MFA Financial Inc (MFA) 2025 Q1 法說會逐字稿

Greetings, and welcome to the MFA Financial first-quarter 2025 financial results conference call. (Operator Instructions) Please note, this conference is being recorded.

您好，歡迎參加 MFA Financial 2025 年第一季財務業績電話會議。（操作員指示）請注意，本次會議正在錄音。

I will now turn the conference over to our host, Hal Schwartz, General Counsel. Thank you. You may begin.

現在我將會議交給我們的主持人、總法律顧問哈爾·施瓦茨 (Hal Schwartz)。謝謝。你可以開始了。

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 you use 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，大家早安。今天電話會議上討論的資訊可能包含或提及有關 MFA Financial, Inc. 的前瞻性陳述，這些陳述反映了管理層對 MFA 未來業績和營運的信念、期望和假設。當您使用非歷史性質的陳述時，包括包含將、相信、期望、預期、估計、應該、可以、會或類似表達的詞語，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, 2024, and other reports that it may file from time to time with the Securities and Exchange Commission. 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.

所有前瞻性陳述僅代表其作出之日的觀點。這些類型的聲明受各種已知和未知的風險、不確定性、假設和其他因素的影響，包括 MFA 截至 2024 年 12 月 31 日的 10-K 表格年度報告中所述的因素以及其可能不時向美國證券交易委員會提交的其他報告中所述的因素。這些風險、不確定性和其他因素可能導致 MFA 的實際結果與其在任何前瞻性陳述中預測、表達或暗示的結果有重大差異。

For additional information regarding MFA's use of forward-looking statements, please see the relevant disclosure in the press release announcing MFA's first quarter 2025 financial results.

有關 MFA 使用前瞻性陳述的更多信息，請參閱宣布 MFA 2025 年第一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, Craig Knutson.

感謝您抽出時間。現在我想將這個電話轉給 MFA 的執行長 Craig Knutson。

Thank you, Hal. Good morning, everyone, and thank you for joining us for MFA Financial's first quarter 2025 earnings call. With me today are Bryan Wulfsohn, our President and Chief Investment Officer; Mike Roper, our CFO; and other members of our senior management team.

謝謝你，哈爾。大家早安，感謝您參加 MFA Financial 2025 年第一季財報電話會議。今天與我一起的有我們的總裁兼首席投資長 Bryan Wulfsohn、我們的財務長 Mike Roper 以及我們高階管理團隊的其他成員。

I'll begin with a high-level review of the first quarter market environment and then touch on some of our results, activities and opportunities. Then I'll turn the call over to Mike to review our financial results in more detail, followed by Bryan who will review our portfolio, financing, Lima One and risk management, before we open up the call for questions.

我將首先對第一季的市場環境進行高層次的回顧，然後談談我們的一些成果、活動和機會。然後，我會將電話轉給麥克，讓他更詳細地回顧我們的財務結果，然後布萊恩將回顧我們的投資組合、融資、利馬一號和風險管理，然後我們開始提問。

I must admit it feels a little strange to talk about the first quarter of 2025, given the market turmoil that ensued on and after April 2. But despite the fact that it is not possible to unsee market development since April 2, it is instructive in the context of first quarter financial results to recall the market environment in which these results were achieved. And I promise that we'll also address market developments since quarter-end later in this call.

我必須承認，考慮到 4 月 2 日及之後發生的市場動盪，談論 2025 年第一季感覺有點奇怪。儘管我們不可能忽視 4 月 2 日以來的市場發展，但在第一季財務業績的背景下回顧實現這些業績的市場環境還是很有啟發性的。我保證，我們也將在本次電話會議中討論本季末以來的市場發展。

Fixed income markets were generally constructive throughout the first quarter of 2025. The 10-year yield peaked at 4.79% on January 14 and rallied to close the quarter at 4.20%. Credit spreads tightened somewhat over January and February, but widened modestly in March as the market began to anticipate and focus on the upcoming trade policy announcements.

2025 年第一季度，固定收益市場整體表現良好。10 年期公債殖利率在 1 月 14 日達到 4.79% 的峰值，並在本季末回升至 4.20%。1 月和 2 月，信貸利差略有收緊，但 3 月，隨著市場開始預期並關注即將發布的貿易政策公告，信貸利差略有擴大。

MFA's portfolio delivered a total economic return of 1.9% for the first quarter, which includes our first quarter dividend that we increased to $0.36. This dividend increase reflects what we believe is the earnings power of our portfolio, which Mike will explain more fully in his prepared remarks. Our economic book value was down very modestly in the first quarter by 0.6%.

MFA 投資組合第一季總經濟回報率為 1.9%，其中包括我們上調至 0.36 美元的第一季股息。股息成長反映了我們對投資組合獲利能力的信心，Mike 將在準備好的發言中對此進行更詳細的解釋。第一季度，我們的經濟帳面價值小幅下降了 0.6%。

We were active in the quarter, sourcing $875 million of loans and securities across our target asset classes. These included $383 million of non-QM loans, $268 million of agency MBS and $223 million of business purpose loan, funded originations and draws on existing loans at Lima One. We issued our 17th non-QM securitization in early March, and we also sold $70 million of newly originated SFR loans at attractive levels.

我們在本季表現活躍，在目標資產類別中獲得了 8.75 億美元的貸款和證券。其中包括3.83億美元的非合格市場貸款、2.68億美元的機構抵押貸款支持證券（MBS）和2.23億美元的商業用途貸款，為Lima One的貸款發放和現有貸款的提取提供了資金。我們於3月初發行了第17筆非合格市場證券化產品，並以極具吸引力的價格出售了7000萬美元新發放的特別定期住房貸款（SFR）。

Our overall leverage at the end of the quarter was 5.1 times, and our recourse leverage was 1.8 times, both only slightly higher than at year-end by 1/10 of a turn each.

本季末，我們的整體槓桿率為5.1倍，追索權槓桿率為1.8倍，均比年底僅高出十分之一。

The real fun started in April with the tariff circus kicking off on April 2. While the ultimate US trade policy will undoubtedly take months to be determined, the day-to-day impacts have been a roller coaster for financial markets. Expectations for inflation, the economy, employment, corporate earnings, consumer confidence, Fed action and even housing are all considerably more uncertain. As is always the case, increased uncertainty and volatility are never friendly for fixed income and particularly for mortgages.

真正的樂趣始於 4 月，4 月 2 日關稅狂歡拉開序幕。儘管最終的美國貿易政策無疑需要數月時間才能確定，但對金融市場的日常影響卻如同過山車般劇烈。對通膨、經濟、就業、企業獲利、消費者信心、聯準會行動甚至是住房的預期都變得更加不確定。正如往常的情況一樣，不確定性和波動性的增加對固定收益，尤其是抵押貸款來說，從來都不是好事。

As we reflect on this volatility and uncertainty, however, I'd like to highlight the benefits of MFA's investment strategy, risk management and financing rigor. Since the onset of market disruptions and the heightened market volatility following Liberation Day, MFA has experienced total margin calls of just under $20 million, which were satisfied with $18.5 million of cash and $1.3 million of unpledged agency bonds.

然而，當我們反思這種波動性和不確定性時，我想強調 MFA 的投資策略、風險管理和融資嚴謹性的優勢。自解放日後市場出現混亂和波動加劇以來，MFA 的保證金追繳總額已接近 2000 萬美元，其中以 1850 萬美元現金和 130 萬美元未質押的機構債券滿足。

At the height of the impact of volatility when the 10-year treasury sold off by nearly 20 basis points on April 7, we were net receivers of margin as the cash received on our swaps exceeded the collateral posted for repo margin calls. On the other hand, during the largest rally in rates that we saw since April 2, with the 10-year down nearly 12 basis points, on April 14, we posted a total of just $1.5 million of net margin.

在 4 月 7 日 10 年期公債拋售近 20 個基點的波動性影響最嚴重的時候，我們是保證金的淨接收者，因為我們的掉期交易收到的現金超過了回購保證金追繳的抵押品。另一方面，在 4 月 2 日以來我們看到的最大利率上漲期間，10 年期公債殖利率下跌近 12 個基點，4 月 14 日，我們的淨利潤總額僅為 150 萬美元。

There is no better testament to the effectiveness of our strategic emphasis on securitization, non-mark-to-market financing and the diversification into agency MBS that we initiated in December of 2022.

這最能證明我們在 2022 年 12 月啟動的證券化、非以市價融資和機構 MBS 多元化策略的有效性。

At March 31, 83% of our loan financing and 70% of all of our liabilities were non-mark-to-market in nature, with more than half of the mark-to-market financing coming from extremely liquid agency MBS. Although recent volatility has led to modest credit spread widening and higher rates, securitization markets are seeing strong demand and deals continued to be oversubscribed. Even on some of the most volatile trading sessions, non-QM securitizations continued to price and clear in an orderly fashion.

截至 3 月 31 日，我們 83% 的貸款融資和 70% 的所有負債本質上都是非按市價計價的，其中超過一半的按市價計價融資來自流動性極強的機構 MBS。儘管近期波動導致信貸利差小幅擴大且利率上升，但證券化市場需求強勁，交易仍繼續超額認購。即使在一些最動盪的交易時段，非 QM 證券化仍能繼續有序定價和清算。

MFA's investment portfolio, balance sheet composition and risk management approach are positioned to deliver results across multiple scenarios and weather unexpected market volatility and uncertainty.

MFA 的投資組合、資產負債表組成和風險管理方法能夠在多種情況下產生成果，並抵禦意外的市場波動和不確定性。

I'll now turn the call over to Mike Roper to discuss financial results.

現在我將把電話轉給麥克羅珀討論財務結果。

Thanks, Craig, and good morning. At March 31, GAAP book value was $13.28 per share and economic book value was $13.84 per share, each down less than 1% since the end of December.

謝謝，克雷格，早安。截至 3 月 31 日，GAAP 帳面價值為每股 13.28 美元，經濟帳面價值為每股 13.84 美元，自 12 月底以來均下降不到 1%。

For the first quarter, MFA generated GAAP earnings of $41.2 million or $0.32 per basic common share. Our strong debt earnings were driven by growth in our net interest income, $57.5 million, as well as modest net mark-to-market gains. The growth in net interest income was driven by our additions of higher-yielding assets over the last several quarters and lower interest expense, primarily due to rate cuts in November and December and lower day count for our repo liabilities during the month of February.

第一季度，MFA 的 GAAP 收益為 4,120 萬美元，即每股基本普通股 0.32 美元。我們的強勁債務收益是由淨利息收入的成長（5,750 萬美元）以及適度的淨市價收益所推動的。淨利息收入的成長是由於我們在過去幾個季度增加了高收益資產，並且利息支出減少，這主要是由於 11 月和 12 月的降息以及 2 月份回購負債天數減少。

Lima One contributed $5.4 million of mortgage banking income for the quarter, a decline from $8.5 million in the fourth quarter, driven by modestly lower origination volumes and a decline in gains on sales of single-family rental loans as sales volume declined from $111 million in the fourth quarter to $70 million in the first quarter.

Lima One 本季貢獻了 540 萬美元的抵押貸款銀行收入，較第四季度的 850 萬美元有所下降，原因是發放量略有下降，以及單戶租賃貸款銷售收益下降，銷售額從第四季度的 1.11 億美元下降到第一季的 7000 萬美元。

As Craig mentioned earlier, MFA declared an increased dividend of $0.36 per common share for the first quarter. The increase in our dividend is reflective of our continuing and increasing confidence in the long-term earnings power of our portfolio. This confidence is informed by our success adding high-yielding assets and the resulting growth in our net interest income, the increasingly positive slope of the yield curve, resilient housing fundamentals and wider spreads available on assets today.

正如 Craig 之前提到的，MFA 宣布第一季每股普通股股息增加 0.36 美元。股利的增加反映了我們對投資組合長期獲利能力的持續且不斷增強的信心。這種信心源於我們成功增加高收益資產，並因此帶來淨利息收入的成長、殖利率曲線的正斜率不斷增加、住房基本面強勁以及當今資產利差擴大。

We continue to see ample opportunities to add our target assets at mid- to high-teen ROEs, which we believe is one of the best proxies for the current earnings power of our portfolio.

我們繼續看到充足的機會以中高水準的 ROE 增加我們的目標資產，我們認為這是我們投資組合當前盈利能力的最佳代表之一。

Distributable earnings for the quarter were $30.5 million, or $0.29 per basic common share, down from $0.39 in the fourth quarter. The decrease in our distributable earnings was primarily due to the expiration of 1 billion notional of interest rate swaps over the course of the fourth quarter of 2024 and the first quarter of 2025. DE was also impacted by the decline in Lima One's mortgage banking income as well as increased credit-related charges for the quarter associated with resolutions of certain nonperforming assets.

本季可分配收益為 3,050 萬美元，即每股基本普通股 0.29 美元，低於第四季的 0.39 美元。我們的可分配收益減少主要是由於 2024 年第四季和 2025 年第一季期間 10 億名目利率互換到期。DE 也受到 Lima One 抵押銀行收入下降以及本季與解決某些不良資產相關的信貸相關費用增加的影響。

As we continue to work through some of the challenged assets in our transitional loan portfolio, we expect to see some short-term increases in realized credit losses in the quarters ahead as many of these troubled assets are approaching resolution by a foreclosure. As a result, we expect that our distributable earnings will be increasingly volatile and less indicative of the current earnings power of our portfolio over the next several quarters.

隨著我們繼續處理過渡貸款組合中的一些問題資產，我們預計未來幾季已實現信貸損失將出現短期增加，因為其中許多問題資產即將透過法拍得到解決。因此，我們預計未來幾季我們的可分配收益將變得越來越不穩定，並且越來越不能反映我們投資組合當前的獲利能力。

Importantly, we believe that these headwinds are short term in nature, and economically, we emphasize that this is old news. Our expected credit exposure was already recorded in our book value and in our GAAP earnings as unrealized losses in several quarters and, in some cases, several years ago. So we don't expect these resolutions to have any impact on our book value or on our GAAP results as the impact is limited to the reporting of our distributable earnings.

重要的是，我們認為這些不利因素本質上是短期的，而且從經濟角度來看，我們強調這已經是舊聞了。我們的預期信用風險已在幾個季度，甚至在某些情況下，幾年前就作為未實現損失記錄在我們的帳面價值和 GAAP 收益中。因此，我們預計這些決議不會對我們的帳面價值或 GAAP 結果產生任何影響，因為影響僅限於報告我們的可分配收益。

As we continue to resolve these challenged loans and redeploy the capital into higher-yielding performing assets, we believe that our DE will begin to converge with our dividend over the back half of the next 12 months.

隨著我們繼續解決這些有問題的貸款並將資本重新部署到收益更高的資產中，我們相信我們的 DE 將在未來 12 個月的後半年開始與我們的股息趨同。

Finally, subsequent to quarter-end, we estimate that our economic book value is down approximately 2% to 4% since the end of the first quarter, primarily as a result of wider spreads.

最後，在季度末之後，我們估計我們的經濟帳面價值自第一季末以來下降了約 2% 至 4%，這主要是由於利差擴大造成的。

I'd now like to turn the call over to Bryan, who will discuss our investment activities in the first quarter.

現在我想把電話轉給布萊恩，他將討論我們第一季的投資活動。

Thanks, Mike. Q1 marked another quarter for growth in our investment portfolio. We focused on our target asset classes, acquiring $875 million of loans and securities, which grew the portfolio net of runoff in sales to $10.7 billion from $10.5 billion at year-end. Our current focus remains in 3 strategies: non-QM, BPL and agency MBS.

謝謝，麥克。第一季標誌著我們的投資組合又一個成長的季度。我們專注於目標資產類別，收購了 8.75 億美元的貸款和證券，這使得扣除銷售流失後的投資組合淨額從年底的 105 億美元增至 107 億美元。我們目前的重點仍然是 3 個策略：非 QM、BPL 和機構 MBS。

We sourced $383 million of non-QM loans during the quarter. Those loans carry an average coupon of 7.8% and a weighted average LTV of 65%. Underwriting standards have remained prudent and mid- to high double-digit ROEs are achievable with securitization financing. We issued our 17th securitization of non-QM loans in March, selling $283 million of bonds at an average coupon of 5.58%.

本季我們獲得了 3.83 億美元的非 QM 貸款。這些貸款的平均票面利率為 7.8%，加權平均貸款價值比為 65%。承銷標準仍保持審慎，透過證券化融資可實現中高兩位數的 ROE。我們於 3 月發行了第 17 筆非 QM 貸款證券化，以平均票面利率 5.58% 的價格出售了價值 2.83 億美元的債券。

Since quarter-end, we've seen AAA spreads widen from 1.35 to as much as 1.75. But it's important to note that throughout the broader market disruption, liquidity has remained in the non-QM space as market participants have been eager to participate in new offerings at wider spread levels. In the last few weeks, we've seen AAAs tighten to 1.60, and that trend could continue if the macro backdrop continues to stabilize.

自本季末以來，我們看到AAA級債券的利差從1.35擴大至1.75。但值得注意的是，在更廣泛的市場動盪期間，由於市場參與者渴望參與利差更高的新發行，因此非量化管理債券的流動性始終保持穩定。在過去幾週，我們看到 AAA 收緊至 1.60，如果宏觀背景繼續穩定，這種趨勢可能會持續下去。

We again added to our agency MBS portfolio during the quarter, growing our position to $1.6 billion. Our focus there continues to be on low pay-up 5.5s purchased at modest discounts to par. We plan to continue to grow this segment of our portfolio as long as spreads remain attractive.

我們在本季再次增加了機構 MBS 投資組合，使我們的持股規模增加至 16 億美元。我們的重點仍然是以低於票面價值的適當折扣購買低價 5.5 先令債券。只要利差仍然具有吸引力，我們就計劃繼續擴大投資組合的這一部分。

Research currently shows mutual funds are already overweight agencies, which tells us that spreads could persist at these levels for some time given the backdrop of rate volatility. That said, there are potential catalysts for agency spread tightening, particularly if the banks receive leverage ratio relief and are able to add more aggressively or if the Fed elects to adjust its balance sheet policy.

目前的研究表明，共同基金中機構投資者的持股比例已經過高，這告訴我們，在利率波動的背景下，利差可能會在一段時間內維持在這些水準。儘管如此，仍有可能促使機構利差收緊，特別是如果銀行獲得槓桿率減免並能夠更積極地增加槓桿，或者聯準會選擇調整其資產負債表政策。

We estimate our net duration drop slightly in the first quarter to 0.96 from 1.02 at year-end. As a reminder, we primarily hedge our interest rate exposure by issuing fixed rate securitized debt and by utilizing interest rate swaps. We had $5.9 billion of outstanding bonds from these securitizations and $3.4 billion of notional value swapped at quarter-end. If we continue to add agencies, we expect to see our net asset duration drop again as we maintain -- we want to maintain a similar level of exposure of our equity to interest rate changes given the higher leverage associated with agencies.

我們估計，第一季的淨持續時間將從年底的 1.02 略微下降至 0.96。提醒一下，我們主要透過發行固定利率證券化債務和利用利率互換來對沖利率風險。季度末，我們有 59 億美元的證券化未償還債券和 34 億美元的名目價值互換。如果我們繼續增加機構，我們預計我們的淨資產持續時間將再次下降，因為我們保持 - 鑑於與機構相關的更高槓桿率，我們希望保持我們的股權對利率變化的類似敞口水平。

Turning to Lima One. Lima originated $213 million of business purpose loans during the quarter with an average coupon of 9.7% and an LTV of 65%. We continue to sell newly originated rental loans. During the first quarter, we sold $70 million of these loans, which contributed $2 million of mortgage banking income.

談到 Lima One。 Lima 在本季發放了 2.13 億美元的商業貸款，平均票面利率為 9.7%，LTV 為 65%。我們繼續出售新發放的租賃貸款。第一季度，我們出售了 7,000 萬美元的此類貸款，貢獻了 200 萬美元的抵押銀行收入。

Overall, origination volume was down slightly from Q4 as the first few months of the year are historically slower. We've taken action down at Lima to improve volume growth without sacrificing credit quality. We hired nine loan officers in Q1 and seven so far in Q2. We continue to attract both sales and underwriting talent to Lima and expect our efforts to bear fruit in the second half of the year.

整體而言，由於歷史上每年頭幾個月的貸款發放速度通常較慢，因此貸款發放量較第四季略有下降。我們在利馬採取了行動，在不犧牲信貸品質的情況下提高交易量成長。我們在第一季僱用了 9 名貸款專員，第二季迄今僱用了 7 名。我們繼續吸引銷售和承保人才來到利馬，並期望我們的努力在今年下半年取得成果。

Moving to our credit performance. 60-plus day delinquencies for our entire loan portfolio remained stable at 7.5%. Delinquency rates on our non-QM, SFR, legacy RPL NPL books were essentially unchanged from year-end, and LTVs remained exceptionally low. The delinquency rates did jump in our single-family transitional portfolio, but that's because repayments outpaced origination volume, causing the denominator to shrink. Actual delinquent loans rose by only $2 million on our $1 billion portfolio.

談到我們的信貸表現，我們整個貸款組合的 60 天以上拖欠率保持穩定在 7.5%。我們的非 QM、SFR、傳統 RPL NPL 帳簿的拖欠率與年底相比基本沒有變化，而 LTV 仍然保持在極低的水平。我們的單戶過渡型投資組合的拖欠率確實上升了，但這是因為還款額超過了發放額，導致分母縮小。在我們10億美元的投資組合中，實際拖欠貸款僅增加了200萬美元。

Finally, we continue to make progress in our multifamily book, resolving $35 million of previously delinquent loans in addition to receiving over $100 million of prepayments in the quarter.

最後，我們在多戶住宅貸款方面繼續取得進展，除了在本季度收到超過 1 億美元的預付款外，還解決了 3500 萬美元的先前拖欠貸款。

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

然後，我們將把電話轉給接線員來回答問題。

(Operator Instructions) Bose George, KBW.

（操作員指示）Bose George，KBW。

In terms of the impact from the swap, the runoff, can you talk about the second quarter versus the first quarter, what the incremental sort of impact is going to be?

就掉期、流失的影響而言，您能否談談第二季與第一季相比，增量影響會是什麼？

Bose, thanks for the question. Yes, the impact for the second quarter is kind of in line with what we said for the fourth quarter for that sort of remaining runoff. We expect that the impact of that -- the expirations from the first quarter, I think there's another $100 million that expires in the second quarter, is going to be about $0.02, in terms of the sort of Q1 versus Q2 impact.

Bose，謝謝你的提問。是的，第二季的影響與我們所說的第四季剩餘的流失的影響是一致的。我們預計，第一季到期的債務（我認為第二季還有 1 億美元到期）對第一季和第二季的影響約為 0.02 美元。

Okay. Great. And then you noted the impact from the loans that are going to work its way through as well. Is there any way to kind of -- for us to quantify that just in terms of modeling? Or is it just going to be kind of random in terms of when it actually flows through?

好的。偉大的。然後您注意到貸款也會產生影響。有沒有什麼方法可以讓我們只透過建模來量化這一點？或者它實際流過時會是隨機的嗎？

Yes. I think -- unfortunately, the timing is just going to be a little bit difficult, right? We're sort of at the mercy of the courts in some states and the borrowers and a lot of other factors. I mean I think it's safe to say of thinking about the multifamily delinquency, the overwhelming majority of that is in foreclosure. And in many states, it can be very quick. But there can be tactics from borrowers to delay that.

是的。我認為——不幸的是，時機有點困難，對吧？在某些州，我們在某種程度上受制於法院、借款人和許多其他因素。我的意思是，我認為可以肯定地說，考慮到多戶家庭拖欠的情況，絕大多數都是喪失抵押品贖回權。在許多州，這個過程可以非常快。但藉款人可以採取一些策略來延緩這一進程。

I think in terms of the best way to sort of think about that, we have that multifamily transitional book at a $40 million discount. And given the short nature of those assets, we attribute that discount almost entirely to credit. So I think the timing might be a little tough, but in terms of the overall dollar amount, call it, over the next year or so, we expect to see the majority of that credit discount flush out.

我認為，就此問題的最佳思考方式而言，我們以 4000 萬美元的折扣購買了該多戶型過渡性住房。鑑於這些資產的短期性質，我們將這種折扣幾乎完全歸因於信貸。所以我認為時機可能有點困難，但就整體金額而言，在未來一年左右，我們預計大部分信貸折扣將會消失。

Okay. Great. That's helpful. And then just one quick question just on the returns. You noted the mid- to high-teens returns. Can you just break that out between the agency, some of the other asset classes?

好的。偉大的。這很有幫助。然後我只想問一個關於回報的簡短問題。您注意到回報率在十幾歲到十幾歲之間。您能否將其與機構和其他一些資​​產類別區分開來？

Yes. I mean, really, mid- to high teens are achievable both in agencies and non-QM. And then on the BPL side, on the short-term nature, those 10% coupons, given the revolving nature of our securitizations, those ROEs could be above 20%.

是的。我的意思是，實際上，無論是在機構還是非 QM 中，都可以實現中到高等的水平。然後，在 BPL 方面，從短期性質來看，那些 10% 的票面利率，考慮到我們證券化的循環性質，那些 ROE 可能會超過 20%。

Doug Harter, UBS.

瑞銀的道格·哈特。

On the loan resolutions, just a follow-up. Can you just talk about when you're seeing resolutions, kind of where those are coming out relative to where you had the loans marked?

關於貸款決議，只是一個後續問題。您能否談談當您看到解決方案時，這些解決方案相對於您標記的貸款而言是怎樣的？

Yes. I think in general, we've seen them really starting to see some of that troubled pipeline being resolved now. But in general, we're very, very comfortable with where things have been marked. It's not like we're continuously marking things down. We use multiple pricing services and we have a team that reviews all those marks and constantly is reviewing the value of the underlying collateral. So there's still more come in terms of the total amount of these resolutions. But from what we've seen so far, we feel very, very comfortable with where we have the mark.

是的。我認為總體而言，我們已經看到他們確實開始看到一些陷入困境的管道問題正在解決。但總的來說，我們對事物的標記位置感到非常滿意。我們並不是不斷地標記事物。我們使用多種定價服務，並且我們有一個團隊負責審查所有這些標記並不斷審查基礎抵押品的價值。因此，從這些決議的總量來看，還有更多的工作要做。但從目前所見的情況來看，我們對所取得的成績感到非常滿意。

And Doug, as Mike said before, the majority of the fair value write-downs on these assets took place last year. I mean I think it was actually in the third quarter of last year. And as I'm sure you know, on loans that are ultimately headed to foreclosure, the largest determinant of your ultimate resolution value is the value of the property. So we were pretty focused on that.

道格，正如麥克之前所說，這些資產的公允價值減記大部分發生在去年。我的意思是我認為它實際上是在去年第三季。我相信您知道，對於最終被取消抵押品贖回權的貸款，最終解決價值的最大決定因素是財產的價值。所以我們非常關注這一點。

Great. And on the new BPL originations you're doing, can you just highlight kind of what sector -- what pieces of that market you're kind of focused on today and kind of how you expect that opportunity to continue to present?

偉大的。關於您正在進行的新 BPL 發起，您能否強調您目前關注的領域——該市場的哪些部分，以及您預計該機會將如何繼續呈現？

Yes. I mean, really, it continues to be similar to what it was in prior quarters, with the focus being on ground up, bridge and fixed [flip]. I mean the bulk of the new origination over the past quarter was ground up. And that's where we see sort of the biggest opportunity given that real estate transaction levels are down and home prices have gone up considerably, that there's just the opportunity to do sort of the quick flip type transactions is much smaller than it was previously. So the focus has been more on ground up and/or bridge.

是的。我的意思是，實際上，它仍然與前幾季的情況相似，重點是從頭開始、橋樑和固定[翻動]。我的意思是，過去一個季度的大部分新發起都是被推翻的。鑑於房地產交易水準下降、房價大幅上漲，我們看到了最大的機遇，進行快速翻轉交易的機會比以前小得多。因此重點更多地放在從頭開始和/或橋樑上。

Steve Delaney, Citizens JMP Securities.

史蒂夫‧德萊尼 (Steve Delaney)，Citizens JMP Securities。

For starters, just to be sure I've got the right numbers on your comments about changes in book value in the second quarter. First, is that relative to economic book value, not GAAP, and the figure at March was 1,384, is that correct?

首先，我要確保我對您關於第二季度賬面價值變化的評論得到了正確的數字。首先，這是相對於經濟帳面價值而不是 GAAP 而言的，3 月的數字是 1,384，對嗎？

That's right on both accounts, Steve.

史蒂夫，這兩種說法都是正確的。

Okay. Great. And you said down 2% to 4%. Okay. So something in --

好的。偉大的。您說的是下降 2% 到 4%。好的。所以--

I'll also add that that 2% to 4% is net of the dividend accrual. Sorry to cut you off there.

我還要補充一點，2% 到 4% 是扣除股利後的淨額。很抱歉打斷你。

Oh, no, I appreciate you throwing that out. Okay, net of the dividend. Okay. Obviously, great progress on building the NQM and the BPL. The NQM program, how many sellers, approved loan sellers, and I don't know whether that includes servicing, but let's just focus on sellers, how many counterparties do you have out there in the marketplace actually originating those loans for you to purchase?

哦，不，我很感謝你把它扔掉。好的，扣除股息。好的。顯然，在建設NQM和BPL方面取得了巨大進展。NQM 計劃中，有多少賣家，有多少已批准的貸款賣家，我不知道這是否包括服務，但我們只關注賣家，市場上有多少交易對手實際上發放這些貸款供您購買？

Yes, it varies from quarter-to-quarter. Really, it's -- so any quarter it could be as few as four and as high as eight. But historically, we've tended to have sort of deeper relationships with fewer counterparties versus blasting out guidelines, setting up a conduit and dealing with a lot of smaller, less well-capitalized [average vendors].

是的，每季都有所不同。確實如此——任何季度都可能少至 4 個，多至 8 個。但從歷史上看，我們傾向於與更少的交易對手建立更深的關係，而不是發布指導方針、建立管道並與許多規模較小、資金不足的[普通供應商]打交道。

Got it. So I mean, how would you just generally say that your opportunity there has grown in the last year or so? And is there further untapped growth potential in that sector, or do you feel like you're kind of at a run rate that you're getting your fair share of what's out there and there's maybe -- it's going to sort of flat-line in terms of volumes?

知道了。那麼我的意思是，您總體上如何看待過去一年左右您在那裡獲得的機會增加？該領域是否仍有未開發的成長潛力？或者您覺得目前的運行速度已經足以讓您獲得公平的市場份額，而銷量可能會趨於平穩？

So we think there's definitely opportunity to grow, right? Really it's just capital and, obviously, it competes with our other asset classes in terms of opportunities to deploy. So if we wanted to grow non-QM, we definitely have the ability to do so.

所以我們認為肯定存在成長機會，對嗎？實際上它只是資本，而且顯然，它在部署機會方面與我們的其他資產類別競爭。因此，如果我們想要發展非 QM，我們絕對有能力這樣做。

Got it. And I don't know when you priced your last securitization, but all the disruption in the bond market with following tariffs, et cetera, your last execution in the NQM, MBS market, can you comment on that as to whether that was in line with previous deals or whether it was priced wider? How are you seeing the opportunity to securitize those NQM loans that you have acquired given the kind of disruption in fixed income markets?

知道了。我不知道您上次證券化交易的定價是什麼時候，但是由於關稅等原因，債券市場出現了混亂，您上次在 NQM、MBS 市場執行的交易是否與之前的交易一致，或者定價是否更高？鑑於固定收益市場的混亂，您如何看待將您所收購的 NQM 貸款證券化的機會？

Sure. So the last deal we did, I believe it was 1.35 over for AAA. That's sort of where the market was at the end of March. And then now it's widened, say, it widened -- the wides might have been 1.75, maybe there was a deal that printed not too wide at 1.80, it's come in since there. We've seen deals priced between 1.60 and 1.70 sort of regularly and deals continue to be oversubscribed, well bid. So we're sort of -- we're constructive there.

當然。所以，我認為我們做的最後一筆交易是 AAA 價格高出 1.35 美元。這就是三月底的市場狀況。然後現在它擴大了，比如說，它擴大了——範圍可能是 1.75，也許有一筆交易打印出的範圍不是太寬，為 1.80，它從那時起就出現了。我們經常看到交易價格在 1.60 至 1.70 之間，並且交易繼續超額認購，出價也很高。所以我們在某種程度上是——我們在這方面是建設性的。

So when you think about it, right, maybe it's a bit wider, but where we've seen assets trade, they're also trading wider and commensurate with those widened securitization spreads. So the ROEs are basically -- you think about the spread, the securitization kind of remains the same and you're earning an extra maybe 25 basis points, 30 basis points on the asset.

所以當你考慮它時，對的，也許它有點寬，但我們看到資產交易的地方，它們的交易範圍也更廣，並且與擴大的證券化利差相稱。因此，ROE 基本上是 - 你考慮利差，證券化保持不變，而你在資產上額外賺取大約 25 個基點、30 個基點。

(Operator Instructions) Jason Stewart, Janney Montgomery Scott.

（操作員指示）傑森斯圖爾特、詹妮蒙哥馬利斯科特。

A question on Lima One. Just the rate volatility and the impact there, maybe you could give us more color on what's happened in terms of demand for loan products, the competitive environment and whether loan buyers, particularly insurance companies, have changed their appetite given the rate vol.

關於Lima One的一個問題。關於利率波動及其影響，您能否詳細介紹貸款產品需求、競爭環境以及貸款購買者（尤其是保險公司）是否在利率波動的影響下改變了他們的偏好？

Yes. I mean we're obviously -- we're in close contact with Lima to make sure that we're all in tune with the market in terms of setting rates to borrowers. But we continue to see sort of strong demand from insurance companies that really hasn't changed. They like the duration that comes with the longer locked-out assets in terms of DSCR and rental loans. So the demand continues to be strong there.

是的。我的意思是，我們顯然正在與利馬保持密切聯繫，以確保我們在設定借款人利率方面與市場保持一致。但我們仍然看到保險公司的強勁需求實際上並沒有改變。他們喜歡 DSCR 和租賃貸款中較長的鎖定資產所帶來的期限。因此那裡的需求持續強勁。

Okay. And in terms of competition, is there any shakeout there in the competitive environment?

好的。從競爭角度來說，競爭環境是否出現了震盪？

Not really. I mean the originators over the past sort of year have seen a really good market for them to produce and earn. So I believe that they have the capital situation of the originator is such that they don't necessarily have to pull back. Everybody has to sort of adjust to market pricing, which they do. But we haven't seen really originator step away.

並不真地。我的意思是，過去一年來，發起人已經看到了一個對他們來說非常好的生產和盈利的市場。因此我相信，鑑於發起人的資金狀況，他們不一定需要撤退。每個人都必須適應市場定價，而他們也確實這麼做了。但我們還沒有看到真正的創始人退出。

Okay. Got it. And then one question on the agency book. Could you just remind me whether you look at the agency portfolio relative to swaps or treasuries and how that determines sort of ultimate sizing as portfolio allocation does?

好的。知道了。然後是關於代理書的一個問題。您能否提醒我，您是否考慮過相對於掉期或國債的代理投資組合，以及這如何決定投資組合配置的最終規模？

So we hedge with SOFR swaps, but the market generally looks at a spread to treasuries. But yes, you do get some additional spread hedging with SOFR and borrowing against SOFR versus the quoted spread to treasury. So it might be an extra 20, 30 basis points from time to time that we see in the market that you're picking up kind of hedging with SOFR versus treasuries.

因此，我們利用 SOFR 掉期進行對沖，但市場通常關注的是國債利差。但是的，你確實可以透過 SOFR 獲得一些額外的利差對沖，並透過 SOFR 借款來抵消國債的報價利差。因此，我們有時會在市場上看到額外的 20 或 30 個基點，即利用 SOFR 對沖美國國債。

Yes. I mean obviously, you hedge with swaps and it looks much better against swaps. So given that outlook, does that change how big could agency get in terms of portfolio allocation?

是的。我的意思是，顯然，你用掉期來對沖，而相對於掉期而言，它看起來要好得多。那麼，考慮到這種前景，這是否會改變機構在投資組合配置方面能達到多大的規模？

I mean we're sort of taking this -- we're not rushing into it. What we've told people in the past that we can see the portfolio getting to $2 billion, and then we'll sort of reassess market conditions at that point. But that's sort of over a few quarter period.

我的意思是，我們正在採取這種行動——我們不會倉促行事。我們過去曾告訴人們，我們可以看到投資組合達到 20 億美元，然後我們會重新評估當時的市場狀況。但這只是幾個季度內的事情。

Eric Hagen, BTIG.

BTIG 的 Eric Hagen。

We're looking at the interest rate sensitivity table in the press release. I guess we're a little surprised to see that much convexity risk in the portfolio for an up move in rates. Is that being driven by the agency MBS portfolio? Or how meaningfully is the non-QM portfolio contributing to that sensitivity?

我們正在查看新聞稿中的利率敏感度表。我想，我們對利率上升導致投資組合凸性風險如此之大感到有些驚訝。這是由機構 MBS 投資組合所推動的嗎？或者非 QM 投資組合對這種敏感度的貢獻有多大？

So it's not just the agency portfolio. It's also the non-QM. Obviously, when we've taken up -- incrementally taken up leverage, right, that there's a little more exposure there. But it's generally all model-driven. So we're using proxies to -- you don't necessarily have the perfect model to determine when you're trying to look at non-QM loans because you don't have -- the history kind of goes back to 2017. So you don't have sort of the perfect crystal ball going forward.

所以這不僅僅是代理投資組合。這也是非 QM。顯然，當我們逐步採用槓桿時，那裡的風險敞口就會更大一些。但一般來說都是由模型驅動的。因此，我們使用代理商——您不一定擁有完美的模型來確定何時嘗試查看非 QM 貸款，因為您沒有——歷史可以追溯到 2017 年。所以你並沒有完美的未來水晶球。

But we generally are -- we take a more conservative approach to how we calculate convexity. So that's why you may see -- may appear more negatively convex than what may actually end up happening from those.

但我們一般來說－我們對凸度的計算採取更保守的方法。所以這就是為什麼你可能會看到——可能看起來比實際發生的情況更負凸。

Yes. Okay. That's helpful. On the delinquency pipeline and the nature of the defaults, right, specifically in the Lima One portfolio, are the defaults being driven because the borrowers are like upside down and interest expense has crowded out their return? Or is the project improvement component of the timeline just significantly delayed? And like how do you think about the impact of tariffs and the impact that could have on the credit performance and the timeline for the project improvement component?

是的。好的。這很有幫助。關於拖欠情況和違約性質，特別是在 Lima One 投資組合中，違約是否是因為借款人倒掛而利息支出擠佔了他們的回報？或者時間表中的專案改進部分是否只是被嚴重延遲了？您如何看待關稅的影響以及其對信貸表現和專案改進部分的時間表的影響？

So in terms of the delinquencies on the BPL side, it's really -- it's -- there's not one reason, right? Some of it is exactly there is a high interest expense that goes along with it. And if a project takes longer than one might expect, there could end up being liquidity pressure on the borrower, which could cause delinquencies.

因此，就 BPL 方面的拖欠情況而言，這真的 - 這 - 不止一個原因，對嗎？其中一部分確實是伴隨而來的高利息支出。如果專案耗時比預期的要長，最終可能會給借款人帶來流動性壓力，從而導致拖欠。

And as you also mentioned, right, like if a project -- problems with permits, or issues getting materials, or there was some unexpected occurrence to happen where somebody open the walls and something that's there that they didn't expect, you could have defaults due to stalled-out projects.

正如您所提到的，如果一個項目出現許可證問題，或者材料獲取問題，或者發生了一些意外事件，例如有人打開牆壁，出現了一些他們沒有預料到的事情，那麼由於項目停滯，可能會出現違約。

And as it relates to tariffs, like the amount, say, lumber as it relates to the cost of a home, it's -- and the cost of renovation, sort of it's a smaller percentage in terms of what actually goes into it versus labor. So we don't expect tariffs to have a material impact in delinquencies, but we are accounting for in larger contingencies in the budget and that nature just to make sure and to be safe, if those things do impact projects in terms of costs and whatnot.

至於與關稅相關的內容，例如木材的價格與房屋成本的關係，以及裝修成本，就實際投入與勞動力而言，它所佔的比例較小。因此，我們預計關稅不會對拖欠產生重大影響，但我們在預算中考慮了更大的意外事件，這只是為了確保安全，以防這些事情在成本等方面影響專案。

Thank you. And ladies and gentlemen, that was our final question for today. We have no more further questions at this time. So at this point, we will conclude today's call. Thank you for participating, and have a good day.

謝謝。女士們、先生們，這是我們今天的最後一個問題。目前我們沒有其他問題。至此，我們今天的電話會議就結束了。感謝您的參與，祝您有愉快的一天。