Annaly Capital Management Inc (NLY) 2023 Q3 法說會逐字稿

Good morning, and welcome to the Third Quarter 2023 Conference Call for Annaly Capital Management. (Operator Instructions). Please note this event is being recorded. I would now like to turn the conference over to Mr. Sean Kensil, Director of Investor Relations. Please go ahead, sir.

早安，歡迎參加 Annaly Capital Management 2023 年第三季電話會議。 （操作員說明）。請注意此事件正在被記錄。現在我想將會議交給投資者關係總監 Sean Kensil 先生。請繼續，先生。

Good morning, and welcome to the Third Quarter 2023 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.

早安，歡迎參加 Annaly Capital Management 2023 年第三季財報電話會議。今天電話會議期間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已在我們最近的年度和季度 SEC 文件中的風險因素部分中概述。

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. 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 third quarter 2023 investor presentation and third quarter 2023 supplemental information, both found under the Presentations section of our website. Please also note this event is being recorded.

實際事件和結果可能與這些前瞻性陳述有重大差異。除了我們的季度和年度報告之外，我們鼓勵您閱讀我們的收益報告中的免責聲明。此外，本次電話會議的內容可能包含時間敏感訊息，這些資訊僅截至本次電話會議之日準確。我們不承擔並明確否認更新或修改此資訊的任何義務。在這次電話會議中，我們可能會介紹公認會計準則和非公認會計準則的財務指標。我們的收益報告中包含了 GAAP 與非 GAAP 指標的調整表。今天電話會議中引用的內容可以在我們的 2023 年第三季投資者簡報和 2023 年第三季補充資訊中找到，這兩個資訊都可以在我們網站的簡報部分找到。另請注意此事件正在被記錄。

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

今天早上電話會議的參與者包括執行長兼首席投資長 David Finkelstein；小威，財務長； Mike Fania，副首席投資長兼住宅信貸主管； V.S Srinivasan，機構主管；和抵押貸款服務權主管 Ken Adler。

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

然後，我會將電話轉給大衛。

Thank you, Sean. Good morning, everyone, and thanks for joining us today. I'll begin with a discussion of the macro and interest rate landscape, and then I'll review the current operating environment, including our portfolio activity and positioning.

謝謝你，肖恩。大家早安，感謝您今天加入我們。我將首先討論宏觀和利率情勢，然後回顧當前的營運環境，包括我們的投資組合活動和定位。

Now as all are aware, the third quarter was characterized by a sharp rise in interest rates as the 10-year treasury yield rose nearly 75 basis points. The move was in part driven by strong economic data, the Fed's messaging of higher-for-longer, rising commodity prices and the sell-off in global yields. The main driver for higher yields, however, has been a shift in perception around U.S. government debt that began with the August treasury refunding announcement. As after increasing issuance following the debt ceiling deal in early June, treasury began to term out debt above market expectations in August, all while signaling further increases in coming quarters.

眾所周知，第三季的特點是利率大幅上升，10年期公債殖利率上漲了近75個基點。此舉在一定程度上是由強勁的經濟數據、聯準會發出的長期走高訊號、大宗商品價格上漲以及全球殖利率拋售所推動的。然而，殖利率上升的主要驅動力是人們對美國政府債務看法的轉變，這種轉變始於八月的國債退款公告。在 6 月初達成債務上限協議後增加發行量後，財政部於 8 月開始以高於市場預期的方式發行債務，同時暗示未來幾季將進一步增加發行量。

This higher supply has been met with limited demand as the Fed continues to run down its balance sheet, banks remain sidelined given the sizable unrealized losses on their bond portfolios and foreign central bank buying has been lukewarm at best. Consequently, money managers, pensions and ultimately, households are the main source of demand for treasuries and by extension Agency MBS. However, thus far, households are saving less than historical averages, and savings are largely being allocated to short-term fixed income instruments, best seen through the record $6 trillion in money market mutual fund holdings, contributing to the sharp sell-off and curve steepening in rates markets in recent weeks.

由於聯準會持續縮減資產負債表，銀行仍處於觀望狀態，因為其債券投資組合存在巨額未實現損失，而外國央行的購買充其量只是冷淡。因此，資金管理者、退休金以及最終的家庭是國債以及機構MBS需求的主要來源。然而，到目前為止，家庭儲蓄低於歷史平均水平，儲蓄大部分被分配到短期固定收益工具，最好的例子是貨幣市場共同基金持有量達到創紀錄的6 兆美元，這導致了急劇的拋售和曲線最近幾週利率市場陡峭。

Now as it relates to the broader U.S. economy, growth has been supported by strong consumption and sound investment activity, while the labor market remains very healthy. Inflation has continued to moderate. And looking forward, it appears that a number of headwinds are building for the economy, including household shrinking excess savings, geopolitical risks and the tightening in financial conditions as of late. However, hard economic data has shown little evidence of a meaningful slowdown thus far.

現在，就更廣泛的美國經濟而言，成長得到了強勁消費和穩健投資活動的支持，而勞動力市場仍然非常健康。通貨膨脹繼續放緩。展望未來，經濟似乎面臨一些不利因素，包括家庭過剩儲蓄減少、地緣政治風險以及最近的金融狀況收緊。然而，到目前為止，硬經濟數據幾乎沒有顯示經濟明顯放緩的證據。

Now all told, higher term premium and the continued elevated volatility contributed to significant underperformance in Agency MBS during the quarter, which was exacerbated by a pullback in demand from the money manager community who remain the primary buyers of MBS. As a result, spreads widened roughly 15 to 20 basis points on the quarter, with higher coupons outperforming lower coupons as investors sought to optimize carry-in duration profiles. These factors weighed on our performance, resulting in a negative 8.8% economic return for the quarter, and our leverage ended Q3 at 6.4x.

總而言之，較高的期限溢價和持續升高的波動性導致本季機構 MBS 的表現顯著不佳，而基金經理群體（仍然是 MBS 的主要買家）的需求回落加劇了這種情況。結果，本季利差擴大了約 15 至 20 個基點，隨著投資者尋求優化結轉期限，較高的票面利率優於較低的票面利率。這些因素影響了我們的業績，導致本季經濟回報率為負 8.8%，第三季末我們的槓桿率為 6.4 倍。

With respect to portfolio activity, the notional value of our Agency holdings was relatively unchanged given the flexibility from our reduction in leverage heading into the third quarter. We continued to migrate up in coupon, and we favored specified pools over TBAs in order to improve the convexity profile while benefiting from lower financing costs. We also grew our Agency CMBS portfolio by roughly $500 million. And from a relative value perspective, Agency CMBS provide attractive and stable cash flows without the negative convexity of MBS, not to mention a more favorable technical backdrop.

就投資組合活動而言，鑑於我們進入第三季減少槓桿的靈活性，我們機構持有的名目價值相對沒有變化。我們繼續提高票面利率，我們更傾向於指定池而不是TBA，以改善凸性狀況，同時受益於較低的融資成本。我們的 Agency CMBS 投資組合也增加了約 5 億美元。從相對價值的角度來看，機構 CMBS 提供有吸引力且穩定的現金流，而沒有 MBS 的負凸性，更不用說更有利的技術背景。

As it relates to hedging, as the hiking cycle comes to an end, we anticipated the shift from protecting the front end to protecting the long end. And therefore, over 75% of our hedge duration remain in the 7- to 20-year part of the curve, matching our asset duration profile. We were active in adding longer-end treasury futures early in the quarter. And also to note, as front-end swaps matured, we replaced a portion of those hedges further out the curve. We anticipate we'll reach a point in the near future where it will be advantageous to add interest rate exposure. But for the time being, we remain conservatively positioned.

就對沖而言，隨著健行週期的結束，我們預計將從保護前端轉向保護長端。因此，我們超過 75% 的對沖久期仍處於曲線的 7 至 20 年部分，與我們的資產久期概況相符。我們在本季初積極增加了長期國債期貨。也要注意的是，隨著前端掉期的成熟，我們取代了曲線之外的部分對沖。我們預計，在不久的將來，增加利率部位將是有利的。但就目前而言，我們仍保持保守立場。

Now MBS valuations look very attractive relative to other high-quality fixed income alternatives as well as on a standalone basis, which we expect will improve investor sentiment and help to normalize spreads over the medium term. However, our intention is to remain disciplined in terms of managing leverage as MBS find their equilibrium in the current environment.

現在，相對於其他高品質的固定收益替代品以及獨立的基礎，MBS 的估值看起來非常有吸引力，我們預計這將改善投資者的情緒，並有助於中期利差正常化。然而，隨著MBS在當前環境中找到平衡，我們的目的是在管理槓桿方面保持紀律。

Turning to residential credit. Spreads across the sector were resilient during the quarter, driven by limited issuance, supportive housing fundamentals and a still generally healthy borrower. Benchmark CRT below investment grade spreads tightened 50 to 70 basis points on the quarter and AAA Non-QM spreads were flat to 10 basis points tighter, with Non-QM securitization cost of funds relatively stable. Our resi portfolio ended the quarter at $5.3 billion in market value, up approximately $315 million, predominantly attributable to an increase in our whole loan portfolio as we settled $1.5 billion of expanded credit loans in the third quarter, of which 80% was sourced directly from our correspondent channel.

轉向住宅信貸。在發行有限、住房基本面支撐以及借款人整體健康的推動下，整個行業的利差在本季度保持彈性。本季度，低於投資等級的基準 CRT 利差收窄 50 至 70 個基點，AAA 非 QM 利差持平至 10 個基點，非 QM 證券化資金成本相對穩定。我們的Resi 投資組合本季末的市值為53 億美元，增加了約3.15 億美元，主要歸因於我們整個貸款組合的增加，因為我們在第三季度結清了15 億美元的擴大信用貸款，其中80% 直接來自我們的通訊頻道。

The continued expansion of the Onslow Bay correspondent channel allowed us to more than double our Q2 whole loan production while maintaining our conservative lending standards. Q3 settlements are characterized by a 752 average FICO, a 69% LTV and limited layered risk. Our securitization platform issued 2 Non-QM transactions totaling $812 million during the quarter, which generated $98 million of retained assets. In post quarter end, we closed another Non-QM deal, continuing our programmatic issuance while locking in term financing and generating a mid-teens ROE.

昂斯洛灣代理通路的持續擴張使我們能夠將第二季的整體貸款產量增加一倍以上，同時保持保守的貸款標準。第三季結算的特點是平均 FICO 為 752、LTV 為 69%，分層風險有限。我們的證券化平台在本季發行了 2 筆非 QM 交易，總額達 8.12 億美元，產生了 9,800 萬美元的保留資產。在季度末，我們完成了另一筆非 QM 交易，繼續我們的程序化發行，同時鎖定定期融資並產生中十幾歲的股本回報率。

Now OBX remains the largest non-bank securitizer of new origination collateral with 2023 year-to-date issuance of nearly $4 billion. And with over $3.5 billion of dedicated facilities across Annaly in our joint venture, we can efficiently finance our whole loan position via securitization or warehouse financing, which Serena will expand on.

現在，OBX 仍然是最大的新發起抵押品非銀行證券化機構，2023 年迄今發行了近 40 億美元。我們的合資企業在 Annaly 擁有超過 35 億美元的專用設施，我們可以透過證券化或倉庫融資有效地為我們的整個貸款頭寸融資，Serena 將對此進行擴展。

Now lastly, within mortgage servicing rights, our portfolio grew by $90 million in the third quarter and $480 million year-to-date, ending September at $2.3 billion in market value and $153 billion in principal balance. And Onslow Bay is now a top 10 non-bank servicer, servicing roughly 2% of the agency market. While bulk trading levels declined in the quarter, the MSR market remains active, and we expect supply to be elevated over the next few quarters, given broad activity in the sector and continued pressure on non-bank originator profitability.

最後，在抵押貸款服務權方面，我們的投資組合第三季度增長了 9,000 萬美元，年初至今增長了 4.8 億美元，截至 9 月份的市值為 23 億美元，本金餘額為 1,530 億美元。 Onslow Bay 目前是前 10 名的非銀行服務商，服務約佔代理市場的 2%。儘管本季大宗交易水準有所下降，但 MSR 市場仍然活躍，鑑於該行業的廣泛活動以及非銀行發起人盈利能力的持續壓力，我們預計未來幾季的供應量將會增加。

As we've discussed in the past, Annaly is uniquely positioned to acquire MSR from originators given our certainty of capital as well as our noncompetitive business strategy. Now our holdings continue to benefit from our low no rate, high credit quality asset profile, which drove the expansion of our valuation multiple on the year. Our MSR cash flows remain highly stable as evidenced by below 4 CPR prepayment speeds and minimal delinquencies, both consistent with the prior quarter. Our capital allocation MSR as of quarter end was 19%, which brings us close to our long-term target allocation, though we maintain capacity to increase our holdings further given minimal leverage currently in our additional warehouse capacity. We've also expanded our MSR acquisition capabilities, and we can now participate in GSE flow programs to supplement our bulk execution strategy when attractively priced.

正如我們過去所討論的，鑑於我們的資本確定性以及我們的非競爭性業務策略，Annaly 處於從發起人手中收購 MSR 的獨特地位。現在，我們的持股繼續受益於我們的低無利率、高信用品質的資產狀況，這推動了我們今年估值倍數的擴大。我們的 MSR 現金流保持高度穩定，低於 4 CPR 的預付款速度和最低的拖欠率就證明了這一點，兩者與上一季一致。截至季末，我們的資本配置 MSR 為 19%，這使我們接近我們的長期目標配置，儘管鑑於目前我們額外倉庫容量的槓桿率極低，我們仍保持進一步增加持股的能力。我們還擴展了我們的 MSR 獲取能力，現在我們可以參與 GSE 流程計劃，以在價格有吸引力的情況下補充我們的批量執行策略。

Now before handing it off to Serena, I wanted to provide one final note as it relates to where we sit today. Yields and notably real yields are at their most attractive levels in more than 15 years and Agency MBS spreads are historically wide. Our residential credit and MSR strategies are fully scaled and established leaders in their respective sectors and provide strong complementary returns to our core agency business, as has been exhibited over the recent past. Now given the interest rate and spread backdrop in similar periods throughout this company's history, Annaly has generated very strong returns, and we have the size, scale and liquidity to successfully navigate this environment and capitalize on opportunities as they arise.

現在，在將其交給小威之前，我想提供最後一點，因為它與我們今天坐的位置有關。收益率（尤其是實際收益率）處於 15 年來最具吸引力的水平，機構 MBS 利差處於歷史最高水平。正如最近所展示的那樣，我們的住宅信貸和 MSR 策略已全面擴展，並在各自領域確立了領先地位，並為我們的核心代理業務提供了強勁的互補回報。現在考慮到該公司歷史上類似時期的利率和利差背景，Annaly 已經產生了非常強勁的回報，我們擁有成功駕馭這種環境並在出現機會時利用的規模、規模和流動性。

And now with that, I'll hand it over to Serena to discuss the financials.

現在，我將把它交給小威來討論財務問題。

Thank you, David. Today, I will provide brief financial highlights for the quarter and 9-month period that ended September 30, 2023. 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.

謝謝你，大衛。今天，我將提供截至2023 年9 月30 日的季度和9 個月期間的簡要財務摘要。重點關注我們的非GAAP 收益指標EAD 和相關關鍵績效指標，其中不包括 PAA。

Due to factors David mentioned earlier, our book value per share for Q3 decreased from the prior quarter to $18.25. And with our third quarter dividend of $0.65, we generated an economic return for the quarter of negative 8.8% and negative 2.8% for the first 9 months of the year. A further increase in rates for the quarter drove gains in our hedging portfolio of roughly $3.76 and our MSR book of $0.16. While spread widening and increased volatility significantly impacted our Agency portfolio, resulting in losses of approximately $6.16 for the quarter. Additionally, our resi credit assets were down [20%] for the quarter, primarily related to mark-to-market changes on the portfolio.

由於 David 先前提到的因素，我們第三季的每股帳面價值較上一季下降至 18.25 美元。第三季股利為 0.65 美元，該季的經濟報酬率為負 8.8%，今年前 9 個月的經濟報酬率為負 2.8%。本季利率的進一步上升推動我們的對沖投資組合收益約 3.76 美元，MSR 帳面收益 0.16 美元。雖然利差擴大和波動性增加嚴重影響了我們的代理投資組合，導致本季損失約 6.16 美元。此外，本季我們的 Resi 信貸資產下降了 [20%]，這主要與投資組合按市值計價的變化有關。

We generated earnings available for distribution of $0.66 per share for the third quarter. Consistent with the prior quarter, EAD was adversely impacted by the continued rise in repo expense. Our portfolio positioning enhanced our average yield ex PAA, which rose again quarter-over-quarter, 24 basis points higher than the prior quarter at 4.46%. Yields also improved by 9 basis points due to lower amortization with long-term CPRs decreasing from 8.6% in Q2 to 7.1% in the third quarter. Impacted by the same factors as EAD, NIM declined 18 basis points from Q2 to 148 basis points of NIM ex PAA in the third quarter. Net interest spread declined 27 basis points quarter-over-quarter to 1.18% versus 1.45% in Q2 as the rate increases on our financing agreements modestly exceeded the increase in asset yields.

第三季我們可供分配的收益為每股 0.66 美元。與上一季一致，EAD 受到回購費用持續上升的不利影響。我們的投資組合定位提高了 PAA 之外的平均收益率，該收益率環比再次上升，比上一季高 24 個基點，達到 4.46%。由於攤銷減少，收益率也提高了 9 個基點，長期 CPR 從第二季的 8.6% 降至第三季的 7.1%。受與 EAD 相同因素的影響，第三季淨利差 (NIM ex PAA) 較第二季下降 18 個基點至 148 個基點。淨利差較上季下降 27 個基點至 1.18%，而第二季為 1.45%，因為我們的融資協議利率增幅略高於資產收益率的增幅。

The aforementioned rise in repo rates impacted our total cost of funds for the quarter, rising by 51 basis points to 328 basis points in Q3, and our average repo rate for the quarter was 544 basis points compared to 515 basis points in the prior quarter. The beneficial impact of swaps on the cost of funds was tempered in Q3 due to the maturity of certain contracts, resulting in a net interest component of interest rate swaps declined by 7% to approximately $395 million for the quarter compared to $425 million in Q2.

上述回購利率上升影響了我們本季的總資金成本，第三季上升了 51 個基點至 328 個基點，本季平均回購利率為 544 個基點，而上一季為 515 個基點。由於某些合約到期，掉期對資金成本的有利影響在第三季有所減弱，導致本季利率掉期的淨利息部分下降7%，至約3.95 億美元，而第二季為4.25 億美元。

Now turning to details on financing. Funding markets remain ample and liquid. We continue to see strong demand for funding for our Agency and non-Agency security portfolios. Our financing strategy is consistent with prior quarters, and our Q3 reported weighted average repo days were 52 days, up from 44 days in Q2, as we look to find opportunistic longer-term trades in the market, adding $2.5 billion of floating rate repo with terms exceeding 12 months during the quarter. We continued our disciplined approach to adding and extending existing warehouse capacity for our credit businesses during the quarter. As we previously mentioned, the appetite for credit by lenders has also been robust, and we renewed 2 facilities for approximately $700 million, upsizing 1 facility by $100 million since the beginning of Q3 at tighter spreads to SOFR and improved advance rates. We continue to expand our suite of financing options available to us and have various additional funding initiatives underway for Q4 and beyond for both our resi and MSR businesses.

現在轉向融資細節。融資市場依然充裕且流動性充足。我們繼續看到對原子能機構和非原子能機構安全投資組合的資金需求強勁。我們的融資策略與前幾季一致，第三季報告的加權平均回購天數為52 天，高於第二季的44 天，因為我們希望在市場上尋找機會主義的長期交易，增加了25億美元的浮動利率回購本季期限超過 12 個月。本季我們繼續採取嚴格的方法來增加和擴大信貸業務的現有倉庫容量。正如我們之前提到的，貸方對信貸的興趣也很強勁，我們續簽了2 項貸款，金額約為7 億美元，自第三季度初以來，我們將1 項貸款規模擴大了1 億美元，與SOFR 的利差收窄，預付款率也有所提高。我們繼續擴大可用的融資方案，並在第四季度及以後為我們的 Resi 和 MSR 業務開展各種額外融資計劃。

As of the end of Q3, the $1.8 billion of unused warehouse capacity across our resi credit and MSR financing facilities provided us with a very comfortable liquidity position for these businesses. Impacted by the volatility experienced during the third quarter, our liquidity profile declined compared to prior quarters. However, it remained healthy with unencumbered assets of $4.7 billion compared to $6 billion in Q2, including cash and unencumbered agency assets of $2.8 billion for the quarter. The decrease in unencumbered assets primarily came from higher on balance sheet leverage for Agency MBS securities, offset by MSR purchases during the quarter.

截至第三季末，我們的 Resi 信貸和 MSR 融資設施中有 18 億美元的未使用倉庫容量，為我們這些業務提供了非常寬鬆的流動性狀況。受第三季波動的影響，我們的流動性狀況較前幾個季度下降。然而，其未支配資產保持健康，為 47 億美元，而第二季為 60 億美元，其中包括本季 28 億美元的現金和未支配代理資產。未支配資產的減少主要是由於機構 MBS 證券資產負債表槓桿率上升，但被本季度 MSR 購買所抵消。

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

我們準備好的演講到此結束，現在我們將開始提問。謝謝你，接線生。

(Operator Instructions) And the first question will come from Bose George with ABW (sic) [KBW].

（操作員說明）第一個問題將來自 Bose George 和 ABW（原文如此）[KBW]。

Actually, can I get an update for book value quarter-to-date?

實際上，我可以獲得季度至今帳面價值的更新嗎？

Sure, Bose. So I have as of Tuesday evening, which was off 11% for the quarter. So we're still trading well below book value.

當然，博斯。截至週二晚上，我的數據顯示該季度下降了 11%。因此，我們的交易價格仍然遠低於帳面價值。

Okay. Great. And then just switching to your MSR. So it's [not] 19% of capital. Can you just talk about the levered -- so the unlevered yield and I guess, the levered yield now that you have some asset-level leverage? And how large do you think the MSRs could get just given the opportunity that looks pretty attractive over the next year?

好的。偉大的。然後切換到 MSR。所以它[不是]資本的19%。可以談談槓桿嗎——無槓桿收益率，我想，既然你有一些資產水準的槓桿，槓桿收益率就可以了？如果考慮到明年看起來相當有吸引力的機會，您認為 MSR 可以發展到多大？

Sure. I'll start with the capital allocation, and Ken can talk about returns. So as we show, we have 1/3 of a turn of leverage on the MSR. What we've talked about in the past is that with the current composition of our MSR, which is deep, deep out of the money and relatively benign cash flows, you can apply leverage to that. And so the way we think about it is you could incorporate a turn of leverage into that. And if we did today -- if we did that today, you'd have roughly $1.15 billion in capital and $1.15 billion of debt. And so that would be a much lower capital allocation. And so as a consequence, thinking about it through that lens, we do have capacity to increase the MSR portfolio should the opportunity arise, and we have ample warehouse capacity to do so. And with that, Ken can talk about returns.

當然。我將從資本配置開始，肯可以談談回報。正如我們所展示的，我們對 MSR 擁有 1/3 的槓桿。我們過去討論過的是，根據我們 MSR 目前的組成，深度非常大，現金流量相對良性，你可以對此應用槓桿。因此，我們的想法是，你可以將槓桿作用融入其中。如果我們今天這樣做，那麼您將擁有大約 11.5 億美元的資本和 11.5 億美元的債務。因此，這將是一個低得多的資本配置。因此，從這個角度思考，如果機會出現，我們確實有能力增加 MSR 產品組合，而且我們有足夠的倉庫容量來這樣做。這樣，肯就可以談論回報了。

Yes, sure. Returns on the sort of MSR we've been participating in on an unlevered basis are in the 9.5% to 10% range and adding leverage to that, we get to the up to the 12% to 13% sort of level. More generic MSR has higher stated returns because it's more negatively convexed.

是的，當然。我們在無槓桿基礎上參與的 MSR 回報率在 9.5% 到 10% 範圍內，加上槓桿，我們達到了 12% 到 13% 的水平。更通用的 MSR 具有更高的預期回報，因為它的負凸性更強。

The next question will come from Crispin Love with Piper Sandler.

下一個問題將由 Crispin Love 和 Piper Sandler 提出。

First off, can you just speak to how you and the Board are thinking about the dividend right now? We have earnings coverage right now on the dividend, but the dividend yield and yield on book value has increased as book value has been under pressure and those are the same reasons that warranted your last decrease in the dividend earlier this year. So curious on how you and the Board are balancing earnings coverage plus a higher dividend yield on book value. And then what all those mean for the sustainability of the dividend.

首先，您能談談您和董事會目前對股利的看法嗎？我們現在對股息有獲利覆蓋，但由於帳面價值一直面臨壓力，股息殖利率和帳面價值收益率有所增加，這些也是導致今年稍早股息減少的原因。很好奇您和董事會如何平衡獲利覆蓋率和帳面價值的更高股息收益率。那麼所有這些對於股息的可持續性意味著什麼。

Sure, Chris. So as we've talked about in the past, the Board evaluates our dividend every quarter. And we have 3 criteria by which we set it. We want it to be a competitive dividend yield with the peer set. It should be consistent with our historical payout and it should be sustainable to the extent we have line of sight into earnings in the future. Now as you mentioned, we did modestly out earn our dividend in the third quarter. In terms of Q4, we expect EAD to be contextual with the dividend. Beyond that, a lot depends on, for example, how the Fed behaves and other factors, and we don't have guidance beyond 2023. But rest assured, it's always a conversation for our Board, and we feel good about this quarter.

當然，克里斯。正如我們過去談到的，董事會每季都會評估我們的股利。我們設定了 3 個標準。我們希望它的股息殖利率與同業相比具有競爭力。它應該與我們的歷史支出保持一致，並且在我們對未來收益有預見性的範圍內應該是可持續的。正如您所提到的，我們在第三季確實略微超出了股息。就第四季而言，我們預計 EAD 將與股息相關。除此之外，很大程度上取決於聯準會的行為和其他因素，而且我們沒有 2023 年之後的指導。

Appreciate the comments there. And David, you made some comments earlier in the call about Agency MBS valuations looking attractive and how investor sentiment should improve here and we could see some tightening over the medium term. I'm curious if you could just expand on that a little bit. What type of tightening do you think would make sense? Or said differently, how far do you think we are from fair value? And kind of what do you mean by medium term and how long that could be just given the rate volatility we're seeing currently?

感謝那裡的評論。大衛，您在電話會議早些時候發表了一些評論，稱機構 MBS 估值看起來很有吸引力，以及投資者情緒應如何改善，我們可能會看到中期收緊政策。我很好奇你是否可以稍微擴充一下。您認為什麼樣的緊縮措施才有意義？或者換句話說，您認為我們距離公允價值還有多遠？中期是什麼意思？

Yes. That's a great question, Crispin. So as I mentioned in the prepared remarks, we are reliant on the money manager community to be the support for Agency MBS. Obviously, the Fed is running off their portfolio and banks are on the sidelines. So a lot will depend on flows in the money managers. And one of the considerations that I think will be required for consistent durable flows is a decrease in volatility and hopefully an end to the Fed hiking cycle. But with levels of current volatility in the market, we do think there should be some tightening just given we're at historically wide levels, and we think a fair value would be roughly 20 basis points tighter than the current level. And should volatility decline, then you would expect to see even more incremental tightening from there. But look, it's an uncertain time. There is still a lot of volatility and the technicals are somewhat daunting insofar as banks and the Fed, obviously, net sellers. So we're being patient. We're managing leverage judiciously, and we're optimistic on mortgages, but we got to be disciplined here.

是的。這是一個很好的問題，克里斯平。正如我在準備好的演講中提到的，我們依靠資金經理社群來為機構 MBS 提供支援。顯然，聯準會正在縮減其投資組合，而銀行則處於觀望狀態。因此，很大程度取決於資金管理者的流動。我認為持續的持久資金流動需要考慮的因素之一是波動性的降低，並有望結束聯準會的升息週期。但考慮到當前市場的波動水平，我們確實認為考慮到我們處於歷史寬幅水平，應該採取一些緊縮措施，並且我們認為公允價值將比當前水平收緊約 20 個基點。如果波動性下降，那麼您預計會看到更多的漸進緊縮政策。但看，這是一個不確定的時期。波動性仍然很大，而且對於銀行和聯準會來說，顯然是淨賣家，技術面有些令人畏懼。所以我們要有耐心。我們明智地管理槓桿，我們對抵押貸款持樂觀態度，但我們必須在這方面遵守紀律。

The next question will come from Trevor Cranston with JMP Securities.

下一個問題將由 JMP 證券公司的 Trevor Cranston 提出。

A follow-up to the comment you made about the book value movement so far in October. Can you comment on any changes you made alongside that to the portfolio in terms of asset composition or the size of the agency book? And also maybe comment on where your leverage stands today.

您對 10 月迄今為止的帳面價值變動發表的評論的後續行動。您能否評論一下您在資產構成或機構帳簿規模方面對投資組合所做的任何改變？也許還可以評論一下你今天的影響力。

Sure. So look, we are very disciplined when it comes to managing liquidity and leverage. And so as a consequence, we have reduced the portfolio to maintain leverage consistent and actually even maybe a tiny bit lower than we ended the fourth quarter. Does that help?

當然。所以看，我們在管理流動性和槓桿方面非常自律。因此，我們減少了投資組合，以保持槓桿率一致，實際上甚至可能比第四季末低一點。這樣有幫助嗎？

Yes.

是的。

Sorry, third quarter. So we manage leverage. We sold assets, but we feel good about where the portfolio sits, particularly from a liquidity standpoint now.

抱歉，第三季。所以我們管理槓桿。我們出售了資產，但我們對投資組合的狀況感到滿意，特別是從現在的流動性角度來看。

Okay. Great. And then obviously, you guys have been pretty successful growing the non-Agency conduit. Can you talk generally about how you think the movement higher in rates will impact that business sort of over the coming couple of quarters?

好的。偉大的。顯然，你們已經非常成功地發展了非機構管道。您能否概括地談談您認為利率上升將如何影響未來幾季的業務？

Yes. So I'll start and then Mike can hand it off. We've been very pleasantly surprised with the growth in the correspondent channel, particularly as mortgage rates have increased and originations have slowed quite a bit. But the fact of the matter is we have taken a lot of market share. We've expanded our partnerships across the originator community, and it's been a welcome development for the resi business. And Mike, do you want to add to that?

是的。那我先開始，然後麥克就可以把它交給我了。我們對代理商管道的成長感到非常驚喜，特別是抵押貸款利率上升且貸款發放速度大幅放緩。但事實是我們已經佔據了許多市場。我們擴大了與發起者社群的合作關係，這對 Resi 業務來說是一個值得歡迎的發展。麥克，你想補充一下嗎？

Sure. Thanks for the question, Trevor. I think in terms of kind of where we're at with the correspondent build, we're probably 65% to 70% there. We have 180 approved correspondents. We have 30 to 40 correspondents that are in our pipeline that want to be Onslow Bay approved sellers. So I think the stability of our capital, the stability of our operations with our counterparts I think over the last number of years have led our reputation that to be involved in this market, being involved with Onslow Bay is something that makes sense.

當然。謝謝你的提問，特雷弗。我認為就我們對應的構建而言，我們可能達到了 65% 到 70%。我們有 180 位經批准的通訊員。我們有 30 到 40 名通訊員正在籌備中，希望成為昂斯洛灣認可的賣家。因此，我認為我們資本的穩定性，我們與同行的業務穩定性，我認為在過去的幾年裡，我們的聲譽提高了我們的聲譽，參與這個市場，參與 Onslow Bay 是有意義的。

In terms of momentum, we had over $900 million of locks in August. We had over $800 million of locks in September. And I think in October, we'll probably have close to $750 million to $800 million of locks. A lot of that volume ultimately is coming from gaining market share, but a lot of it also, too, is we have a number of exclusive relationships with very large non-bank originators that don't partner with that broad of a universe. So I think synergies with the MSR portfolio, our MSR business, buying MSR from a number of these counterparties also helps on the relationship on the correspondent side.

就勢頭而言，8 月我們鎖定了超過 9 億美元的資金。 9 月我們有超過 8 億美元的鎖。我認為到 10 月份，我們可能會擁有價值接近 7.5 億至 8 億美元的鎖。其中很大一部分交易量最終來自於獲得市場份額，但也有很大一部分是我們與非常大的非銀行發起者建立了許多排他性關係，而這些發起者並不與那麼廣泛的領域合作。因此，我認為與 MSR 投資組合、我們的 MSR 業務、從許多交易對手購買 MSR 的協同效應也有助於與代理商方的關係。

And lastly, I'll say that the borrower is a little bit different borrower than the conforming market. I think on the conforming side, about 90% of the volume right now is purchased. What we are seeing through our correspondent channel, about 20% is cash out at 10% is still rate in term refi. So it is less dependent on the purchase market, which is at close to 30-year lows.

最後，我要說的是，借款人與順應市場的借款人略有不同。我認為從合格方面來看，目前大約 90% 的數量是購買的。我們透過我們的代理商管道看到，大約20%是套現，10%仍然是期限再融資的利率。因此，它對採購市場的依賴程度較低，目前採購市場已接近 30 年來的低點。

The next question will come from Rick Shane with JPM.

下一個問題將由摩根大通的 Rick Shane 提出。

There were some comments about incremental investments in the agency CMBS business. And when we look at Slide 6, it's actually -- the economic returns aren't mentioned there. I'm curious if you could help us understand that a little bit better. I'm assuming the attractiveness is the lack of prepayment optionality and the lack of negative convexity that you see in the Agency book at this point. Can you just sort of walk through how you approach that business a little in more detail?

對於代理 CMBS 業務的增量投資有一些評論。當我們看幻燈片 6 時，實際上——那裡沒有提到經濟回報。我很好奇你是否能幫助我們更好地理解這一點。我假設其吸引力在於缺乏預付款選擇權以及缺乏您在代理書中看到的負凸性。您能否更詳細地介紹一下您是如何處理該業務的？

This is Srini. Thanks for the question. Basically, Agency CMBS is almost like a bullet cash flow and with spreads north of 110 basis points. You will earn all of that. It's like OAS or MBS. So at 110 basis points of spread, you assume like a 7x leverage, it gets you to about SOFR plus 10%. So it's in the high -- mid- to high teens. But the advantage of that over MBS is just that you don't have slippage, you generally tend to earn the entire amount. And if you just go back 2 years, these spreads were at 15 basis points. So this is at a pretty attractive level for a cash flow that is very little optionality or very little risk.

這是斯里尼。謝謝你的提問。基本上，機構 CMBS 幾乎就像子彈現金流，利差超過 110 個基點。你將贏得這一切。這就像美洲國家組織或MBS。因此，在 110 個基點的利差下，您假設 7 倍槓桿，它會讓您獲得大約 SOFR 加 10%。所以它處於高中-中高中。但與 MBS 相比，它的優勢在於您不會出現滑點，您通常會賺取全部金額。如果你回到 2 年前，這些利差是 15 個基點。因此，對於選擇性很小或風險很小的現金流來說，這是一個相當有吸引力的水平。

And also, as I mentioned, Rick, the technical landscape for Agency CMBS is better than Agency MBS.

而且，正如我所提到的，Rick，Agency CMBS 的技術前景比 Agency MBS 更好。

Got it. And is that consistent with your strategy of hedging further out on the curve? Or is it, I guess, tied to because of the longer, more predictable duration of the agency CMBS?

知道了。這是否符合您進一步對沖曲線的策略？或者，我猜，這與機構 CMBS 的持續時間更長、更可預測有關？

I think we own -- when we buy the CMBS, we think of it as buying it on a swap basis. So we would hedge the duration completely and own it on a swap basis.

我認為我們擁有——當我們購買 CMBS 時，我們認為它是在掉期基礎上購買的。因此，我們將完全對沖久期並在掉期基礎上擁有它。

Okay. And what are the durations that you're assuming associated with them just so we understand how to think about how that's going to impact the hedge book?

好的。您假設與它們相關的持續時間是多少，以便我們了解如何考慮這將如何影響對沖帳簿？

I mean the duration on these will be right around 8 years. They're very similar to 10-year treasury cash flows.

我的意思是這些的持續時間大約是 8 年。它們與 10 年期國庫現金流非常相似。

The next question will come from Eric Hagen with BTIG.

下一個問題將由 BTIG 的 Eric Hagen 提出。

So first question here, I mean how are you guys feeling about the shape of the capital structure? Just the mix of common and preferred? How much leverage to common stock you're willing to tolerate at these spread levels?

所以第一個問題，我的意思是你們對資本結構的形狀有何看法？只是常見和首選的混合？在這些價差水準上，您願意容忍多少普通股槓桿？

Yes. So look, we entered this period with very little capital structure leverage. We average around 12% to 13% of our capital in preferreds. With common deterioration, we're up to 15%, which is still quite low, certainly relative to the sector and particularly when you consider the alternative businesses that are less levered from a balance sheet standpoint. And the way we look at it is we do have a floating rate preferreds, obviously, now. And the fact that the curve steepened as much as it did, the cost of our preferreds on a forward basis didn't increase much at all, while the asset side of the equation actually became a lot more ample.

是的。所以看，我們進入這個時期時資本結構槓桿非常小。我們平均將 12% 至 13% 的資本投資於優先股。隨著普遍惡化，我們的比率達到 15%，這仍然相當低，當然相對於該行業而言，尤其是當您考慮從資產負債表的角度來看槓桿率較低的另類業務時。我們看待它的方式是，顯然，我們現在確實有浮動利率偏好。事實上，隨著曲線變得越來越陡峭，我們的遠期優先股成本根本沒有增加太多，而等式的資產方面實際上變得更加充足。

And so from a cost of capital standpoint, preferred actually looks more reasonable today than it did, say, at the end of the second quarter. We do have capacity to increase it, but that market has been closed really. There's been a couple of bank deals and not much else. To the extent we can refi at some point, we would look at it, but it's not there now, and we'll see how that market develops.

因此，從資本成本的角度來看，今天的首選實際上看起來比第二季末更合理。我們確實有能力增加它，但這個市場實際上已經關閉了。已經有幾筆銀行交易了，除此之外就沒有什麼了。在某種程度上，我們可以在某個時候重新融資，我們會關注它，但現在還沒有，我們將看看這個市場如何發展。

Right. No, that's helpful. And so how are we also thinking about hedging your cost of funds at the short end of the yield curve, especially if it looks like the Fed could really cut rates next year, and that begins to get embedded into the forward curve even more?

正確的。不，這很有幫助。那麼，我們如何考慮在殖利率曲線的短端對沖資金成本，特別是如果聯準會明年真的可能降息，並且開始更多地融入遠期曲線的話？

Yes. You bet, Eric. So we're keeping our repo profile relatively sure. We do think -- although there's 1/3 of a probability of another hike, we think it's somewhat unlikely. And so we're kind of pivoting to a point where the next move, to your point, would be cut. And so we're managing it very nimbly and most of our focus is on hedging out the curve because we do think that's really where the risk is given just the amount of supply coming to the market, particularly from the treasury market next year. I think there's projected to be $1.7 trillion in net treasury issuance. And then you also have fed runoff to the tune of $900 billion between treasuries and Agency MBS. So a lot of the focus is out the curve as you see in the change in composition in our hedge profile quarter-over-quarter.

是的。你敢打賭，艾瑞克。因此，我們保持我們的回購配置相對確定。我們確實認為——儘管有 1/3 的可能性再次加息，但我們認為這有點不太可能。因此，我們正在轉向一個點，按照你的觀點，下一步行動將被削減。因此，我們非常靈活地管理它，我們的大部分重點是對沖曲線，因為我們確實認為這實際上是市場供應量的風險所在，特別是來自明年國債市場的供應量。我認為國債淨發行量預計將達到 1.7 兆美元。然後，您還在財政部和機構 MBS 之間注入了 9000 億美元的資金。因此，正如您在我們的對沖概況中季度環比的組成變化中看到的那樣，許多關注點都在曲線之外。

(Operator Instructions) Our next question will come from Matthew Erdner with JonesTrading.

（操作員說明）我們的下一個問題將來自 JonesTrading 的 Matthew Erdner。

David, you just mentioned the composition of the hedge portfolio. Could you talk a little more about the added use of futures and kind of if you're still sitting in that 7- to 20-year part of the curve there?

大衛，您剛才提到了對沖投資組合的構成。您能否多談談期貨的附加用途以及您是否仍處於曲線的 7 至 20 年部分？

Yes, we are. So in terms of the additions in the futures, look, at the end of the day, the way we looked at it was we wanted the liquidity of the futures market. We wanted to add hedges. We did a lot of that early in the quarter. And our composition of hedges was underweight futures relative to where we have historically been. So now we're up to 24% of the hedges in futures, which we're comfortable with. And now one point to note is that swaps have generated really the vast majority of the income just given the shape of the curve, and you don't get that benefit from futures. And so it does dampen EAD to some extent, but we're okay with that.

是的，我們是。因此，就期貨的增加而言，歸根結底，我們的看法是我們想要期貨市場的流動性。我們想添加樹籬。我們在本季初做了很多這樣的事情。相對於我們的歷史水平，我們的對沖組合是低配期貨。所以現在我們在期貨中進行了高達 24% 的對沖，我們對此感到滿意。現在需要注意的一點是，只考慮到曲線的形狀，掉期實際上就產生了絕大多數收入，而你無法從期貨中獲得這種好處。因此，它確實在一定程度上抑制了 EAD，但我們對此表示同意。

Got you. And then do you expect to kind of increase or decrease futures? Or are you guys kind of comfortable with the level that you're at right now?

明白你了。然後你預計期貨會增加還是減少？或者你們對自己現在的水平感到滿意嗎？

We'll see how the market evolves, but we're comfortable with where we're at.

我們將看到市場如何發展，但我們對目前的處境感到滿意。

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

我們的問答環節到此結束。我想將會議轉回給大衛·芬克爾斯坦先生發表閉幕詞。請繼續，先生。

Thank you, Chuck, and thanks for joining us today, and good luck, everyone.

謝謝你，查克，謝謝你今天加入我們，祝大家好運。

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

會議現已結束。感謝您參加今天的演講。您現在可以斷開連線。