 2.7x recourse debt to equity. In 2019, we are 2.6 to 2.9x. 2019 with -- granted, a larger allocation of capital to agency. But from our 2.1x today, we could, I think, pretty comfortably get into the 2x, 2.5x, area just based on what's unencumbered and additional borrowing capacity on our finance.

當然。所以我們有 1.95 億美元的現金，大約是我們資產淨值的 15%。所以我們通常保留 10% 到 15%。其他擔保資產為 3.4 億美元，代理槓桿約為 6 倍。因此，在這兩個類別之間，我們可能可以添加。 2022 年，追索權債務與股本的比率為 2.3 至 2.7 倍。 2019 年，我們是 2.6 至 2.9 倍。 2019 年，理所當然，向機構分配了更多的資本。但我認為，從今天的 2.1 倍來看，我們可以相當輕鬆地進入 2 倍、2.5 倍領域，僅基於我們財務上的無負擔和額外借貸能力。

We'll take our next question from Crispin Love with Piper Sandler.

我們將回答 Crispin Love 和 Piper Sandler 提出的下一個問題。

In the release and on the call, you mentioned credit strength and low levels of losses but a pickup in delinquencies. I'm just curious if you could expand on that a little bit? What levels of delinquencies are you seeing? And are they primarily in the commercial portfolios and RTL? Or are there any other areas worth calling out?

在新聞稿和電話會議中，您提到了信用實力和損失水平較低，但拖欠率有所上升。我只是好奇你是否可以對此進行擴展？您看到的拖欠程度是多少？它們主要是在商業產品組合和 RTL 中嗎？或者還有其他值得關注的地方嗎？

Sure. So it's really the RTL and commercial bridge where we're seeing upticks. And I don't know, Mark, if you want to speak qualitative to those? I mean there's still, I think, small in the scheme of things and certainly, the credit losses are small. The Q tomorrow will flush out those precise numbers.

當然。因此，我們確實看到了 RTL 和商業橋樑的增長。我不知道，馬克，你是否想對這些進行定性評價？我的意思是，我認為，事情的計劃仍然很小，當然，信用損失也很小。明天的 Q 將會公佈這些精確的數字。

But I don't know, Mark, if you want to talk about the trends especially that we're seeing in RTL, which I think you got into a bit in your prepared remarks? And maybe expand on that theme?

但馬克，我不知道你是否想談談我們在 RTL 中看到的趨勢，我認為你在準備好的發言中對此有所了解？也許可以擴展這個主題？

Yes. Crispin.

是的。克里斯平。

So I mentioned in my comments that the second quarter of 2022 for most areas represented the peak in home prices, and then they sort of drifted lower second half of last year. And now they've been gradually increasing, I believe, last 3 or 4 months, the most recent 3 or 4 months of this year. So what happens is the construction partners that we lend money to that bought homes in the second quarter of 2022, when they went to put the property -- sell the properties, it was taking them a little bit longer to sell the properties than we have historically seen. So we have a model informed by historical data that looks at a lot of features, how complex renovation is and geography and all that stuff. And we could see the second quarter 2022, the houses were on the market for a little bit longer. It also took them a little bit longer to finish their renovation.

所以我在評論中提到，2022年第二季度對於大多數地區來說是房價的頂峰，然後在去年下半年有所下降。現在我相信過去三四個月，今年最近的三四個月，它們已經逐漸增加。因此，我們向在 2022 年第二季度購買房屋的建築合作夥伴提供貸款，當他們準備出售房產時，他們出售房產的時間比我們要長一些。歷史上見過。因此，我們有一個基於歷史數據的模型，它考慮了很多特徵、改造的複雜程度以及地理位置等等。我們可以看到 2022 年第二季度，房屋在市場上的停留時間會更長一些。他們還花了一點時間才完成裝修。

So we're working through that. It's been a focus. Everything is going pretty well, and what you see now is home prices have sort of stabilized, now started to tick back up a little bit. That trend -- we don't see that trend anymore. So now, sort of the fourth quarter of 2022 and the first quarter of 2023, those resolutions are coming at sort of exactly the rate that we would have predicted.

所以我們正在解決這個問題。一直是一個焦點。一切進展順利，你現在看到的是房價已經穩定下來，現在開始略有回升。這種趨勢——我們再也看不到這種趨勢了。因此，現在，大約是 2022 年第四季度和 2023 年第一季度，這些決議的出台速度與我們的預測完全一致。

I don't think it's really going to be a performance issue. I just think it's going to be a little bit of a time line extension. And there are extension fees, and so there's sort of economics that accrue to a company when loans do extend. But I just wanted to mention it because it's just -- it was a trend that we have been focusing on for the last few months, and something we've been working through.

我不認為這真的會成為性能問題。我只是認為這會稍微延長一點時間。而且還有延期費用，因此當貸款延期時，公司會產生某種經濟效益。但我只是想提一下，因為這是我們過去幾個月一直關注的趨勢，也是我們一直在努力解決的問題。

Mark, I appreciate all the color there.

馬克，我很欣賞那裡的所有顏色。

And just one last for me. Mark, can you talk a little bit the distressed NPL opportunities you're seeing in the market? It sounds like you've begun to see some opportunities, so curious if you've bought any yet? And are there -- what were the key areas in [key areas] where you expect the majority of these NPL opportunities over the next several quarters?

對我來說只有最後一個。馬克，您能談談您在市場上看到的不良不良貸款機會嗎？聽起來您已經開始看到一些機會，很好奇您是否已經購買了？您預計未來幾個季度出現大部分不良貸款機會的[關鍵領域]的關鍵領域是哪些？

So yes, no, that's a great question. They're coming in 2 flavors, right? So the first flavor is you're seeing in the CMBS market, so commercial mortgage-backed securities. Not loans. You're seeing in CMBS tranches that had been previously investment grade and came to market previously investment grade, traded relatively tight spreads, so inside [$150 million to $170 million] to the curve where they were priced when those markets came to market.

所以是的，不，這是一個很好的問題。它們有兩種口味，對嗎？第一種是你在 CMBS 市場看到的，即商業抵押貸款支持證券。不是貸款。您會看到，之前為投資級且上市前為投資級的 CMBS 部分的交易價差相對較小，因此處於這些市場上市時定價曲線的內部（1.5 億至 1.7 億美元）。

Some of those prices now are down substantially, so sub-$50 price. Some of them are single asset, single borrower deals, some of them are more just conduit deals where the amount of delinquency is high relative to the enhancement levels, so the market is pricing in a recovery less than par. And I'd say in the past month or so, we've seen a pickup in that, so that's exciting for us.

其中一些價格現在大幅下降，價格低於 50 美元。其中一些是單一資產、單一借款人交易，有些只是管道交易，其中拖欠金額相對於增強水平較高，因此市場對複甦的定價低於面值。我想說，在過去一個月左右的時間裡，我們看到了這一點的回升，所以這對我們來說是令人興奮的。

Now the other area is going to be just delinquent mortgage loans, and that used to be pretty much the main thing we did in our commercial strategy going back 2010, 2011, then it -- that opportunity dried up. There was a great opportunity in bridge origination, we pivoted. But now, we're seeing that opportunity. We think it's going to come back on nonperforming commercial loans, and there's obviously been -- some of these bank takeover by the FTC is going to add some volume.

現在，另一個領域將只是拖欠抵押貸款，這幾乎是我們在 2010 年、2011 年商業戰略中所做的主要事情，然後——這個機會就枯竭了。橋樑的起源有一個很好的機會，我們轉向了。但現在，我們看到了這個機會。我們認為，不良商業貸款將會捲土重來，而且顯然，聯邦貿易委員會對其中一些銀行的收購將增加一些貸款量。

But away from that, we've seen some opportunities where you're buying loans at substantial discounts to par, right? By that, I would characterize below $0.75 on the dollar. And it's really more of a real estate play as opposed to just you're putting out capital to earn your coupon, right? And so that is early stages.

但除此之外，我們還看到了一些機會，您可以以比面值大幅折扣的價格購買貸款，對嗎？據此，我認為美元兌美元匯率低於 0.75 美元。這實際上更像是一場房地產遊戲，而不是僅僅投入資本來賺取優惠券，對吧？這還處於早期階段。

Look, we mentioned that SLOOS, that Senior Loan Officer Opinion Survey, right, that banks are probably going to be -- depending on the size, is probably going to be in an environment where they're going to have more -- they're going to have more capital requirements. They're probably going to have more regulatory scrutiny upon some of the commercial activities and delinquent loans. And so we think that there are going to be loans that come to maturity where the new loan is going to have to be smaller in size than the old loan, and that's sort of the catalyst for opportunity. Either a bank might want to sell loan at a discount or you're going to need a partner to come and inject some capital.

看，我們提到過 SLOOS，即高級貸款官員意見調查，對吧，銀行可能會——取決於規模，可能會處於一個他們將擁有更多的環境——他們”我們將會有更多的資本要求。他們可能會對一些商業活動和拖欠貸款進行更多的監管審查。因此，我們認為，將會有貸款到期，其中新貸款的規模必須小於舊貸款，這就是機會的催化劑。銀行可能想以折扣價出售貸款，或者您需要合作夥伴來注入一些資本。

So it's early stages, but we think that that's going to be a big, persistent opportunity. And it's an opportunity set that requires a very specific set of expertise on a part of a manager, and we're -- we have -- we have a lot of resources that have a lot of experience in that area. We've done a bunch of it. And so I think that we are excited that that's going to be a place that we can deploy a lot of capital and have -- and deploy in an area where we can have very high expected returns.

所以現在還處於早期階段，但我們認為這將是一個巨大的、持久的機會。這是一個機會集，需要經理具備一套非常具體的專業知識，而我們——我們擁有——我們擁有大量資源，在該領域擁有豐富的經驗。我們已經做了很多了。因此，我認為我們很興奮，因為這將是一個我們可以部署大量資本並擁有的地方，並且部署在一個我們可以獲得非常高預期回報的領域。

I appreciate the answers.

我很欣賞這些答案。

We'll take our next question from Doug Harter with Credit Suisse.

我們將回答瑞士信貸的道格·哈特 (Doug Harter) 提出的下一個問題。

Can you talk about how you're balancing diversification and the benefits of that across all the opportunities versus kind of the ability to have scale and kind of be larger in any of those opportunities?

您能否談談您如何平衡多元化及其在所有機會中帶來的好處與在任何這些機會中擁有規模和規模的能力？

(inaudible) Then I don't know. Sorry.

（聽不清）那我就不知道了。對不起。

No, you go ahead, Mark.

不，你繼續吧，馬克。

Yes. Sure.

是的。當然。

I was just going to say -- so it's a very interesting question. There are certain sectors that you have substantially better economics if you have scale. So I think non-QM is a great example, right? If you are -- and we went through this back in 2017. When our origination volumes were $30 million a month from our origination partners, it was taking a year to ramp to a deal. So that means you've got to have loans on repo for a year and you're hedging them for a year, and securitization market can change a lot.

我只是想說——這是一個非常有趣的問題。如果你有規模，某些行業的經濟效益會好得多。所以我認為非 QM 是一個很好的例子，對吧？如果您是這樣的話——我們在 2017 年就經歷過這個。當時我們的發起合作夥伴每月的發起額為 3000 萬美元，需要一年的時間才能達成交易。因此，這意味著您必須擁有一年的回購貸款，並且要對沖一年，而證券化市場可能會發生很大變化。

And so now, we have much greater volume, we can ramp to deal size much quicker. You have better economics on your transactions. We kind of have a virtuous cycle of being a repeat issuer that we get sort of tighter spreads than sort of new originators. So scale, no question there. It's super helpful.

所以現在，我們的交易量更大了，我們可以更快地擴大交易規模。您的交易具有更好的經濟性。作為重複發行人，我們有一個良性循環，我們比新發行人的利差更小。如此規模，毫無疑問。這非常有幫助。

And EFC has got to have enough capital, and these acquisitions are going to help us with that. We've got to have enough capital to have scale in all the major businesses, right? So (inaudible) scale matters. I think in our [TL], it matters, too. You've got to be a meaningful takeout for your partners. You got to have meaningful loan balances to get the best levels for your repo counterparties. Commercial bridge, same thing. We have a lot of repeat customers. People that have borrowed from us in the past, had a good experience, they come back. You need to have capital to be available when some of your partners have another property they want to buy and you are like-minded with them on the value proposition.

EFC 必須擁有足夠的資本，這些收購將幫助我們實現這一點。我們必須有足夠的資本才能在所有主要業務中形成規模，對吧？所以（聽不清）規模很重要。我認為在我們的[TL]中，這也很重要。您必須成為您的合作夥伴的有意義的外賣。您必須擁有有意義的貸款餘額，才能為回購交易對手獲得最佳水平。商業橋，同樣的事情。我們有很多回頭客。過去向我們藉過錢的人，如果獲得了良好的體驗，他們就會回來。當您的一些合作夥伴想要購買另一處房產並且您在價值主張上與他們志同道合時，您需要擁有可用的資金。

I don't -- I think we have enough, right? I think we have enough. I'm excited. Larry mentioned it, but one thing with Arlington is we're getting into servicing, right? And servicing has been an interesting sector. It's a sector where our core competence in understanding prepayments is a function of interest rates and loan attributes. It's going to matter a lot in being able to value and hedge those investments appropriately. And so with Arlington, we're getting scale in that sector, and that's another sector where you need to have scale to be meaningful.

我不——我想我們已經足夠了，對吧？我想我們已經足夠了。我很興奮。拉里提到過，但阿靈頓的一件事是我們正在提供服務，對吧？服務一直是一個有趣的領域。在這個領域，我們理解預付款的核心能力是利率和貸款屬性的函數。能夠適當地評估和對沖這些投資非常重要。因此，在阿靈頓，我們正在該領域擴大規模，而這是另一個需要規模化才能有意義的領域。

So I think like you hadn't seen this venture to something like that a couple of years ago, and maybe part of the reason was just it was hard to get to scale. Do you have enough capital? So that having the bigger capital base is going to be really important because it lets you be scaled at a range of things to help you diversify. And the servicing is potentially a huge diversification, because that's a negative duration asset. Pretty much everything else we have is kind of floating rate, so zero duration, or positive duration assets. So that can really help. Servicing is an [IL] play, and now with distress in the agency market and non-agency market, we have a lot of discount security.

所以我認為幾年前你還沒有看到過這樣的冒險，也許部分原因是很難擴大規模。你有足夠的資本嗎？因此，擁有更大的資本基礎將非常重要，因為它可以讓你在一系列事情上進行擴展，以幫助你實現多元化。而且服務可能是一個巨大的多元化，因為這是一項負久期資產。我們擁有的幾乎所有其他資產都是浮動利率，因此久期為零或正久期資產。這真的很有幫助。服務是一項[IL]遊戲，現在隨著代理市場和​​非代理市場的困境，我們有很多折扣保障。

So it's a good question. It's something we think about, and I think we have enough scale for all the things that are most of interest to us right now.

所以這是一個好問題。這是我們考慮的事情，我認為我們有足夠的規模來處理目前我們最感興趣的所有事情。

And I would just add -- that's Mark.

我想補充一點——那就是馬克。

I would just add that diversification for a long time for Ellington Financial has been really important. I mean there's -- we recognize that a lot of our peers are more focused in particular sectors, right, in the mortgage REIT space. I mean, you have, obviously, commercial versus residential. You've got agency versus non-agency securities versus loans, and -- but it's really important to us that we can rotate and be affirmative in terms of how we allocate capital to where we see the best opportunities at each point in time.

我想補充一點，長期以來，多元化對艾靈頓金融公司來說非常重要。我的意思是，我們認識到，我們的許多同行更關注特定領域，對吧，在抵押房地產投資信託領域。我的意思是，顯然，你有商業與住宅的區別。你有機構與非機構證券與貸款的比較，而且——但對我們來說非常重要的是，我們可以輪換並在如何將資本分配到我們在每個時間點看到的最佳機會的地方方面保持積極態度。

Now to do that, obviously, you need to have dry powder, you need to be able to take advantage of liquidity in our portfolio and have sometimes a trading mentality. I think we have all those things. But when you think about how opportunities go in and out and dangers go in and out of all these different sectors, it's been really important to us to be able to kind of dial up and down as we've been doing with non-QM, and as we've been doing recently with our commercial mortgage bridge where we're -- we've been letting that portfolio run down a bit and then -- because we see the opportunity in the horizon coming.

現在要做到這一點，顯然，你需要有乾粉，你需要能夠利用我們投資組合的流動性，有時還需要有交易心態。我想我們擁有所有這些東西。但是，當你思考機會如何進出、危險如何進出所有這些不同的領域時，我們能夠像對待非質量管理那樣進行上下調整，這對我們來說非常重要，正如我們最近在商業抵押貸款橋上所做的那樣，我們一直讓該投資組合略有下降，然後因為我們看到了即將到來的機會。

So -- and again, it all helps the fact that we've got a short duration portfolio that's spitting out a lot of cash often in terms of -- in the form of principal repayments. That can help us maintain that dry pattern and can help us allocate capital differently in relatively short periods of time compared to what other companies can do.

因此，這一切都有助於我們擁有一個短期投資組合，該投資組合經常以本金償還的形式釋放大量現金。這可以幫助我們保持這種干燥模式，並可以幫助我們在相對較短的時間內以與其他公司不同的方式分配資本。

So I think that's been really important to our success, and I think it's going to continue to be really important going forward.

所以我認為這對我們的成功非常重要，而且我認為它在未來仍將非常重要。

I appreciate that answer.

我很欣賞這個答案。

And then just you guys have been focused on kind of shorter-duration assets. Any change to that? Kind of given where returns are today, would you be willing to kind of take more longer-duration assets? Or do you still like that shorter-duration asset?

然後你們就一直專注於短期資產。有什麼改變嗎？考慮到目前的回報率，您是否願意購買更多期限較長的資產？或者您仍然喜歡那種短期資產？

Well, I mean, I think if you look at -- it's interesting, right? There's some longer-duration assets like non-QM, that's not a short duration asset. And reverse mortgage loans are not a short-duration assets, but they're securitizable. And now, we've been talking about whole loan sales, I think there are some very interesting opportunities to get good profits and realize those profits in different ways. .

嗯，我的意思是，我想如果你看一下——這很有趣，對吧？有一些期限較長的資產，例如非 QM，而不是短期資產。反向抵押貸款不是短期資產，但可以證券化。現在，我們一直在談論整個貸款銷售，我認為有一些非常有趣的機會來獲得良好的利潤並以不同的方式實現這些利潤。 。

So yes. But in general, I think we intend or inclined to keep duration short, especially seeing how there are opportunities that are pretty visible now that could be coming around the corner like in commercial mortgage bridge, in distress. And distressed opportunities in the reverse mortgage space that Longbridge has been able to take advantage of starting at the end of last year, when -- and beginning of this year when it acquired some of those buyout loans that look like are going to be very profitable. And that distressed acquisition of mortgage servicing rights that we happened in early July that we think we'll see more opportunities there as well. So it's a -- it's a sector that's -- where there's not a lot of competition, as I'm sure you know.

所以是的。但總的來說，我認為我們打算或傾向於縮短期限，特別是看到現在非常明顯的機會可能即將到來，就像處於困境的商業抵押貸款橋一樣。從去年年底開始，長橋集團就能夠利用反向抵押貸款領域的困境機會，當時和今年年初，它收購了一些看起來會非常有利可圖的買斷貸款。 。我們在 7 月初收購了抵押貸款服務權，但我們認為我們也會在那裡看到更多機會。所以這是一個沒有太多競爭的行業，我相信你知道。

We'll take our next question from Mikhail Goberman with JMP Securities.

我們將回答 JMP 證券公司的 Mikhail Goberman 提出的下一個問題。

Most of my questions have already been answered. If I could just squeeze in one more. If you guys are seeing any M&A-type opportunities outside of the REIT space at the moment? Or are you kind of taking a step back and digesting the 2 that you've just completed?

我的大部分問題已經得到解答。如果我能再擠進一顆就好了。你們目前是否在房地產投資信託基金領域之外看到了任何併購類型的機會？或者您是否想退後一步並消化剛剛完成的 2 個任務？

Right. Well, we're not looking at any controlling interest. We are -- we always have our antenna out there and are pursuing with various levels of intensity, taking stakes, modest stakes, usually in smaller originators. So we still have some -- I wouldn't even call it necessarily deals in the pipeline there, but certainly deals that we're exploring. But nothing tremendously material at this point, and nothing that would be controlling at this point.

正確的。嗯，我們不考慮任何控股權益。我們——我們總是把我們的天線放在那兒，並以不同程度的強度進行追求，賭注，適度的賭注，通常是在較小的發起者身上。因此，我們仍然有一些——我什至不會稱之為正在醞釀中的交易，但肯定是我們正在探索的交易。但目前還沒有什麼重大的事情，也沒有什麼可以控制的。

All right. Good luck. Best of luck going forward.

好的。祝你好運。祝你好運。

Thank you, too.

也謝謝你。

We'll take our next question from Eric Hagen with BTIG.

我們將回答 BTIG 的 Eric Hagen 提出的下一個問題。

Looking at the -- following up on the MSR here. I'm just curious how big you guys think you can get in that strategy? How much capital you can devote there? We've seen other companies run the paired MSR and MBS strategy, just wondering how you might run that strategy any differently than the stocks do now? Have you guys even managed that strategy historically at Ellington? Given more broadly, any performance results you can share from being an MSR investor in the past?

在這裡查看 MSR 的後續內容。我只是好奇你們認為這個策略能達到多大程度？你可以在那裡投入多少資金？我們已經看到其他公司運行配對的 MSR 和 MBS 策略，只是想知道您如何以與現在股票不同的方式運行該策略？你們在艾靈頓歷史上曾經實施過這一策略嗎？更廣泛地說，您可以分享過去作為 MSR 投資者的業績成果嗎？

Sure. So -- okay, so let's take that one at a time.

當然。所以——好吧，讓我們一次討論一個。

So in terms of whether we've acquired MSRs in the past, I think -- let's not talk about Longbridge now. When we acquired that, that was obviously acquiring as well an MSR business. But the answer is no. We -- this is the first time that -- when we closed the Arlington transaction, that will be the first time that we have such an interest in mortgage servicing rights, to mortgage servicing rights of any substantial size. But as Mark mentioned, this is right up our alley in terms of the prepayment characteristics, which are, of course, the main driver of returns in that. And we'll work with third-party master servicers probably to start with, and I think that could grow pretty, pretty big. The portfolio that we're acquiring is kind of a -- it's at scale, and one nice thing in that market is that you can bolt on small-sized packages at, a lot of times, much lower prices. Sometimes the bigger packages trade at higher prices than the smaller packages.

因此，就我們過去是否收購過 MSR 而言，我認為，現在我們不要談論長橋。當我們收購它時，顯然也是在收購 MSR 業務。但答案是否定的。我們——這是第一次——當我們完成阿靈頓交易時，這將是我們第一次對抵押貸款服務權、任何規模的抵押貸款服務權產生如此大的興趣。但正如馬克所提到的，就預付款特徵而言，這正是我們的拿手好戲，這當然是回報的主要驅動力。我們可能會首先與第三方主服務商合作，我認為這可能會變得非常非常大。我們正在收購的產品組合是一種規模化的產品，在這個市場上的一件好事是，很多時候你可以以低得多的價格購買小尺寸的產品。有時，較大的包裹比較小的包裹的交易價格更高。

But yes, so I think we do plan to have a little bit of a roll-up strategy there, certainly in the beginning. But I see no reason. As long as, frankly, financing is there, continues to be there at attractive levels to be able to finance the MSRs, that's going to be key. But the yields that they're trading at given the risk profile and given the financing costs that are available currently, make it an attractive strategy. It's not a trading strategy, right? So I think, just consistent with what I was saying before, it's not going to be, I don't think the -- a huge part of our portfolio anytime soon. But it's something that I think continues to -- that we'll continue to add to and diversify returns and can achieve well into mid-teens returns, or not, higher on a leverage basis.

但是，是的，所以我認為我們確實計劃在那裡制定一些匯總策略，當然是在一開始。但我看不出有什麼理由。坦率地說，只要融資存在，並且繼續保持在有吸引力的水平，能夠為海上絲綢之路提供資金，這將是關鍵。但考慮到風險狀況和當前可用的融資成本，他們的交易收益率使其成為一種有吸引力的策略。這不是交易策略，對吧？所以我認為，正如我之前所說的，它不會很快成為我們投資組合的很大一部分。但我認為這種情況會持續下去——我們將繼續增加回報並使其多元化，並且可以在槓桿基礎上實現十幾歲左右的回報，或者不會更高。

Yes. I just want to add one thing.

是的。我只想補充一件事。

I think how we're going to think about it relative to our peer group, we're probably going to take more of a relative value view. So like -- I don't exactly replicate servicing. There's late fees and recapture and float. But like they're kissing cousins, right? So I think we'll be more focused on relative value. If the IO market gets cheap to servicing, you'll see us put capital there. If servicing gets cheap to IO, then the pendulum swings towards servicing. So I think that's one thing we'll do that others don't do.

我認為我們將如何相對於我們的同行群體來考慮它，我們可能會更多地採取相對價值的觀點。就像——我並沒有完全複製服務。有滯納金、收回費和浮動費。但就像他們在親吻表兄弟一樣，對吧？所以我認為我們會更加關注相對價值。如果 IO 市場的服務成本變得便宜，你就會看到我們在那裡投入資金。如果服務對於 IO 來說變得便宜，那麼鐘擺就會轉向服務。所以我認為這是我們會做而其他人不會做的一件事。

It's -- What's interesting about the opportunity set now is just the way our -- the way we think about prepayment and the way a lot of our models work is we tend to believe in technology and efficiencies that can make prepayments very fast on larger loans when they get in the money, right? So if you look at like buying servicing in 2021, right? You were buying new production stuff, larger loans, a lot of nonbank, [Rocket], EWM, efficient servicers. And so we kind of saw S curve on those kind of loans that can get very fast into getting the money, and that turned out to be the case, right?

現在的機會的有趣之處在於我們對預付款的思考方式以及我們許多模型的工作方式是我們傾向於相信技術和效率可以使大額貸款快速預付款當他們賺到錢的時候，對嗎？那麼，如果您想在 2021 年購買服務，對嗎？你正在購買新的產品、更多的貸款、大量的非銀行機構、[Rocket]、EWM、高效的服務商。所以我們看到了那些可以很快拿到錢的貸款的 S 曲線，結果就是這樣，對嗎？

What you have now, though, you have a giant pool of loans that are well over 200 basis points out of money. So it's more of a turnover play. It's more of a seasonal play. And I think that we just see a little bit relative -- better relative value in that market. So does that makes it more interesting now than maybe a few years ago?

不過，你現在擁有的貸款規模巨大，資金缺口遠遠超過 200 個基點。所以這更像是一場回合比賽。這更像是季節性的遊戲。我認為我們只是在該市場上看到了一點相對更好的相對價值。那麼，這是否會讓現在比幾年前更有趣呢？

And also, two, just -- the banks have pulled back. They're not nearly as big a force in Fannie, Freddie origination as they used to be. And those were the banks. It was Wells Fargo, it was JPMorgan, it was Bank of America that from time to time, had really lofty servicing valuations because they had cross-selling and all those other stuff. Now is it's kind of a nonbank world in the agency space, valuations have come down. I think it's a good sector for us now.

另外，還有兩個——銀行已經撤回了。他們在房利美、房地美起源中的影響力已不如以前那麼大了。這些就是銀行。富國銀行、摩根大通、美國銀行有時會擁有非常高的服務估值，因為它們有交叉銷售和所有其他東西。現在，代理領域已進入非銀行世界，估值已經下降。我認為現在這對我們來說是一個很好的行業。

So it's sort of like -- it's been this evolution in who's originating mortgages. It's this rate move that you have a big pool of way out of the money stuff, which we like. And that -- just things lined up, and through Arlington, we're able to get to scale pretty quickly.

所以這有點像——是誰發起抵押貸款的演變。正是這種利率變動讓你有大量的資金來源，這是我們所喜歡的。而且，只要事情排列整齊，通過阿靈頓，我們就能夠很快地擴大規模。

Yes. That's really helpful commentary.

是的。這確實是很有幫助的評論。

That was our final question for today. We thank you for participating in the Ellington Financial 2023 Earnings Conference Call. You may disconnect your line at this time, and have a wonderful day.

這是我們今天的最後一個問題。我們感謝您參加 Ellington Financial 2023 年收益電話會議。此時您可以斷開線路，度過美好的一天。