Annaly Capital Management Inc (NLY) 2023 Q4 法說會逐字稿

Good day, and welcome to the Fourth Quarter 2023 Annaly Capital Management Earnings Conference. Please note that today's event is being recorded. I would now like to turn the conference over to Mr. Sean Kensil, Director and Investor Relations. Please go ahead, sir.

大家好，歡迎參加 2023 年第四季安納利資本管理收益會議。請注意，今天的活動正在錄製中。現在我想將會議交給董事兼投資者關係 Sean Kensil 先生。請繼續，先生。

Good morning, and welcome to the Fourth 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. 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.

早安，歡迎參加 Annaly Capital Management 2023 年第四季財報電話會議。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。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。

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.

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任何更新或修改此資訊的義務。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。

Content referenced in today's call can be found in our fourth quarter 2023 investor presentation and fourth quarter 2023 supplemental information, both found under the Presentations section of our website. 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 Chief Investment Officer and Head of Residential Credit; V.S. Srinivasan, Head of Agency; and Ken Adler, Head of Mortgage Servicing Rights. And with that, I'll turn the call over to David.

今天電話會議中引用的內容可以在我們的 2023 年第四季投資者簡報和 2023 年第四季補充資料中找到，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。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。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 brief review of the fourth quarter market environment and our portfolio performance then discuss the current macro landscape, followed by an update on our businesses and our outlook for 2024. Serena will then discuss our financials before opening up the call for Q&A.

謝謝你，肖恩。大家早安，感謝您今天加入我們。我將首先簡要回顧第四季度的市場環境和我們的投資組合表現，然後討論當前的宏觀形勢，然後介紹我們業務的最新情況和2024 年的前景。然後，Serena 將討論我們的財務狀況，然後開始徵集問答。

Now as all are aware, fixed income markets exhibited considerable volatility in the fourth quarter, as evidenced by the 10-year treasury trading in a 120 basis point range, peaking at 5% in mid-October before rallying throughout November and December. The second half of the quarter prove beneficial to mortgage assets as implied volatility declined.

現在眾所周知，固定收益市場在第四季度表現出相當大的波動，10 年期國債交易在120 個基點範圍內證明了這一點，在10 月中旬達到5% 的峰值，然後在整個11 月和12月反彈。由於隱含波動率下降，本季下半年對抵押貸款資產有利。

The yield curve modestly steepened and agency spreads tightened meaningfully. We were well positioned to take advantage of this environment, delivering a 10.1% economic return for the quarter, and we outearned our dividend with earnings available for distribution of $0.68 per share. And we achieved these results with lower economic leverage, which declined to 5.7 turns at the end of the quarter.

殖利率曲線小幅陡峭，機構利差顯著收緊。我們處於有利位置，能夠充分利用這一環境，本季實現了 10.1% 的經濟回報，我們的可分配收益為每股 0.68 美元，超過了股息。我們在較低的經濟槓桿下取得了這些成果，該槓桿在本季末降至 5.7 倍。

And as we reflect on 2023, we are pleased to have generated a 6% economic return in a year characterized by numerous unforeseen risk events. We believe that our performance on the year demonstrates the value of our diversified housing finance model and our disciplined portfolio and risk management.

當我們回顧 2023 年時，我們很高興在充滿大量不可預見風險事件的一年中實現了 6% 的經濟回報。我們相信，我們今年的業績體現了我們多元化的房屋融資模式以及嚴格的投資組合和風險管理的價值。

Now turning to the macro environment. The primary driver of the strong demand for fixed income since November can largely be attributed to a shift in the Federal Reserve's communications, moving away from the higher for longer narrative, beneficial began to express comfort around the decline in inflation, suggesting that risks around the monetary policy outlook are more balanced.

現在轉向宏觀環境。自11 月以來固定收益需求強勁的主要驅動力在很大程度上可歸因於聯準會溝通方式的轉變，從較高的敘述轉向較長的敘述，有益的開始對通膨下降表示安慰，這表明圍繞通膨的風險貨幣政策前景更加平衡。

Normalization of policy is likely to begin in 2024, as long as inflation continues to moderate. And while not declaring victory just yet, as evidenced by Chair Powell's recent statements, policymakers are keen to ensure that a soft landing can actually occur. Powell also highlighted that future balance sheet discussions will occur in the upcoming March meeting, noting policy rates and the potential tapering in the balance sheet as independent tools.

只要通膨持續緩和，政策正常化就可能在 2024 年開始。儘管尚未宣布勝利，但正如鮑威爾主席最近的聲明所證明的那樣，政策制定者熱衷於確保軟著陸實際上能夠發生。鮑威爾也強調，未來的資產負債表討論將在即將舉行的三月會議上進行，並指出政策利率和資產負債表縮減的可能性是獨立的工具。

And while existing financing conditions remain ample, we're encouraged that the Fed appears to be signaling a conservative approach with regard to its balance sheet and liquidity in the financial system. Now a second factor leading to the decline in yields in the fourth quarter is the change in debt issuance dynamics as the treasury chose to issue incremental supply in the front end of the yield curve, taking advantage of the record amount of cash in money market funds, while exerting less pressure on longer-term yields. Now the broader domestic economy remains strong with Q4 GDP at 3.3%, the unemployment rate at 3.7% and consumers still exhibiting spending strength.

儘管現有融資條件仍然充足，但令我們感到鼓舞的是，聯準會似乎暗示對其資產負債表和金融體系流動性採取保守態度。現在導致第四季殖利率下降的第二個因素是債務發行動態的變化，財政部選擇利用貨幣市場基金創紀錄的現金量在殖利率曲線前端發行增量供應，同時對長期收益率施加較小的壓力。現在，更廣泛的國內經濟仍然強勁，第四季 GDP 為 3.3%，失業率為 3.7%，消費者仍表現出支出強勁。

Inflation, meanwhile, has moderated meaningfully and absent a shock core PCE should benefit from base effects to bring year-over-year measures towards 2.5% in the coming months. Now looking at the housing sector, home prices outperformed the market's expectations over the last couple of years despite mortgage rates reaching 20-year highs. HPA has continued to benefit from existing homeowners experiencing lock-in effect, resulting in low available-for-sale inventory as borrowers, who struck below current market mortgage rates are unwilling to move or trade up.

同時，通膨已顯著放緩，並且在沒有衝擊的情況下，核心個人消費支出應該會受益於基數效應，在未來幾個月內將同比指標推向2.5%。現在看看房地產行業，儘管抵押貸款利率達到20年來的高點，但過去幾年房價的表現超出了市場預期。 HPA 繼續受益於現有房主的鎖定效應，導致可售庫存較低，因為低於當前市場抵押貸款利率的借款人不願搬遷或升級。

Housing activity remains subdued, although we have seen modest signs of an uptick in demand following the recent decline in mortgage rates. And all told, we're constructive on the housing sector should the labor market and the consumer remain resilient and in line with the soft landing scenario. Now shifting to our portfolio and beginning with the agency sector. Much of our agency reduction occurred at the very outset of the quarter, which left us well prepared for the spread widening and volatility the market experienced as October progressed. And as volatility subsided and spreads normalized, we rotated out of lower coupons in TBAs and in the higher coupon specified pools.

儘管我們看到近期抵押貸款利率下降後需求略有上升的跡象，但房屋活動仍然低迷。總而言之，如果勞動力市場和消費者保持彈性並符合軟著陸情景，我們對房地產行業持建設性態度。現在轉向我們的投資組合，從代理商行業開始。我們的機構削減大部分發生在本季之初，這讓我們為 10 月市場經歷的利差擴大和波動做好了充分準備。隨著波動性減弱和利差正常化，我們從 TBA 中的較低息票和較高息票指定池中輪換。

We remain disciplined in our selection of specified pool stories favoring high-quality prepaid protected securities, which represented the vast majority of our higher coupon purchases. In addition, we opportunistically grew our Agency CMBS holdings by $1.2 billion as the sector did lag the move tighter in Agency MBS locking in attractive spreads and increasing the portfolio size to $3.2 billion in market value. Fixed rate Agency CMBS is a complementary asset to our agency portfolio as it provides a high-yielding, stable cash flow with minimal convexity exposure.

我們仍然嚴格選擇特定的池故事，偏向於高品質的預付受保護證券，這代表了我們高票息購買的絕大多數。此外，我們趁機將我們的機構 CMBS 持有量增加了 12 億美元，因為該行業確實落後於機構 MBS 鎖定有吸引力的利差並將投資組合規模增加至 32 億美元的市值。固定利率代理 CMBS 是我們代理投資組合的補充資產，因為它提供高收益、穩定的現金流，且凸度風險最小。

Our agency strategy overall represented 62% of our dedicated equity at quarter end, down from 64% the quarter prior as we further reallocated out of agency in favor of resi credit and MSR late in the quarter. As it relates to our hedges, our balanced liability position helped protect us from the elevated rate volatility experienced during the first half of the quarter. One adjustment we did make tactically, however, was we rotated from treasury futures into SOFR swaps at the very front end of the yield curve given the particularly tight level of swap spreads experienced in the year-end.

截至季末，我們的代理策略總體占我們專用股本的 62%，低於上一季的 64%，因為我們在本季末進一步重新配置代理，轉而支持 Resi 信貸和 MSR。由於與我們的對沖相關，我們的平衡負債部位有助於保護我們免受本季上半年利率波動加劇的影響。然而，我們在戰術上確實做出了一項調整，即考慮到年底掉期利差水平特別緊張，我們在殖利率曲線的最前端從國債期貨轉向了 SOFR 掉期。

And overall, we remain conservatively positioned as it relates to our rate exposure as seen through our 106% hedge ratio and rate shock tables. However, given the changing policy landscape, we may reach a point, where we'll begin to feel more comfortable adding duration of the portfolio in the near future. And as we begin 2024 with the Fed's pivot to a more neutral monetary policy, the distribution of future rate path has narrowed which has resulted in a decline in implied volatility.

總體而言，我們仍然保持保守立場，因為這與我們的利率風險相關，從我們 106% 的對沖比率和利率衝擊表可以看出。然而，考慮到不斷變化的政策環境，我們可能會達到一個臨界點，在不久的將來，我們將開始更放心地增加投資組合的久期。隨著 2024 年聯準會轉向更中性的貨幣政策，未來利率路徑的分佈已經收窄，導致隱含波動率下降。

We'll likely see rate cuts materialize as we approach midyear, which historically have been a catalyst for inflows in fixed income funds. And furthermore, an earlier end to QT should help stabilize deposits, which, along with incremental regulatory clarity, should support bank demand. In coincident with these improving technical factors, MBS are at historically attractive spreads, particularly relative to fixed income alternatives, while convexity and prepayment risk in the market remains relatively low.

隨著年中臨近，我們可能會看到降息成為現實，從歷史上看，降息一直是固定收益基金資金流入的催化劑。此外，提前結束量化寬鬆應該有助於穩定存款，再加上監管透明度的不斷提高，應該會支持銀行需求。與這些不斷改善的技術因素一致，MBS 的利差處於歷史上有吸引力的水平，特別是相對於固定收益替代品而言，而市場的凸度和提前還款風險仍然相對較低。

Now turning to the residential credit market. The non-Agency sector participated in the broader fixed income risk on sentiment to end the year with AAA non-QM spreads, 20 basis points tighter and below investment-grade CRT, 60 basis points tighter quarter-over-quarter.

現在轉向住宅信貸市場。截至年底，非機構部門參與了更廣泛的固定收益風險，非 QM 利差為 AAA，較上一季收窄 20 個基點，低於投資級 CRT，較上一季收窄 60 個基點。

Our resi portfolio ended the year at $5.7 billion in market value, up 14% year-over-year and currently comprises 20% of the firm's capital. The growth in the portfolio can be attributed to our organic whole loan acquisition and Onslow based securitization strategy. And the OBX retained portfolio and whole loan position now account for roughly half of the total resi portfolio assets. Residential whole loan acquisitions continue to be strong in Q4 as we settled $1.8 billion in loans of which $1.6 billion was sourced directly through our correspondent channel.

截至年底，我們的 Resi 投資組合市值達到 57 億美元，年增 14%，目前占公司資本的 20%。投資組合的成長可歸因於我們的有機整體貸款收購和基於 Onslow 的證券化策略。 OBX 保留投資組合和整個貸款部位目前約佔 Resi 投資組合資產總額的一半。第四季住宅整體貸款收購持續強勁，我們結清了 18 億美元的貸款，其中 16 億美元是直接透過我們的代理商管道取得的。

Lock volume was robust in the fourth quarter at $2.7 billion, a 13% increase quarter-over-quarter despite winter seasonals. In our quarter end correspondent pipeline was $1.6 billion with strong credit characteristics as demonstrated by a 748 FICO and 70% CLTV. And since the beginning of the fourth quarter, we securitized 7 OBX transactions for $2.8 billion, inclusive of 3 transactions priced subsequent to quarter end, and these securitizations generated $290 million of assets that projected mid-teens returns, utilizing modest recourse leverage.

第四季鎖倉量強勁，達到 27 億美元，儘管處於冬季，但環比成長 13%。在我們的季度末，代理商通路為 16 億美元，具有強大的信用特徵，748 FICO 和 70% CLTV 就證明了這一點。自第四季初以來，我們對7 筆OBX 交易進行了證券化，價值28 億美元，其中包括3 筆在季度末後定價的交易，這些證券化利用適度的追索槓桿，產生了2.9 億美元的資產，預期報酬率為10% 左右。

Onslow Bay continues to be a leader in the residential credit market as we remain the largest non-bank securitizer and second largest overall over the past 2 years. In addition, we have the lowest delinquency rates across the 10 largest non-QM issuers. And also to note, we were just able to sell the tightest new issue AAA bond executed in 2024 year-to-date. And our correspondent channel remains our preferred investment option within residential credit, allowing us to organically manufacture assets while maintaining control over pricing, our partners, diligence, credit and volume.

Onslow Bay 繼續成為住宅信貸市場的領導者，因為我們在過去兩年中仍然是最大的非銀行證券化機構和第二大非銀行證券化機構。此外，我們的拖欠率是 10 家最大的非 QM 發行人中最低的。另請注意，我們只能出售 2024 年迄今執行的最緊縮的新發行 AAA 債券。我們的代理商管道仍然是我們在住宅信貸領域的首選投資選擇，使我們能夠有機地製造資產，同時保持對定價、合作夥伴、盡職調查、信貸和數量的控制。

Now shifting to MSR. Our portfolio increased by 18% or $400 million in market value in the fourth quarter through the purchase of 3 bulk packages in addition to modest flow acquisitions. And our MSR portfolio, inclusive of forward settling trades increased nearly 50% throughout 2023 to end December at $2.7 billion in market value making Onslow Bay a top 10 nonbank owner of servicing rights.

現在轉向MSR。透過購買 3 個散裝包以及適度的流量收購，我們的投資組合在第四季度增加了 18%，即 4 億美元的市場價值。截至 12 月底，我們的 MSR 投資組合（包括遠期結算交易）在 2023 年全年增長了近 50%，市值達到 27 億美元，使 Onslow Bay 成為服務權的十大非銀行所有者。

The MSR market had an active Q4 with bulk transactions up modestly quarter-over-quarter, capping a record 2023 that saw over $800 billion in principal balance trade. Annaly was able to capitalize on this significant supply, and we were the fifth largest buyer in the market, onboarding $42 billion in principal balance throughout the year. And consistent with our previous commentary, we continue to favor low note rate, high credit quality collateral and given the lack of refinance incentive, the portfolio is exhibiting highly stable cash flows and historically low prepayment speeds.

MSR 市場第四季表現活躍，大宗交易量較上季小幅成長，2023 年本金餘額交易金額創下歷史新高，超過 8,000 億美元。 Annaly 能夠充分利用這一大量供應，我們是市場上第五大買家，全年本金餘額達 420 億美元。與我們先前的評論一致，我們繼續青睞低票據利率、高信用品質抵押品，並且由於缺乏再融資激勵，該投資組合表現出高度穩定的現金流和歷史上較低的預付款速度。

The MSR portfolio had a 3-month CPR of 2.9% as of December approximately 40% lower than the MBS universe. And with our unique positioning in the MSR market as a preferred partner to originators in light of our scale and certainty of capital, we've been able to establish new relationships and expand our footprint. In particular, we've started to add flow sourcing partnerships, which we have begun selectively purchasing through this past quarter. And while low no rate collateral still our preferred segment of the MSR market. We expect these flow relationships to add a source of more predictable supply.

截至 12 月，MSR 投資組合的 3 個月 CPR 為 2.9%，比 MBS 低約 40%。憑藉我們在 MSR 市場的獨特定位，根據我們的規模和資本確定性，我們作為發起人的首選合作夥伴，我們已經能夠建立新的關係並擴大我們的足跡。特別是，我們已經開始增加流程採購合作夥伴關係，我們在上個季度開始有選擇地購買這些合作夥伴。雖然低利率無抵押品仍然是我們在 MSR 市場的首選部分。我們預期這些流動關係能增加更可預測的供應來源。

Now looking ahead, we anticipate the MSR market to be active this year, those sales may moderate from 2023's elevated levels. And we continue to be well positioned to add MSR with ample warehouse capacity, minimal leverage and a desire to continue to allocate capital to this strategy. Now to wrap up before handing off to Serena, I wanted to note that as always, we're cognizant of the risks on the horizon, and we remain prepared for additional market turbulence and vigilant as the operating environment evolves.

現在展望未來，我們預計今年 MSR 市場將會活躍，這些銷售額可能會較 2023 年的高水準有所放緩。我們將繼續處於有利位置，以充足的倉庫容量、最低的槓桿率以及繼續為此策略分配資本的願望來增加 MSR。現在，在交給 Serena 之前進行總結，我想指出，一如既往，我們認識到即將出現的風險，並且我們仍然為額外的市場動盪做好準備，並隨著營運環境的變化保持警惕。

That said, we're optimistic with respect to our outlook for each of our 3 businesses, and we believe that our 3 complementary fully skilled strategies should continue to provide Annaly's shareholders superior risk-adjusted returns a strong earnings profile and stability across different interest rate and macro environments. And with substantial liquidity, improving leverage, we remain ready to take advantage of opportunities, where we believe capital will be most accretive.

也就是說，我們對3 項業務的前景持樂觀態度，我們相信，我們的3 項互補的完全熟練策略應繼續為Annaly 的股東提供卓越的風險調整回報、強勁的盈利狀況以及不同利率下的穩定性和宏觀環境。憑藉大量的流動性和不斷提高的槓桿率，我們仍然準備好利用我們認為資本將最具增值性的機會。

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 fourth quarter and select year-to-date metrics for the year ended December 31, 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，我將提供第四季度的簡要財務亮點，並選擇截至2023 年12 月31 日的年度迄今為止的指標。與前幾季一致，雖然我們的收益發布披露了GAAP 和非GAAP 收益指標，但我的評論將重點放在我們的非 GAAP EAD 和相關關鍵績效指標，其中不包括 PAA。

As David mentioned earlier, 2023 was a year filled with substantial volatility, and our team managed the markets admirably, finishing the year strong, as demonstrated by our results for the quarter and full year. Our book value per share at year-end increased from the prior quarter to $19.44. And with our fourth quarter dividend of $0.65, we generated an economic return for the quarter of 10.1% and 6% for the year ended December 31, 2023.

正如 David 之前提到的，2023 年是充滿劇烈波動的一年，我們的團隊出色地管理了市場，以強勁的表現結束了這一年，正如我們本季度和全年的業績所證明的那樣。年末每股帳面價值較上季增加至 19.44 美元。由於第四季股息為 0.65 美元，我們在截至 2023 年 12 月 31 日的季度和全年的經濟回報率為 10.1% 和 6%。

In November and December, we experienced the investor of the prior quarter with a sharp rally in rates and strong performance of mortgage-related assets, which led to a net book value contribution of $6.74 per share from our Agency residential credit and MSR portfolios.

11 月和 12 月，我們經歷了上一季投資者的利率大幅上漲和抵押貸款相關資產的強勁表現，這導致我們的機構住宅信貸和 MSR 投資組合每股帳面淨值貢獻 6.74 美元。

These investment gains outpaced the losses on our hedging portfolio of roughly $5.56 per share. Earnings available for distribution increased compared to the third quarter by $0.02 per share to $0.68 for the fourth quarter. EAD benefited from a higher coupon on investments and lower repo expense due to lower average balances despite higher average repo rates, partially offset by a lower net interest income on swaps and certain positions rolled off with favorable net receive rates.

這些投資收益超過了我們對沖投資組合每股約 5.56 美元的損失。與第三季相比，第四季可供分配的每股收益增加了 0.02 美元，達到 0.68 美元。儘管平均回購利率較高，但由於平均餘額較低，EAD受益於較高的投資票息和較低的回購費用，部分被掉期淨利息收入較低和某些頭寸以有利的淨接收利率滾存所抵銷。

David referenced our continued rotation up in coupon in Agency MBS. We also saw an increase in weighted average coupon for our residential credit investments. Altogether, this portfolio positioning continues to provide increased yields as average yield ex-PAA rose again quarter-over-quarter, 18 basis points higher than the prior quarter at 4.64%. Similarly, NIM followed the same trajectory as EAD for the quarter with the portfolio generating 158 basis points of NIM ex PAA, a 10 basis point increase from Q3.

David 提到我們在 Agency MBS 的優惠券持續輪換。我們也看到住宅信貸投資的加權平均票息增加。總而言之，這種投資組合定位繼續提供更高的收益率，因為不計 PAA 的平均收益率再次環比上升，比上一季高出 18 個基點，達到 4.64%。同樣，本季 NIM 遵循與 EAD 相同的軌跡，該投資組合產生 158 個基點的 NIM（除 PAA），比第三季增加 10 個基點。

Net interest spread increased 4 basis points quarter-over-quarter at 122 basis points compared to 118 basis points in Q3 as agency yields increased at a higher rate than repo rates, net of swap interest. The total cost of funds continue to increase quarter-over-quarter, albeit at a reduced pace in comparison to prior periods, rising 14 basis points to 3.42% for the quarter. Meanwhile, our average repo rate for the quarter was 556 basis points compared to 544 basis points for the previous quarter. Despite this increase, our total economic interest expense was only up marginally at $665 million compared to $652 million in the prior quarter, primarily due to the decrease in average repo balances from $66 billion to $62 billion.

淨利差較上季增加 4 個基點，達到 122 個基點，而第三季為 118 個基點，原因是機構殖利率的增幅高於回購利率（扣除掉期利息）。資金總成本較上季持續成長，但成長速度較前期放緩，本季上升 14 個基點至 3.42%。同時，我們本季的平均回購利率為 556 個基點，而上一季為 544 個基點。儘管有所增加，但與上一季的 6.52 億美元相比，我們的總經濟利息支出僅小幅增加 6.65 億美元，這主要是由於平均回購餘額從 660 億美元減少到 620 億美元。

As noted above, our swap impact on the cost of funds further normalized due to the maturity of specific contracts, resulting in the net interest component of interest rate swaps declining by $15 million, which negatively impacted our cost of funds by approximately 4 basis points.

如上所述，由於特定合約的到期，我們的掉期對資金成本的影響進一步正常化，導致利率掉期的淨利息部分下降了1500 萬美元，這對我們的資金成本產生了約4 個基點的負面影響。

Turning to details on financing. Notwithstanding modest pressure we have noted in funding markets around quarter end. Funding markets remain ample and liquid. We continue to see strong demand for funding for our Agency and non-Agency security portfolios. And while we keep an eye on RRP volumes and treasury supply, we acknowledge that the Fed is very focused on liquidity and funding markets. Our repo strategy is consistent with prior quarters, and our Q4 reported weighted average repo days were 44 days, down from 52 days in Q3. Due to the roll down of longer-term trades completed in prior quarters.

轉向融資細節。儘管我們注意到季度末左右融資市場面臨適度壓力。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。雖然我們密切關注建議零售價數量和國債供應量，但我們承認聯準會非常關注流動性和融資市場。我們的回購策略與前幾季一致，第四季報告的加權平均回購天數為 44 天，低於第三季的 52 天。由於前幾季完成的長期交易減少。

Our treasury team continued to source additional funding options for our credit businesses and had another busy quarter, focusing on expanding warehouse capacity and achieving competitive financing terms for existing and new warehouse lenders. During the quarter, we upsized our committed MSR financing by $500 million and renewed a $400 million residential whole loan facility, incorporating a non-mark-to-market supplement. As of December 31, 2023, we have $3.6 billion of warehouse at a 38% utilization rate, leaving substantial capacity.

我們的財務團隊繼續為我們的信貸業務尋找額外的融資選擇，並度過了另一個繁忙的季度，重點是擴大倉庫容量並為現有和新的倉庫貸款人實現有競爭力的融資條件。本季度，我們將承諾的 MSR 融資增加了 5 億美元，並續簽了 4 億美元的住宅整體貸款融資，其中包括非以市價計價的補充。截至 2023 年 12 月 31 日，我們擁有價值 36 億美元的倉庫，利用率為 38%，保留大量產能。

Market fundamentals for the quarter aided our liquidity profile with unencumbered assets of $5.2 billion compared to $4.7 billion in Q3 including cash and unencumbered agency assets of $3.8 billion, an increase of $1 billion compared to the prior quarter. In addition, we have approximately $1 billion in fair value of MSR that has been pledged to committed warehouse facilities that remain undrawn. Together, we have roughly $6.2 billion in assets available for financing. Our disciplined approach to financing our credit businesses and prudent risk and cash management strategies have resulted in a very comfortable liquidity position to end the year.

本季的市場基本面有助於我們的流動性狀況，未支配資產為52 億美元，而第三季為47 億美元，其中包括現金和未支配機構資產38 億美元，比上一季增加10億美元。此外，我們還有約 10 億美元公允價值的 MSR，已承諾用於尚未提取的承諾倉庫設施。我們共有約 62 億美元的可用於融資的資產。我們嚴格的信貸業務融資方法以及審慎的風險和現金管理策略使我們在年底擁有非常寬鬆的流動性狀況。

And lastly, despite continued growth in our operating businesses during 2023, we efficiently managed our expenses, resulting in an OpEx-to-equity ratio of 1.42% for the year compared to 1.4% for the year ended December 31, 2022. That concludes our prepared remarks, and we will now open the line for questions. Thank you, operator.

最後，儘管我們的營運業務在 2023 年持續成長，但我們有效地管理了支出，全年營運支出與股本比率為 1.42%，而截至 2022 年 12 月 31 日止年度為 1.4%。準備好了發言，我們現在開始提問。謝謝你，接線生。

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

（操作員說明）第一個問題將由 KBW 的 Bose George 提出。

Just wanted to start with the question just about the sort of the best place for allocating new capital. You seem to lean into credit a little more. Just curious if you could see that continue in 2024.

我只想從關於分配新資本的最佳地點的問題開始。你似乎更傾向於信貸。只是好奇你是否能在 2024 年看到這種情況繼續下去。

Sure. Yes, we could see that continuing. I think one of the points we noted is just the acceleration in activity in the conduit channel and ultimate financing through securitization. So we do feel good about growing the credit portfolio, primarily through the Onslow Bay channel, and we'll look for more opportunities to do so.

當然。是的，我們可以看到這種情況繼續下去。我認為我們注意到的一點是渠道活動的加速以及透過證券化的最終融資。因此，我們確實對主要透過昂斯洛灣管道擴大信貸投資組合感到滿意，我們將尋找更多這樣做的機會。

I think the market share that Mike has captured as it relates to the non-QM market, I think it's been impressive. We had our highest lock volume and purchase volume last quarter in a quarter where origination declined. So we feel really good about it, and we would expect to increase capital towards that effort.

我認為麥克在非品質管理市場上所佔據的市場份額令人印象深刻。上個季度我們的鎖定量和購買量在發起量下降的季度達到最高水準。因此，我們對此感覺非常好，並且我們希望為此努力增加資金。

Okay. But just in terms of incremental ROEs, are they still a bit better in the agency versus that channel? Or how does it compare?

好的。但就增量 ROE 而言，代理商與通路相比是否仍然更好一些？或說比較如何？

Well, agency has a better headline ROE, but you got to consider volatility and the overall capital allocation and still makes sense on a risk-adjusted basis to continue to rotate further into both resi and MSR on a risk-adjusted basis.

嗯，機構有更好的整體淨資產收益率，但你必須考慮波動性和整體資本配置，並且在風險調整後的基礎上繼續進一步轉向 Resi 和 MSR 仍然有意義。

Okay. Great. And, can I get an update on book value quarter-to-date?

好的。偉大的。而且，我可以獲得季度至今帳面價值的最新資訊嗎？

Sure. We actually just closed the books for January yesterday. So had a good month end number for you, which was up 2%. Rates have drifted a little bit higher over the last couple of days. So we've softened a bit since then, but nothing to write home about.

當然。事實上，我們昨天才剛結清了一月份的帳簿。所以你的月末數字不錯，上漲了 2%。過去幾天，利率略有上升。所以從那時起我們的態度有所軟化，但沒有什麼值得大書特書的。

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, can you just update us on your outlook for agency spread just given the significant tightening we've seen since -- over the last several months, so curious on your view there on potential spread ranges with rate cuts likely coming in mid-'24 and hopefully, a less volatile rate environment here?

首先，考慮到我們在過去幾個月中看到的大幅緊縮，您能否向我們介紹一下您對機構利差的最新展望，對您對潛在利差範圍的看法感到好奇，降息可能會在中期進行。24 希望這裡的匯率環境波動較小？

Sure, Kristen. -- we'll let Srini fill that one.

當然，克里斯汀。 ——我們會讓 Srini 來填補這一空缺。

(inaudible) spread that 150 basis points over the branded treasury curve was materially tighter than the ones we saw in 2023. But the economic environment is also very different. David had mentioned that the Fed is most likely going to ease monetary policy in 2024. They are also going to pay sub duty. And through the first 3 quarters of 2023, bank shed about over $200 billion in MBS. And in the fourth quarter of 2023, they reinvested all of their paydowns.

（聽不清楚）品牌國債曲線上 150 個基點的利差比我們在 2023 年看到的利差小得多。但經濟環境也非常不同。 David 曾提到，聯準會很可能會在 2024 年放鬆貨幣政策。他們還將繳納次級稅。到 2023 年前 3 季度，銀行削減了約超過 2,000 億美元的 MBS。 2023 年第四季度，他們將所有付款進行了再投資。

Our base case here is that they will continue to reinvest paydowns in 2024. And there's potentially some upside that's been like add MBS in the second half of the year. So overall, they are pretty constructive on Agency spreads. Absent the [no-analytic] scenario where the Fed is forced to hike rates again, we do not expect MBS spreads to get back to the rise that we saw in 2023. Overall in 2024, I think MBS spreads would trade the tighter range than they did in the last couple of years. And MBS has underperformed other fixed income asset classes for 2 years in a row, and we are very hopeful that in 2024, they will outperform.

我們的基本情況是，他們將在 2024 年繼續對還款進行再投資。並且可能存在一些上行空間，例如在下半年增加 MBS。因此總體而言，它們對代理利差相當有建設性。如果沒有聯準會被迫再次升息的[無分析]情景，我們預計 MBS 利差不會回到 2023 年的漲幅。總體而言，我認為 2024 年 MBS 利差將在更窄的範圍內進行交易。他們在過去幾年裡做到了。 MBS 已連續兩年跑輸其他固定收益資產類別，我們非常希望它們在 2024 年能夠跑贏大盤。

And second question for me. Just can you speak to how you're thinking about the dividend level right now and sustainability in the current environment. You lowered your return assumptions across your strategies in the presentation. So curious how that plays into how you think about the dividend level and core earnings power and returns relative to the $0.65 quarterly dividend?

我的第二個問題。您能否談談您如何看待目前的股息水平以及當前環境下的可持續性。您在演示中降低了各個策略的回報假設。很好奇這如何影響您如何看待相對於 0.65 美元季度股息的股息水平、核心盈利能力和回報？

Sure. We did moderate those return estimates given the tightening that did occur later in the quarter. But look, Chris, we outearned the dividend modestly in the fourth quarter as it relates to the first quarter here. We do expect EAD to be contextual with the dividend, which we feel good about. And at this time, our view is that it's not our recommendation to the Board to make an adjustment to the dividend. We'll see how things progress throughout the rest of the year, but we feel good about this quarter.

當然。考慮到本季稍後確實發生的緊縮政策，我們確實調整了這些回報預期。但是，克里斯，你看，我們第四季的股息略高於第一季的股息。我們確實希望 EAD 能夠與股息掛鉤，我們對此感覺良好。目前，我們的觀點是，我們不建議董事會對股利進行調整。我們將在今年剩餘時間看到事情的進展，但我們對本季感覺良好。

The next question will come from Doug Harter with UBS.

下一個問題將由瑞銀集團的道格·哈特提出。

Can you talk about kind of what the target leverage level would -- can be going forward kind of given your current mix of assets?

您能否談談考慮到您目前的資產組合，未來的目標槓桿水平會是多少？

Sure. Look, obviously, our overall leverage is going to be a function of capital allocation and the decline in leverage is attributable to some extent, a lower weighting to agency, but also the fact that, look, we're -- when we look at the market, and what we've recently experienced, volatility is something that could persist for a little bit longer. We're still kind of living underneath the lion's bar as it relates to risk events in the market. And so we're playing it very conservatively. But the good news is we're able to earn a good return with the current level of leverage.

當然。顯然，我們的整體槓桿率將是資本配置的函數，槓桿率的下降在某種程度上可歸因於機構權重較低，但事實上，當我們考慮就市場而言，以及我們最近經歷的情況，波動性可能會持續更長時間。我們仍然生活在獅子欄之下，因為它與市場中的風險事件有關。所以我們的做法非常保守。但好消息是，我們能夠以當前的槓桿水平獲得良好的回報。

So to sum it up, we're comfortable with where we're at here. Our overall leverage is going to be a function of reallocation into either RESI or MSR, and we feel good about where we're at. We're not of the mindset immediately to increase leverage nor really take it down.

總而言之，我們對目前的處境感到滿意。我們的整體槓桿率將取決於重新分配到 RESI 或 MSR 的函數，我們對自己所處的位置感覺良好。我們不會立即增加槓桿，也不會真正降低槓桿。

I guess just a follow-up on that, David, kind of what are the types of events or markers you're looking for that would kind of cause you to feel comfortable taking leverage up. And I guess, how do you balance that with by the time you get those all clears, maybe spreads aren't as attractive and then you're leveraging less attractive assets. So I guess, how do you balance that? And what are the signposts you're looking for?

我想這只是後續行動，大衛，您正在尋找哪些類型的事件或標記會讓您放心地增加槓桿。我想，當你把這些全部清除時，你如何平衡這一點，也許利差不再那麼有吸引力，然後你就利用了吸引力較低的資產。所以我想，你如何平衡這一點？您正在尋找什麼路標？

Sure. give us rate cuts, give us the end Q2, give us stability around the world, and we'll certainly raise leverage. But look, at the end of the day here, if you look at our spread shocks, we do experience spread tightening, we're still going to get very good returns as we saw in the latter half of last quarter. Just in terms of the overall model, we are generating a more stable return with less leverage than what a monoline agency firm would deliver. And we feel very good about it.

當然。如果我們降息，第二季結束，世界各地保持穩定，我們肯定會提高槓桿。但是，歸根結底，如果你看看我們的利差衝擊，我們確實經歷了利差收緊，我們仍然會獲得非常好的回報，就像我們在上季度後半段看到的那樣。就整體模型而言，我們以比單一代理公司更少的槓桿產生更穩定的回報。我們對此感覺非常好。

Now to the extent there are some real green shoots out there as it relates to volatility in the market, yes, we could increase leverage, if spreads are attractive. And to the extent that we get a widening in spreads, we have ample liquidity and the balance sheet to allow leverage to organically increase without having to worry about selling to manage our leverage.

現在，就市場波動性而言，出現了一些真正的萌芽，是的，如果利差有吸引力，我們可以增加槓桿。在利差擴大的情況下，我們擁有充足的流動性和資產負債表，可以使槓桿率有機增加，而不必擔心透過出售來管理我們的槓桿率。

So it's a really good position to be in right here, Doug. But to the extent things do change for the better, and the market is priced to that soft landing scenario. It's priced to perfection across all assets, possible exception of some mortgage-related assets. So we're a little bit cautious here, but that could change.

所以，道格，這是一個非常好的位置。但在某種程度上，情況確實會變得更好，市場的定價也適應了軟著陸的情況。所有資產的定價都很完美，一些抵押貸款相關資產可能除外。所以我們在這裡有點謹慎，但這可能會改變。

The next question will come from Jason Weaver with Jones Trading.

下一個問題將由瓊斯貿易公司的傑森·韋弗提出。

I'm just going to dovetail off Bose's question with a bit of refinement. I was wondering, can you ballpark the incremental ROE range for new deployment across both agency and residential credit today?

我只是想稍微完善一下 Bose 的問題。我想知道，您今天能否為機構和住宅信貸的新部署確定增量 ROE 範圍？

Yes. I think we'll go around the room here, but in agency, we do get mid-teens returns, upper teens returns on specified pools, for example, moderate loan balance production coupon pools to the extent we can find them, there are some scarcity, but you can get upper -- upper teens in those assets. And then, Mike, do you want to give a little rundown on the resi front?

是的。我想我們會在這裡繞一圈，但在代理機構中，我們確實在指定池上獲得了十幾歲左右的回報，例如，在我們能找到的範圍內，適度的貸款餘額生產優惠券池，有一些稀缺性，但你可以在這些資產中獲得上十幾歲的資產。然後，Mike，您想簡單介紹一下 Resi 方面的狀況嗎？

Sure. Jason, this is Mike. In terms of securitization, the organic whole loan strategy, we'll say that's, call it, mid-teens using a modest amount of recourse leverage. Within the security part of our portfolio called CRT, that's probably high single digits on, call it, 2 turns of leverage for below IG (inaudible). And then in terms of NPL, RPL, what we'll say it's low teens on, call it, 3 turns of leverage. So the majority of our capital deployment within resi has been in the whole loan and OBX strategy given those returns.

當然。傑森，這是麥克。就證券化而言，有機整體貸款策略，我們可以說，這就是使用適度追索槓桿的十幾歲左右。在我們投資組合的安全部分（稱為 CRT）中，這可能是高個位數的，稱為 2 輪槓桿，低於 IG（聽不清楚）。然後就 NPL、RPL 而言，我們會說它處於低位，稱之為 3 輪槓桿。因此，考慮到這些回報，我們在 Resi 內的大部分資本部署都在整個貸款和 OBX 策略中。

And actually Ken, would you give a little color on MSR as well?

事實上，Ken，您能給 MSR 一些顏色嗎？

Yes. I mean the MSR market is providing like -- and we put it in the book around 10% to 12% return. Now those returns are a little bit lower because we do not employ material amounts of leverage on that strategy at this moment. Now we have the liquidity line, the ability to lever that asset and drive those returns higher, but managing it with the context of the entire portfolio, that return is additive to the above target.

是的。我的意思是，MSR 市場正在提供類似的回報，我們在書中將其列為 10% 至 12% 左右的回報。現在這些回報率要低一些，因為我們目前在該策略上沒有使用大量的槓桿。現在我們有了流動性額度，能夠利用該資產並推動更高的回報，但在整個投資組合的背景下對其進行管理，該回報是對上述目標的補充。

Yes. And Jason, just to add to that on MSR, we're running our portfolio at 0.4 of a turn of leverage. And given the low note rate nature of it and how benign the cash flows are, it could be levered to a greater extent. But if you think about it, the agency portfolio is doing some of that levering for it. And so if you consider the benefit of that, then that gets those returns up into the teens.

是的。 Jason，補充 MSR 的情況，我們的投資組合槓桿率為 0.4 倍。考慮到其低票據利率的性質以及現金流的良性，它可以在更大程度上發揮槓桿作用。但如果你仔細想想，機構投資組合正在為此做一些槓桿作用。因此，如果你考慮到這樣做的好處，那麼這些回報就會達到十幾歲。

All right. That's actually very helpful. I know, David, you said in your prepared remarks about the shifting from treasury-based hedges over to SOFR swaps. Obviously, we've seen what's happened in swap spreads for the last, call it, 2.5 months or so since the end of November. Can you just elaborate on that shift in strategy a little bit and that's what's behind it?

好的。這實際上非常有幫助。我知道，David，您在準備好的發言中提到了從國債對沖轉向 SOFR 掉期的問題。顯然，我們已經看到自 11 月底以來 2.5 個月左右的時間裡掉期利差發生了什麼事。您能否詳細說明策略的轉變及其背後的原因？

Yes, sure. So both November and December month ends, we did have a little bit of pressure in financing markets, which suggest that balance sheet assets might be a little bit heavy, and that's what led to a lot of the swap spread tightening that we experienced. And for example, in the very front end of the yield curve at the 2-year level, 2-year rate, we got to negative 21 basis points on swap spreads versus treasury, so versus SOFR.

是的，當然。因此，在 11 月和 12 月末，我們在融資市場確實面臨一點壓力，這表明資產負債表資產可能有點重，這就是導致我們經歷的掉期利差大幅收緊的原因。例如，在 2 年期殖利率曲線的最前端，即 2 年期利率，我們的掉期利差與國債相比為負 21 個基點，與 SOFR 相比也是如此。

So the way we viewed it is that will gravitate to 0 through the passage of time over the 2 years, and it made perfect sense to us to transition some of our 2-year futures over to paying on swap. And just since the end of the year, those swap spreads are down from negative 20 or thereabout to negative 14 this morning. So -- it's been a good trade. We do still think that swap spreads are on the tight side, particularly even out the curve with 10-year swaps at negative 36 basis points, that to us, looks a little bit tight. The Fed has obviously begun discussing the tapering of QT.

因此，我們認為，隨著時間的推移，2 年期利率將趨向於 0，因此將部分 2 年期期貨轉變為隔夜利息支付對我們來說是非常有意義的。就在今年底，掉期利差已從負 20 左右降至今天早上的負 14。所以——這是一筆很好的交易。我們仍然認為掉期利差偏緊，尤其是在 10 年期掉期為負 36 個基點的曲線上，這對我們來說看起來有點緊。聯準會顯然已經開始討論縮減量化寬鬆的問題。

And as the Chair noted last week, that would be an active conversation at the March meeting. To the extent they do move on that this spring then we will get a little bit of relief as it relates to balance sheet and that should help swap spreads widen back out.

正如主席上週指出的那樣，這將是三月會議上的積極對話。如果他們今年春天確實採取行動，那麼我們將得到一點緩解，因為這與資產負債表有關，這應該有助於掉期利差擴大。

That's helpful. And maybe some of that is due to the last 2 months, $200 billion of issuance. But that's what you hear there.

這很有幫助。也許其中一部分是由於過去兩個月發行了 2000 億美元。但這就是你在那裡聽到的。

Yes.

是的。

The next question will come from Rick Shane with JPMorgan.

下一個問題將由摩根大通的 Rick Shane 提出。

I have 2 questions, one on each side of the balance sheet. When we look at the growth in the fourth quarter in terms of the agency book. You guys were -- most of what was added appears to be up in coupon 6s and 6.5. I'm curious at this point in the cycle, how you feel about adding premium securities given that as we sort of reached that inflection point, we could see pretty significant bifurcation in the book and speeds could pick up in those coupons fairly quickly.

我有兩個問題，資產負債表每一邊各一個。當我們看第四季度代理帳簿的成長時。你們——大部分添加的內容似乎都在 6s 和 6.5 優惠券中。我很好奇在這個週期的這一點上，考慮到當我們到達拐點時，您對增加優質證券有何看法，我們可以看到賬簿中出現相當大的分歧，並且這些優惠券的速度可能會很快加快。

Yes. Let me pass it to Srini to talk about what we're exactly doing in higher coupons.

是的。讓我把它交給斯里尼，談談我們在更高的優惠券方面到底做了什麼。

Sure. I think we have highlighted this over the last few quarters. Our core strategy is to move up in coupon and specified pool of SOFR production. And what we've done over the last 2 quarters is execute that strategy. Basically, the coupon stack, given the sharp movement, whereas the coupon stock traded with a lot of volatility in the first quarter. So this gave us an opportunity to move up in coupon at relatively attractive levels. And the pace at which we move up in coupon is somewhat dictated by our ability to source high-quality specified pools at reasonable valuations.

當然。我認為我們在過去幾個季度已經強調了這一點。我們的核心策略是提高優惠券和指定 SOFR 生產池的產量。我們在過去兩個季度所做的就是執行該策略。基本上，優惠券堆棧，考慮到急劇的變動，而優惠券股票在第一季的交易波動很大。因此，這給了我們一個以相對有吸引力的水平提高優惠券的機會。我們的票面利率在某種程度上取決於我們以合理估值購買高品質指定資金池的能力。

So that's why the pace has been somewhat moderated at which we move up in coupon, but we continue to like specified (inaudible) up in coupon. I think if you look at CBA, it's pricing in the -- the loan size that new production is -- the new production loan size has gone up almost $75,000 over the last year or so and is now running at around $450,000. So these tools are likely to have a very steep S curve and very poor convexity profile. And so the pay-outs for specified -- compensates one of the reasons we see in the TBA collateral.

因此，這就是為什麼我們在優惠券上調的速度有所放緩，但我們仍然喜歡指定的（聽不清楚）優惠券上調。我認為，如果你看看 CBA，它的定價是——新製作的貸款規模——新製作的貸款規模在過去一年左右增加了近 75,000 美元，現在約為 450,000 美元。因此，這些工具可能具有非常陡峭的 S 曲線和非常差的凸度輪廓。因此，指定的支出補償了我們在 TBA 抵押品中看到的原因之一。

Yes. One more point.

是的。還有一點。

I was just going to say that if you look at the overall portfolio, the average dollar price is still [98], notwithstanding the rally we experienced in the fourth quarter. And you do get the most spread in higher coupon. So you take more convexity risk, but we try and mitigate that, as Srini said, through Specified pool selection.

我只是想說，如果你看看整體投資組合，儘管我們在第四季度經歷了反彈，但平均美元價格仍然是 [98]。而且您確實可以透過更高的優惠券獲得最大的利差。因此，您將承擔更多的凸性風險，但正如斯里尼所說，我們嘗試透過指定池選擇來減輕這種風險。

But at the end of the day, we get paid to manage convexity risk. And if you're way down the coupon stack, in low dollar-price securities, you're not going to get the spread you needed. So that informs the strategy.

但最終，我們獲得報酬是為了管理凸性風險。如果你在低美元價格證券中的優惠券堆疊中處於較低水平，你將無法獲得所需的利差。這為策略提供了資訊。

Got it. And it is -- as you make the point, I realized that one of the things that shifted not only it is where you are in coupon, but the percentage of generics, to your point, also went down. So that's consistent.

知道了。正如你所指出的那樣，我意識到改變的事情之一不僅是你在優惠券中的位置，而且就你的觀點而言，仿製藥的百分比也下降了。所以這是一致的。

Turning to the right side for a second. If we look at the repo funding from the third to the fourth quarter, the duration went down or the funding time went down slightly. I'm assuming in the third quarter, you extended funding with the idea that you didn't want to take risk into year-end balance sheet contraction and that some of that was just runoff of the 120s, over 120s in the longer-duration borrowings rolling down. But I'm also wondering if what we're seeing here is a little bit more bullish positioning on rates with you shortening the funding also.

轉向右側一秒鐘。從第三季到第四季的回購融資來看，期限有所下降，或者說融資時間略有縮短。我假設在第三季度，您延長了融資期限，因為您不想冒年終資產負債表收縮的風險，而且其中一些只是 120 年代的徑流，在較長時期內超過 120 年代借款滾滾下降。但我也想知道我們在這裡看到的情況是否是在您也縮短融資的情況下對利率的定位更加樂觀。

Yes. So to your first point about adding term in the third quarter, you are correct and that does reflect the roll down. And I'll tell you, another point to note about the repo market today, Rick, relative to a number of years ago, is that the vast majority of the liquidity is in the very front end of the curve there. And to really extract the value in the repo market. It's -- we do need to stay somewhat short.

是的。因此，關於在第三季度增加期限的第一點，你是正確的，這確實反映了下滑。我要告訴你，瑞克，關於今天的回購市場，相對於幾年前，另一點值得注意的是，絕大多數流動性都位於曲線的最前端。並真正提取回購市場的價值。我們確實需要保持簡短。

We did have some very good opportunities to put on some long-term trades last year that we benefit from. But generally speaking, the term of the repo is going to remain relatively short because that's where the liquidity is. And to the extent that the Fed does ease certainly, then you benefit from that by being able to capture those lower rates. So to a certain extent, that's the case as well to your second point.

去年我們確實有一些非常好的機會進行一些長期交易，我們從中受益。但一般來說，回購期限將保持相對較短，因為這就是流動性所在。如果聯準會確實放鬆了貨幣政策，那麼您就可以透過獲得較低的利率來從中受益。所以某種程度上，你的第二點也是。

Perfect. Okay. And term was the phrase I was struggling to find at 6:30 in the morning, I apologize.

完美的。好的。這個詞是我在早上 6:30 苦苦尋找的短語，我很抱歉。

We understand our vest there.

我們在那裡了解我們的背心。

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

我們的下一個問題將來自 JMP 證券公司的 Trevor Cranston。

David, I think you mentioned in your prepared remarks that you may consider adding duration to the portfolio in the near future. So I was wondering if you could maybe just talk a little bit about what kind of catalysts you'd be looking for, for that? And maybe just generally your outlook on rates, particularly at the longer end of the curve.

大衛，我認為您在準備好的演講中提到您可能會考慮在不久的將來增加投資組合的久期。所以我想知道你是否可以簡單談談你為此尋找什麼樣的催化劑？也許只是您對利率的整體展望，尤其是在曲線的較長一端。

Yes, sure. So we have -- duration has been added organically a little bit, since the end of the quarter just through higher rates. But look, what we're looking for is more persistent signs that inflation has moderated to a point, where the Fed feels good about cutting rates, and we think we'll get there. If you -- if you think inflation prints for the next 3 months are going to be consistent with what they were for the last 3 months, we do think the Fed will release beginning in May, irrespective of how the economy plays out.

是的，當然。因此，自本季末以來，我們透過提高利率來有機地增加了久期。但看，我們正在尋找更持久的跡象，表明通膨已經緩和到聯準會對降息感覺良好的程度，我們認為我們會實現這一目標。如果您認為未來 3 個月的通膨數據將與過去 3 個月的通膨數據保持一致，我們確實認為聯準會將從 5 月開始發布數據，無論經濟表現如何。

And once we see those signs, we'll be more comfortable with duration because real rates still do look attractive. And ultimately, we think where the long end of the yield curve should settle as we get through this, it's probably inside of 4%, and we'll look for those signs that volatility dissipates and that might be beneficial to the portfolio.

一旦我們看到這些跡象，我們就會對久期感到更加放心，因為實際利率看起來仍然很有吸引力。最終，我們認為，當我們渡過難關時，殖利率曲線的長端應該會穩定在 4% 以內，我們將尋找波動性消散的跡象，這可能對投資組合有利。

Got it. Okay. That's helpful. the last several days, there's been a lot of headlines coming out about NYCB in particular. Can you guys talk about kind of how you think about CRE market? And if you see any sort of incremental risks coming out this year from banks or others potentially sitting on unrecognized CRE losses and sort of how you think that would impact markets overall.

知道了。好的。這很有幫助。過去幾天，出現了很多關於 NYCB 的頭條新聞。你們能談談你們對 CRE 市場的看法嗎？如果你看到今年銀行或其他機構可能因未被承認的商業房地產損失而出現任何增量風險，以及你認為這將如何影響整體市場。

Yes, certainly. One point to notice is we're certainly thankful to a little over 2 years ago, we did sell our commercial platform. So we're glad not to be in that sector. We also -- last year, for example, we took -- we sold all of our CMBX positions to reduce that securitized exposure. And currently, what we own is roughly $220 million of AAA CLOs, which are almost exclusively multifamily. So very little exposure there.

是的，當然了。值得注意的一點是，我們當然要感謝兩年多前，我們確實出售了我們的商業平台。所以我們很高興沒有進入這個領域。例如，我們去年也出售了所有 CMBX 頭寸，以減少證券化風險。目前，我們擁有約 2.2 億美元的 AAA CLO，幾乎都是多戶型。所以那裡的曝光很少。

Now as it relates to the broader CRE market, yes, there's certainly some isolated risks out there. We do think that this particular episode will be contained. There are other banks out there that will have to work off some of those CRE loans. The big banks are in good shape, but it's something that's going to impact a lot of the regional banks over the near term, but we don't see it as being systemic to any extent, notwithstanding some of the volatility we're experiencing in markets as a consequence of New York Community Bank.

現在，當它與更廣泛的商業房地產市場相關時，是的，肯定存在一些孤立的風險。我們確實認為這一特定事件將會得到遏制。還有其他銀行將不得不償還部分商業房地產貸款。大型銀行狀況良好，但這將在短期內影響許多地區性銀行，但我們認為這在任何程度上都不是系統性的，儘管我們正在經歷一些波動市場是紐約社區銀行的結果。

So long story short, we don't have exposure, and we're thankful of that. And we think this will be a relatively muted event in the market, but it is some factors that need to be worked through at the bank level.

長話短說，我們沒有曝光，對此我們很感激。我們認為這將是市場上相對平靜的事件，但銀行層級需要解決一些因素。

The next question will come from Eric Hagen with BTIG.

下一個問題將由 BTIG 的 Eric Hagen 提出。

Just continuing on that topic of the regional banks. I mean, how do you feel like mortgage spreads and liquidity have responded to the pressure there over the last week? And do you see that creating an opportunity to buy MSRs potentially? And then even tacking on to that, I mean what's your outlook more generally for the supply of MSRs this year and how aggressive you expect to be and maybe bidding for bulk MSRs at different levels of interest rates?

繼續討論區域銀行的話題。我的意思是，您認為抵押貸款利差和流動性對上週的壓力有何反應？您是否認為這可能創造購買 MSR 的機會？然後甚至繼續討論這一點，我的意思是，您對今年 MSR 供應的總體前景是什麼？您預計會採取多大的積極性，並可能以不同的利率水平競標批量 MSR？

Sure. So I'll start off with just the overall mortgage market, and then Ken can talk about MSR specifically. There has been a little bit of volatility in spreads the past week, and it certainly is -- does create opportunities, but it's not the type of event where we're looking to dive into the market. We've reinvested runoff at better levels and things like that. And we're watching, but it's not a catalyst to necessarily jump into the market. And on MSR.

當然。因此，我將從整個抵押貸款市場開始，然後 Ken 可以具體談論 MSR。過去一周利差出現了一些波動，這確實創造了機會，但這不是我們希望進入市場的事件類型。我們以更好的水平對徑流進行了再投資等等。我們正在觀察，但這不一定是進入市場的催化劑。還有MSR。

Yes. I mean, over the last year, I mean, regional banks have been buyers of MSR and there's been some regional banks that have been sellers of MSR. And the actual names are available in the transfer data. On the margin, I mean, we definitely think this will take some of those buyers out. The allocation of MSR to the regional banking sector.

是的。我的意思是，在過去的一年裡，地區銀行一直是 MSR 的買家，也有一些地區銀行是 MSR 的賣家。實際名稱可以在傳輸資料中找到。我的意思是，從某種程度上來說，我們肯定認為這會讓一些買家退出。 MSR 向區域銀行業的分配。

I mean, might it -- it doesn't seem like the holders of large portfolio they are in, which are the stressed institutions. So on margin, we believe to be a positive event for our strategy, specifically because we are an opportunistic participant at times so that more to come.

我的意思是，也許吧——他們看起來並不像他們所在的大型投資組合的持有者，而這些投資組合是壓力很大的機構。因此，就利潤率而言，我們認為這對我們的策略來說是一個積極的事件，特別是因為我們有時是一個機會主義的參與者，因此未來會有更多。

Yes. And we will also see how banking regulation plays out and what impact that may have. But generally speaking, we're reasonably optimistic on our ability to source MSR in a less competitive fashion.

是的。我們還將看到銀行業監管如何發揮作用以及可能產生什麼影響。但總的來說，我們對以競爭較少的方式採購 MSR 的能力相當樂觀。

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。

Thanks, Chuck, and thank you, everybody. Good luck, and we'll talk to you in the spring.

謝謝查克，也謝謝大家。祝你好運，我們將在春天與你交談。

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。