Annaly Capital Management Inc (NLY) 2022 Q3 法說會逐字稿

Good morning and welcome to the Annaly Capital Management Third Quarter 2022 Earnings Conference Call. (Operator Instructions) Please note, this event is being recorded.

早上好，歡迎參加 Annaly Capital Management 2022 年第三季度收益電話會議。 （操作員說明）請注意，此事件正在記錄中。

I would now like to turn the conference over to Sean Kensil, Director of Investor Relations. Please go ahead.

我現在想將會議轉交給投資者關係總監 Sean Kensil。請繼續。

Good morning and welcome to the third quarter 2022 earnings call for Annaly Capital Management.

早上好，歡迎來到 Annaly Capital Management 的 2022 年第三季度財報電話會議。

Any forward-looking statements made during today's call are subject to certain risks and uncertainties, including with respect to COVID-19 impacts, which are outlined in the Risk Factors section in our most recent annual and quarterly SEC filings. Actual events and results may differ materially from these forward-looking statements. We encourage you to read the disclaimer in our earnings release in addition to our quarterly and annual filings.

在今天的電話會議中做出的任何前瞻性陳述都受到某些風險和不確定性的影響，包括與 COVID-19 影響有關的風險和不確定性，這些風險和不確定性在我們最近提交給美國證券交易委員會的年度和季度文件的風險因素部分中進行了概述。實際事件和結果可能與這些前瞻性陳述存在重大差異。除了我們的季度和年度報告之外，我們鼓勵您閱讀我們收益發布中的免責聲明。

Additionally, the content of this conference call may contain time-sensitive information that is accurate only as of the date hereof. We do not undertake and specifically disclaim any obligation to update or revise this information.

此外，本次電話會議的內容可能包含時間敏感信息，這些信息僅在本協議發布之日是準確的。我們不承擔並明確否認更新或修改此信息的任何義務。

During this call, we may present both GAAP and non-GAAP financial measures. A reconciliation of GAAP to non-GAAP measures is included in our earnings release.

在本次電話會議中，我們可能會介紹 GAAP 和非 GAAP 財務指標。 GAAP 與非 GAAP 措施的對賬包含在我們的收益發布中。

As a reminder, Annaly routinely posts important information for investors on the company's website, www.annaly.com. Content referenced in today's call can be found in our third quarter 2022 investor presentation and third quarter 2022 financial supplement, both found under the Presentations section of our website. Annaly intends to use our web page as a means of disclosing material nonpublic information, for complying with the company's disclosure obligations under Regulation FD and to post and update investor presentations and similar materials on a regular basis. Please also note this event is being recorded.

提醒一下，Annaly 會定期在公司網站 www.annaly.com 上為投資者發布重要信息。今天電話會議中引用的內容可以在我們的 2022 年第三季度投資者演示文稿和 2022 年第三季度財務補充中找到，兩者都可以在我們網站的演示文稿部分找到。 Annaly 打算使用我們的網頁作為披露重大非公開信息的一種方式，以遵守公司在 FD 條例下的披露義務，並定期發布和更新投資者演示文稿和類似材料。另請注意，正在記錄此事件。

Participants on this morning's call include David Finkelstein, President and Chief Executive Officer; Serena Wolfe, Chief Financial Officer; Ilker Ertas, Chief Investment Officer; Ken Adler, Head of Mortgage Servicing Rights; and Mike Fania, Head of Residential Credit.

今天上午電話會議的參與者包括總裁兼首席執行官大衛芬克爾斯坦； Serena Wolfe，首席財務官； Ilker Ertas，首席投資官；抵押服務權利負責人肯·阿德勒（Ken Adler）；和住宅信貸主管 Mike Fania。

And with that, I'll turn the call over to David.

有了這個，我會把電話轉給大衛。

Thank you, Sean. Good morning and thank you all for joining us on our third quarter earnings call. Today, I'll provide an update on the macroeconomic landscape, our financial results this quarter and our positioning heading into year-end. Ilker and Serena will then discuss our portfolio activity and financial performance.

謝謝你，肖恩。早上好，感謝大家加入我們的第三季度財報電話會議。今天，我將介紹宏觀經濟形勢、我們本季度的財務業績以及我們在年底前的定位。隨後，Ilker 和 Serena 將討論我們的投資組合活動和財務業績。

Now beginning with the macro backdrop in what continues to be a historically challenging year, the third quarter brought about a further sell-off in the bond market, and mortgage spreads widened to crisis era levels. Persistently high inflation readings, rapid and sustained Federal Reserve rate hikes, tightening financial conditions, elevated volatility, geopolitical turmoil and rising financial stability risks have weighed heavily on markets.

現在從宏觀背景開始，在這仍然是具有歷史挑戰性的一年中，第三季度導致債券市場進一步拋售，抵押貸款利差擴大到危機時期的水平。持續高通脹、美聯儲快速和持續加息、金融環境收緊、波動加劇、地緣政治動盪和金融穩定風險上升，都給市場帶來了沉重壓力。

Now to put this in historical perspective, the total return for the Bloomberg US Aggregate Bond Market Index was negative 14.6% in the first 3 quarters of 2022, far worse than the negative 2.9% in 1994, the previous worst year in the history of the index. In light of the continuation of this difficult environment, Annaly experienced a negative economic return of 11.7% for the quarter.

現在從歷史的角度來看，彭博美國綜合債券市場指數的總回報在 2022 年前三個季度為負 14.6%，遠低於 1994 年的負 2.9%，這是歷史上最糟糕的一年。指數。鑑於這種困難環境的持續，Annaly 本季度的經濟負回報率為 11.7%。

The Federal Reserve has signaled that it is determined to continue tightening monetary policy until inflation approaches its target, a commitment that has been echoed by virtually all Fed speakers since Chair Powell's Jackson Hole speech at the end of August. This has caused a meaningful repricing of the rate path, with markets currently expecting the hiking cycle to end at a Fed funds rate of nearly 5% compared to expectations of just 3.5% at the end of June. This led to a sharp selloff in interest rates and exceptionally high levels of volatility.

美聯儲已表示決心繼續收緊貨幣政策，直到通脹接近其目標，自鮑威爾主席在 8 月底傑克遜霍爾發表講話以來，幾乎所有美聯儲發言人都讚同這一承諾。這導致利率路徑發生有意義的重新定價，市場目前預計加息週期將以接近 5% 的聯邦基金利率結束，而 6 月底的預期僅為 3.5%。這導致利率大幅拋售和異常高的波動性。

A consequence of volatility has been extremely weak investor demand for fixed income products, particularly for Agency MBS. In fact, the third quarter represents only the third time in the past 10 years in which banks and mutual funds to critical private sector holders of mortgage securities and loans have reduced their Agency MBS holdings simultaneously.

波動的後果是投資者對固定收益產品的需求極其疲軟，特別是對機構 MBS 的需求。事實上，第三季度僅是過去 10 年中銀行和共同基金第三次同時減少其機構 MBS 持有量。

In light of the sharp selloff in rates and widening in MBS spreads, the Freddie Mac primary mortgage rate rose to 6.94% as of last Thursday, more than doubling in 2022 and contributing to the abrupt slowdown in housing market activity.

鑑於利率大幅拋售和 MBS 利差擴大，截至上週四，房地美主要抵押貸款利率升至 6.94%，在 2022 年翻了一番多，並導致房地產市場活動突然放緩。

Home price appreciation very likely peaked for the cycle and has begun to reverse course in many parts of the country. Given the mortgage affordability shock from high home prices and rapidly rising rates, we now expect the housing market to correct, potentially erasing the entire appreciation seen this year by early to mid-2023.

房價升值很可能在這個週期內達到頂峰，並且在該國許多地區已經開始逆轉。鑑於高房價和快速上漲的利率對抵押貸款負擔能力的衝擊，我們現在預計房地產市場將會糾正，到 2023 年初至年中可能會抹去今年的全部升值。

Now although prices could fall meaningfully from their recent highs, homeowners have built up substantial equity cushions. Lending standards have been conservative. And given low rates on existing mortgages, homeowners are unlikely to default unless labor markets weakened considerably from here.

現在，儘管價格可能會從最近的高點大幅下跌，但房主已經建立了大量的資產緩衝。貸款標準一直很保守。鑑於現有抵押貸款的低利率，除非勞動力市場從這裡開始大幅減弱，否則房主不太可能違約。

And despite volatility in interest rate and mortgage markets, funding conditions continue to be healthy as Agency MBS repo, Residential Credit and MSR facilities remain readily available. Our financing rates have risen certainly but are commensurate with other benchmark short-term interest rates. And while high volatility could drive an increase in repo haircuts, we have seen limited evidence of this thus far.

儘管利率和抵押貸款市場出現波動，但由於機構 MBS 回購、住宅信貸和 MSR 設施仍然隨時可用，融資條件繼續保持健康。我們的融資利率確實上升了，但與其他基準短期利率相當。雖然高波動性可能會推動回購減價的增加，但到目前為止，我們看到的證據有限。

The favorable financing conditions are driven by the high balances of investor cash and short-term interest rate products, best seen by the elevated bank reserve balances and reverse repo participation at the Federal Reserve. And notwithstanding Fed portfolio runoff reaching its steady-state run rate of up to $95 billion per month, financing conditions should maintain support as cash remains ample.

有利的融資條件是由投資者現金和短期利率產品的高餘額推動的，銀行準備金餘額的增加和美聯儲的逆回購參與最為明顯。儘管美聯儲的投資組合徑流達到每月高達 950 億美元的穩定運行率，但由於現金仍然充足，融資條件應該會保持支撐。

Now shifting to our portfolio. Our focus is on prudently managing our liquidity, leverage and risk profile in the current environment. We continue to position ourselves defensively given sustained volatility and have strong liquidity with more than $6 billion in unencumbered assets, including $4.3 billion in cash and Agency MBS, which represents over 50% of our common equity as of quarter end.

現在轉移到我們的投資組合。我們的重點是在當前環境下謹慎管理我們的流動性、槓桿和風險狀況。鑑於持續的波動性，我們繼續將自己定位於防禦性，並擁有超過 60 億美元的未支配資產，包括 43 億美元的現金和機構 MBS，這占我們截至季度末普通股的 50% 以上。

During the quarter, we maintained our economic leverage at 6.5 turns until mid-September when the sharp market selloff over the last 2 weeks of the quarter brought our leverage up roughly half a turn to end the quarter at 7.1 turns. While we're comfortable with our current portfolio positioning, we expect our leverage to trend modestly lower over the longer term, reflective of our target capital allocation.

在本季度，我們將經濟槓桿率維持在 6.5 週，直到 9 月中旬，當本季度最後兩週的市場大幅拋售使我們的槓桿率上升了大約半週，本季度末達到 7.1 週。雖然我們對目前的投資組合定位感到滿意，但我們預計我們的槓桿率在長期內將呈溫和下降趨勢，這反映了我們的目標資本配置。

With respect to portfolio mix, we modestly grew each of the 3 strategies with our total assets increasing to $86.2 billion as we selectively deployed capital from common equity issuance on the quarter. While the majority of new capital was committed to Agency, our capital allocation in the sector decreased 4 percentage points to 67% as the Agency portfolio absorbed the vast majority of the increase in leverage to end the quarter.

在投資組合方面，我們適度增長了 3 種策略中的每一種，總資產增加到 862 億美元，因為我們在本季度選擇性地從普通股發行中部署了資本。雖然大部分新資本都用於代理，但我們在該行業的資本配置下降了 4 個百分點至 67%，因為代理投資組合吸收了本季度末槓桿率增加的絕大部分。

Turning to Residential Credit. In light of deteriorating housing market fundamentals, portfolio growth was focused on opportunistic additions of securities that are less susceptible to home price declines. Though we believe our whole loan portfolio is well positioned to withstand further weakness in the housing sector, we have tightened our already stringent credit standards, and we expect this pace of securitizations to moderate in the near term. Nevertheless, we remain the largest nonbank issuer of prime jumbo and expanded credit MBS this quarter. This has largely been a result of our whole loan correspondent channel, which recently achieved over $2 billion in aggregated loans since inception in April 2021.

轉向住宅信貸。鑑於房地產市場基本面惡化，投資組合增長集中於機會性增加不易受房價下跌影響的證券。儘管我們相信我們的整個貸款組合能夠很好地抵禦房地產行業的進一步疲軟，但我們已經收緊了我們已經嚴格的信貸標準，我們預計這種證券化的步伐在短期內會放緩。儘管如此，我們仍然是本季度最大的大型非銀行發行人和擴大信貸 MBS。這在很大程度上是我們整個貸款代理渠道的結果，自 2021 年 4 月成立以來，該渠道最近獲得了超過 20 億美元的總貸款。

Now with respect to our mortgage servicing rights business, we have now fully scaled our platform, having more than tripled our portfolio size year-over-year. The MSR portfolio benefits from stable cash flows in the low prepayment environment and helps to hedge the risks of a further slowdown in housing activity. Although we were the second largest purchaser of MSR in 2022 as of the end of the quarter, we expect to be measured with respect to future growth considering the sector's relative attractiveness in our risk parameters.

現在，關於我們的抵押服務權業務，我們現在已經全面擴展了我們的平台，我們的投資組合規模同比增長了兩倍多。 MSR 投資組合受益於低預付款環境下的穩定現金流，並有助於對沖住房活動進一步放緩的風險。儘管截至本季度末，我們是 2022 年 MSR 的第二大買家，但考慮到該行業在我們的風險參數中的相對吸引力，我們預計將根據未來增長來衡量。

Now, overall, we anticipate market challenges will persist over the near term and we'll maintain our defensive posture until volatility subsides. While spreads across our investment strategies are historically attractive, again, we're focused on preserving liquidity and optionality against additional market turbulence. And when the outlook improves, we're well positioned to take advantage of opportunities across our 3 businesses.

現在，總體而言，我們預計市場挑戰將在短期內持續存在，我們將保持防禦態勢，直到波動性消退。雖然我們投資策略的利差在歷史上具有吸引力，但我們再次專注於保持流動性和選擇性，以應對額外的市場動盪。當前景好轉時，我們可以很好地利用我們 3 項業務的機會。

Now, lastly, before handing it off to Ilker, I wanted to take a moment to provide some perspective on where we sit today. We understand that 2022 has been an immensely challenging period in financial markets. We recently marked 25 years as a public company, and I was reminded of Annaly's resilience throughout numerous volatile market events such as long-term capital in 1998, the 2008 financial crisis, the taper tantrum and, most recently, the financial market dislocation at the onset of COVID. Annaly has proven our ability to successfully navigate through these episodes and market turbulence, and we are confident that our business model will emerge from this current period stronger than ever.

現在，最後，在將它交給 Ilker 之前，我想花點時間就我們今天所處的位置提供一些觀點。我們知道，2022 年是金融市場極具挑戰性的時期。我們最近慶祝了上市公司 25 週年，我想起 Annaly 在眾多動蕩的市場事件中的韌性，例如 1998 年的長期資本、2008 年的金融危機、縮減恐慌以及最近的金融市場錯位COVID的發作。 Annaly 已經證明了我們成功度過這些事件和市場動蕩的能力，我們相信我們的商業模式將比以往任何時候都更強大。

Now with that, Ilker will provide a more detailed overview of our portfolio activity for the quarter and outlook for each business.

現在，Ilker 將更詳細地概述我們本季度的投資組合活動以及每項業務的前景。

Thank you, David. As you discussed, after a brief respite in the first half of the quarter, interest rate volatility resumed its march higher, risk sentiment turned negative, and Agency MBS sharply underperformed interest rate hedges, with spreads widening 25 to 30 basis points. Meanwhile, non-Agency spreads also saw considerable volatility throughout the quarter but ended Q3 roughly unchanged, and MSR valuations remained relatively stable.

謝謝你，大衛。正如您所討論的，在本季度上半段短暫的喘息之後，利率波動重新開始走高，風險情緒轉為負面，機構 MBS 的表現大幅落後於利率對沖，利差擴大了 25 至 30 個基點。與此同時，非機構價差在整個季度也出現了相當大的波動，但在第三季度末大致保持不變，MSR 估值保持相對穩定。

Starting with Agency portfolio activity. Our holdings grew by roughly $3 billion in market value as we patiently deployed the equity raise during the quarter, purchasing meaningfully fewer assets than implied by constant leverage on new capital. We continued to rotate the portfolio up in coupon, significantly reducing our holdings of 3s and below while adding to our positions in 4.5s and 5s, which benefit from lower sensitivity to spread movements and better carrier.

從代理投資組合活動開始。由於我們在本季度耐心地部署了股權融資，我們的持股市值增長了大約 30 億美元，購買的資產明顯少於新資本的持續槓桿所暗示的資產。我們繼續上調息票組合，大幅減持 3s 及以下，同時增持 4.5s 和 5s，這得益於對價差變動的敏感性較低和更好的承運人。

Our purchases were predominantly in pools, and we reduced our TBA holdings by $3.5 billion. During the quarter, specified pools outperformed TBA as investors gravitated toward a better combination of specified collateral given the elevated volatility. Additionally, with TBA rose softening, pools provide incremental (inaudible) across nearly all coupons.

我們的購買主要是在池中，我們將 TBA 持股量減少了 35 億美元。在本季度，由於波動性上升，投資者傾向於更好地組合指定抵押品，因此指定池的表現優於 TBA。此外，隨著 TBA 玫瑰軟化，池提供幾乎所有優惠券的增量（聽不清）。

Lastly, with the mortgage universe firmly out of the money from a refi perspective, seasoned cash flows are in strong demand. The embedded HPA should provide extension protection, benefiting our portfolio which is, on average, over 3-year season.

最後，從 refi 的角度來看，抵押貸款領域已經完全沒有資金了，對經驗豐富的現金流的需求強勁。嵌入式 HPA 應提供擴展保護，使我們的產品組合受益，平均而言，超過 3 年的季節。

In terms of prepays, our portfolio paid 9.8% CPR in Q3, a slowdown from 14.9% CPR in the prior quarter, primarily driven by higher rates. We expect a slow prepaid environment to persist over the near term as seasonal turnover declines and cash-out refinances diminish due to elevated rates and declining HPAs.

在預付款方面，我們的投資組合在第三季度支付了 9.8% 的 CPR，低於上一季度 14.9% 的 CPR，主要受利率上漲的推動。我們預計，由於利率上升和 HPA 下降導致季節性營業額下降和現金再融資減少，因此預付環境將在短期內持續緩慢。

In our hedge portfolio, we maintained a defensive posture consistent with prior quarters. We added over $5.5 billion notional of primarily longer-dated swaps to match the expansion of our assets as rates continue to rise. Additionally, we added over $7 billion in treasury futures hedges at the front end of the curve to maintain protection as our short-term maturity swaps rolled down.

在我們的對沖投資組合中，我們保持與前幾個季度一致的防禦態勢。隨著利率繼續上升，我們增加了超過 55 億美元的名義上的長期掉期，以配合我們的資產擴張。此外，我們在曲線前端增加了超過 70 億美元的國債期貨對沖，以在我們的短期到期掉期下降時保持保護。

Turning to our Residential Credit business. The economic market value of the resi portfolio ended Q3 at $5.1 billion, a modest increase over Q2. As David briefly touched on, portfolio growth was largely driven by the increase in our NPL/RPL structured securities positions, an area of the market that has very high credit enhancement and is collateralized by loans from seasoned borrowers with significant equity who are less exposed to negative HPAs.

轉向我們的住宅信貸業務。 Resi 投資組合的經濟市值在第三季度結束時為 51 億美元，比第二季度略有增長。正如大衛簡要提到的那樣，投資組合的增長主要是由我們的 NPL/RPL 結構性證券頭寸的增加推動的，這是一個信用增強程度非常高的市場領域，並由經驗豐富的借款人提供的貸款作抵押，這些借款人擁有大量股權，這些借款人的風險敞口較小。負 HPA。

In residential whole loans, we settled $900 million of expanded credit loans in Q3 and sponsored 3 securitizations, generating $120 million market value of retained OBX bonds. We expect future whole loan purchases to moderate given increasing borrower rates and seasonal factors, which will likely reduce housing market transactions.

在住宅整體貸款方面，我們在第三季度結清了 9 億美元的擴大信用貸款，並贊助了 3 次證券化，產生了 1.2 億美元的留存 OBX 債券市值。鑑於借款人利率上升和季節性因素，我們預計未來整體貸款購買將放緩，這可能會減少房地產市場交易。

With respect to our MSR business, we continue to grow our MSR holdings with the purchase of one bulk package representing roughly $150 million in market value. In light of the fragility of the housing market, it's important to note that our portfolio consists of very high credit quality, 760 FICO, 68% LTV, sub-3% coupon collateral, which has benefited from steady rising interest rates this year. Our MSR portfolio paid 4.3 CPR in the third quarter, providing very attractive and stable cash flows while serving as a hedge to slow turnover speeds in the deep discount MBS universe. Year-to-date, through the third quarter, we have grown our MSR portfolio by over $1.2 billion in market value to nearly $1.9 billion.

關於我們的 MSR 業務，我們通過購買一個市值約 1.5 億美元的散裝包裹繼續增加我們的 MSR 持股量。鑑於房地產市場的脆弱性，值得注意的是，我們的投資組合包括非常高的信用質量、760 FICO、68% 的 LTV、低於 3% 的息票抵押品，這得益於今年利率的穩步上升。我們的 MSR 投資組合在第三季度支付了 4.3 CPR，提供了非常有吸引力和穩定的現金流，同時在大幅折扣 MBS 領域中對沖緩慢的周轉速度。年初至今，截至第三季度，我們的 MSR 產品組合的市值已增長超過 12 億美元，達到近 19 億美元。

As the market stands today, spreads across our investable asset classes look very attractive from a historical perspective. However, to reiterate David's point, our focus in this period of elevated uncertainty will be to preserve liquidity. In MSR market, we anticipate that originators will continue to monetize MSR given pressure on margins and cash requirements. We will be patient to further grow our portfolio given expectations for ongoing supply while cognizant that MSR have been more resilient to the cheapening experience in other sectors.

就今天的市場而言，從歷史角度來看，我們可投資資產類別的利差看起來非常有吸引力。然而，重申大衛的觀點，在這個不確定性升高的時期，我們的重點將是保持流動性。在 MSR 市場，鑑於利潤率和現金需求的壓力，我們預計發起人將繼續通過 MSR 貨幣化。鑑於對持續供應的預期，我們將耐心地進一步擴大我們的投資組合，同時認識到 MSR 對其他行業的廉價經歷更具彈性。

In Residential Credit, we will be patient about adding further exposure given the decelerating housing market. In Agency MBS, the widening experience year-to-date has been particularly acute. Nominal spreads on production coupon mortgages are in excess of 150 basis points and auction adjusted spreads are over 50 basis points. As mentioned, these are levels not seen since prior crisis episodes such as COVID and the 2008 financial crisis.

在住宅信貸方面，鑑於房地產市場減速，我們將耐心地增加進一步的風險敞口。在機構 MBS 中，今年迄今為止不斷擴大的經驗尤為突出。生產息票抵押的名義利差超過 150 個基點，拍賣調整後的利差超過 50 個基點。如前所述，這些是自之前的危機事件（例如 COVID 和 2008 年金融危機）以來從未見過的水平。

However, the differences with those periods versus today are: first, repo financing remains widely available; second, comparable assets such as corporate credit are meaningfully tighter; and third, the backdrop for Agency MBS is more attractive. With mortgage universe way below par, asset convexity is much better. And with higher rates slowing housing activity, supply should contract materially.

然而，這些時期與今天的不同之處在於：首先，回購融資仍然廣泛可用；其次，企業信貸等可比資產明顯收緊；第三，代理MBS的背景更有吸引力。在抵押貸款領域遠低於面值的情況下，資產凸性要好得多。隨著更高的利率減緩了房地產活動，供應應該會大幅收縮。

Lastly, the possibility of a broader economic slowdown has increased, and Agency MBS has historically outperformed comparable fixed income products during recessionary periods.

最後，更廣泛的經濟放緩的可能性增加了，機構 MBS 在經濟衰退期間的歷史表現優於可比固定收益產品。

Our outlook is optimistic for each of our 3 businesses over the medium term, but we will remain patient to grow the portfolio until we see evidence of volatility subsiding.

我們對 3 項業務的中期前景持樂觀態度，但在看到波動性消退的證據之前，我們將保持耐心以擴大投資組合。

With that, I will hand it over to Serena to discuss the financials.

有了這個，我將把它交給 Serena 來討論財務狀況。

Thank you, Ilker. Today, I will provide brief financial highlights for the quarter ended September 30, 2022, and discuss select quarter-to-date metrics.

謝謝你，伊爾克。今天，我將簡要介紹截至 2022 年 9 月 30 日的季度的財務亮點，並討論精選的季度至今指標。

Consistent with prior quarters, while our earnings release discloses GAAP and non-GAAP earnings metrics, my comments will focus on our non-GAAP EAD and related key performance metrics, which exclude PAA. Additionally, our per share metrics are adjusted for our 1-for-4 reverse stock split effective in September 2022.

與前幾個季度一致，雖然我們的收益發布披露了 GAAP 和非 GAAP 收益指標，但我的評論將集中在我們的非 GAAP EAD 和相關關鍵績效指標上，不包括 PAA。此外，我們的每股指標已針對 2022 年 9 月生效的 1 比 4 反向股票分割進行了調整。

Our book value per share was $19.94 for Q3, which decreased by $3.65 per share for the quarter, primarily due to higher rates, spread widening and the continued declining valuations on our Agency portfolio, along with lower credit valuations, albeit more modest declines in comparison to the Agency book.

我們第三季度的每股賬面價值為 19.94 美元，本季度每股減少了 3.65 美元，這主要是由於利率上升、利差擴大以及我們的代理投資組合估值持續下降，以及信貸估值較低，儘管相比之下下降幅度較小到機構的書。

Our swap in futures positions supported book value, providing a partial offset to the Agency declines mentioned above, contributing $6.93 per share to the book value during the quarter, and our MSR position added $0.09.

我們的期貨頭寸掉期支持賬面價值，部分抵消了上述機構的下跌，在本季度為賬面價值貢獻了每股 6.93 美元，我們的 MSR 頭寸增加了 0.09 美元。

As noted in our Q2 earnings call, while our futures book does not offset higher repo rates in EAD, the derivatives are fully reflected in economic returns. And in Q3, they serve their function, with futures alone having contributed 60% of the hedge benefit to our book value.

正如我們在第二季度財報電話會議中所指出的，雖然我們的期貨賬簿並未抵消 EAD 中較高的回購利率，但衍生品完全反映在經濟回報中。在第三季度，它們發揮了作用，僅期貨就為我們的賬面價值貢獻了 60% 的對沖收益。

After combining our book value performance with our third quarter dividend of $0.88, our quarterly economic return was negative 11.7%. We generated earnings available for distribution of $1.06 per share. EAD continued to outpace our dividend, though we experienced the beginning of the moderation in EAD that we have discussed on our recent earnings calls, with EAD per share reduced by $0.16 compared to last quarter. The lower EAD for the quarter is primarily related to the continued rise in repo rates, causing repo expense to more than triple during the quarter as well as lower expected TBA dollar roll income, which declined by approximately $0.17. EAD did benefit from our improved swap net interest benefit on higher received rates of $0.33 per share, reduced premium amortization ex PAA on lower CPRs of $0.13 and continued growth in MSR-related income, increasing by $0.06 per share compared to Q2.

將我們的賬面價值表現與 0.88 美元的第三季度股息相結合後，我們的季度經濟回報率為負 11.7%。我們產生了每股 1.06 美元的可分配收益。 EAD 繼續超過我們的股息，儘管我們經歷了我們在最近的財報電話會議上討論過的 EAD 開始放緩，與上一季度相比，每股 EAD 減少了 0.16 美元。本季度較低的 EAD 主要與回購利率的持續上升有關，導致本季度回購費用增加兩倍以上，以及預期的 TBA 美元展期收入下降約 0.17 美元。 EAD 確實受益於我們提高了每股 0.33 美元的收到利率帶來的掉期淨利息收益，降低了 0.13 美元的 CPR 和 MSR 相關收入的持續增長，減少了除 PAA 外的保費攤銷，與第二季度相比，每股增加了 0.06 美元。

Given the challenges David and Ilker referenced in the current environment and the impact on EAD of the composition of our hedging portfolio noted above, all things equal, we currently expect Q4 earnings to be roughly in line with the third quarter dividend.

鑑於 David 和 Ilker 在當前環境中提到的挑戰以及上述對沖投資組合構成對 EAD 的影響，在所有條件相同的情況下，我們目前預計第四季度收益將與第三季度股息大致一致。

Average yields ex PAA were 37 basis points higher than the prior quarter at 3.24% due to lower CPRs and a meaningful decline in amortization. Additionally, the portfolio generated 198 basis points of NIM ex PAA, down 22 basis points from Q2 driven by the reduced TBA dollar roll income and higher repo rates. Net interest spread does not include dollar roll income. Therefore, the decrease was more muted, down 6 basis points at 1.70% compared to Q2.

由於 CPR 降低和攤銷顯著下降，除 PAA 外的平均收益率比上一季度高出 37 個基點，為 3.24%。此外，由於 TBA 美元展期收入減少和回購利率上升，該投資組合產生了 198 個基點的 NIM ex PAA，比第二季度下降了 22 個基點。淨息差不包括美元展期收入。因此，下降幅度較小，與第二季度相比下降了 6 個基點至 1.70%。

Now turning to our financing. David provided color on our views of the robustness of the funding markets. However, we continue to see uncertainty about the pace of future rate hikes, with multiple liquidity within the repo market continuing to trade to Fed dates or shorter. Because of this uncertainty, bilateral repo markets continue to price term markets more cautiously, resulting in wider term premiums.

現在轉向我們的融資。大衛為我們對融資市場穩健性的看法提供了色彩。然而，我們繼續看到未來加息步伐的不確定性，回購市場內的多種流動性繼續交易至美聯儲日期或更短。由於這種不確定性，雙邊回購市場繼續對期限市場定價更加謹慎，從而導致期限溢價擴大。

Access to term markets remain intact. However, we do not expect a meaningful shift in our positioning until we feel the Fed has reached the end of its hiking cycle. As a result, as we messaged in prior quarters, we continue to maintain a shorter dated book over the near term versus prior years. The quarter-over-quarter, weighted average repo maturity was up 10 days compared to Q2 at 57 days.

進入期限市場的機會保持不變。然而，在我們認為美聯儲已經結束其加息週期之前，我們預計我們的頭寸不會發生有意義的轉變。因此，正如我們在前幾個季度所傳達的那樣，與往年相比，我們在短期內繼續保持較短的賬期。與第二季度的 57 天相比，加權平均回購期限環比增加了 10 天。

Turning to our Residential Credit financing strategy. Our discipline in accessing the securitization market throughout the year has kept our net exposure to our unsecuritized whole loan book appropriately sized, with only $805 million on the balance sheet to end the quarter. 92% of our gas consolidated whole loan portfolio is term-funded through our residential securitization, with a weighted average financing rate of 3.05%, approximately 450 basis points below the current non-QM cost of funds.

轉向我們的住宅信貸融資策略。我們全年進入證券化市場的紀律使我們對非證券化整個貸款賬簿的淨敞口保持在適當的規模，截至本季度末資產負債表上只有 8.05 億美元。我們天然氣綜合貸款組合的 92% 是通過我們的住宅證券化定期融資的，加權平均融資率為 3.05%，比當前的非 QM 資金成本低約 450 個基點。

As the securitization market slowed in October and the cost of funds to access the securitization market has steadily risen, we remain well positioned with significant warehouse capacity, approximately $1.4 billion, across multiple partners with staggered renewal dates. Given our favorable positioning, we will continue to monitor the securitization market and are prepared to be opportunistic.

隨著 10 月份證券化市場放緩以及進入證券化市場的資金成本穩步上升，我們仍然處於有利地位，擁有約 14 億美元的大量倉庫容量，多個合作夥伴的續約日期錯開。鑑於我們的有利定位，我們將繼續關注證券化市場，並準備好投機取巧。

Shifting to MSR financing. We drew on our MSR warehouse facility during the quarter for $250 million, and after quarter end, executed the accordion for a total facility of $500 million. To reiterate our message from last quarter, we put this facility in place primarily for liquidity purposes and expect to maintain lower leverage on this business.

轉向 MSR 融資。我們在本季度以 2.5 億美元的價格使用了我們的 MSR 倉庫設施，在季度結束後，我們以 5 億美元的總費用執行了手風琴。為了重申我們上個季度的信息，我們主要出於流動性目的而設立該設施，並希望保持對該業務的較低杠桿率。

Overall, the upward trend in interest rates impacted our total cost of funds for the quarter, rising by 44 basis points to 154 basis points in Q3. Meanwhile, our average repo rate for the quarter was 225 basis points compared to 81 basis points in the prior quarter. Our activity in the securitization market also impacted funding costs, increasing the weighting of securitizations on the composition of cost of funds, along with higher effective rates previously referenced above of 3.05% compared to 2.73%, resulting in an increase of 5 basis points to cost of funds.

總體而言，利率上升趨勢影響了我們本季度的總資金成本，在第三季度上升了 44 個基點至 154 個基點。與此同時，我們本季度的平均回購利率為 225 個基點，而上一季度為 81 個基點。我們在證券化市場的活動也影響了融資成本，增加了證券化在資金成本構成中的權重，加上之前提到的有效利率從 2.73% 提高到 3.05%，導致成本增加 5 個基點的資金。

Finally, swaps positively impacted cost of funds during the quarter, as previously mentioned, by 85 basis points, more than twice the benefit in comparison to Q2.

最後，如前所述，掉期對本季度的資金成本產生了積極影響，增加了 85 個基點，是第二季度收益的兩倍多。

Lastly, as David mentioned earlier, Annaly maintained an abundant liquidity profile with $6.1 billion of unencumbered assets, down modestly from the prior quarter at $6.3 billion. Much of the reduction in unencumbered assets was due to the pledging of a portion of our MSR to the previously mentioned warehouse facility and higher leverage levels on Agency MBS.

最後，正如大衛之前提到的，Annaly 保持著充裕的流動性，擁有 61 億美元的未支配資產，比上一季度的 63 億美元略有下降。未支配資產的大部分減少是由於我們將 MSR 的一部分抵押給了前面提到的倉庫設施以及機構 MBS 的更高槓桿水平。

With that, we will turn it over to questions, operator.

有了這個，我們將把它交給問題，操作員。

(Operator Instructions) And our first question will come from Bose George of KBW.

（操作員說明）我們的第一個問題將來自 KBW 的 Bose George。

Can I start just asking about mark-to-market book value so far this quarter?

我可以開始詢問本季度到目前為止的市價賬面價值嗎？

Sure, Bose. So obviously, the turbulence continued into October, notwithstanding the fact that we did pick up a few percentage points this week. But nonetheless, as of last night, book was off 6% to 7% at roughly 18.60%

當然，博斯。很明顯，動盪一直持續到 10 月，儘管本週我們確實回升了幾個百分點。但儘管如此，截至昨晚，書價下跌 6% 至 7%，約為 18.60%

Okay. Great. And then your current dividend implies a net ROE of around, I guess, 17.5-ish. And is that an attainable economic return on your portfolio?

好的。偉大的。然後，您當前的股息意味著淨 ROE 約為 17.5 左右。這對你的投資組合來說是可實現的經濟回報嗎？

And then just in your comments, you noted that EAD next quarter will be more in line with the dividend. But when you think about the dividend, should we really be focusing more on the economic return versus the EAD just given your treasury futures?

然後就在您的評論中，您指出下個季度的 EAD 將更符合股息。但是當你考慮股息時，我們真的應該更多地關注經濟回報而不是剛剛考慮到你的國債期貨的EAD嗎？

Sure, Bose. And to your point, we discussed this with you last quarter, actually. Economic return or economic earnings is how we think about it. And just to review Serena's comments, as she mentioned, we do expect to earn the dividend this quarter. Earnings available for distribution is moderating. And also to Serena's point, swap income is becoming an increasing portion of that EAD as short rates are increasing. And futures do impact or benefit the economic income or economic return but don't flow through EAD. So there's some noneconomic factors that may bring EAD down. But nonetheless, to the point of moderation, there are real economic factors that are influencing earnings. For example, as we sit here today, leverage will likely be lower. Financing costs are going up, and some swaps are rolling off. So we do have to take those into consideration.

當然，博斯。就您而言，實際上，我們在上個季度與您討論了這個問題。經濟回報或經濟收益是我們的想法。正如她所提到的，只是為了回顧 Serena 的評論，我們確實希望在本季度獲得股息。可供分配的收益正在放緩。同樣在 Serena 的觀點中，隨著短期利率的增加，掉期收入正在成為 EAD 中越來越大的一部分。期貨確實會影響或受益於經濟收入或經濟回報，但不會流經 EAD。所以有一些非經濟因素可能會降低EAD。但儘管如此，在適度的程度上，有一些實際的經濟因素正在影響收益。例如，當我們今天坐在這裡時，槓桿率可能會更低。融資成本正在上升，一些掉期正在滾動。所以我們必須考慮到這些。

And with respect to the actual earnings yield, as you mentioned, we're right around 18% on quarter end book. It's above the peer set as it has been really since the onset of COVID, and it's above where we've been historically. And we'll obviously take a look at that as the market evolves and make a determination as to what the appropriate yield should be. And as we've said consistently, we expect to maintain a competitive yield with the peer set but also sustainable and in line with our historical average payout ratio.

正如你所提到的，就實際收益而言，我們在季度末的賬面上約為 18%。它高於自 COVID 爆發以來的同行集，也高於我們歷史上的水平。隨著市場的發展，我們顯然會考慮這一點，並確定適當的收益率應該是多少。正如我們一直所說的那樣，我們希望與同行保持有競爭力的收益率，但也是可持續的，並符合我們的歷史平均派息率。

So to give you a summary, we feel good about Q4. We'll see how rates evolve over the next number of months and always look at the dividend in conjunction with our Board and come up with the appropriate payout ratio.

所以給你一個總結，我們對第四季度感覺很好。我們將看到利率在接下來的幾個月中如何演變，並始終與我們的董事會一起查看股息，並提出適當的派息率。

The next question comes from Doug Harter of Credit Suisse.

下一個問題來自瑞士信貸的 Doug Harter。

Can you talk about how you're thinking about leverage, balancing kind of near-term volatility versus kind of the wide level of spreads and kind of what you might be looking for in order to either take up or take down leverage from here?

您能否談談您如何看待槓桿、平衡近期波動與廣泛的點差以及您可能正在尋找的東西，以便從這裡增加或減少槓桿？

Sure. So we did take down leverage somewhat modestly as we started the quarter. Where we sit today is around 6.75 turns, and we feel good about it. Agency MBS as well as other sectors we invest in is historically cheap, but also volatility is historically high. And the technical factors associated with Agency specifically in terms of Fed runoff and where flows are coming from have also been somewhat negative.

當然。因此，我們在本季度開始時確實適度降低了槓桿率。我們今天坐的位置大約是 6.75 圈，我們對此感覺良好。機構 MBS 以及我們投資的其他行業在歷史上都很便宜，但波動性也處於歷史高位。與機構相關的技術因素，特別是美聯儲徑流和流量來源方面也有些負面。

So what we're looking for in terms of how we're managing the portfolio is a decline in volatility and money to flow into fixed income, and particularly Agency MBS. So we're comfortable with the current leverage level currently. It is elevated to where we've been. But at the end of the day, assets are cheap, and we do expect there to be a decline in volatility. And with spreads at historically wide levels, we're certainly comfortable with where we're at now.

因此，就我們如何管理投資組合而言，我們正在尋找的是波動性的下降和流入固定收益的資金，尤其是代理 MBS。因此，我們對目前的槓桿水平感到滿意。它被提升到我們曾經去過的地方。但歸根結底，資產價格低廉，我們確實預計波動性會下降。由於價差處於歷史最高水平，我們當然對目前的狀況感到滿意。

I guess in that construct, with -- knowing that there is volatility, I mean, why not kind of lean into that, let leverage kind of creep higher and sort of take a longer-term view and absorb near-term volatility?

我想在那個結構中，知道存在波動性，我的意思是，為什麼不傾向於這種情況，讓槓桿率逐漸上升，從長遠來看並吸收近期波動性？

So let's talk about the last 6 weeks and what we've gone through with the market and just to frame out how we're thinking about things. And candidly, Doug, there has been virtually no good news over the past 6 weeks for fixed income investors, beginning with the Jackson Hole speech in late August where -- that was probably one of the most hawkish speeches we've seen from the Fed in quite some time. And then subsequent to that, we moved into September. We get a strong payrolls number. Then CPI ticks up from 5.9 to 6.3, again, not good news. We go into the September Fed meeting where the dot plots exceeded what the market was pricing with the 4.375 rate at the end of the -- at the end of 2022 projected as well as reinforcing that hawkish tone.

因此，讓我們談談過去 6 週以及我們在市場上所經歷的事情，並只是為了勾勒出我們對事情的看法。坦率地說，道格，過去 6 週對固定收益投資者來說幾乎沒有什麼好消息，從 8 月下旬傑克遜霍爾的演講開始——那可能是我們從美聯儲看到的最鷹派的演講之一在相當長的一段時間內。在那之後，我們進入了九月。我們得到了一個強勁的就業人數。然後 CPI 從 5.9 上升到 6.3，這又不是好消息。我們進入 9 月的美聯儲會議，點陣圖超過了市場預期的 2022 年底利率 4.375，並強化了鷹派基調。

And then we get into late September, and we have the U.K. gilt debacle, which led to 140 basis points selloff in gilts over the course of about 5 days, which is, for a very developed market like the U.K., is stunning and then the Ministry of Finance intervention. And then we move into October with September payrolls showing very strong results, 3.5% unemployment rate as well as 5% year-over-year wage gains. And then following that, September CPI at 6.6%, which is obviously -- core CPI, which is obviously quite high. And all of this explains, I think, why we had a trough to peak selloff across U.S. yields of about 120 basis points and 35 basis points wider MBS spreads. So we have to be respectful of all of that.

然後進入 9 月下旬，英國金邊債券崩盤，導致金邊債券在大約 5 天的時間裡拋售 140 個基點，這對於像英國這樣非常發達的市場來說是驚人的，然後財政部干預。然後我們進入 10 月份，9 月份的就業數據顯示出非常強勁的結果，失業率為 3.5%，工資同比增長 5%。緊隨其後的是 9 月份 CPI 為 6.6%，這顯然是核心 CPI，這顯然是相當高的。我認為，所有這些都解釋了為什麼美國國債收益率從谷底到峰值的拋售幅度約為 120 個基點，MBS 利差擴大了 35 個基點。所以我們必須尊重所有這些。

Now we're sitting here at the quarter end with $4.3 billion in cash and Agency MBS unencumbered, but we feel like we want to maintain our liquidity until we get out of this and we get some better news. We do expect things to turn. Obviously, the economy, we've seen signs of slowing but remains resilient with a strong labor market and underlying inflation, which we haven't seen turn yet. And so we need to really see a turn before we would incrementally add to our portfolio. Does that help?

現在，我們在季度末坐在這裡，擁有 43 億美元的現金和未支配的機構 MBS，但我們覺得我們希望保持我們的流動性，直到我們擺脫困境並且我們得到一些更好的消息。我們確實預計事情會好轉。顯然，我們已經看到經濟放緩的跡象，但在強勁的勞動力市場和潛在通脹下仍然具有彈性，我們還沒有看到這種轉變。因此，在我們逐步增加我們的投資組合之前，我們需要真正看到轉機。這有幫助嗎？

Very helpful.

非常有幫助。

Next question comes from Rick Shane of JPMorgan.

下一個問題來自摩根大通的 Rick Shane。

So I'm very intrigued by the hedge mix on Page 11, and I find it particularly interesting in the context of what we've seen from mortgage rates. And we've had this incredible event, which is that between December '21 and today, we basically reset the channel markers in terms of mortgage rates from a low to a high. And those extremes were the lowest and highest in more than 20 years.

所以我對第 11 頁上的對沖組合非常感興趣，我發現它在我們從抵押貸款利率中看到的背景下特別有趣。我們經歷了這個令人難以置信的事件，即從 21 年 12 月到今天，我們基本上將抵押貸款利率的渠道標記從低位重置為高位。而這些極端情況是 20 多年來最低和最高的。

You've seen your hedge ratio shift -- or your hedge composition shift fairly significantly. As we approach potentially a peak in terms of mortgage rates, how would we expect this to shift? I'm particularly concerned about the swap ratio and adding a lot of duration there in an environment where you might actually start to see speeds pick up at some point in the future.

你已經看到你的對沖比率發生了變化——或者你的對沖組合發生了相當大的變化。當我們接近抵押貸款利率可能達到的峰值時，我們預計這種情況會如何轉變？我特別關心交換比率，並在一個環境中增加很多持續時間，在這種環境中你可能會在未來某個時候真正開始看到速度回升。

Sure. So I'm assuming you're asking, are we hedging too much? Are we, like, putting, like, too many hedges, is that -- that seems to be my understanding.

當然。所以我假設你在問，我們對沖太多了嗎？我們是不是像，把，像，太多的樹籬，是 - 這似乎是我的理解。

No. I think -- yes, but I think the real question is, from our point of view, not being as sophisticated at this as you are, how do you mitigate that risk of being overhedged if rates do start to shift? And is that what we're seeing in terms of this mix shift on the hedge portfolio?

不，我認為——是的，但我認為真正的問題是，從我們的角度來看，在這方面沒有你那麼老練，如果利率確實開始轉變，你如何降低過度對沖的風險？這就是我們在對沖投資組合的這種混合轉變方面所看到的嗎？

Sure. If you look at recently the performance of mortgages, you will see a correlation with the rates. And the correlation is that as rates sell off, mortgages underperform. So we expect this short-term negative correlation to persist. This is opposite of what it used to be in the long run. Usually at risk-off days are market's rally days. But we are in an environment, which David really described like very nicely in the previous question that we are in a very different environment that risk-off environments are like market selloff environment. That explains a little bit of our high realizations, but I see your point, and we have been looking into that. And the point when we realize that correlation is turning off, we will do the appropriate actions.

當然。如果您查看最近抵押貸款的表現，您會看到與利率的相關性。相關性是，隨著利率被拋售，抵押貸款表現不佳。因此，我們預計這種短期負相關將持續存在。從長遠來看，這與過去的情況相反。通常在避險日是市場的反彈日。但是我們處於一個環境中，David 在上一個問題中很好地描述了這種環境，即我們處於一個非常不同的環境中，避險環境就像市場拋售環境。這解釋了我們的高度認識，但我明白你的意思，我們一直在研究這一點。當我們意識到相關性正在關閉時，我們將採取適當的行動。

But to reiterate, we do not take interest rate positions right now. We are trying to fully hedge. And we are cognizant that correlation is on the other side of the system. Does that help?

但重申一下，我們現在不持有利率頭寸。我們正試圖完全對沖。而且我們認識到相關性在系統的另一端。這有幫助嗎？

It does. And it's actually -- actually, it puts language around some of the things that we're seeing that struggle to -- we struggle to explain as well in terms of risk on, risk off as well.

確實如此。它實際上是——實際上，它圍繞著一些我們看到的難以解決的事情——我們也很難從風險承擔和風險轉移的角度來解釋。

Yes. It has been like this episode has been an environment where risk-off is coming with the rate selloff. So that's why it's particularly difficult for the financial players in the system that -- especially that you hear a lot on the financial news that 60-40 portfolio and all that kind of stuff. All they are really trying to describe is that this correlation break the other way around, and that's why it is very difficult.

是的。就好像這一集是一個伴隨利率拋售而來的避險環境。所以這就是為什麼系統中的金融參與者特別困難 - 特別是你在金融新聞中聽到很多 60-40 投資組合和所有類似的東西。他們真正想要描述的是，這種相關性反過來打破了，這就是為什麼它非常困難。

(Operator Instructions) And the next question comes from Trevor Cranston of JMP Securities.

（操作員說明）下一個問題來自 JMP 證券公司的 Trevor Cranston。

Question on the composition of the Agency portfolio. You guys have obviously been moving up in coupon as the current coupon has increased substantially over the course of the year. Can you talk about sort of how much liquidity and float there is, say, like above 5% coupons today? And kind of on incrementally with the current coupon where it is, right now, kind of what coupons you'd be sort of looking to move into within the Agency portfolio?

關於機構組合構成的問題。你們的優惠券顯然一直在上漲，因為目前的優惠券在一年中大幅增加。你能談談有多少流動性和浮動，比如今天超過 5% 的優惠券嗎？並且隨著當前的優惠券逐漸增加，現在，您希望在代理機構投資組合中使用什麼樣的優惠券？

Yes. That's a good point. The liquidity above 5%, which are like 5.5% and 6s are [already at 10] related. In fact, like, the movements are so fast that we have been skipping coupons. Like David and I have been doing this, like, over -- like, 25 years. We have never seen like coupons skipping like this. Production coupons skip from 2.5 to 5 like in a very, very short period of time. And now even [5 stars] [$96] price.

是的。那是個很好的觀點。 5% 以上的流動性，就像 5.5% 和 6s [已經在 10] 相關。事實上，就像，動作如此之快，以至於我們一直在跳過優惠券。就像大衛和我一樣，25 年來一直這樣做。我們從未見過像這樣跳過的優惠券。生產優惠券在非常非常短的時間內從 2.5 跳到 5。現在甚至 [5 星] [$ 96] 的價格。

There is not that much liquidity in 5.5s and above, but that's the wrong word to say. There is not that much flow in 5.5s and 6s above. So that's why like when we say up in coupon, we usually mean 5s. And we shifted most of our lower coupon exposure into 5s, and it's like $96 price. And especially with the concern that Rick was raising in the previous question, we really like that price point, $96 to $98 price point. And I think where we stand right now, that will probably be most of our focus going forward.

5.5s及以上沒有那麼多流動性，但這是錯誤的說法。 5.5s和6s以上沒有那麼多流量。所以這就是為什麼當我們在優惠券中說up時，我們通常指的是5s。我們將大部分較低的優惠券風險轉移到 5s，價格約為 96 美元。尤其是 Rick 在上一個問題中提出的擔憂，我們真的很喜歡這個價格點，96 美元到 98 美元的價格點。我認為我們現在所處的位置可能是我們未來的大部分關注點。

Yes. And Trevor, one more point about market liquidity. I think everybody has heard about some of the dislocations that have been exhibited in markets. And yes, liquidity is constrained, whether it's treasuries or Agency MBS or out the spectrum. But this is largely a function of volatility. And when volatility does subside, liquidity will certainly improve. But nonetheless, you have to be very gentle with your approach to managing fixed income portfolios in the current environment.

是的。還有特雷弗，關於市場流動性的另一點。我想每個人都聽說過市場上出現的一些錯位。是的，流動性受到限制，無論是國債還是機構 MBS 或超出範圍。但這主要是波動性的函數。當波動性確實消退時，流動性肯定會改善。但儘管如此，在當前環境下管理固定收益投資組合的方法必須非常溫和。

Yes. Okay. That makes sense. And then one question on the MSR. Obviously, valuations continued to move higher this quarter. Can you talk sort of theoretically for low coupon MSR, kind of where you view the cap in terms of valuation? And if there's a point somewhere soon where the duration of it could actually become positive.

是的。好的。那講得通。然後是關於 MSR 的一個問題。顯然，本季度估值繼續走高。你能從理論上談談低息票 MSR，你在估值方面如何看待上限？如果在某個地方很快就會有一個點，它的持續時間實際上可能會變得積極。

Yes. I'll start, and Ken can certainly add. We are certainly in the context of that cap. If you just look at the increase in valuation on the quarter, it's only 1/10 of a multiple, and we had roughly 100 basis point increase in rates across the curve. And the MSR CPR went down roughly 30%. So you're starting to see that crest here. And Ken, feel free to...

是的。我會開始，肯當然可以補充。我們當然是在這個上限的背景下。如果你只看本季度估值的增長，它只是倍數的 1/10，而且整個曲線的利率增長了大約 100 個基點。 MSR CPR 下降了大約 30%。所以你開始在這裡看到那個波峰。肯，請隨意...

And your point -- I mean, look, the cash flows are fully extended. There's only so slow the pools can pay, but the certainty of them paying slower continues as rates rise. So on an option-adjusted basis, it gets more favorable.

你的觀點——我的意思是，看，現金流已經完全擴展。游泳池可以支付的速度只有這麼慢，但隨著利率的上升，他們支付速度變慢的確定性仍在繼續。因此，在期權調整的基礎上，它變得更加有利。

The other point is when you own MSR, you manage lots of cash balances. So as rates rise, you earn the service or the owner of the MSR earns more return on those cash balances. So that negative duration, particularly in the front end of the curve, continues. So there's always going to be that negative duration.

另一點是，當您擁有 MSR 時，您會管理大量現金餘額。因此，隨著利率的上升，您獲得了服務，或者 MSR 的所有者從這些現金餘額中獲得了更多的回報。因此，負持續時間，特別是在曲線的前端，繼續存在。所以總會有負面的持續時間。

Yes. That float effectively provides more income as short rates do rise, obviously. And another point to note in terms of the construction of our MSR. We feel very good about what we own. We've achieved a lot of growth over the past year. And the overall MSR is 400 basis points out of the money, and the credit is quite good.

是的。顯然，隨著短期利率確實上升，這種浮動有效地提供了更多收入。在我們的 MSR 建設方面還有一點需要注意。我們對自己擁有的東西感覺很好。在過去的一年裡，我們取得了很大的增長。並且整體MSR出錢400個基點，信用相當不錯。

So with respect to how housing evolves, we think that asset is going to perform very well for us.

因此，關於住房如何發展，我們認為該資產對我們來說會表現得非常好。

And to add to both David and Ken, this discount MSR is, like, may not be hedging interest rate risk anymore, but it is still hedging the turnover risk in the mortgage market. And turnover risk is the biggest risk after volatility subsides in the mortgage market. We like where we stand on the discount MSR.

再加上大衛和肯，這個折扣 MSR 可能不再對沖利率風險，但它仍在對沖抵押貸款市場的周轉風險。而周轉風險是房貸市場波動平息後最大的風險。我們喜歡我們在折扣 MSR 上的立場。

This concludes our question-and-answer session. I would like to turn the conference back over to CEO, David Finkelstein, for any closing remarks.

我們的問答環節到此結束。我想把會議轉回給首席執行官大衛芬克爾斯坦，以發表任何閉幕詞。

Thank you, Andrea, and thanks, everybody, for joining us this morning. And good luck over the next number of months, and we'll talk to you soon.

謝謝你，安德里亞，謝謝大家今天早上加入我們。祝你在接下來的幾個月裡好運，我們很快就會和你談談。

The conference has now concluded. Thank you for attending today's presentation, and you may now disconnect.

會議現已結束。感謝您參加今天的演示，您現在可以斷開連接。