Annaly Capital Management Inc (NLY) 2024 Q2 法說會逐字稿

Good morning and welcome to the Annaly Capital Management second quarter 2024 earnings conference call. (operator instructions) Please note, this event is being recorded. I would now like to turn the call over to Sean Kensil, Director, invest Investor Relations. Please go ahead.

早安，歡迎參加安納利資本管理公司 2024 年第二季財報電話會議。（操作員說明）請注意，正在記錄此事件。我現在想將電話轉給投資投資者關係總監 Sean Kensil。請繼續。

Good morning, and welcome to the second quarter 2024 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.

早安，歡迎參加 Annaly Capital Management 2024 年第二季財報電話會議。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。

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 thereof. We do not undertake and specifically disclaim any obligation to update or revise this information.

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，僅截至發布當日準確。我們不承擔並明確否認任何更新或修改此資訊的義務。

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 our earnings release. Content reference in today's call can be found in our second quarter of 2024 investor presentation and second quarter 2024 supplemental information, both found under the Presentations section of our website.

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。今天電話會議的內容參考可以在我們的 2024 年第二季度投資者簡報和 2024 年第二季補充資訊中找到，兩者都可以在我們網站的簡報部分找到。

Please also note this event is being recorded.

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, Heard of Agency; 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，聽過代理；肯‧阿德勒 (Ken Adler)，抵押貸款服務權主管。

Now, I'll turn the call over to David.

現在，我將把電話轉給大衛。

Thank you, Sean, and good morning, and thank you all for joining us for a second quarter earnings call.

謝謝肖恩，早安，感謝大家參加我們的第二季財報電話會議。

I have four areas to discuss today before handing it off to Serena and to discuss the financials. First, I'll briefly highlight our performance during the quarter, then review the macro and market environments, followed by an update on each of our three businesses, and I'll finish with our outlook for the second half of the year.

在將其交給 Serena 並討論財務狀況之前，我今天有四個方面要討論。首先，我將簡要介紹我們本季的業績，然後回顧宏觀和市場環境，然後介紹我們三項業務的最新情況，最後我將展望下半年。

Now, to begin with. We were pleased with our performance during the quarter that saw a fair amount of volatilities. While interest rates rose modestly quarter over quarter, the 10-year treasury yield traverse the 50 basis points range as economic data in April meaningfully reduce the magnitude of 2024 rate cuts priced into the market, where as of June, employment and inflation data brought accommodative policy in the near term, focus for the market and certainly the FED do in this environment, we delivered a roughly 1% economic return for the second quarter and a 5.7% return for the first half of the year.

現在，首先。我們對本季的表現感到滿意，該季度出現了相當大的波動。儘管利率逐季小幅上漲，但10 年期公債殖利率跨越50 個基點區間，因為4 月份的經濟數據顯著降低了市場消化的2024 年降息幅度，截至6 月份，就業和通膨數據帶來了寬鬆的政策。

Earnings available for distribution, exceeded our dividend by $0.03 demonstrating our ability to consistently earn strong returns with prudent leverage, which stood at 5.8 turns at the end of the quarter. Now to expand further on the macro landscape, activity continues to slow gradually is tight monetary policy weighs on most part, the US economy, while core service inflation has been more muted following their brisk pace in Q1 recent data suggests the shelter inflation the most stubborn component of inflation is finally beginning to meaningfully soften.

可供分配的收益比我們的股息高出 0.03 美元，這表明我們有能力透過審慎的槓桿率持續獲得強勁的回報，本季末的槓桿率為 5.8 倍。現在，宏觀情況進一步擴大，經濟活動繼續逐漸放緩，緊縮的貨幣政策對美國經濟構成壓力，而核心服務業通膨繼第一季的快速步伐之後變得更加溫和，最近的數據表明住房通膨是最頑固的通膨的一部分終於開始顯著軟化。

Meanwhile, the employment picture has moved into better balance as demand for labor has slowed in the pace of hiring is more in line with historical averages. These developments point to rising conviction that the Federal Reserve will begin to lower interest rates in the second half of the year. Shouldn't be followed by additional cuts depending on the pace, further labor market softening as the Fed's employer mandate gains more prominence over the inflation mandate.

同時，隨著勞動力需求放緩，招聘速度更符合歷史平均水平，就業情況變得更加平衡。這些事態發展顯示人們越來越相信聯準會將在今年下半年開始降低利率。由於聯準會的雇主使命比通膨使命更重要，因此不應根據步伐進一步降息，勞動市場進一步疲軟。

Now, moving to our portfolio and our investment strategies. In beginning with agency, we actively manage the portfolio during the quarter. This current coupon nominal spreads widened by roughly 10 basis points, driven predominantly by elevated rate volatilities.

現在，轉向我們的投資組合和投資策略。從代理商開始，我們在本季積極管理投資組合。目前的票面名目利差擴大了大約 10 個基點，主要是由於利率波動加劇。

Early in the quarter, as mentioned on our last call, we tactically reduced our agency holdings as we navigated higher rates and wider spreads. We gradually added that exposure back over the remainder of the quarter as our outlook and relative value considerations improved growing our agency portfolio by approximately $1.6 billion notional on the quarter.

在本季初，正如我們在上次電話會議中所提到的，隨著利率上升和利差擴大，我們戰術性地減少了我們的機構持股。隨著我們的前景和相對價值考慮的改善，我們在本季度剩餘時間內逐漸增加了該風險敞口，使我們的代理投資組合在本季度名義上增加了約 16 億美元。

We continue to rotate up in coupon to take advantage of wider spreads offered by production coupons, increasing our holdings of [5.5] and higher by $4 billion. And year to date, the average net coupon on our Agency portfolio has increased by 30 basis points to 4.87%. And consistent with prior quarters, we favor high-quality prepayment protected collateral, durable cash flows. And in an environment where the TBA deliverable is expected to further deteriorate, premium specified pools, best position us for strong performance in the coming quarters.

我們繼續輪換優惠券，以利用生產優惠券提供的更廣泛利差，將 [5.5] 及以上的持股增加 40 億美元。今年迄今為止，我們代理投資組合的平均淨票利率已增加 30 個基點，達到 4.87%。與前幾季一致，我們青睞高品質的預付款保護抵押品和持久的現金流。在 TBA 可交付成果預計將進一步惡化的環境下，優質指定池最有利於我們在未來幾季實現強勁業績。

Now as it relates to our hedges, the notional value increase relatively in line with agency asset growth, and we're likely to maintain the portfolios conservative rate exposure is longer term treasuries continue to face tactical headwinds from elevated federal budget deficits, not to mention potential volatility surrounding the upcoming November elections.

現在，與我們的對沖相關，名目價值的成長與機構資產成長相對一致，而且我們可能會維持投資組合保守的利率敞口，因為長期國債繼續面臨聯邦預算赤字上升帶來的戰術阻力，更不用說即將到來的11 月選舉可能會出現波動。

And be a spread volatility declined in the second quarter with the technical pictures showing signs of improvement. The market has experienced strong inflows into fixed income funds and modest bank buying, while net issuance has run slightly below expectations, and we expect demand for agency MBS to increase once the Fed initiates cutting cycle. For example, a portion of the [$6.1 trillion] in money market assets should gravitate towards longer duration fixed income.

第二季利差波動性下降，技術面顯示出改善的跡象。市場經歷了固定收益基金的強勁資金流入和銀行的溫和購買，而淨發行量略低於預期，我們預計一旦聯準會啟動降息週期，對機構MBS的需求將會增加。例如，貨幣市場資產 [6.1 兆美元] 的一部分應該傾向於長期固定收益。

And in addition, agency MBS is highly attractive relative to other fixed income alternatives, particularly corporates is MBS nominal spreads are well above historical averages. While competing assets are trading at the tighter end of their historical averages. Now, turning to residential credit portfolio ended the quarter at $5.9 billion in economic market values and $2.2 billion in equity, representing 20% of the firm's capital.

此外，機構MBS相對於其他固定收益替代品極具吸引力，特別是企業MBS名目利差遠高於歷史平均。而競爭資產的交易價格則較歷史平均較窄。現在，轉向住宅信貸投資組合，本季末經濟市場價值為 59 億美元，股本為 22 億美元，占公司資本的 20%。

The modest decline in the resi portfolio was driven by our sale third party securities to take advantage of relatively tight credit spreads while increasing our exposure to Agency MBS. Residential credit assets were largely range bound throughout the quarter with investment grade non-QM securities trading and a 10 basis points range in the CRT market tightening 10 basis points to 20 basis points.

Resi 投資組合的小幅下跌是由於我們出售第三方證券，以利用相對緊張的信用利差，同時增加我們對機構 MBS 的敞口。整個季度住宅信貸資產基本上處於區間波動，投資等級非 QM 證券交易和 CRT 市場 10 個基點的區間收緊 10 個基點至 20 個基點。

The fundamentals of the residential credit market remain constructive, although we are closely monitoring the increasing regional disparities in housing and the strength of the consumer given softening labor markets.

儘管我們正在密切關注住房地區差距的擴大以及勞動力市場疲軟的消費者實力，但住宅信貸市場的基本面仍然具有建設性。

Mortgage delinquencies, however, remain at near record low levels. Our Onslow Bay correspondent channel experienced record growth in Q2 as we lock $4.1 billion of expanded prime loans and settled $2.8 billion, representing a 22% increase quarter over quarter and year to date, we've already locked in several more loans than the entirety of 2023.

然而，抵押貸款拖欠率仍處於接近歷史最低水準。我們的Onslow Bay 代理商管道在第二季度經歷了創紀錄的增長，我們鎖定了41 億美元的擴大優質貸款並結算了28 億美元，比上一季和年初至今增長了22%，我們鎖定的貸款數量已經比整個季度多了幾筆。

In our current pipeline continues to exhibit strong credit characteristics, including a 754 average FICO, and a 68% CLTV. The OBX platform has remained a market-leading sponsor of securitizations as we priced five non-QM transactions in the second quarter and have now price 13 securitizations totaling $6.7 billion on the year. OBX represented 25% of the non-QM issuance in the market and approximately 10% of gross non agency issuance for the first half 2024. And also to note, we continue to see 12% to 15% prospective returns on the retention of OBX assets.

在我們目前的管道中，繼續表現出強大的信用特徵，包括 754 的平均 FICO 和 68% 的 CLTV。OBX 平台仍然是市場領先的證券化發起人，我們在第二季度對 5 筆非 QM 交易進行了定價，目前今年已對 13 筆證券化進行了定價，總額達 67 億美元。2024 年上半年，OBX 佔市場非 QM 發行量的 25%，約佔非機構發行總量的 10%。另請注意，我們繼續看到 OBX 資產保留的預期回報率為 12% 至 15%。

Now, shifting to the MSR business, our portfolio ended the second quarter with $2.8 billion in market value and $2.5 billion of equity, representing 22% of the firm's capital. Our MSR holdings increased $135 million quarter over quarter, driven by purchase of settlements as well as a modest increase in the value of the portfolio given a 20 basis points increase in mortgage rates.

現在，轉向 MSR 業務，我們的投資組合第二季末的市值為 28 億美元，股本為 25 億美元，占公司資本的 22%。我們的 MSR 持有量環比增加了 1.35 億美元，這是由於購買和解以及抵押貸款利率上漲 20 個基點導致投資組合價值小幅增長的推動。

Although our transactional activity slowed due to the portfolio is nearly 30% higher year over year, as Annaly remains firmly entrenched as a top 10 non-bank holder of servicing rights. The fundamental performance of the portfolio continues to outperform our expectations as prepayment speeds remain muted. Despite peak seasonals is serious, delinquencies are inside of 40 basis points.

儘管我們的交易活動因投資組合同比增長近 30% 而放緩，但 Annaly 仍牢牢佔據服務權前 10 名非銀行持有者的地位。由於預付款速度仍然緩慢，該投資組合的基本表現繼續超出我們的預期。儘管季節性旺季很嚴重，但拖欠率仍在 40 個基點以內。

An increased competitive this surrounding deposits is driving elevated float income and all leading to perspective hedge returns remaining in the 12% to 14% range currently.

周圍存款競爭的加劇正在推動浮動收入的上升，所有這些都導致​​目前的前景對沖回報率保持在 12% 至 14% 的範圍內。

Now, with respect to supply, the record amount of bulk offerings over the last two years appears to be normalizing as originators are better positioned with access to capital markets and the gain on sale margins improving.

現在，就供應而言，過去兩年創紀錄的大宗發行量似乎正在正常化，因為發起人在進入資本市場方面處於更有利的地位，並且銷售利潤率的提高也有所改善。

And while we will continue evaluating bulk MSR opportunities as a result of the changing much market dynamics, we have focused on enhancing our flow and recapture capabilities to acquire newly originated MSRs from our network of partners. And we remain well positioned to grow our MSR business given our structure and partnerships, and we believe we have constructed one of the most durable and high-quality portfolios within the MSR sector.

雖然我們將繼續評估由於市場動態變化而產生的大量 MSR 機會，但我們專注於增強我們的流量和重新捕獲能力，以從我們的合作夥伴網路中獲取新產生的 MSR。鑑於我們的結構和合作夥伴關係，我們仍然有能力發展我們的 MSR 業務，我們相信我們已經建立了 MSR 領域最持久和高品質的投資組合之一。

Now, lastly, with respect to our outlook, we're encouraged by the return potential across each of our three investment strategies, and we're optimistic as the market prepares to enter a more accommodative phase monetary policy. initiatives, and this should steep in the yield curve, reduce volatility and ultimately, in our view, lead the agency outperformance.

最後，關於我們的前景，我們對三種投資策略的回報潛力感到鼓舞，隨著市場準備進入更寬鬆的貨幣政策階段，我們感到樂觀。我們認為，這應該會導致殖利率曲線陡峭，減少波動性，最終導致該機構表現優異。

And while we expect to continue to grow our residential credit and MSR business does opportunistically, we feel our current capital allocation and portfolio construction is positioned to generate sustainable returns in an environment that shouldn't be favorable fixed income investors.

雖然我們預計我們的住宅信貸和 MSR 業務將繼續成長，但我們認為我們目前的資本配置和投資組合建設能夠在不利於固定收益投資者的環境中產生可持續的回報。

And now with that, I'll hand it over screening to discuss our financials.

現在，我將把它交給篩選來討論我們的財務狀況。

Thank you, David. Today, I will provide brief financial highlights for the second quarter ended June 30, 2024. Consistent with prior quarter while earning release discloses a GAAP and non-GAAP earnings metric. My comments will focus on non-GAAP EAD and related key performance metrics, which include PAA.

謝謝你，大衛。今天，我將提供截至 2024 年 6 月 30 日的第二季的簡要財務摘要。與上一季一致，同時收益發布揭露了 GAAP 和非 GAAP 收益指標。我的評論將重點放在非 GAAP EAD 和相關關鍵績效指標，其中包括 PAA。

As of June 30, 2024 our book value per share decreased from the prior quarter at $19.25. Despite the asset spread widening and interest rate volatility during the quarter, we generated 0.9% economic return, including our dividend of $0.65 for Q2 .

截至 2024 年 6 月 30 日，我們的每股帳面價值較上一季下降至 19.25 美元。儘管本季資產利差擴大和利率波動，我們仍實現了 0.9% 的經濟回報，其中包括第二季 0.65 美元的股息。

Looking back to the beginning of 2024, including a $1.30 and dividends declared yesterday, we have generated an economic return of 5.7%. Rate volatility and modestly higher treasury rates resulted in net increase of $0.96 per share on our agency MBS portfolio, but positive contribution of the $0.16 and $0.31 per share coming from our resi MSR portfolio and hedges, respectively.

回顧 2024 年初，包括 1.30 美元和昨天宣布的股息，我們的經濟回報率為 5.7%。利率波動和國債利率小幅上漲導致我們的機構 MBS 投資組合每股淨增長 0.96 美元，但每股 0.16 美元和 0.31 美元的積極貢獻分別來自我們的 Resi MSR 投資組合和對沖。

Turning to level for distribution increased in the second quarter by $0.04 per share to $0.68 higher coupon income related to that continued rotation, I think coupon on the agency portfolio and $2.8 billion in assets settled by the Onslow Bay correspondent channel contributed to the increase in EAD. Consequently, average asset yields ex-PAA increased 27 basis points from first quarter to 5.14% in Q2.

談到第二季度的分配水平，每股增加了0.04 美元，與持續輪換相關的息票收入增加了0.68 美元，我認為代理投資組合的息票和Onslow Bay 代理渠道結算的28 億美元資產促成了EAD 的增加。因此，第二季扣除 PAA 後的平均資產收益率較第一季上升 27 個基點至 5.14%。

High coupon income were partially offset by an increase of 12 basis points now economic cost of funds. Taken together and net interest spread ex-PAA increased by 15 basis points, reaching 1.24% in the second quarter.

高息票收入被目前經濟資金成本增加 12 個基點部分抵銷。兩者合計，扣除PAA後的淨利差增加了15個基點，第二季達到1.24%。

And net interest margin ex-PAA also raised 15 points quarter-over-quarter to 1.58%. While we've been raised to remain stable even declining 2 basis points in Q2, securitize the expense increase in Q2 due to the high volume of securitizations we completed in the first six months of 2024.

扣除 PAA 因素後的淨利差也較上季上升 15 個百分點，至 1.58%。雖然我們在第二季保持穩定，甚至下降 2 個基點，但由於我們在 2024 年前六個月完成了大量證券化，因此將第二季的費用成長證券化。

Additionally, our swap benefit declined modestly due to a large position maturing during the quarter, representing a final scheduled swap maturity for the year. As we continued executing repo strategy away that like repo days declined seven days compared to Q1, at 36 days for the second quarter.

此外，由於大量部位在本季到期，我們的掉期收益略有下降，這代表了今年最終計劃的掉期到期日。隨著我們繼續執行回購策略，回購天數與第一季相比減少了 7 天，第二季為 36 天。

During Q2, we furthered our strategy of providing financing optionality file for Onslow Bay platform, closing additional warehouse capacity of $250 million and expanding our non-life market supplement.

第二季度，我們進一步推進了為 Onslow Bay 平台提供融資選擇文件的策略，關閉了 2.5 億美元的額外倉庫容量，並擴大了我們的非壽險市場補充。

As of June 30, 2024, we had $4.2 billion of MSR and online warehouse capacity at of 39% utilization rate, leaving substantial availability. Annaly, the unencumbered assets increased $5.4 billion in the second quarter, including cash and unencumbered agency MBS and $3.5 billion. We also had approximately $900 million in fair value of MSRs place to command warehouse facility, which remains undrawn and can be quickly converted to cash subject to contractual event rate.

截至 2024 年 6 月 30 日，我們擁有價值 42 億美元的 MSR 和線上倉庫容量，利用率為 39%，留有大量可用性。安納利稱，第二季未支配資產增加了 54 億美元，其中包括現金和未支配機構 MBS，增加了 35 億美元。我們還有大約 9 億美元公允價值的 MSR 來指揮倉庫設施，該設施尚未提取，可以根據合約事件率快速轉換為現金。

Together, we have up $6.3 billion in assets available for financing, up $45 million compared to last quarter, Notwithstanding the slight increase in our leverage profile. Our efficiency ratios were [sending] Q2 due to the timing of certain expenses. However, we expect expenses to normalize and full year OpEx to equity ratio to align with historical levels.

儘管我們的槓桿率略有增加，但我們的可用於融資的資產總計增加了 63 億美元，比上季增加了 4,500 萬美元。由於某些費用的時間安排，我們的效率比率[發送]第二季。然而，我們預計費用將正常化，全年營運支出與權益比率將與歷史水準保持一致。

That concludes our prepared remarks. We will now open the lines for question and thank you. Operator?

我們準備好的演講到此結束。我們現在開放提問熱線，謝謝您。操作員？

(Operator Instructions)

（操作員說明）

Bose George, KBW.

博斯·喬治，KBW。

Hey, everyone, good morning. Can I start just with getting an update on quarter-to-date portfolio?

嘿，大家早安。我可以先取得季度至今投資組合的更新嗎？

Sure, Bose, good morning. As of Tuesday's close, we were up roughly 2% with the dividend accrual and a little over 1% net of this dividend.

當然，Bose，早安。截至週二收盤，我們因應計股息上漲了約 2%，扣除股息後的淨值上漲略高於 1%。

Okay, great. Thank you. And then just in terms of the hedges. So you were replacing the maturing swaps with the treasury futures this corner. Can you just talk about the advantages of that?

好的，太好了。謝謝。然後就對沖而言。所以你在這個角落用國債期貨取代了到期的掉期。能簡單談談這樣做的好處嗎？

Yeah, sure. So there's multiple advantages. We were certainly concerned with rate volatility and particularly spread volatility. So reducing the exposure to swaps was somewhat warranted, particularly later in the quarter. And there is differences with respect to initial margin and liquidity associated with swaps.

是的，當然。所以有很多優點。我們當然擔心利率波動，尤其是利差波動。因此，減少掉期敞口是有道理的，特別是在本季末。與掉期相關的初始保證金和流動性也存在差異。

It's not a material change, one of the catalysts for the change was also putting on a little bit of a curve trade, a steepener, given what our view was with respect to the expectation for a little bit of yield curve steepening, which we saw this quarter, certainly as we're about 20 basis points, steeper twos, tens and generally just for liquidity, and IM benefit as well as creating the right balance.

這不是一個實質性的變化，這一變化的催化劑之一也是進行了一點曲線交易，即陡峭化，考慮到我們對收益率曲線一點點陡峭的預期的看法，我們看到了這一點本季度，當然，我們的利率約為20 個基點，更陡峭的兩個基點，十個基點，通常只是為了流動性和IM 利益以及創造適當的平衡。

Another point to note as it relates to our swaps, Bose, is that our swap position is in a very good in place. We have had a lot of run off over the past couple of years, including this past quarter in Q1 and we're in a place we do not have any more swap runoff of that low pay rate for the rest of this year. So we feel pretty good about our swap position here.

與我們的掉期相關的另一點需要注意的是，Bose，我們的掉期頭寸處於非常好的位置。在過去的幾年裡，我們經歷了許多流失，包括第一季的過去一個季度，我們現在的處境是，在今年剩餘時間裡，我們不會再有如此低工資率的掉期流失。所以我們對這裡的互換位置感覺非常好。

And when you look at the relative tightness swap spreads, I think 10-year swap spreads around negative [45]. It's a good hedge. So we're going to be little bit overweight swaps because the levered return relative to swaps versus other hedges is pretty attractive right now, notwithstanding concerns of our balance sheet as it relates to swap spreads.

當你觀察相對緊縮的掉期利差時，我認為 10 年期掉期利差約為負值[45]。這是一個很好的對沖。因此，我們將稍微增持掉期，因為相對於其他對沖，相對於掉期的槓桿回報目前相當有吸引力，儘管我們的資產負債表因與掉期利差有關而令人擔憂。

Okay. Makes sense. Thanks.

好的。有道理。謝謝。

Thank you, Bose.

謝謝你，博斯。

Doug Harter, UBS.

道格·哈特，瑞銀集團。

Thanks. David, you talked about kind of having a slightly different strategy on acquiring new MSR. Can you just talk about the risk profile of new MSR and the relative attractiveness of adding those to what's very attractive existing portfolio?

謝謝。David，您談到在獲取新的 MSR 方面採取了稍微不同的策略。您能否談談新 MSR 的風險狀況以及將這些風險狀況添加到非常有吸引力的現有投資組合中的相對吸引力？

Sure, Doug. I'm going to hand it over to Ken to help you with that.

當然，道格。我會把它交給肯來幫助你。

Yes, sure. I mean, new MSR has materially more off prepayment exposure to it. So it relies on a different hedging strategy than the legacy MSR with much lower, no rate and more stable cash flow. However, the new MSR also provides opportunity for recapture that's not present in legacy MSR that's an additional revenue opportunity flow.

是的，當然。我的意思是，新的 MSR 實質上具有更多的預付款風險。因此，它依賴與傳統 MSR 不同的對沖策略，其利率低得多、無利率且現金流更穩定。然而，新的 MSR 也提供了舊 MSR 中不存在的重新獲得機會，即額外的收入機會流。

And can you just remind us can kind of where you are in terms of recapture, what agreements you have? and how confident you would be in your capabilities to execute?

您能提醒我們一下您在奪回方面的進展嗎？您對自己的執行能力有多大信心？

Obviously, Look, like we currently have four recapture partners. Each of these partners has different strategies, approaches and tools for customer outreach and creating recapture. And what we do is we compare the results between them and allocate our initiatives to the best performers and kind of refine these strategies over time. So we kind of have a portfolio approach to this.

顯然，看，我們目前有四個奪回夥伴。每個合作夥伴都有不同的策略、方法和工具來擴展客戶並重新贏得客戶。我們所做的就是比較它們之間的結果，並將我們的計劃分配給表現最好的人，並隨著時間的推移完善這些策略。所以我們對此採取了一種投資組合方法。

And we have the ability to be dynamic given the use of multiple providers. We also had several strategic discussions with potential new partners that many are considered a best in class, and they offer unique technology and differentiating so our approaching ability to partners with servicers and originators is what we're happy about.

鑑於使用多個提供者，我們有能力保持動態。我們也與潛在的新合作夥伴進行了幾次策略討論，其中許多合作夥伴被認為是同類最佳合作夥伴，他們提供獨特的技術和差異化優勢，因此我們與服務商和發起者合作的能力讓我們感到高興。

I guess just to be clear on that. So when there is recaptured, you share in the fall origination economics or you're just getting the MSR back. And just I just want to make sure I understand how those economics work?

我想只是為了澄清這一點。因此，當重新奪回時，您將分享秋季起源經濟，或者您只是拿回 MSR。我只是想確保我了解這些經濟學是如何運作的？

We effectively share in the gain on sale in a material way by taking that MSR back at a below market price and those prices are negotiated and they different depending on the provider what the recapture rate is. So there's kind of an incentive fee structures with this provide and given how low origination margins during the industry, the repurchase of the MSR back at a discount is effectively assuming origination Pinot.

透過以低於市場的價格收回 MSR，我們有效地分享了銷售收益，這些價格是經過協商的，並且根據供應商的回收率而有所不同。因此，這項服務存在某種激勵費用結構，並且考慮到該行業的原始利潤率有多低，以折扣價回購 MSR 實際上是假設原始 Pinot 的情況。

Yeah, Dough given how competitive origination and servicing is, we're able to extract the right value assay associated with our recapture relationships.

是的，考慮到發起和服務的競爭性，我們能夠提取與我們的重新捕獲關係相關的正確價值分析。

Very helpful. Thank you, guys.

非常有幫助。謝謝你們，夥計們。

Thank you, Doug.

謝謝你，道格。

Rick Shane, JPMorgan.

里克·肖恩，摩根大通。

Hey, guys, thanks for taking my question. I really needed to Q1 before, Doug, because that was the topic I wanted to explore as well. I am curious one of the things that is driving MSR pricing. Is that recapture opportunity? And I'm curious, again, you've talked about some of the efficiency from an economic perspective for you from a recapture perspective.

嘿，夥計們，謝謝你提出我的問題。道格，我之前確實需要 Q1，因為這也是我想探索的主題。我很好奇推動 MSR 定價的因素之一。這是奪回機會嗎？我再次很好奇，您從經濟角度從重新奪回的角度談論了一些效率。

But I am curious if you're seeing peers out there whose economics are really focused on the origination side who are making pricing in that space less attractive for you? It's an interesting time to shift from bulk to flow?

但我很好奇，您是否看到那些經濟真正專注於發起方的同行，他們正在降低該領域的定價對您的吸引力？現在是從散裝轉向流動的有趣時機嗎？

Yeah. We are observing just as everybody is when you observe the prices, the price spread between low note rate MSR, a newly created higher note rate MSR has never been less than I've seen. So you are seeing increasing comfort with the ability to price in that recapture by the market overall.

是的。我們正在觀察，就像每個人在觀察價格時一樣，低票據利率 MSR 與新創建的高票據利率 MSR 之間的價差從未比我見過的要小。因此，您會發現，市場整體重新定價的能力越來越令人放心。

And there's always a couple of participants that stand out. But in general, yes, the comfort with using big data call center technology since it has absolutely increase increased.

總有一些參與者脫穎而出。但總的來說，是的，使用大數據呼叫中心技術的舒適度絕對增加了。

Another point which may be alluding to is that is that as it relates to our MSR portfolio work, very protective of the borrower. And the last thing we want to do is uses subservicing relationship that is going to lead to over churning of our portfolio or anything that would damage our returns. And so it's a high bar to partner with us when it comes to recapture and subservicing.

可能提到的另一點是，由於它與我們的 MSR 投資組合工作相關，因此對借款人的保護非常大。我們最不想做的就是使用輔助服務關係，這會導致我們的投資組合過度變動或任何會損害我們回報的事情。因此，在奪回和維護方面，與我們合作的門檻很高。

Got it. That makes sense. Hey, a request. As you transition to more of a flow business and potentially the coupons start to shift a little bit. Could you provide disclosure on the coupon in the way you do for the MBS portfolio? So we can see the distribution of coupons.

知道了。這是有道理的。嘿，一個請求。當你轉向更多的流量業務時，優惠券可能會開始發生一些變化。您能否像對待 MBS 投資組合那樣揭露息票資訊？這樣我們就可以看到優惠券的發放。

Sure. That's certainly a consideration. But it is important to note that in the current portfolio, the vast, vast majority is very, very low rate. So it's a pretty homogenous bucket of -- Should we consider to be non refinanceable mortgages.

當然。這當然是一個考慮因素。但值得注意的是，在目前的投資組合中，絕大多數利率非常非常低。因此，這是一個相當同質的類別——我們是否應該考慮將其視為不可再融資抵押貸款。

Absolutely. Yeah. And again, depending upon how fast that flow business grows, we could start ag portfolio barbell a little bit and just would love to understand that better.

絕對地。是的。再說一遍，根據流量業務成長的速度，我們可以稍微啟動一下 ag 投資組合槓鈴，並且希望更能理解這一點。

You bet Ric.

你打賭里克。

Perfect. Thanks, guys.

完美的。謝謝，夥計們。

Thanks, Ric.

謝謝，里克。

Jason Stewart, Janney Montgomery Scott.

傑森·斯圖爾特，珍妮·蒙哥馬利·斯科特。

Good morning. Thanks for taking the questions. one more on the MSR servicing front. Do you have any thoughts? I know it's early and likely to change with thoughts on the CFPB's proposed servicing rule regarding foreclosures, how that might impact the valuation competitive environment, Etc.?

早安.感謝您提出問題。還有一個關於 MSR 維修的問題。你有什麼想法嗎？我知道現在還為時過早，並且可能會隨著 CFPB 提議的有關止贖的服務規則的想法而改變，這可能會如何影響估值競爭環境等？

Yeah, that's a good question, Jason. So we certainly recognize the CFPB's efforts to revise mortgage servicing rules to benefit borrowers. And many of the proposed changes would result in more complex loss mitigation processes with potentially longer timelines to reach resolution.

是的，這是個好問題，傑森。因此，我們當然認可 CFPB 為修改抵押貸款服務規則以使借款人受益而做出的努力。許多擬議的變更將導致更複雜的減損流程，並且可能需要更長的時間才能達成解決方案。

And on the surface, if implemented as proposed or sub servicer oversight team would ensure that our sub servicers are following all relevant laws and regulations, and we could expect subservicing cost increase on the margin.

從表面上看，如果按照提案實施，子服務商監督團隊將確保我們的子服務提供者遵守所有相關法律和法規，並且我們預計子服務成本將略有增加。

But our portfolio, both on the resi credit side as well as the MSR side, is composed of very high quality borrowers with significant equity in their homes in our portfolios is specifically Fannie and Freddie made up with very low delinquencies, as I mentioned, less than 40 basis points.

但我們的投資組合，無論是在Resi 信貸方面還是在MSR 方面，都由非常高品質的借款人組成，他們的房屋在我們的投資組合中擁有大量資產，特別是房利美和房地美，其拖欠率非常低，正如我所提到的，更少超過40個基點。

And we have no Jennie borrowers, so to speak. We have a very small sliver Jennie Mae from the legacy Gora days. So we don't have to expect the cost to us to increase in any meaningful way, but it could lead to a little bit higher servicing costs overall.

可以這麼說，我們沒有 Jennie 借款人。我們有一個來自 Gora 時代的非常小的 Jennie Mae。因此，我們不必期望我們的成本會以任何有意義的方式增加，但這可能會導致整體服務成本略高。

Thanks. Yeah, I think it's important to note that differentiation there. Thanks for that color. And then you're going back to the up in coupon rate. When you look at specified pools up in coupon, I think you noted you're looking at very I'll call it, high premium, our quality pools there. When you combine that with the competitive environment for marginal refi activity? Where is the most value and how are you looking at hedging those to protect that value?

謝謝。是的，我認為注意到其中的差異很重要。謝謝那個顏色。然後你就會回到票面利率的上升。當您查看優惠券中指定的池時，我想您注意到您正在尋找非常高的溢價，我們那裡的優質池。當您將其與邊際再融資活動的競爭環境結合時？最大的價值在哪裡？

So basically, what our strategy has been that's been more up in coupon, will buy a higher and higher quality pool. So on 6.5, we generally buy very high-quality pools and on sixes and barley bit less than 5.5. So I give a little bit less. The way we think about adding as we think of specified pool of a combination of TBA duration plus a bay activations are the kind of model how that bay activations is going to move in value at a sell-off. I've been at a measure that duration, and that's how it has the back.

所以基本上，我們的策略是，優惠券更多，將購買越來越高品質的礦池。因此，在 6.5 上，我們通常會購買非常高品質的池，而在 6.5 上，我們通常會購買非常高品質的池，而在 6.5 上，我們通常會購買品質低於 5.5 的池。所以我給的少一點。我們考慮添加的方式就像我們考慮 TBA 持續時間加上間隔激活的組合的指定池一樣，是一種模型，間隔激活將如何在拋售時改變價值。我已經堅持了那麼久，這就是它的背面。

The biggest advantages are these pools provide ample spread right now and the copy of the best negatively convex. We had not really giving up that much carry in the near term and long term, if and when run rates still rally that provide a very durable yields for extended period of time.

最大的優點是這些池現在提供充足的價差和最佳負凸的副本。如果運行率仍然上漲，在較長時間內提供非常持久的收益率，我們並沒有真正放棄短期和長期的那麼多利差。

Yeah. I guess my takeaway there was that the carriers going to benefit you for several quarters and you can potentially hedge away that negative convexity. But might be getting too much in the weeds there, but that was my thought.

是的。我想我的結論是，運營商將使您在幾個季度內受益，並且您可以對沖負凸性。但那裡的雜草可能太多了，但那是我的想法。

Yes, that's the right assessment, Jason.

是的，這是正確的評估，傑森。

Thanks.

謝謝。

Thank you, Jason.

謝謝你，傑森。

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

問答環節到此結束。我想將會議轉回給大衛芬克爾斯坦發表閉幕詞。

Actually, I do believe we have one more question in the queue.

事實上，我確實相信我們還有一個問題需要解決。

I do see him. Yes, let me announce them.

我確實看到了他。是的，讓我宣布它們。

Tim Chang, BTIG.

蒂姆·張，BTIG。

I think the question here is just as it looks like the Fed is going to cut more aggressively. What's your perspective on how mortgage spreads will respond to that even what we're saying just in the market over the last call it, 24 hours? Thank you.

我認為這裡的問題是聯準會似乎將更大幅度地降息。您對抵押貸款利差將如何應對這一情況有何看法，即使我們剛剛在市場上所說的最後一次（24 小時）？謝謝。

Yeah, under that scenario, we would be optimistic on mortgage spreads. You'll see further steepening yield curve than the 50 basis points that's priced in over the next year between two's and tens. The $6.1 trillion in money market funds as those yields start to decline will gravitate toward longer duration fixed income.

是的，在這種情況下，我們對抵押貸款利差持樂觀態度。你會看到殖利率曲線比明年定價的 50 個基點進一步陡峭，介於 2 到 10 個基點之間。隨著收益率開始下降，6.1 兆美元的貨幣市場基金將傾向長期固定收益。

As I may mentioned, you potentially see bank demand come in and it will just be a better environment for agencies. We've experienced this cycle after cycle when the Fed cuts in the curve steepens, there is better demand for agency MBS, and you would expect ball to come down should be a dampening environment and we would expect strong performance from agency, which is why we'd like to cite the sector.

正如我可能提到的，您可能會看到銀行需求的增加，這將為機構帶來更好的環境。我們經歷了這個週期又一個週期，當聯準會降息時曲線變得陡峭，對機構MBS的需求更好，你會預期球下降應該是一個抑制環境，我們預計機構會有強勁的表現，這就是為什麼我們想引用這個行業。

We think that the appropriate amount of cuts are currently priced in. But when you look at the Fed's posture and the shift over the past number of months gone from a focus on the inflation mandate to more balanced between the employment mandate in inflation. And there is a likelihood that given what's gone in the lipid gone on in the labor market is that the focus could shift to be more weighted towards the employment picture and you could see more aggressive cuts than what's priced in and that would be a perfectly good outcome for us.

我們認為目前價格已計入適當的削減幅度。但當你看看聯準會的態度以及過去幾個月從關注通膨任務轉向就業任務與通膨之間更加平衡的轉變時。考慮到勞動力市場的情況，焦點可能會轉向就業形勢，你可能會看到比定價更激進的削減，這將是一個非常好的結果。

Yep. That's good perspective, I appreciate that. Hey, how are you thinking about the trade-off between heavy levering up with the MSR a little bit more and raising capital or even delevering the agency MBS portfolio balanced out or buff for any of that prepayment Recife?

是的。這是一個很好的觀點，我很欣賞。嘿，您如何考慮在 MSR 的大幅槓桿化和籌集資金之間進行權衡，甚至透過機構 MBS 投資組合去槓桿化來平衡或增強累西腓的任何預付款？

Yeah. So I would say that incremental purchases of MSR would likely be levered. We have very, very low leverage on that portfolio. We've been fortunate, given our abundant liquidity to be able to use the agency portfolio is somewhat of a bank to finance it and it's led the returns that are in excess of the 12% to 14% we show in the materials which you assumes warehouse financing.

是的。所以我想說，MSR 的增量購買可能會被槓桿化。我們對該投資組合的槓桿率非常非常低。我們很幸運，鑑於我們擁有充裕的流動性，能夠使用代理投資組合，這在某種程度上就像是一家銀行為其提供融資，並且它帶來的回報率超過了我們在材料中顯示的您假設的12% 至14%倉庫融資。

And so we have the ability to leverage right now we have the liquidity to not need to. But I would say to keep that at the capital allocation in the context of 20% or thereabouts, we probably would lever incremental purchases and maintain the liquidity of the overall portfolio.

因此，我們現在有能力利用槓桿，但我們擁有不必要的流動性。但我想說的是，如果將資本配置保持在 20% 左右，我們可能會利用增量購買來維持整個投資組合的流動性。

And look, as it relates to capital, raise -- capital raising to conditions have to be met, it has to be accretive and benefit shareholders and assets have to be available. And at the right price, there's a lot to get through to the extent it's -- the market is compelling us to do so. We're certainly looked at it, but we feel like we're in a we're in a good place and we'll see how things evolve over the near term.

看，因為它與資本、籌集有關，籌集資金必須滿足條件，必須具有增值性，並且必須使股東受益，並且資產必須可用。如果價格合適，我們就有很多事情要做——市場迫使我們這樣做。我們當然會關注它，但我們覺得我們處於一個好的位置，我們將看到事情在短期內如何發展。

(multiple speakers) I just had that we have committed MSR line, so we can tap them anytime we want.

（多個演講者）我剛剛得知我們已經承諾了 MSR 線路，因此我們可以隨時點擊它們。

Exactly.

確切地。

Yeah, that's helpful. And we appreciate you, guys. Thank you. Thanks for squeezing me on.

是的，這很有幫助。夥計們，我們感謝你們。謝謝。謝謝你壓榨我。

Thank you, Eric, and good day.

謝謝你，艾瑞克，祝你有美好的一天。

This concludes the question and answer session. I'd like to turn the conference over to David Finkelstein for any closing remarks.

問答環節到此結束。我想將會議轉交給大衛·芬克爾斯坦（David Finkelstein）做總結發言。

Thank you, everybody, for joining us today. Enjoy the rest of the summer, and we'll talk to you in the fall.

謝謝大家今天加入我們。享受夏天剩下的時間，我們將在秋天與您交談。

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。