MFA Financial Inc (MFA) 2023 Q2 法說會逐字稿

Ladies and gentlemen, thank you for standing by, and welcome to MFA Financial Announces Second Quarter 2023 Earnings. (Operator Instructions) As a reminder, today's conference is being recorded. And I will now turn the conference over to our host, Mr. Hal Schwartz. Please go ahead, sir.

女士們、先生們，感謝大家的支持，歡迎收看 MFA Financial 公佈的 2023 年第二季度收益。 （操作員指示）提醒一下，今天的會議正在錄製中。現在我將會議交給我們的東道主哈爾·施瓦茨先生。請繼續，先生。

Thank you, operator, and good morning, everyone. The information discussed on this conference call today may contain or refer to forward-looking statements regarding MFA Financial, Inc., which reflect management's beliefs, expectations and assumptions as to MFA's future performance and operations. When used, statements that are not historical in nature, including those containing words such as will, believe, expect, anticipate, estimate, should, could, would or similar expressions are intended to identify forward-looking statements.

謝謝接線員，大家早上好。今天本次電話會議討論的信息可能包含或涉及有關 MFA Financial, Inc. 的前瞻性聲明，這些聲明反映了管理層對 MFA 未來業績和運營的信念、預期和假設。使用時，非歷史性質的陳述，包括包含諸如意願、相信、期望、預期、估計、應該、能夠、將或類似表達等詞語的陳述，旨在識別前瞻性陳述。

All forward-looking statements speak only as of the date on which they are made. These types of statements are subject to various known and unknown risks, uncertainties, assumptions and other factors, including those described in MFA's annual report on Form 10-K for the year ended December 31, 2022, and other reports that it may file from time to time with the Securities and Exchange Commission.

所有前瞻性陳述僅代表其作出之日的情況。此類聲明受到各種已知和未知風險、不確定性、假設和其他因素的影響，包括外交部截至2022 年12 月31 日的10-K 表格年度報告以及其可能隨時提交的其他報告中描述的內容及時與證券交易委員會聯繫。

These risks, uncertainties and other factors could cause MFA's actual results to differ materially from those projected, expressed or implied in any forward-looking statements it makes. For additional information regarding MFA's use of forward-looking statements, please see the relevant disclosure in the press release announcing MFA's second quarter 2023 financial results.

這些風險、不確定性和其他因素可能導致 MFA 的實際結果與其做出的任何前瞻性陳述中預測、明示或暗示的結果存在重大差異。有關 MFA 使用前瞻性陳述的更多信息，請參閱宣布 MFA 2023 年第二季度財務業績的新聞稿中的相關披露。

Thank you for your time. I would now like to turn this call over to MFA's CEO and President, Craig Knutson.

感謝您的時間。我現在想將這個電話轉給 MFA 首席執行官兼總裁 Craig Knutson。

Thank you, Hal. Good morning, everyone, and thank you for joining us here today for MFA Financial's Second Quarter 2023 Earnings Call. Also with me today are Steve Yarad, our CFO; Gudmundur Kristjansson; and Bryan Wulfsohn, our Co-Chief Investment Officers and other members of senior management.

謝謝你，哈爾。大家早上好，感謝您今天參加我們 MFA Financial 的 2023 年第二季度財報電話會議。今天和我在一起的還有我們的首席財務官 Steve Yarad；古德蒙杜爾·克里斯蒂安松；以及我們的聯席首席投資官 Bryan Wulfsohn 和其他高級管理層成員。

The interest rate environment in the second quarter of 2023 was another volatile one with rates grinding higher for most of the quarter, 2-year treasuries were below 4% early in the second quarter after rallying in the aftermath of the banking crisis in March. However, as the fear of additional banking fallout began to fade, the bond market finally seemed to capitulate and begin to take Fed Chair Powell's consistent message to heart. We don't hear so much about the false optimism of a rate cut later this year and bond yields, particularly 2 years, moved higher throughout the quarter to reflect this reality.

2023 年第二季度的利率環境又是一個動蕩的環境，該季度大部分時間利率都在走高，2 年期國債在 3 月份銀行危機後反彈後，在第二季度初低於 4%。然而，隨著對銀行業進一步影響的擔憂開始消退，債券市場似乎最終屈服並開始牢記美聯儲主席鮑威爾的一貫信息。我們沒有聽到太多關於今年晚些時候降息的虛假樂觀情緒，債券收益率（尤其是兩年期債券）在整個季度走高，反映了這一現實。

2-year treasuries ended the quarter almost 100 basis points higher, and the 2- 10-year inversion widened from about 50 basis points at the beginning of the quarter to about 100 basis points at the end of the quarter. This inverted curve, together with general interest rate volatility continued to make levered investing in fixed income and in mortgages, in particular, very challenging. That said, MFA's risk management discipline and strategic initiatives have enabled us to weather this storm extraordinarily well.

2 年期國債季末上漲近 100 個基點，2-10 年期國債倒掛從季初約 50 個基點擴大至季末約 100 個基點。這種倒掛的曲線，加上總體利率波動，繼續使固定收益和抵押貸款的槓桿投資變得非常具有挑戰性。儘管如此，外交部的風險管理紀律和戰略舉措使我們能夠很好地度過這場風暴。

Our net interest rate spread increased by 40 basis points from 1.74% to 2.14% during the second quarter despite this challenging backdrop as we have for several quarters now, effectively locked in our funding cost through securitization and interest rate swaps. The yield on our interest-earning assets increased by 41 basis points, while our interest expense increased by only 1 basis point. We added almost $1 billion of new investments in the second quarter as we continue to add assets at progressively higher yields.

儘管我們已經經歷了幾個季度的挑戰，但我們的淨利差在第二季度從 1.74% 上升了 40 個基點至 2.14%，通過證券化和利率掉期有效鎖定了我們的融資成本。生息資產收益率上升41個基點，利息支出僅上升1個基點。隨著我們繼續以逐步提高的收益率增加資產，我們在第二季度增加了近 10 億美元的新投資。

Our distributable earnings for the second quarter was $0.40, which comfortably exceeded our $0.35 dividend. Our book value was up modestly in the second quarter, but this should not be a big surprise as we have consistently communicated that our net portfolio duration gap has been about 1. This duration exposure led to a book value increase in the first quarter and to a book value decline in the second quarter, and we generated a total economic return for the first half of the year of 2%.

我們第二季度的可分配收益為 0.40 美元，遠遠超過了 0.35 美元的股息。我們的賬面價值在第二季度小幅上漲，但這不應令人感到意外，因為我們一直表示我們的淨投資組合久期缺口約為1。這種久期風險導致第一季度的賬面價值增加，並導致第二季度賬面價值下降，上半年我們的總經濟回報率為2%。

As we illustrate on Page 10 of our earnings deck, our book value was driven overwhelmingly by the higher interest rate impact on the fair value of our loan portfolio, which is marked at a substantial discount to par. Despite the fact that the fair value of these loans is below par, the principal that we receive, whether through payoffs, curtailments or simply scheduled monthly principal payments are received at par.

正如我們在收益表第 10 頁上所示，我們的賬面價值主要是由於利率上升對我們貸款組合公允價值的影響而推動的，而貸款組合的公允價值相對於票面價值有大幅折扣。儘管這些貸款的公允價值低於面值，但我們收到的本金，無論是通過還款、縮減還是簡單地按面值支付每月本金。

We're very pleased with our portfolio credit metrics as we saw loan delinquencies declined during the second quarter in each of our major asset classes. The substantial seasoning of much of this portfolio and current LTV of 59% provide a solid credit backstop that supports the expectation that this principal will be repaid at par.

我們對我們的投資組合信用指標非常滿意，因為我們看到每個主要資產類別的貸款拖欠率在第二季度都有所下降。該投資組合的大部分內容和當前 59% 的 LTV 提供了堅實的信貸支持，支持該本金將按面值償還的預期。

Although the future interest rate outlook is far from certain, it appears that the Fed is at or at least near to the end of the rate tightening cycle. And the consensus at this point seems to be that the Fed will hold rates steady for at least the next few quarters to give the economy and markets the necessary time to fuel the cumulative impact of 525 basis points of tighter monetary policy.

儘管未來的利率前景還遠未確定，但美聯儲似乎已處於或至少接近加息週期的尾聲。目前的共識似乎是，美聯儲將至少在未來幾個季度保持利率穩定，以便為經濟和市場提供必要的時間，以推動貨幣政策收緊525個基點的累積影響。

Fortunately, we continue to benefit from the hard work we did in late 2021 and early '22, which effectively fixed our funding costs while we now have attractive investment opportunities to add new assets at very accretive yields. As we show on Page 7 of our earnings deck, very few of our $3 billion of interest rate swaps mature before the fourth quarter of 2024.

幸運的是，我們繼續受益於我們在2021 年底和22 年初所做的辛勤工作，這些工作有效地固定了我們的融資成本，同時我們現在擁有有吸引力的投資機會，可以以非常可觀的收益率增加新資產。正如我們在收益表第 7 頁上顯示的那樣，我們 30 億美元的利率互換中很少有在 2024 年第四季度之前到期的。

Finally, our wholly owned business purpose loan originator, Lima One, continues to shine, producing successively higher volume levels of high-yielding and high-quality assets. We cannot emphasize enough the inimitable value that this captive originator delivers to MFA shareholders. Not only does it provide a steady and substantial source of internally generated assets, but the significance of the integrated nature of this arrangement is evident in loan performance.

最後，我們全資擁有的商業目的貸款發起人利馬一號繼續大放異彩，不斷產出更高數量的高收益、高質量資產。我們無法充分強調這個專屬發起人為 MFA 股東帶來的無與倫比的價值。它不僅提供了穩定而充足的內部資產來源，而且這種安排的綜合性的重要性在貸款績效中也很明顯。

One of the underappreciated benefits of a captive originator versus a more broad and fragmented aggregator strategy is that Lima One underwrites these loans, they service the loans, they manage the construction draws, and most importantly, they have a relationship with the borrowers. Now this is not to suggest that loans will not go delinquent. This is always a risk, but we uniquely control our own outcome and there is no conflict of interest between the originator servicer and the investor because we all live under the same roof.

與更廣泛、更分散的聚合者策略相比，專屬發起者的一個被低估的好處是，Lima One 承保這些貸款、為貸款提供服務、管理施工提款，最重要的是，他們與借款人建立了關係。這並不是說貸款不會拖欠。這始終是一個風險，但我們可以獨特地控制自己的結果，並且發起者服務商和投資者之間不存在利益衝突，因為我們都生活在同一個屋簷下。

And I'll now turn the call over to Gudmundur to talk about portfolio activity and additionally about Lima One.

現在我將把電話轉給 Gudmundur，討論投資組合活動以及利馬一號。

Thanks, Craig. Second quarter acquisitions increased by approximately 60% compared to the first quarter as we added approximately $1 billion of loans and securities and grew our investment portfolio by 5% to about $8.9 billion. Business purpose and non-QM loans accounted for majority of our acquisitions at approximately $900 million. These loans had an average coupon of approximately 9.5% and a strong credit profile with average LTV of 68% and average FICO of 734.

謝謝，克雷格。第二季度收購量比第一季度增加了約 60%，我們增加了約 10 億美元的貸款和證券，投資組合增長了 5%，達到約 89 億美元。商業目的和非 QM 貸款占我們收購的大部分，金額約為 9 億美元。這些貸款的平均息票約為 9.5%，信用狀況良好，平均 LTV 為 68%，平均 FICO 為 734。

We also continued to execute on our Agency MBS strategy and added about $100 million of Agency MBS in the quarter. That portfolio now stands at about $400 million. And as we discussed last quarter, we believe that Agency MBS yields and spreads are attractive here on a stand-alone basis but that they also provide risk management benefits to our credit-focused portfolio by improving portfolio liquidity and having the potential to perform well during periods of economic softness. Given current financing levels, we expect that return on equity will be around mid-teens for the second quarter additions, and that continues to be the case for assets that we are adding in the third quarter.

我們還繼續執行我們的 Agency MBS 戰略，並在本季度增加了約 1 億美元的 Agency MBS。該投資組合目前價值約 4 億美元。正如我們上季度所討論的，我們認為機構 MBS 收益率和利差在單獨的基礎上具有吸引力，但它們還通過提高投資組合流動性並有可能在經濟疲軟時期。鑑於目前的融資水平，我們預計第二季度新增資產的股本回報率將在十幾歲左右，對於我們在第三季度新增的資產來說，情況仍然如此。

Significantly higher interest rates and wider credit spreads today compared to the late 2020 through early 2022 period are providing us with a great opportunity to add attractive assets to our portfolio. A combination of prudent risk management and strategic decisions have put us in a position to take advantage of this environment.

與 2020 年底至 2022 年初相比，目前的利率顯著提高，信用利差擴大，這為我們提供了絕佳的機會，可以在我們的投資組合中添加有吸引力的資產。審慎的風險管理和戰略決策的結合使我們能夠利用這種環境。

First, our significant interest rate hedging activities in late 2021 and early 2022 combined with active securitizations of our whole loans have helped us maintain substantial liquidity and a strong balance sheet. Second, our strategic acquisition of Lima One in 2021 provides us with the capacity to create high-quality and high-yielding business purpose loans in size. This combination of liquidity and access to attractive assets has in the last 3 quarters allowed us to acquire about $1.9 billion of loans with an average coupon of approximately 9.5%.

首先，我們在 2021 年底和 2022 年初開展的重大利率對沖活動，加上積極的全部貸款證券化，幫助我們保持了充足的流動性和強勁的資產負債表。其次，我們於2021年戰略收購利馬一號，使我們有能力創造高質量、高收益的規模商業目的貸款。流動性和獲得有吸引力資產的結合使我們在過去三個季度獲得了約 19 億美元的貸款，平均息票約為 9.5%。

As Craig highlighted in his opening remarks, we are seeing the benefits of these acquisitions in our yield on interest-earning assets which increased 41 basis points compared to the first quarter and is up 135 basis from a year ago to 6.1% in the second quarter. The increase in asset yields, combined with the relative stability of our funding costs, increased our portfolio spread to 214 basis points in the second quarter, up 40 basis points compared to the first quarter and up 77 basis points from a year ago.

正如克雷格在開場白中強調的那樣，我們看到這些收購給我們的生息資產收益率帶來的好處，與第一季度相比增加了41 個基點，第二季度比去年同期增加了135 個基點，達到6.1% 。資產收益率的上升，加上我們融資成本的相對穩定，第二季度我們的投資組合利差達到214個基點，比第一季度上升40個基點，比去年同期上升77個基點。

The economy continues to be resilient and seems to have coped well with a significant market volatility from the regional banking crisis and the debt-ceiling standoff in the second quarter, with the first read on second quarter GDP coming in above expectations of 2.4% and the labor market remaining resilient with the unemployment rate hovering around 3.5% for the last 15 months.

經濟繼續保持彈性，似乎很好地應對了第二季度區域銀行危機和債務上限僵局帶來的市場大幅波動，第二季度 GDP 初值高於預期 2.4%，勞動力市場保持彈性，過去15 個月失業率徘徊在3.5% 左右。

The housing market has also surprised many by showing resilience in the face of higher mortgage rates, with low inventory levels proving to be a strong counterweight to low affordability. National home prices declined about 3% in the second half of last year, but the housing recession appears to be over for now with national home prices rising about 2% year-to-date.

房地產市場在抵押貸款利率上升的情況下表現出的韌性也令許多人感到驚訝，事實證明，低庫存水平是低負擔能力的有力平衡因素。去年下半年全國房價下降了約 3%，但房地產衰退似乎已經結束，今年迄今全國房價上漲了約 2%。

These trends, combined with inflation steadily trending down, have improved the outlook for the economy in the short to the medium term and raise the probability that the Fed may be close to the end of this hiking cycle, but also that they may keep rates elevated for longer.

這些趨勢，加上通脹穩步下降，改善了中短期經濟前景，並提高了美聯儲可能接近本次加息週期結束的可能性，但也增加了他們可能維持高利率的可能性更長時間。

This creates a favorable backdrop for our credit-focused portfolio as delinquencies and loss severities are less likely to deteriorate when the labor market is strong and home prices are rising. In addition, the current high-yielding investment environment may last longer if the Fed is about to settle in around current Fed fund levels for some time and let the lagged effect of monetary policy work its way through the system.

這為我們以信貸為重點的投資組合創造了有利的背景，因為當勞動力市場強勁且房價上漲時，拖欠和損失嚴重程度不太可能惡化。此外，如果美聯儲打算在當前聯邦基金水平附近穩定一段時間，並讓貨幣政策的滯後效應在整個系統中發揮作用，那麼當前的高收益投資環境可能會持續更長時間。

Turning to Lima One. Lima One had a really strong quarter and continued to show its importance to our investment strategy. Lima originated approximately $584 million of business purpose loans in the second quarter, a 50% increase from the first quarter and has originated about $4.3 billion of business purpose loans for our balance sheet since our acquisition 2 years ago.

轉向利馬一號。利馬一號的季度表現非常強勁，並繼續顯示出其對我們投資策略的重要性。利馬在第二季度發放了約5.84 億美元的商業目的貸款，比第一季度增長了50%，自兩年前收購以來，利馬已為我們的資產負債表發放了約43 億美元的商業目的貸款。

Similar to the last few quarters, the majority of origination was focused on the short-term transitional loans, which accounted for about 85% of second quarter origination. Demand for Lima's products and services remained strong, with disruptions in the private lending space and less competition from regional banks providing opportunities to grow market share and attract talent in this space. The third quarter is off to a good start, with July origination volume of approximately $215 million, and we expect the third and fourth quarters each to have over $600 million of origination.

與前幾個季度類似，大部分發放都集中在短期過渡性貸款，約佔第二季度發放的 85%。對利馬產品和服務的需求依然強勁，私人借貸領域的混亂和區域銀行競爭的減少為擴大市場份額和吸引該領域的人才提供了機會。第三季度開局良好，7 月份的發行量約為 2.15 億美元，我們預計第三季度和第四季度的發行量將分別超過 6 億美元。

Credit quality remains fundamental to our BPL strategy and the credit statistics on Lima's second quarter origination remained strong with average LTV of 66% and average FICO score of 738 on loans originated. The 60-plus day delinquency rate on our BPL loans originated by Lima One remained exceptionally low at 2.2% in the second quarter.

信貸質量仍然是我們 BPL 戰略的基礎，利馬第二季度發放的信貸統計數據依然強勁，平均 LTV 為 66%，發放貸款的平均 FICO 評分為 738。第二季度，Lima One 發放的 BPL 貸款的 60 多天拖欠率仍然極低，為 2.2%。

Lima services all the loans they originate in-house and have a highly experienced construction management team that reviews all construction budgets and has an active hand in loss mitigation activities. We believe this is a huge advantage in the BPL space, which combined with our investment strategy and credit culture has led to excellent credit performance.

利馬為所有內部發放的貸款提供服務，並擁有經驗豐富的施工管理團隊，負責審查所有施工預算並積極參與減少損失活動。我們相信這是 BPL 領域的巨大優勢，與我們的投資策略和信貸文化相結合，帶來了出色的信貸表現。

I will now turn the call over to Bryan Wulfsohn, who will discuss MFA's securitization activities and portfolio credit performance in more detail.

我現在將把電話轉給 Bryan Wulfsohn，他將更詳細地討論 MFA 的證券化活動和投資組合信用表現。

Thanks, Gudmundur. The story in the securitization markets remain the same in the second quarter. Rate volatility remained elevated, which generally leads to spread widening with the counterbalancing force being limited technical supply picture. We issued one securitization backed by non-QM collateral in the second quarter. In connection with that securitization, we sold $300 million UPB in May prior to the rates back up in June, locking in a 6.1% cost debt. And although we did not issue a securitization backed by transitional loans in the quarter, the 2 outstanding revolving deals previously issued continued to provide significant benefits as we now have recycled over $300 million of loans into those structures.

謝謝，古德蒙杜爾。第二季度證券化市場的情況依然如此。利率波動性仍然較高，這通常會導致價差擴大，而技術供應情況的平衡力量有限。我們在第二季度發行了一項由非 QM 抵押品支持的證券化產品。與該證券化相關，我們在 6 月份利率回升之前於 5 月份出售了 3 億美元的 UPB，鎖定了 6.1% 的成本債務。儘管我們在本季度沒有發行由過渡貸款支持的證券化，但之前發行的兩筆未完成的循環交易繼續提供顯著的好處，因為我們現在已將超過 3 億美元的貸款回收到這些結構中。

Recently, we have seen a tightening in securitization spreads as rate volatility has calmed down and absence of supply continues to provide a tailwind. Spreads on AAAs for recent deals in the market are closing in on the tights for the year seen earlier in January. We expect to come to market again in the third quarter and continue to believe that mortgage securitization will be an important part of our business strategy as it provides for nonrecourse, non-mark-to-market financing, which will further insulate the portfolio from volatile markets.

最近，隨著利率波動平息以及供應不足繼續提供推動力，我們看到證券化利差收緊。市場上近期交易的 AAA 價差正在接近 1 月初出現的今年的緊張水平。我們預計將在第三季度再次上市，並繼續相信抵押貸款證券化將成為我們業務戰略的重要組成部分，因為它提供無追索權、非按市價計價的融資，這將進一步使投資組合免受波動的影響市場。

Moving to our credit performance. We saw improvement over the second quarter across our loan portfolio. 60-plus day delinquencies in our purchased performing loans decreased to 2.8% from 3.1% in the first quarter. The components of that portfolio being the non-QM, transitional loan and SFR portfolios, all showing improvement. 60-plus day delinquencies in our legacy RPL/NPL portfolio also improved by over 3 points from the prior quarter, down to 27.4%. This improvement resulted from a combination of liquidating previously delinquent loans as well as reviving delinquent loans back to current status through active asset management.

轉向我們的信用表現。我們的貸款組合比第二季度有所改善。我們購買的不良貸款中超過 60 天的拖欠率從第一季度的 3.1% 降至 2.8%。該投資組合的組成部分包括非 QM、過渡性貸款和 SFR 投資組合，均顯示出改善。我們傳統的 RPL/NPL 投資組合中 60 多天的拖欠率也較上一季度改善了 3 個百分點以上，降至 27.4%。這一改善是通過清算先前拖欠貸款以及通過積極的資產管理將拖欠貸款恢復到當前狀態相結合的結果。

Our asset management team has deep experience working through distressed situations to the benefit of our investors. We have now successfully worked out over $3 billion in loans, which we believe puts us in a unique position to be able to take advantage of potential opportunities in addition to limiting losses in times of economic stress.

我們的資產管理團隊擁有豐富的經驗，致力於解決困境，為投資者謀福利。我們現已成功發放了超過 30 億美元的貸款，我們相信這使我們處於獨特的地位，除了在經濟困難時期限制損失外，還能夠利用潛在的機會。

Prepayment speeds on our purchase performing portfolio increased moderately from the prior quarter. Our legacy RPL portfolio CPR increased almost 3% from the previous quarter, and our legacy NPL portfolio had a significant increase of over 10% to 14 CPR. These increases were expected as seasonality impacts from real estate transaction activity tends to push fees in the spring. Total paydowns for the quarter were over $400 million, which were reinvested into loans carrying a coupon approximately 250 basis points higher.

我們的採購執行投資組合的預付款速度較上一季度略有增加。我們傳統的 RPL 投資組合 CPR 比上一季度增長了近 3%，我們傳統的 NPL 投資組合顯著增長了 10% 以上，達到 14 CPR。這些增長是預期的，因為房地產交易活動的季節性影響往往會推高春季的費用。該季度的總還款額超過 4 億美元，這些資金被再投資到息票高出約 250 個基點的貸款中。

Lastly, we continue to take advantage of the strong housing market, reducing our REO portfolio, which continues to shrink as fewer properties are entering REO status and are being sold out of the portfolio. Over the quarter, we sold 95 properties for $32 million, resulting in $4 million in gains. We believe the low LTV of our portfolio combined with prudent credit underwriting, have our portfolio well positioned for the current economic environment.

最後，我們繼續利用強勁的房地產市場，減少我們的 REO 投資組合，隨著進入 REO 狀態並從投資組合中出售的房產越來越少，我們的 REO 投資組合繼續縮小。本季度，我們以 3200 萬美元的價格出售了 95 處房產，帶來了 400 萬美元的收益。我們相信，我們投資組合的低生命週期價值加上審慎的信貸承銷，使我們的投資組合能夠適應當前的經濟環境。

And with that, I'll turn the call over to the operator for questions.

然後，我會將電話轉給接線員詢問問題。

(Operator Instructions) We will go to the line of Bose George with KBW.

（操作員說明）我們將前往 KBW 的 Bose George 線路。

Actually, can we get to ask just about your duration gap that you've noted? It's been a year. How do you kind of arrive at that level and versus being more neutral?

實際上，我們可以問一下您注意到的持續時間差距嗎？已經一年了。你如何達到這個水平，而不是變得更加中立？

Yes. Bose, thank you. Yes. So we've kind of been around that level for some time. We tightened up a little last year, obviously, as we mentioned, when we put on the interest rate swaps and hedges. So late '21 and '22, we did a lot of our hedging as well as for securitization activities. The way we've thought about it is, as rates have risen, it feels appropriate to have some duration in our portfolio. Most of our hedges are on the front end of the curve. So we have effectively isolated the impact of rising rates on our cost of funds. And that was really our emphasis to make sure that like we would stabilize the spread and our cost of funds over the long term.

是的。博斯，謝謝你。是的。所以我們在這個水平上已經有一段時間了。正如我們所提到的，去年我們進行利率掉期和對沖時，顯然收緊了一點。因此，在 21 年末和 22 年末，我們進行了大量的對沖以及證券化活動。我們的想法是，隨著利率上升，在我們的投資組合中保留一定的久期是合適的。我們的大多數對沖都位於曲線的前端。因此，我們有效地隔離了利率上升對資金成本的影響。這確實是我們的重點，以確保我們能夠長期穩定利差和資金成本。

As rates are now probably reaching close to the end of the hiking cycle for the Fed, it feels like you're supposed to respect both sides of the risk here. The fact that, look, the Fed could go a little bit higher, but with inflation trending down, we're probably at a point in time where the effects of economic policy -- sorry, the effects of Fed policy are working its way through the system. And so we think having a balanced portfolio where we hedge the front end but then have some duration that could potentially benefit from a declining rates is the right approach there.

由於利率現在可能已接近美聯儲加息週期的結束，因此感覺您應該尊重風險的雙方。事實上，美聯儲可能會加息一點，但隨著通脹趨勢下降，我們可能正處於經濟政策的影響發揮作用的時間點——抱歉，美聯儲政策的影響正在發揮作用系統。因此，我們認為擁有一個平衡的投資組合，對前端進行對沖，但隨後有一定的久期，可能會從利率下降中受益，這是正確的做法。

Well, keep in mind, the duration of one is fairly low in the context of probably the space because keep in mind, our leverage is only about 3.9x, and so really, the impact on equity is always the leverage times the duration. And then the other thing is majority of our returns come from credit and credit exposure. And credit spreads are pretty wide. And so in the event that the economy continues to stay resilient, we do think we have a lot of benefits from the credit side of the portfolio, which is not necessarily reflected just in the duration.

好吧，請記住，在可能的空間背景下，一個的久期相當低，因為請記住，我們的槓桿只有約 3.9 倍，所以實際上，對淨值的影響始終是槓桿乘以久期。另一件事是我們的大部分回報來自信貸和信貸風險。信用利差相當大。因此，如果經濟繼續保持彈性，我們確實認為我們可以從投資組合的信貸方面獲得很多好處，這不一定只反映在期限上。

Okay. Great. Yes, that makes a lot of sense. And then just switching to just the opportunities that could arise from some of the turmoil at the banks, can you just talk about spots where you could potentially see areas to deploy capital?

好的。偉大的。是的，這很有意義。然後只是轉向銀行的一些動盪可能帶來的機會，您能談談您可能會看到部署資本的領域嗎？

Sure. So we and you have heard a lot about bank capital rule changes recently and how that could open investment opportunities for mortgage REITs. And this is certainly possible. But I think some of that optimism is probably a little bit premature. We see the portfolios that are described as for sale. But in many cases, the sellers of prime jumbo loans with low interest rates are not willing or able to sell these pools at market prices.

當然。因此，我們和您最近聽說了很多有關銀行資本規則變化的信息，以及這如何為抵押房地產投資信託基金帶來投資機會。這當然是可能的。但我認為這種樂觀情緒可能有點為時過早。我們看到被描述為待售的投資組合。但在許多情況下，低利率優質巨額貸款的賣家不願意或無法以市場價格出售這些貸款池。

In addition, in most of these cases, there would be bank sellers. They really want to maintain their relationship with the borrower. So their preference would be to retain the servicing even if they sell the loans. And this can also create challenges for a buyer such as ourselves who would want to use securitization as a financing strategy because many of these banks are not set up to properly service to a securitization. So now pricing expectations could line up with reality in the future, and obviously, the operational friction can be overcome, but this will likely take some time.

此外，在大多數情況下，都會有銀行賣家。他們確實想維持與借款人的關係。因此，即使出售貸款，他們也傾向於保留服務。這也可能給像我們這樣想要使用證券化作為融資策略的買家帶來挑戰，因為許多銀行的設立並沒有為證券化提供適當的服務。因此，現在的定價預期可能會與未來的現實保持一致，而且顯然，運營摩擦是可以克服的，但這可能需要一些時間。

And finally, I'll point out that, Bose, we're focused on primarily non-QM loans and business purpose loans for the last 5 years. And I think that came from a belief that these loan classes offered superior risk-adjusted investment returns, but we also identified a very strategic component of this investment strategy and namely, that was because there was very little competition for banks for these loans. So I don't think it's by accident that those are the loans that we focused on. There could be some opportunities going forward, but at least thus far, I think there are some real challenges to banks selling loans at market prices.

最後，我要指出的是，Bose，過去 5 年我們主要關注非 QM 貸款和商業目的貸款。我認為這是因為我們相信這些貸款類別提供了卓越的風險調整投資回報，但我們也確定了這種投資策略的一個非常戰略性的組成部分，即因為銀行對這些貸款的競爭很少。因此，我認為我們關注這些貸款並非偶然。未來可能會有一些機會，但至少到目前為止，我認為銀行以市場價格出售貸款面臨一些真正的挑戰。

Yes. Bose, I would just add, in terms of the Lima One and the kind of the BPL origination side, we are feeling some benefits on the margin from lack of competition from regional banks. Those banks definitely would compete in some of the transitional loans called fix-and-flip construction loans. And so to the extent that their balance sheet is constrained as well as potentially higher capital requirements on them, we're definitely feeling some benefits on that. I mean it's not a transformational thing, but on the margin, it's definitely making Lima's life easier to attract borrowers.

是的。 Bose，我想補充一點，就 Lima One 和 BPL 發起方的類型而言，我們感受到了由於缺乏區域銀行競爭而帶來的一些邊際收益。這些銀行肯定會在一些稱為固定和翻轉建築貸款的過渡性貸款方面展開競爭。因此，就他們的資產負債表受到限制以及對他們的潛在更高的資本要求而言，我們肯定會感受到一些好處。我的意思是，這不是一個變革性的事情，但從某種程度上來說，它肯定會讓利馬的生活更容易吸引借款人。

Our next question will come from the line of Steve Delaney of JMP Securities.

我們的下一個問題將來自 JMP 證券公司的史蒂夫·德萊尼 (Steve Delaney)。

Congrats on the strong distributable EPS figure of $0.40. Reading in the deck, I was curious about the economic book value decline of about 5% to 6%. But I see you're -- in the deck, you're attributing that to just higher interest rates. We've -- compared to where we were in the second quarter, whichever -- where the bonds are today better than I, but we're -- on average, we're probably up 50 basis points. I'm curious if you've put any additional interest rate swaps on your portfolio in the last couple of months to try to protect book value.

祝賀可分配每股收益達到 0.40 美元的強勁表現。在閱讀套牌時，我對經濟賬面價值下降約 5% 至 6% 感到好奇。但我看到你——在甲板上，你將其歸因於更高的利率。與第二季度相比，今天的債券比我的情況要好，但平均而言，我們可能上漲了 50 個基點。我很好奇您是否在過去幾個月中對您的投資組合進行了任何額外的利率掉期以試圖保護賬面價值。

Sure. Thanks for the question, Steve. So in answer to your question, no, we have not added additional interest rate swaps. But if we look at where the price changes were in the second quarter, I think they're exactly where you expect them to be. The majority of loan prices that led to that book value decline were non-QM loans, which were probably down 1.75 points or so and single-family rental loans, which are probably down about 2 points or so. So again, I don't think it's a big surprise. And as Gudmundur said, we do see the overall interest rate risk being a little more balanced than we certainly did a year ago.

當然。謝謝你的提問，史蒂夫。因此，回答你的問題，不，我們沒有增加額外的利率掉期。但如果我們看看第二季度的價格變化，我認為它們正是您所期望的。導致賬面價值下降的大部分貸款價格是非 QM 貸款（可能下降 1.75 個百分點左右）和單戶租賃貸款（可能下降 2 個百分點左右）。再說一次，我認為這並不是一個很大的驚喜。正如古德蒙杜爾所說，我們確實看到整體利率風險比一年前更加平衡。

And just to add to that, we performed the securitization of 9 term loans in May, and we didn't take off any hedges when we execute on that securitization. So -- and the majority of the assets that we added were much shorter in nature being the BPL loans. So we didn't really think -- it made a ton of sense to add a bunch of hedges in the quarter, but we obviously reevaluate that on a day-to-day basis.

除此之外，我們在 5 月份對 9 筆定期貸款進行了證券化，並且在執行該證券化時我們沒有取消任何對沖。因此，我們添加的大部分資產本質上都較短，是 BPL 貸款。所以我們並沒有真正考慮過——在本季度添加大量對沖是非常有意義的，但我們顯然每天都會重新評估這一點。

Yes. And that's a good point. I point out like 85% of Lima's origination was in the shorter-term transitional loans.

是的。這是一個很好的觀點。我指出，利馬 85% 的資金來源於短期過渡性貸款。

Yes. And those transitional loans, do you actually float the rate? Or is it just the short-term nature of the loan that you might have a fixed coupon, but a short duration?

是的。還有那些過渡性貸款，你們真的浮動利率嗎？或者這只是貸款的短期性質，您可能有固定的息票，但期限很短？

Yes, it is the short-term nature of them. So they are of a fixed rate coupon. So it is the short-term nature of them. And so as you've seen, if you look through our deck, the coupon has been coming up every single quarter substantially. And like if you look at our pipeline currently, we say the coupon in the pipeline is above 10%, but that's a blended coupon.

是的，這就是它們的短期性質。所以它們是固定利率優惠券。所以這是它們的短期性質。正如您所看到的，如果您查看我們的套牌，就會發現優惠券每個季度都會大幅增加。就像如果你看看我們目前的管道一樣，我們說管道中的優惠券高於 10%，但這是混合優惠券。

So if you just look at the transitional loans, you're probably closer to 10.5% or 10.5% to 10.75%, something like that in terms of coupon. So that's what's coming on, on the books, and those are short assets. And we continue to see paydowns in that book. As we said like the CPR is about 42 3-month CPR on the transitional loans, but the paydown which is a substantial paydown in terms of principal received. And that's, as Bryan pointed out, the paydown was about 7%, the coupon that came off.

因此，如果你只看過渡性貸款，你可能會接近 10.5% 或 10.5% 到 10.75%，類似於息票。這就是賬面上即將發生的情況，這些都是空頭資產。我們繼續在那本書中看到回報。正如我們所說，過渡貸款的 CPR 約為 42 3 個月 CPR，但就收到的本金而言，還款額是一筆可觀的還款額。正如 Bryan 指出的那樣，還款額約為 7%，也就是取消的優惠券。

Got it. Okay. Do you have handy a distributable return on equity figure for the second quarter that you've calculated?

知道了。好的。您是否有計算過的第二季度可分配股本回報率數據？

I'm sorry, Steve?

對不起，史蒂夫？

Do you have a distributable earnings -- return on equity using distributable earnings for the second quarter?

您是否有可分配收益——使用第二季度可分配收益的股本回報率？

So I guess we can calculate it. So annualized, it's probably 10%, 11% on book value.

所以我想我們可以計算一下。那麼年化的話，大概是賬面價值的10%、11%。

That's close enough. I just -- that will give us a good target to kind of just have in mind as we're updating model and such. And okay, well, look, good dividend coverage, $0.40 over $0.35. It sounds like the portfolio is only improving in terms of yields. So keep it in the middle of the road, guys. It's -- you're in a good place.

這已經足夠接近了。我只是——這會給我們一個很好的目標，讓我們在更新模型等時牢記這一點。好吧，好吧，看，良好的股息覆蓋率，0.40 美元比 0.35 美元高。聽起來該投資組合只是在收益率方面有所改善。所以，伙計們，把它停在路中間。這是——你處於一個好地方。

Thank you, Steve.

謝謝你，史蒂夫。

Thanks, Steve.

謝謝，史蒂夫。

We'll go next to the line of Doug Harter with Credit Suisse.

我們將沿著道格·哈特 (Doug Harter) 與瑞士信貸 (Credit Suisse) 的路線進行。

Looking at Slide 10, which shows the potential upside to economic book value, can you talk about where most of -- which assets most of that discount sits in? And kind of how should we think about the duration of those assets or the time that it might take to recover that discount?

看一下幻燈片 10，它顯示了經濟賬面價值的潛在上行空間，您能談談大部分折扣都體現在哪些資產上嗎？我們應該如何考慮這些資產的期限或恢復折扣可能需要的時間？

So I would just say off the top of my head that the majority of that is going to be in non-QM loans and in single-family rental loans. And what do you think in terms of average life for...

因此，我只想說，其中大部分將用於非 QM 貸款和單戶租賃貸款。您認為……的平均壽命是多少？

Yes. I mean the average life would be around 4 to 5 years kind of for the portfolio as a whole. And as Craig pointed out, most of the discount is probably in the non-QM, single-family rental as well as some of the PCD loans as well because they were sort of the longer-duration assets that would have declined the most in valley as rates rose. And as you think about the portfolio, the average life is probably 5 years on these longer assets for the entire portfolio is around 4 years.

是的。我的意思是，整個投資組合的平均壽命約為 4 到 5 年。正如克雷格指出的那樣，大部分折扣可能來自非 QM、單戶租金以及一些 PCD 貸款，因為它們是期限較長的資產，在矽谷跌幅最大。隨著利率上升。當你考慮投資組合時，這些較長資產的平均壽命可能是 5 年，而整個投資組合的平均壽命約為 4 年。

Got it. And I guess, does that any of that discount kind of get accreted back into distributable earnings or kind of as those loans pay off, that's just going to show up in book value?

知道了。我想，這些折扣是否會重新計入可分配收益，或者當這些貸款還清時，這只會體現在賬面價值中？

Just for the carrying value assets, are we going to accrete?

就賬面價值資產而言，我們要增值嗎？

So the discount for the fair value won't go into distributable earnings as it gets backed out, right? But as the accounting value earns increase in value, that probably gets reflected in the yield if we get additional payoffs or additional returns or cash flows on those loans that we would...

因此，公允價值的折扣不會進入可分配收益，因為它被撤銷了，對嗎？但是，隨著會計價值的增加，如果我們從那些貸款中獲得額外的回報或額外的回報或現金流，那麼這可能會反映在收益率中。

Yes. So like the payoffs should definitely be reflected in the book value because we're getting principal back at par, okay? To the extent that we acquired assets at a discount and they pay off, that would be reflected in a higher yield, too. So those would be 2 components. But to think that our fair value, as Steve was pointing out, that goes through income statement, just as rates go up or down.

是的。因此，收益肯定應該反映在賬面價值中，因為我們將本金按面值收回，好嗎？如果我們以折扣價收購資產並獲得回報，這也會反映在更高的收益率上。所以這些將是兩個組成部分。但正如史蒂夫指出的那樣，我們的公允價值會隨著利率的上升或下降而出現在損益表中。

Earnings but not in distributable earnings.

收益但不包括可分配收益。

That's right.

這是正確的。

And we'll go next to the line of Eric Hagen with BTIG.

我們將緊接著 Eric Hagen 與 BTIG 的合作。

Actually, fleshing that conversation out maybe just a little bit more, like what would be the impact in marking the securitized debt to market if rates were to drop in that duration or to shorten on the non-QM portfolio? Like what would that look like? Is there any -- are there any kind of -- is there any optionality on the liability side that would -- we should think about when rates drop?

實際上，可能只是再充實一下對話，比如如果利率在這段時間內下降或縮短非 QM 投資組合，對證券化債務進行市場標記會產生什麼影響？那會是什麼樣子？在負債方面，我們是否應該考慮利率何時下降？

Well, so we show on that Page 10, right, we show there's a great bar. That's the discount for the securitized debt, the discount to par because we have to net that against the assets. Because obviously, our plan is that we're going to pay back all that securitized debt at par. So even though some of those AAA bonds that we sold at less than 1% yields might be worth in the low 80s, those are going to get repaid at par.

好吧，所以我們在第 10 頁上展示了，對吧，我們展示了有一個很棒的酒吧。這是證券化債務的折扣，是票面價值的折扣，因為我們必須將其與資產相抵銷。因為顯然，我們的計劃是按面值償還所有證券化債務。因此，儘管我們以低於 1% 的收益率出售的一些 AAA 債券的價值可能只有 80 多美元，但它們仍將按面值償還。

Do you feel like there could be an opportunity to call and resecuritize any of the non-QM deals that you did like the ones shortly after the pandemic if spreads come in a lot more from here?

您是否認為，如果利差從這裡開始大幅增加，您是否有機會對大流行後不久您喜歡的任何非 QM 交易進行贖回和再證券化？

I mean there certainly are opportunities to call them. I mean I think generally, it's probably a 3-year call period. But again, we'll have to balance the outstanding cost of the outstanding securities versus where we could reissue.

我的意思是肯定有機會給他們打電話。我的意思是，我認為一般來說，這可能是一個三年的贖回期。但同樣，我們必須平衡已發行證券的未償成本與我們可以重新發行的成本。

Right. And another one here on Lima One. I mean do you have the unfunded commitment in the -- below Lima One portfolio? And over what kind of time frame that gets distributed?

正確的。利馬一號上還有另一張。我的意思是，您在利馬一號投資組合中是否有未提供資金的承諾？以及在什麼樣的時間範圍內分發？

Yes. I think we show the portfolio look at Page 12, we show the UPB and the maximum loan amounts. And so the difference of the 2 would be the unfunded commitment. So it's about $480 million or so -- sorry, $580 million. And the way that, that really works is just kind of in the normal course of business. As draws happen, it's akin to quote buying a new loan. And so we fund that on our warehouse lines and in our transitional loan securitization in a normal course of business.

是的。我認為我們在第 12 頁顯示了投資組合，我們顯示了 UPB 和最大貸款金額。因此，兩者的區別在於無資金支持的承諾。所以大約是 4.8 億美元左右——抱歉，是 5.8 億美元。真正起作用的方式只是在正常的業務過程中。當提款發生時，這類似於購買新貸款的報價。因此，我們在正常業務過程中為我們的倉庫和過渡貸款證券化提供資金。

As Bryan pointed out, for example, in our revolving securitizations, they're $400 million, but that's what we funded on day 1. Then subsequently, we've done $330 million additional has rolled through that deal because as stuff pays off, you fund new things. And the new things we're funding are both new acquisitions as well as draws on those loans. And then the other thing is the draw rate on our portfolio is equivalent to about 30 CPR, but the paydown is equivalent to about 42 CPR. So effectively, we're -- this is organically funded just through our paydowns on the transitional loan portfolio as well as just through our warehouse lines and the securitizations.

例如，正如布萊恩指出的那樣，在我們的循環證券化中，它們的金額為4 億美元，但這就是我們在第一天提供的資金。隨後，我們又追加了3.3 億美元，完成了該交易，因為隨著事情得到回報，你資助新事物。我們資助的新事物既是新的收購，也是利用這些貸款。另一件事是我們投資組合的提款率大約相當於 30 CPR，但支付額相當於大約 42 CPR。因此，實際上，我們的資金是通過我們對過渡貸款組合的還款以及我們的倉庫線和證券化來有機資助的。

And the securitized loan self-fund within the securitization.

而證券化貸款則在證券化範圍內自籌資金。

That's right.

這是正確的。

Yes. On the RTL securitization, can you remind us how much time is left on the revolving period? Do you have that?

是的。關於RTL證券化，您能否提醒我們，循環期還剩多少時間？你有那個嗎？

Yes. So the first one, we did that in May of last year. So we have another year left on that roughly. And then we did one in February of this year, which was -- so that leaves another 1.5 years on them.

是的。第一個是我們在去年五月做的。所以我們大約還剩下一年的時間。然後我們在今年 2 月做了一個，那就是——所以他們還剩下 1.5 年的時間。

(Operator Instructions) Speakers, there are no further questions in queue from the phones.

（操作員說明） 發言者，電話中沒有其他問題。

All right. Thank you, everyone, for your interest in MFA Financial. Enjoy the rest of your summer, and we look forward to our next update when we announce third quarter results in November.

好的。感謝大家對 MFA Financial 的關注。享受剩下的夏天，我們期待在 11 月宣布第三季度業績時看到下一次更新。

Thank you. And ladies and gentlemen, this conference is available for replay beginning at 1:00 p.m. Eastern Time today and running through November 4 at midday. You may access the AT&T replay system at any time by dialing 1 (866) 207-1041 and entering the access code of 2399106. International dialers may call (402) 970-0847. Those numbers again are 1 (866) 207-1041 or 1 (402)-970-0847 with the access code of 2399106. That does conclude our conference for today. Thank you for your participation and for using AT&T Event Conferencing. You may now disconnect.

謝謝。女士們、先生們，本次會議可於下午 1:00 開始重播。東部時間今日持續至 11 月 4 日中午。您可以隨時撥打 1 (866) 207-1041 並輸入接入碼 2399106 來訪問 AT&T 重播系統。國際撥號者可以撥打 (402) 970-0847。這些號碼仍然是 1 (866) 207-1041 或 1 (402)-970-0847，接入碼為 2399106。今天的會議到此結束。感謝您的參與和使用 AT&T Event Conference。您現在可以斷開連接。