Annaly Capital Management Inc (NLY) 2022 Q4 法說會逐字稿

Good day, and welcome to the Annaly Capital Management Fourth Quarter 2022 Earnings Conference Call.

美好的一天，歡迎來到 Annaly Capital Management 2022 年第四季度收益電話會議。

(Operator Instructions)

（操作員說明）

Please note today's event is being recorded. I would now like to turn the conference over to Sean Kensil, Director Investor Relations. Please go ahead, sir.

請注意今天的活動正在錄製中。我現在想將會議轉交給投資者關係總監 Sean Kensil。請繼續，先生。

Good morning, and welcome to the fourth quarter 2022 Earnings Call for Annaly Capital Management. Any forward-looking statements made during today's call are subject to certain risks and uncertainties, which are outlined in the Risk Factors section in our most recent annual and quarterly SEC filings. Actual events and results may differ materially from these forward-looking statements. We encourage you to read the disclaimer in our earnings release in addition to our quarterly and annual filings. 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.

早上好，歡迎來到 Annaly Capital Management 2022 年第四季度收益電話會議。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，這些風險和不確定性在我們最近的年度和季度美國證券交易委員會文件中的風險因素部分有所概述。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文件外，我們鼓勵您閱讀我們的收益發布中的免責聲明。此外，本次電話會議的內容可能包含時效性信息，這些信息僅在發布日期時準確。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. Content referenced in today's call can be found in our fourth quarter 2022 Investor Presentation and Fourth Quarter 2022 Financial Supplement, both found under the Presentations section of our website.

在此電話會議期間，我們可能會同時介紹 GAAP 和非 GAAP 財務指標。我們的收益發布中包含了 GAAP 與非 GAAP 措施的對賬。今天電話會議中引用的內容可以在我們的 2022 年第四季度投資者介紹和 2022 年第四季度財務補充文件中找到，兩者都位於我們網站的演示部分。

Please also note this event is being recorded. Participants on this morning's call include David Finkelstein, Chief Executive Officer and Chief Investment Officer; Serena Wolfe, Chief Financial Officer; Mike Fania, Deputy Investment Officer and Head of Residential Credit; and Ken Adler, Head of Mortgage Servicing Rights. And with that, I'll turn the call over to David.

另請注意，此事件正在錄製中。今天上午電話會議的參與者包括首席執行官兼首席投資官 David Finkelstein； Serena Wolfe，首席財務官； Mike Fania，副投資官兼住宅信貸主管；和抵押貸款服務權利負責人 Ken Adler。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 fourth quarter earnings call. Today, I'll provide an update on the market and how it impacted our performance, then discuss the macro landscape, our portfolio activity this past quarter and conclude with our outlook for each business as we begin the new year. Serena will then discuss our financial performance, and we are also joined by our other business leaders to provide additional context during Q&A. Starting with the market backdrop, risk assets ended 2022 on a more constructive note, driven by improved inflation data and a moderation in the size of Federal Reserve rate hikes. Given the cumulative hikes delivered thus far, inflation and wage growth are slowing and the decline in volatility has improved investor sentiment and led to fund flows into fixed income.

謝謝你，肖恩。早上好，感謝大家參加我們的第四季度財報電話會議。今天，我將提供市場最新情況及其對我們業績的影響，然後討論宏觀形勢、我們上個季度的投資組合活動，並在我們開始新的一年時總結我們對每項業務的展望。然後，Serena 將討論我們的財務業績，我們的其他業務負責人也會加入，在問答期間提供更多背景信息。從市場背景開始，在通脹數據改善和美聯儲加息幅度放緩的推動下，風險資產以更具建設性的基調結束了 2022 年。鑑於迄今為止累計加息，通脹和工資增長正在放緩，波動性下降改善了投資者情緒，導致資金流入固定收益。

Mortgage and credit spreads tightened from the peak spreads exhibited in October with November representing the best month of excess returns in the history of the Bloomberg MBS index. The strong finish to 2022 helped drive our 8.7% economic return for the quarter and our economic leverage decreased from 7.1x to 6.3x quarter-over-quarter, attributable to a modest decline in portfolio size as well as book value appreciation.

抵押貸款和信貸利差從 10 月份的峰值利差收緊，11 月是彭博 MBS 指數歷史上超額回報最好的月份。到 2022 年的強勁表現幫助推動了我們本季度 8.7% 的經濟回報率，我們的經濟槓桿率環比從 7.1 倍下降至 6.3 倍，這歸因於投資組合規模的適度下降以及賬面價值的升值。

And turning to the macro environment. Following the 25 basis point hike last week, the Fed expects to hike a couple of more times and hold interest rates at elevated levels, subject to inflation and labor market developments. This scenario should make for a more stable environment for fixed income in 2023, with certain risks out the horizon remain. But one, the failure to result the debt ceiling has the potential to cause disruption in markets. And moreover, although inflation is cooled in recent months, these readings offer little information about the medium-term run rate of inflation once base effects dissipate, but all considered. We are optimistic, but still cautious on the outlook.

並轉向宏觀環境。繼上週加息 25 個基點後，美聯儲預計將再加息幾次並將利率維持在較高水平，具體取決於通脹和勞動力市場的發展。這種情況應該會為 2023 年的固定收益創造一個更加穩定的環境，但某些風險仍然存在。但其一，未能實現債務上限有可能導致市場混亂。此外，儘管近幾個月通脹有所降溫，但這些數據幾乎沒有提供有關基數效應消散後的中期通脹率的信息，但都已考慮在內。我們對前景持樂觀態度，但仍持謹慎態度。

With respect to the housing market, activity declined meaningfully over the course of 2022 given the upward shock in mortgage rates and the resulting reduced affordability. Existing home sales, for example, are now 1/3 lower than at the end of 2021. However, the slowdown in activity is coincided with a reduction in available inventories. According to Redfin, new home listings have decreased 28% year-over-year as borrowers opt to stay in their homes in the current higher rate environment. And as long as the labor market remains robust, we foresee few core sellers keeping inventories below historical averages. As a result, home prices have been slower to decline than initially expected with the Case-Shiller National Home Price Index falling 3.6% from its peak level in June, though this dynamic may change in the spring selling season.

在房地產市場方面，由於抵押貸款利率的上行沖擊以及由此導致的負擔能力下降，2022 年的活動顯著下降。例如，現房銷售現在比 2021 年底低 1/3。但是，活動放緩恰逢可用庫存減少。據 Redfin 稱，由於借款人選擇在當前利率較高的環境下留在家中，因此新房掛牌量同比下降 28%。只要勞動力市場保持強勁，我們預計很少有核心賣家將庫存保持在歷史平均水平以下。因此，房價下跌速度低於最初預期，Case-Shiller 全國房價指數從 6 月份的峰值下跌 3.6%，不過這種動態可能會在春季銷售旺季發生變化。

Nevertheless, we feel good about the state of the housing market as long as the labor market remains strong, consumer balance sheet and lending standards are sound and the shortage of supply supports prices, all else equal. Now shifting to our portfolio activity during the quarter. Within Agency, we continued to shift modestly up in coupons to take advantage of wider spreads and improved carry in production coupons. We grew our allocation of 4.5 and higher, which now represent over 50% of our portfolio, up from 40% last quarter. We believe historically wide nominal spreads in these coupons provide more than adequate compensation for taking on the incremental convexity exposure relative to lower coupons.

儘管如此，只要勞動力市場保持強勁，消費者資產負債表和貸款標準健全，供應短缺支撐價格，其他條件不變，我們對房地產市場的狀況感到滿意。現在轉向我們在本季度的投資組合活動。在 Agency 內部，我們繼續適度增加優惠券，以利用更廣泛的利差和改進的生產優惠券攜帶。我們增加了 4.5 及更高的配置，現在占我們投資組合的 50% 以上，高於上一季度的 40%。我們認為，這些息票歷史上較寬的名義利差為承擔相對於較低息票的增量凸性敞口提供了足夠的補償。

In addition, we reduced our exposure to TBAs as rolled specialists dissipated over the quarter, and we are likely to favor pools over TBAs going forward given their better return profile. Regarding prepayments, the mortgage universe remains firmly out of the money and even with mortgage rates trending lower towards 6%, only 1% of borrowers have an incentive to refinance, leaving our convexity risk near the lowest levels we've seen over the past 5 years.

此外，由於滾動專家在本季度消散，我們減少了對 TBA 的敞口，鑑於他們更好的回報狀況，我們可能會在未來支持池而不是 TBA。關於提前還款，抵押貸款領域仍然堅定地處於資金之外，即使抵押貸款利率趨於下降至 6%，也只有 1% 的借款人有再融資的動機，這使我們的凸性風險接近過去 5 年來的最低水平年。

Our portfolio Page 7.5 CPR in the fourth quarter, more than 30% faster than the 30-year universe and our weighted average seasoning of 42 months and our WACC roughly 1% higher than the broader Agency market positions us well for the current discount environment. Our hedge portfolio kept us well insulated as interest rates reached a multi-decade high in the fourth quarter and the notional balance of our hedges remains in excess of our liabilities as seen in our 107% hedge ratio. Within the portfolio, we rotated from treasury futures into SOFR swaps given the contraction in swap spreads. And going forward, we will remain defensively positioned on the rate front until the path of policy becomes clear, although we are encouraged by the lower rate volatility seen year-to-date.

我們的投資組合第 7.5 頁第四季度的 CPR，比 30 年宇宙快 30% 以上，我們的加權平均季節為 42 個月，我們的 WACC 比更廣泛的代理市場高約 1%，使我們在當前的折扣環境中處於有利地位。由於利率在第四季度達到數十年來的最高水平，我們的對沖投資組合使我們能夠很好地抵御風險，而且我們對沖的名義餘額仍然超過我們的負債，正如我們 107% 的對沖比率所示。在投資組合中，鑑於掉期利差收縮，我們從國債期貨轉向 SOFR 掉期。展望未來，我們將在利率方面保持防禦性立場，直到政策路徑變得清晰，儘管我們對今年迄今較低的利率波動感到鼓舞。

Now moving on to residential credit. Our portfolio ended the fourth quarter at $5.0 billion in market value, essentially unchanged quarter-over-quarter, and the strategy currently represents approximately 19% of the firm's capital. Non-Agency credit participated in the broader risk on rally with benchmark below investment grade stacker in 2s, 125 basis points tighter and AAA non-QM spreads, 20 basis points tighter. Whole loan spreads did lag the tightening of securities, however, resulting in our transactional activity being predominantly focused on residential loans where we settled $685 million in loans during the quarter.

現在轉向住宅信貸。我們的投資組合在第四季度結束時的市值為 50 億美元，與上一季度相比基本沒有變化，該策略目前約占公司資本的 19%。非機構信貸參與了更廣泛的反彈風險，基准在 2 秒內低於投資級堆垛機，收緊 125 個基點，AAA 非 QM 利差收緊 20 個基點。然而，整個貸款利差確實滯後於證券收緊，導致我們的交易活動主要集中在住宅貸款上，我們在本季度結算了 6.85 億美元的貸款。

In the current decelerating housing market, our loan business represents our preferred approach to investing in the resi credit market given our ability to control our credit strategy, our partners, the diligence process and pricing. We maintain a focus on preserving the credit quality of our portfolio with our fourth quarter whole loan acquisitions exhibiting characteristics consistent with the quality of our GAAP consolidated residential whole loan portfolio.

在當前減速的住房市場中，鑑於我們有能力控制我們的信貸策略、我們的合作夥伴、盡職調查流程和定價，我們的貸款業務代表了我們投資於 resi 信貸市場的首選方法。我們始終專注於保持我們投資組合的信用質量，我們第四季度的整體貸款收購表現出與我們的 GAAP 綜合住宅整體貸款組合質量一致的特徵。

Of note, our underlying borrowers have seen their mark-to-market LTV improved to roughly 58% on average. Our OBX securitization platform had a record year of issuance, supported by our correspondent channel, acquiring nearly $2 billion in loans during the year. And since the beginning of 2022, we closed 17 securitizations totaling $6.6 billion and generated $760 million of proprietary assets with a low to mid-double-digit return profile, utilizing minimal recourse leverage.

值得注意的是，我們的基礎借款人已經看到他們按市值計價的 LTV 平均提高到大約 58%。我們的 OBX 證券化平台在我們的通訊渠道的支持下創下了創紀錄的發行年，年內獲得了近 20 億美元的貸款。自 2022 年初以來，我們完成了 17 項證券化交易，總額達 66 億美元，並產生了 7.6 億美元的專有資產，這些資產的回報率處於中低兩位數，使用的是最低追索權槓桿。

With credit spreads tightening post quarter end and capital markets execution improving year-to-date, we expect to continue accessing the securitization market to efficiently fund our whole loan portfolio. Now to discuss MSR, as we noted during last quarter's earnings call, we were measured in our approach to further growing our holdings, resulting in unit activity in the fourth quarter. Over the course of 2022, however, we have significant growth in the strategy, increasing our portfolio by nearly 3x to $1.8 billion in market value and ending the year as the third largest buyer of bulk MSR in the market for 2022.

隨著季末後信用利差收緊以及今年迄今資本市場執行情況的改善，我們預計將繼續進入證券化市場，以有效地為我們的整個貸款組合提供資金。現在來討論 MSR，正如我們在上一季度的財報電話會議上指出的那樣，我們衡量了我們進一步增加持股的方法，從而導致第四季度的單位活動。然而，在 2022 年期間，我們的戰略取得了顯著增長，我們的投資組合的市值增加了近 3 倍，達到 18 億美元，並在年底成為 2022 年市場上散裝 MSR 的第三大買家。

We added new originator partners, expanded relationships with subservicers, and put in place new dedicated financing as an additional source of liquidity to support future growth. And our focus on very high credit quality, low loan rate MSR has proven to be valuable. The portfolio paid 3 CPR for the quarter and experienced minimal delinquencies, generating stable cash flows while providing a hedge to current dynamics in the housing market.

我們增加了新的發起人合作夥伴，擴大了與子服務商的關係，並將新的專用融資作為額外的流動性來源來支持未來的增長。我們對非常高的信貸質量、低貸款利率的 MSR 的關注已被證明是有價值的。該投資組合在本季度支付了 3 CPR，拖欠率極低，產生了穩定的現金流，同時為房地產市場的當前動態提供了對沖。

So shifting to our outlook. We are encouraged by the supportive investing environment for each of our 3 strategies, but we remain deliberate with respect to our leverage profile and capital allocation strategy considerate in the aforementioned risks to the operating environment. Within our core Agency business, we see a strong setup for the year with historically attractive nominal and risk-adjusted spreads coinciding with declining interest rate volatility, a more predictable prepayment environment and healthy financing conditions.

所以轉向我們的前景。我們對我們的 3 種策略中的每一種策略的支持性投資環境感到鼓舞，但我們在考慮到上述經營環境風險的槓桿狀況和資本配置策略方面仍然慎重考慮。在我們的核心代理業務中，我們看到今年的強勁勢頭，具有歷史吸引力的名義和風險調整利差與利率波動性下降相吻合，更可預測的預付款環境和健康的融資條件。

As it relates to the supply and demand picture, higher rates should mitigate Fed runoff in Agency MBS supply, while demand expectations appear more mixed. Buying from banks and overseas investors is likely to be subdued thus further spread tightening will be reliant on inflows from the money manager community. Also to note, should recessionary risks increase, Agency MBS have typically outperformed other fixed income sectors and times of economic weakness.

由於與供需情況相關，較高的利率應該會減輕美聯儲對機構 MBS 供應的流失，而需求預期似乎更加複雜。來自銀行和海外投資者的購買可能會受到抑制，因此利差的進一步收緊將取決於基金經理社區的資金流入。還需要注意的是，如果衰退風險增加，機構 MBS 通常會跑贏其他固定收益行業和經濟疲軟時期。

Accordingly, we plan to maintain our overweight positioning in Agency relative to our long-term capital allocation target though we remain committed to expanding our housing finance footprint and are proud of the considerable progress we have made to date. In residential credit as the leading nonbank issuer of prime jumbo and expanded credit MBS, we anticipate maintaining our market leadership, given our capital and certainty of execution and we believe our portfolio should remain relatively well insulated from a further deterioration in housing fundamentals as a result of our robust credit standards.

因此，儘管我們仍然致力於擴大我們的住房融資足跡，並為我們迄今為止取得的重大進展感到自豪，但我們計劃相對於我們的長期資本配置目標維持我們在機構中的超重定位。在住宅信貸領域，作為優質巨型和擴展信貸 MBS 的主要非銀行發行人，我們預計將保持市場領先地位，因為我們的資本和執行的確定性，我們認為我們的投資組合應該保持相對較好的免受住房基本面進一步惡化的影響我們穩健的信用標準。

Furthermore, our securities portfolio provides an additional lever for opportunistic growth when returns are accretive. In an MSR, we expect there to be significant supply in the market, given sustained monetization efforts by originators, while we are comfortable with the scale and quality of our current portfolio, we have capacity to opportunistically add MSR should this elevated supply lead to more attractive returns.

此外，當回報增加時，我們的證券投資組合為機會主義增長提供了額外的槓桿。在 MSR 中，我們預計市場上會有大量供應，鑑於發起人持續的貨幣化努力，雖然我們對我們當前投資組合的規模和質量感到滿意，但如果這種增加的供應導致更多，我們有能力機會主義地添加 MSR有吸引力的回報。

Now before handing it off to Serena, I wanted to make 1 last point as it relates to earnings available for distribution. While we generated EAD that covered our dividend this quarter, we witnessed the moderation discussed in recent quarters, and we anticipate some further pressure on EAD going forward.

現在，在將其交給 Serena 之前，我想提出最後一點，因為它與可供分配的收益有關。雖然我們本季度產生的 EAD 覆蓋了我們的股息，但我們目睹了最近幾個季度討論的緩和情況，我們預計未來 EAD 將面臨進一步的壓力。

As a result, subject to determination by our Board, we expect to reduce our quarterly dividend in the first quarter of 2023 to a level closer to Annaly's historical yield on book value of 11% to 12%, which compares to the approximately 16% yield on book we're paying today. We believe this decision allows us to appropriately manage the portfolio within conservative risk parameters while also delivering a more sustainable yield that is competitive with the peer set and broader fixed income benchmarks, which has always been our objective.

因此，根據董事會的決定，我們預計將在 2023 年第一季度將季度股息減少至更接近 Annaly 賬面價值歷史收益率 11% 至 12% 的水平，而收益率約為 16%在我們今天支付的書上。我們相信這一決定使我們能夠在保守的風險參數範圍內適當地管理投資組合，同時提供更具可持續性的收益率，與同行和更廣泛的固定收益基準相比具有競爭力，這一直是我們的目標。

Overall, we are constructive on each of our businesses, and we are enthusiastic about the multipronged platform that we have built out over recent years, but we remain vigilant and careful stewards of our shareholders' capital. Now with that, I'll hand it over to Serena to discuss the financials.

總的來說，我們對我們的每項業務都持建設性態度，我們對我們近年來建立的多管齊下的平台充滿熱情，但我們仍然對股東資本保持警惕和謹慎。現在，我將把它交給 Serena 來討論財務問題。

Thank you, David. Today, I will provide brief financial highlights for the quarter ended December 31, 2022, and discuss select year-to-date metrics. 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. Our book value per share was $20.79 for Q4, which increased by $0.85 per share for the quarter, primarily due to basis timing amidst slower rate volatility, Strong gains on Agency investments of approximately $1.51 per share, contributed significantly to the book value appreciation for the quarter.

謝謝你，大衛。今天，我將提供截至 2022 年 12 月 31 日的季度的簡要財務亮點，並討論精選的年初至今指標。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。我們第四季度的每股賬面價值為 20.79 美元，本季度每股增加 0.85 美元，這主要是由於在利率波動放緩的情況下的基準時間安排，機構投資的強勁收益約為每股 1.51 美元，對賬面價值的升值做出了重大貢獻四分之一。

These gains were partially offset by losses in our derivative positions of roughly $0.60 per share and lower valuations on residential and other investments of approximately $0.14, primarily related to our MSR portfolio. After combining our book value performance with our fourth quarter dividend of $0.88, our quarterly economic return was 8.7% compared to negative 11.7% in Q3. We generated earnings available for distribution of $0.89 per share for the fourth quarter. The $0.17 reduction in EAD compared to last quarter is attributable to the continued rise in repo expense and lower TBA dollar roll income due to less specialness. Partially offsetting these factors, however, was the approximately $146 million increase in swap income quarter-over-quarter and a further rotation into higher-yielding Agency MBS.

這些收益部分被我們的衍生品頭寸損失約每股 0.60 美元以及住宅和其他投資的估值降低約 0.14 美元所抵消，主要與我們的 MSR 投資組合有關。將我們的賬面價值表現與第四季度 0.88 美元的股息相結合後，我們的季度經濟回報率為 8.7%，而第三季度為負 11.7%。第四季度每股可分配收益為 0.89 美元。與上一季度相比，EAD 減少 0.17 美元，這是由於回購費用持續上升，以及由於特殊性降低而導致的 TBA 美元滾動收入減少。然而，部分抵消了這些因素的是互換收入環比增加約 1.46 億美元，以及進一步轉向收益更高的機構 MBS。

Given the continued increase in financing costs, runoff of swaps and the mismatch between economics and earnings related to futures. All things equal, we currently expect further pressure on EAD in the near term. Average yields ex PAA were 58 basis points higher than the prior quarter at 2.82% due to the previously mentioned acquisition of high-yielding assets and a further decline in amortization. The factors that impacted EAD are also illustrated in NIM for the quarter with the portfolio generating 190 basis points of NIM ex PAA, an 8 basis point decrease from Q3. Net interest spread does not include dollar income. Therefore, the news was comparable quarter-over-quarter at 1.71% versus 1.7% in Q3.

鑑於融資成本的持續增加、掉期的流失以及與期貨相關的經濟與收益之間的不匹配。在所有條件相同的情況下，我們目前預計短期內 EAD 將面臨進一步壓力。由於前面提到的收購高收益資產和攤銷進一步下降，不包括 PAA 的平均收益率比上一季度高 58 個基點，為 2.82%。影響 EAD 的因素也在本季度的 NIM 中得到說明，投資組合產生了 190 個基點的 NIM ex PAA，比第三季度減少了 8 個基點。淨利差不包括美元收入。因此，該消息與上一季度相比為 1.71%，而第三季度為 1.7%。

Turning to financing. Despite market volatility throughout 2022 in the rates market, funding markets for our Agency and non-Agency security portfolios remained resilient and ample with current expectations that the Federal Reserve is in the final innings of the hiking cycle, liquidity in Agency funding markets should extend out the curve in future quarters. However, we currently continue to see liquidity concentrated in overnight and term markets out to the Fed meeting date. With this landscape in our mind, our Q4 reported weighted average repo days were 27 days, down from 57 days in Q3. Our sustained efforts and procuring dedicated financing for our growing whole loan and MSR businesses continue to enhance the firm's liquidity profile while generating capacity to softer growth in the retrospective businesses.

轉向融資。儘管利率市場在整個 2022 年都存在市場波動，但我們的機構和非機構證券投資組合的融資市場仍然具有彈性和充足，目前預期美聯儲處於加息週期的最後階段，機構融資市場的流動性應擴大未來幾個季度的曲線。然而，我們目前繼續看到流動性集中在隔夜市場和美聯儲會議日期之前的定期市場。考慮到這種情況，我們第四季度報告的加權平均回購天數為 27 天，低於第三季度的 57 天。我們的持續努力和為我們不斷增長的整體貸款和 MSR 業務採購專用融資繼續增強公司的流動性狀況，同時產生能力以減緩追溯業務的增長。

As David mentioned previously, we continue to be a programmatic sponsor of OBX securitizations. Pricing and settling an additional 3 transactions from the end Q3. As of the end of Q4, our disciplined approach has resulted in 90% of our GAAP consolidated whole loan portfolio currently being funded through securitizations and a weighted average cost of funds of 3.38%, approximately 260 basis points below the current non-QM cost of funds. In addition to the below-market financing rate of our securitized debt, 95% of the debt is locked in at a fixed rate. Shortly after quarter end, our team also took advantage of the robust liquidity in the financing markets to upsize one of our existing facilities by approximately $200 million to $400 million in total. We remain well positioned with ample liquidity in our residential whole loan business with $2 billion in financing capacity across several diversified providers. Our warehouse utilization remains low as we finished the quarter with approximately 720 million drawn against our whole loan position.

正如大衛之前提到的，我們將繼續成為 OBX 證券化的程序化贊助商。從第三季度末開始定價和結算另外 3 筆交易。截至第四季度末，我們採用嚴格的方法，目前 90% 的 GAAP 綜合貸款組合目前通過證券化融資，加權平均資金成本為 3.38%，比當前非 QM 成本低約 260 個基點資金。除了我們證券化債務的低於市場的融資利率外，95% 的債務都以固定利率鎖定。季度結束後不久，我們的團隊還利用融資市場的強勁流動性將我們現有設施之一的規模擴大了約 2 億美元至 4 億美元。我們在住宅整體貸款業務中保持良好的流動性，在多家多元化供應商中擁有 20 億美元的融資能力。我們的倉庫利用率仍然很低，因為我們在本季度末從我們的全部貸款頭寸中提取了大約 7.2 億美元。

Shifting to MSR financing. With the addition of our newest committed warehouse facility recently closed, we currently have $750 million in dedicated financing for our MSR business amongst diversified counterparties with additional capacity available subject to customary conditions. As reported in Q3, outstanding advances on this business stand at $250 million, leaving us with $500 million of additional capacity at our disposal to draw against our MSR position. The continued rise in repo rates and higher average balances impacted our total cost of funds for the quarter, rising by 57 basis points to 211 basis points in Q4.

轉向 MSR 融資。隨著我們最近關閉的最新承諾倉庫設施的增加，我們目前有 7.5 億美元的專項融資用於我們在多元化交易對手中的 MSR 業務，並根據慣例條件提供額外容量。正如第三季度報告的那樣，該業務的未償預付款為 2.5 億美元，這使我們有 5 億美元的額外產能可供我們支配，以利用我們的 MSR 頭寸。回購利率的持續上升和平均餘額的增加影響了我們本季度的總資金成本，在第四季度上升了 57 個基點至 211 個基點。

Meanwhile, our average repo rate for the quarter was 372 basis points compared to 225 basis points in the prior quarter. We ended the quarter with a repo rate of 4.29% compared to 3.13% as of September 30, 2022. And as previously mentioned, swaps positively impacted cost of funds during the quarter by approximately 76 basis points. We ended the year with an OpEx to equity ratio of 1.4%, which is at the low end of the range discussed on previous earning calls, reflecting cost savings from the disposition of our MML and ACREG businesses.

同時，我們本季度的平均回購利率為 372 個基點，而上一季度為 225 個基點。我們以 4.29% 的回購利率結束了本季度，而截至 2022 年 9 月 30 日為 3.13%。如前所述，掉期對本季度的資金成本產生了約 76 個基點的積極影響。我們年底的運營支出與股本比率為 1.4%，處於之前財報電話會議上討論的範圍的低端，反映出處置我們的 MML 和 ACREG 業務所節省的成本。

Lastly, we modestly increased our liquidity profile with $6.3 billion of unencumbered assets compared to the prior quarter of $6.1 billion, including cash and unencumbered Agency MBS of approximately $4 billion. The increase in unencumbered assets primarily came from a reduction in leverage on resi credit and the settlement of an MSR package in October.

最後，與上一季度的 61 億美元相比，我們以 63 億美元的未支配資產適度增加了我們的流動性狀況，其中包括約 40 億美元的現金和未支配的機構 MBS。未支配資產的增加主要來自 resi 信貸槓桿率的降低和 10 月份 MSR 一攬子計劃的結算。

That concludes our prepared remarks, and we will now open the line for questions. Thank you, operator.

我們準備好的發言到此結束，現在我們將打開提問熱線。謝謝你，運營商。

(Operator Instructions)

（操作員說明）

Today's first question comes from Bose George with KBW.

今天的第一個問題來自 KBW 的 Bose George。

Could I get an update on book value quarter-to-date?

我可以獲得季度至今的賬面價值更新嗎？

Sure, Bose. So as of week in, book was up roughly 8% to 9%. Post payroll as we've come up just a touch. And as of last night, up roughly 7%.

當然，博斯。因此，截至本週，賬面價值上漲了大約 8% 至 9%。發布工資單，因為我們只是碰了一下。截至昨晚，上漲了大約 7%。

Okay. Great. And then talk about normalized leverage. Is the current level of leverage kind of where you're comfortable unless or until things change.

好的。偉大的。然後談談標準化槓桿。除非或直到情況發生變化，否則當前的槓桿水平是否讓您感到舒服。

It is for this capital allocation. It's going to be dependent upon how we allocate our capital, but with 67% Agency. The other 1/3 allocated between resi and MSR. We feel good about the level of leverage. We do have the capacity to take it up given our liquidity, but we're very comfortable with the right here, Bose.

就是為了這個資本配置。這將取決於我們如何分配我們的資本，但有 67% 的機構。另外 1/3 分配在 resi 和 MSR 之間。我們對槓桿水平感覺良好。鑑於我們的流動性，我們確實有能力接受它，但我們對這裡的權利感到非常滿意，Bose。

And our next question today comes from Doug Harter at Crédit Suisse.

我們今天的下一個問題來自 Crédit Suisse 的 Doug Harter。

Just a little bit more about the dividend. Obviously, book value has been incredibly volatile and just how you kind of think about kind of setting and targeting that 11% to 12% yield on book in an environment like this where book is moving around?

關於股息的更多信息。顯然，賬面價值一直非常不穩定，在這樣一個賬面流動的環境中，你如何考慮設定和設定 11% 到 12% 的賬面收益率？

Look, it's a function of where asset yields are and the leverage we apply. And just to run through it, in the Agency market, current mark-to-market levered returns range between 13% to 15%, depending on what collateral we're buying in residential credit, looking at OBX securitization and retained holdings with very modest leverage. We're talking 12% to 15%. And then in the MSR market, unlevered returns around 10%. And so we get to an average yield in the market today of around, call it, 14% -- 13% to 14% across the assets and 135 to 145 basis points to run the business, which we think is incredibly efficient, brings you down to that level of 11% to 12% roughly. And Serena, you want to add something?

看，這是資產收益率所在位置和我們應用的槓桿的函數。只是為了貫穿它，在代理市場，當前按市值計算的槓桿回報率在 13% 到 15% 之間，具體取決於我們在住宅信貸中購買的抵押品，看看 OBX 證券化和非常適度的保留持股槓桿作用。我們說的是 12% 到 15%。然後在 MSR 市場，無槓桿回報率約為 10%。因此，我們今天的市場平均收益率約為 14% - 13% 到 14% 的資產和 135 到 145 個基點來經營業務，我們認為這是非常有效的，給你帶來大致下降到 11% 到 12% 的水平。 Serena，你想補充點什麼嗎？

Yes. And Doug, we've always been really clear that our dividend policy is to set a dividend that is consistent with our historical yields, but also something that we can consistently achieve. And so we do, as David mentioned in his remarks, that we believe that what we've referred to is a very sustainable level, given new money returns today, we just walk through.

是的。道格，我們一直非常清楚，我們的股息政策是設定與我們歷史收益率一致的股息，但也是我們可以持續實現的目標。所以我們這樣做，正如大衛在他的評論中提到的那樣，我們相信我們所提到的是一個非常可持續的水平，考慮到今天的新資金回報，我們只是走過。

Great. And then just one follow-up on the returns you just mentioned, David. I guess, are those the returns that you see at your current leverage? And is there flexibility or risk or opportunity to kind of move leverage up or down over time? And obviously, how that impacts returns?

偉大的。然後只是對你剛才提到的回報的後續行動，大衛。我想，這些是您在當前杠桿下看到的回報嗎？隨著時間的推移，是否存在提高或降低杠桿率的靈活性、風險或機會？顯然，這對回報有何影響？

Sure. There is. So there is flexibility to moving up or down, but that is using the agency market, roughly 8x of leverage which is approximately where we're currently levered in the agency portfolio. And just to break it down a little bit in terms of what we're buying. Generally, we're buying production coupons, and we're somewhat barbelled between really low pay up, but what we think to be good quality pools, for example, new production, retail bank service pools with low wax coming to pay up of just a few ticks, and that's going to get you on a levered basis, a little over 15%, but we're obviously considerate of the possibility of a rally in the sensitivity of production coupons to prepay in a rally. And so we are kind of barbelling that with higher-quality pools.

當然。有。因此，可以靈活地向上或向下移動，但這是使用代理市場，大約 8 倍的槓桿率，這大約是我們目前在代理投資組合中的槓桿率。只是根據我們購買的東西來分解一下。一般來說，我們正在購買生產優惠券，我們在真正低的支付之間有些猶豫，但我們認為是優質池，例如，新生產、低蠟的零售銀行服務池將支付僅幾個滴答聲，這將使你處於槓桿基礎上，略高於 15%，但我們顯然考慮到生產優惠券對在反彈中預付的敏感性反彈的可能性。因此，我們有點用更高質量的游泳池來解決這個問題。

For example, high loan balance collateral and the [FICC] coupon comes at a cost of about 2 points roughly, and the levered return on that is around 13%. So you take the average and you get to 14%. In resi, and Mike's done obviously a number of securitizations over the recent past and the retained bonds with around 1.5x of leverage and up to that low to mid-teens type returns.

例如，高貸款餘額抵押品和 [FICC] 息票的成本約為 2 個百分點，其槓桿回報率約為 13%。所以你取平均值，你得到 14%。在 resi 中，邁克顯然在最近進行了多次證券化，保留債券的槓桿率約為 1.5 倍，回報率高達中低水平。

In MSR, we currently applied very, very minimal leverage to the portfolio simply liquidity source. But the fact of the matter is we do have the capacity to lever that portfolio. And when you look at the composition of our MSR and the loan rate, given how deep out of the money it is, that's very different than production coupon MSR from a variability of cash flow standpoint as rates move. The fact of the matter is if rates can move a meaningful amount, you're not going to change the cash flows on that MSR that much. And so all else equal, you're not going to see a lot of price volatility we expect. And so as a consequence, you do have the ability to apply leverage to that, but we currently don't. Does that help?

在 MSR 中，我們目前僅對投資組合應用非常非常小的槓桿，只是流動性來源。但事實是我們確實有能力利用該投資組合。當您查看我們的 MSR 和貸款利率的構成時，考慮到它的資金深度，從現金流量的變化角度來看，這與利率變動時的生產息票 MSR 非常不同。事實是，如果利率可以發生有意義的變動，那麼您就不會對 MSR 的現金流量產生太大的影響。因此，在其他條件相同的情況下，您不會看到我們預期的大量價格波動。因此，您確實有能力對此施加影響，但我們目前沒有。這有幫助嗎？

Really helpful. Thanks, David.

真的很有幫助。謝謝，大衛。

And our next question comes from Trevor Cranston with JMP Securities.

我們的下一個問題來自 JMP Securities 的 Trevor Cranston。

A question on the MSR market. It seems like there's the potential for a fairly large amount of MSRs to maybe come to market over the next few months. Can you talk about like how you think that will impact the MSR market and valuations overall? And if you think there's going to potentially be an opportunity to deploy a significant amount of capital into bulk MSRs.

關於 MSR 市場的問題。在接下來的幾個月裡，似乎有相當多的 MSR 可能會上市。你能談談你認為這將如何影響 MSR 市場和整體估值嗎？而且，如果您認為可能有機會將大量資金部署到批量 MSR 中。

Sure. I'll start it off, Trevor, and then I'll hand it off to Ken. So yes, there is -- we -- as I mentioned in my prepared remarks, we do expect a fair amount of supply to come to market. Last year was obviously quite a heavy year, and we took advantage of it. But the supply will continue in terms of how it can impact the market and pricing. We do think there's a lot of capital that is ready, including ourselves. But if you look at our mark for Q4, we did mark our MSR down modestly, and that was a function of that pending supply. Ken, do you want to elaborate?

當然。我會先開始，特雷弗，然後我會把它交給肯。所以是的，正如我在準備好的發言中提到的，我們確實希望有相當數量的供應進入市場。去年顯然是相當沉重的一年，我們利用了這一年。但就其如何影響市場和定價而言，供應將繼續存在。我們確實認為有很多資本準備就緒，包括我們自己。但如果你看看我們對第四季度的標記，我們確實將 MSR 適度下調，這是待處理供應的一個函數。肯，你想詳細說明嗎？

Yes. I mean just very much -- last year was record supply for the industry and the (inaudible) were, somewhat balanced, as you can see where much of it went, including ourselves. And 2023 is certainly shaping up to be a higher amount of supply than 2022, and we're evaluating several opportunities, and we're opportunistically going to participate in those. So yes, we're ready. And as Dave mentioned, that was the reason for the market.

是的。我的意思是非常多 - 去年是該行業的創紀錄供應，並且（聽不清）有點平衡，因為你可以看到其中大部分去了哪裡，包括我們自己。 2023 年的供應量肯定會比 2022 年更高，我們正在評估幾個機會，我們會抓住機會參與其中。所以是的，我們準備好了。正如戴夫所說，這就是市場的原因。

Exactly. And also why we remain relatively quiet last quarter. It's currently 15% of our capital, which is lower than we like, but we're going to remain patient and wait for the opportunities to come to us.

確切地。以及為什麼我們在上個季度保持相對安靜。它目前占我們資本的 15%，低於我們的預期，但我們將保持耐心，等待機會降臨。

Yes. Just 1 last thing. I mean, this markdown, I mean, it's just a pure technical. The cash flows are higher in quality and certainty than they've ever been because of the [money missile] of the collateral. So you're certainly looking as a great opportunity.

是的。最後一件事。我的意思是，這個降價，我的意思是，它只是一個純粹的技術。由於抵押品的 [money missile]，現金流的質量和確定性比以往任何時候都高。所以你肯定會看到一個很好的機會。

Our next question today comes from Kenneth Lee at RBC Capital Markets.

我們今天的下一個問題來自 RBC Capital Markets 的 Kenneth Lee。

Just one on the potential dividend change. Is the assumption there that the underlying economic earnings over the near term is not going to change much. In other words, you're assuming that Annaly is not going to get a lot more aggressive in terms of investment or leverage over the near term even if the rate volatility, for example, were to settle down somewhere in the middle of the year?

只是關於潛在股息變化的一個。是否假設短期內的基本經濟收益不會發生太大變化。換句話說，你假設 Annaly 在短期內不會在投資或槓桿方面變得更加激進，即使利率波動例如在年中某個地方穩定下來？

Well, we certainly could get more aggressive if the market is cooperative. But the way we look at it, again, is based on our current leverage and what returns are, Ken, and that's where we feel the market is offering returns for this business model.

好吧，如果市場合作，我們當然可以變得更加激進。但我們看待它的方式再次基於我們目前的槓桿作用和回報，Ken，這就是我們認為市場正在為這種商業模式提供回報的地方。

Got you. Very helpful there. One follow-up. You touched upon this in the prepared remarks. Wondering if I could just get your thoughts on what you think could be potential implications if the government does not resolve the debt ceiling.

明白了在那裡很有幫助。一個跟進。你在準備好的評論中提到了這一點。想知道如果政府不解決債務上限問題，我是否可以了解您認為可能產生的潛在影響。

Yes. So look, it's very difficult to handicap the implications, Ken, it is something that we should pay attention to. On one hand, the market did rally in 2011. But look, it's a different world right now and you only have to look back to what occurred in September with the U.K. situation on the trust tax cuts, and you saw 10-year Gilts, for example, sell off 120 basis points based on somewhat of a lack of confidence. And it is somewhat of a precarious circumstance. In D.C. right now. I think we've all seen what's going on down there, and it's a little bit disconcerting. Our base case is that this gets resolved and it's not going to lead to certainly passing the X state without a resolution.

是的。所以看，很難阻止這些影響，Ken，這是我們應該注意的事情。一方面，市場在 2011 年確實出現了反彈。但看，現在是一個不同的世界，你只需回顧 9 月份英國信託減稅的情況，你會看到 10 年期英國國債，例如，由於缺乏信心而賣出 120 個基點。這是一種不穩定的情況。現在在華盛頓特區。我想我們都看到了下面發生的事情，這有點令人不安。我們的基本情況是這個問題得到解決，並且不會導致在沒有解決的情況下肯定通過 X 狀態。

But look, we have a contingent down in D.C. currently that is larger than it was in 2011 in Freedom Caucus and they're playing for a different outcome. It's more of a base outcome and even mainstream members of both parties are thinking about the broader country. But it's a little bit uncertain. We do think it's going to be resolved. But nevertheless, there's a lot of -- there's a -- there's a lot of outcomes that could occur. And so that's one of the reasons why we're being somewhat conservative.

但是看，我們在華盛頓特區的隊伍目前比 2011 年在自由核心小組中的隊伍要大，他們正在爭取不同的結果。這更像是一個基本結果，甚至兩黨的主流成員都在考慮更廣泛的國家。但這有點不確定。我們確實認為它會得到解決。但是，儘管如此，還是有很多——有很多——可能會發生很多結果。所以這就是我們有點保守的原因之一。

(Operator Instructions)

（操作員說明）

Our next question comes from Vilas Abraham with UBS.

我們的下一個問題來自瑞銀的 Vilas Abraham。

Just a follow-up on the MSR conversation. So moving forward, would you look to grow that book by allocating more equity or increasing the leverage there? It just sounds like you're asking capacity. How are you thinking about that?

只是對 MSR 對話的跟進。因此，展望未來，您是否希望通過分配更多股權或增加那裡的槓桿來增加那本書？聽起來您只是在問容量。你怎麼想的？

Yes. We would expect more equity allocated to it, certainly with the option to apply a modest amount of leverage. As Serena talked about in our warehouse financing, we have an upwards of $1 billion worth of capacity. And so that will remain an option. But generally speaking, it's a liquidity arrow for us in the quiver, and we do expect to add more equity to the sector.

是的。我們預計會有更多的股權分配給它，當然可以選擇應用適度的槓桿。正如 Serena 在我們的倉庫融資中所說的那樣，我們擁有價值超過 10 億美元的產能。因此，這仍將是一種選擇。但總的來說，這對我們來說是一支流動性之箭，我們確實希望為該行業增加更多股權。

Okay. And then in terms of capital allocation between Agency MBS and resi credit right now, are you leaning one way or another?

好的。然後就目前 Agency MBS 和 resi credit 之間的資本分配而言，你是傾向於一種方式還是另一種方式？

Generally, we're a little bit more fond of Agency, our base case, notwithstanding some of the risks out the horizon is that volatility does continue to come down, which would favor Agency. And while housing has outperformed our expectations over the past 6 months modestly. There is a little bit of risk with the sector, particularly as we do get into the spring selling season, and we'll really see what kind of implications mortgage rates and other factors have on home prices. So we're a little bit cautious, but with Mike's residential securitization business and the acquisition of whole loans. That collateral, we're very comfortable adding particularly given his lending standards and the ability to control all aspects of the acquisition of a loan. So we'll add, but generally, we're marginally favorable towards agency right now.

總的來說，我們更喜歡 Agency，這是我們的基本情況，儘管未來的一些風險是波動性確實會繼續下降，這將有利於 Agency。在過去 6 個月中，住房的表現略微超出了我們的預期。該行業存在一點風險，尤其是當我們進入春季銷售旺季時，我們將真正看到抵押貸款利率和其他因素對房價產生什麼樣的影響。所以我們有點謹慎，但邁克的住宅證券化業務和整個貸款的收購。這種抵押品，我們很樂意添加，特別是考慮到他的貸款標準和控制貸款收購各個方面的能力。所以我們要補充一點，但總的來說，我們現在對代理略有好感。

Okay. That's helpful. And just lastly, on the non-securitization market, execution has gotten a lot better since Q4. Just any color that you can kind of add there on just what you're expecting? And are these level of spreads that you're seeing there sustainable and just what could move it 1 way or the other moving forward here?

好的。這很有幫助。最後，在非證券化市場上，自第四季度以來執行情況有了很大改善。您可以根據自己的期望添加任何顏色嗎？您在那裡看到的這些價差水平是否可持續，以及什麼可以使它以一種方式或另一種方式向前發展？

Sure, Vilas. This is Mike Fania. I would say, yes, I think a lot of what we saw in 2022 was gross issuance in non-QM. It was at $39 billion, $40 billion. It was a record for the sector. So consistent with risk off plus the technical landscape, it certainly pressured the non-QM market pressured non-QM spreads. I think what we've seen to start is that there is a high percentage of the market that seems to be pricing in a soft landing, and you're seeing that in terms of list on from probably late October, November, to where we sit today. And then from a technical landscape, supply will certainly be significantly lower than what it was last year. We think supply in non-QM maybe $25 billion to $30 billion this year. So with that, I think investors have realized that there is a scarcity of the asset class. And we've seen spreads now tighten to probably, call it, 150 over on the AAA, whereas the wides, we were probably mid-high 200s. So we do think that it can be sustainable to the extent of the macro environment.

當然，維拉斯。這是邁克法尼亞。我會說，是的，我認為我們在 2022 年看到的很多是非 QM 的總發行量。它是 390 億美元，400 億美元。這是該行業的記錄。因此，與避險加上技術格局相一致，它肯定對非 QM 市場施加壓力，對非 QM 利差施加壓力。我認為我們已經開始看到的是，有很大一部分市場似乎在為軟著陸定價，而且你可以從 10 月下旬、11 月到我們的名單上看到這一點今天坐然後從技術面來看，供應量肯定會大大低於去年。我們認為今年非 QM 的供應量可能為 250 億至 300 億美元。因此，我認為投資者已經意識到資產類別的稀缺性。我們已經看到利差現在可能收緊到 AAA 的 150 以上，而寬幅可能是 200 美元的中高水平。所以我們確實認為它在宏觀環境的範圍內是可持續的。

And ladies and gentlemen, this concludes our question-and-answer session. I'd like to turn the conference back over to Mr. Finkelstein in for any closing remarks.

女士們，先生們，我們的問答環節到此結束。我想將會議轉回給 Finkelstein 先生，聽取任何閉幕詞。

Well, thank you, everybody, and we look forward to talking to you again after the first quarter.

好吧，謝謝大家，我們期待在第一季度之後再次與您交談。

Thank you, sir. This concludes today's conference call. We thank you all for attending today's presentation. You may now disconnect your lines, and have a wonderful day.

謝謝你，先生。今天的電話會議到此結束。感謝大家出席今天的演講。您現在可以斷開線路，度過美好的一天。