Annaly Capital Management Inc (NLY) 2024 Q3 法說會逐字稿

Good morning, and welcome to the third-quarter 2024 earnings call for Annaly Capital Management. (Operator Instructions) Please note, this event is being recorded.

早安，歡迎參加 Annaly Capital Management 的 2024 年第三季財報電話會議。（操作員說明）請注意，正在記錄此事件。

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

我現在想將會議交給投資者關係部門的 Sean Kensil。請繼續。

Good morning, and welcome to the third-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. 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 的 2024 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。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. Content referenced in today's call can be found in our third quarter 2024 investor presentation and third quarter 2024 supplemental information, both found under the presentations section of our website.

此外，本次電話會議的內容可能包含時間敏感訊息，僅截至本次電話會議發布之日準確。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。今天電話會議中引用的內容可以在我們的 2024 年第三季投資者簡報和 2024 年第三季補充資訊中找到，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. 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.

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。

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. Thank you all for joining us for our third quarter earnings call. Today, I'll briefly review the macro and market environment along with our performance during the quarter. Then I'll provide an update on each of our three businesses. And end with our outlook. Serena will then discuss our financials, after which we'll open the call up to Q&A.

謝謝你，肖恩。大家早安。感謝大家參加我們的第三季財報電話會議。今天，我將簡要回顧宏觀和市場環境以及我們本季的業績。然後我將分別介紹我們三項業務的最新情況。最後以我們的展望作結。然後，小威將討論我們的財務狀況，之後我們將開始電話問答。

Now starting with the macro landscape. Financial markets benefited from both the Federal Reserve beginning the long-anticipated cutting cycle as well as the continued robust pace of growth exhibited by the US economy. With respect to the Fed, as all are aware, policy rates were lower by 50 basis points in September in turn, ending 16 months of 5%-plus short-term interest rates and policymakers signaled that they will continue to ease over time as current rates remain restrictive. With the pace and extent of easing dependent on economic data.

現在從宏觀景觀開始。金融市場受惠於聯準會開始期待已久的降息週期以及美國經濟持續強勁的成長步伐。至於美聯儲，眾所周知，9月份政策利率依次下調了50個基點，結束了16個月5%以上的短期利率，政策制定者暗示將隨著時間的推移繼續寬鬆。寬鬆的速度和程度取決於經濟數據。

Now the change in monetary policy was driven both by the labor market moving into better balance as hiring slowed over the summer as well as the continued normalization of inflation, with core PCE likely to run only slightly above 2% annualized for the third quarter.

現在，貨幣政策的變化是由於夏季招聘放緩導致勞動力市場變得更好平衡以及通膨持續正常化推動的，第三季度核心個人消費支出年化增長率可能僅略高於2%。

The market's pricing of additional rate cuts has led to a steeper yield curve, increasing the attractiveness of fixed income assets. In Agency MBS in particular. In addition, interest rate volatility declined over the quarter to the lowest level seen since the onset of the March '23 regional banking crisis. Though it remains meaningfully above pre-COVID average levels. Meanwhile, economic growth has been resilient with estimates for Q3 GDP roughly in line with the 3% annualized expansion in the second quarter.

市場對進一步降息的定價導致殖利率曲線更加陡峭，增加了固定收益資產的吸引力。特別是在機構 MBS 中。此外，本季利率波動性下降至 23 年 3 月區域銀行危機爆發以來的最低水準。儘管它仍明顯高於新冠疫情前的平均水平。同時，經濟成長一直保持彈性，第三季 GDP 的估計與第二季 3% 的年化擴張大致一致。

Now these developments have been supportive of our diversified housing model as seen in the performance we delivered in the quarter. We generated an economic return of 4.9% for Q3 and 10.5% year-to-date and our earnings available for distribution again exceeded our dividend. Economic leverage ticked down slightly to 5.7 turns, which we anticipate maintaining over the near term. And also to note, our performance and the constructive backdrop for Annaly's investment strategies allowed us to raise $1.2 billion of accretive common equity since the beginning of the third quarter through our ATM program.

現在，這些發展支持了我們多元化的住房模式，從我們本季交付的業績中可以看出。我們第三季的經濟報酬率為 4.9%，今年迄今的經濟報酬率為 10.5%，可供分配的收益再次超過了股利。經濟槓桿小幅下降至 5.7 倍，我們預期短期內將維持此水準。另請注意，我們的業績和 Annaly 投資策略的建設性背景使我們自第三季初以來透過 ATM 計劃籌集了 12 億美元的增值普通股。

The environment to deploy capital remains attractive, and the market value of all three of our business lines increased quarter over quarter. Notably, roughly 40% of the proceeds raised were from negotiated sales following investor reverse inquiries, underscoring the value proposition and associated institutional demand. Now turning to our portfolios and beginning with Agency MBS. In light of the capital raise, our agency portfolio grew by just over $4 billion notional with the remaining increase in market value attributable to price appreciation. As mortgage rates declined over the quarter, prepayment concerns weighed on generic higher coupons, while lower coupons and specified pools with prepayment protection outperformed.

資本配置環境仍然具有吸引力，我們所有三個業務線的市值均逐季增長。值得注意的是，大約 40% 的籌集資金來自投資者反向詢問後的協商銷售，這凸顯了價值主張和相關的機構需求。現在轉向我們的投資組合，從 Agency MBS 開始。鑑於此次融資，我們的代理投資組合名義上增長了 40 億美元多一點，其餘的市場價值增長歸因於價格上漲。隨著抵押貸款利率在本季度下降，提前還款的擔憂對一般較高的息票造成壓力，而較低的息票和具有提前還款保護的特定池表現優於大市。

This is less of a concern for us as the focus of our methodical migration up in coupon over the past two years has been on high-quality specified pools. For example, our sixes and higher represent roughly a quarter of our portfolio. And within these coupons, only a small fraction of our pools are backed by generic collateral and approximately 70% have what we would characterize as high-quality prepayment protection, and the benefits of our collateral selection were best seen in the latest prepayment report.

我們對此不太關心，因為過去兩年我們有條不紊地升級優惠券的重點一直是高品質的指定池。例如，我們的 6 歲及以上的股票大約占我們投資組合的四分之一。在這些優惠券中，我們池中只有一小部分由通用抵押品支持，大約70% 擁有我們所說的高品質預付款保護，而我們選擇抵押品的好處在最新的預付款報告中得到了最好的體現。

Now as the third quarter unfolded and higher coupons lagged into the rally, particularly in September. We did rotate an additional 5% of the portfolio from intermediate coupons to higher coupon collateral on a relative value basis. Now as it relates to our hedge portfolio, we maintained conservative interest rate exposure throughout the quarter, while benefiting from a steepening bias. As rates rallied, we proactively managed our rate exposure as mortgage durations contracted but ended the quarter with minimal duration thus helping prepare us for the recent sell-off as the fourth quarter has unfolded.

現在，隨著第三季的展開，更高的票面價落後於漲勢，尤其是在 9 月。我們確實根據相對價值將投資組合的 5% 從中息票轉為較高票面利息。現在，由於與我們的對沖投資組合相關，我們在整個季度保持保守的利率風險，同時受益於陡峭的偏差。隨著利率上漲，我們積極管理我們的利率風險，因為抵押貸款期限縮短，但本季結束時期限最短，從而幫助我們為第四季度即將到來的近期拋售做好準備。

Now shifting to residential credit. The portfolio ended Q3 at $6.5 billion in economic market value with $2.3 billion of dedicated capital representing 18% of the firm's equity. The market value of the portfolio increased by $535 million quarter over quarter. Driven by the continued growth of our correspondent platform with our whole loan and retained OBX securitization portfolio increasing by $640 million. Residential credit spreads were range bound during the quarter with new issue AAA non-QM securities trading in the 10 basis point range providing a supportive backdrop for our OBX securitization platform.

現在轉向住宅信貸。截至第三季度，該投資組合的經濟市值為 65 億美元，其中專用資本為 23 億美元，占公司股本的 18%。該投資組合的市值環比增長了 5.35 億美元。在我們的代理平台持續成長的推動下，我們的全部貸款和保留的 OBX 證券化投資組合增加了 6.4 億美元。本季住宅信貸利差區間波動，新發行的 AAA 非 QM 證券交易價格在 10 個基點範圍內，為我們的 OBX 證券化平台提供了支撐。

Now capitalizing on the firmness in credit spreads, we priced six securitizations totaling $3.3 billion in UPB since the beginning of the third quarter. And have now priced 18 securitizations totaling $9.4 billion in 2024, maintaining Onslow Bay, the largest nonbank sponsor in the residential credit market and second largest overall.

現在，利用信用利差的堅挺，自第三季初以來，我們對六隻證券化產品進行了 UPB 定價，總價值達 33 億美元。目前已在 2024 年對 18 項證券化進行了定價，總額達 94 億美元，使 Onslow Bay 繼續保持住宅信貸市場最大、整體第二大非銀行發起人的地位。

Year-to-date, these transactions have led to the organic creation of over $1.3 billion in market value of retained OBX securities across Annaly and our joint venture with projected ROEs on deployed capital of 12% to 15%. Our correspondent channel produced record volumes again in Q3 across both locks and fundings at $4.4 billion and $2.9 billion, respectively. And we have now achieved 11 consecutive months of expanded credit lock volume in excess of $1 billion per month. And the momentum of the channel continued into Q4 as we have a current lock pipeline of $2.2 billion with strong credit characteristics and limited layer risk representing a 754 weighted average FICO and a 68% LTV. Our disciplined focus on underwriting sound credit risk and our proactive asset management has led to Onslow Bays non-QM securitizations having the lowest delinquencies across the top 10 issuers in the market.

今年迄今為止，這些交易已使 Annaly 和我們的合資企業保留的 OBX 證券有機創造了超過 13 億美元的市場價值，預計已部署資本的 ROE 為 12% 至 15%。我們的通訊管道在第三季再次創造了創紀錄的鎖定量和融資額，分別為 44 億美元和 29 億美元。我們現在已連續 11 個月每月擴大信貸鎖定量超過 10 億美元。該管道的勢頭持續到第四季度，因為我們目前的鎖定管道為 22 億美元，具有強大的信用特徵和有限的層風險，代表著 754 的加權平均 FICO 和 68% 的 LTV。我們對承銷穩健信用風險的嚴格關注和積極主動的資產管理使得 Onslow Bays 非 QM 證券化在市場前 10 名發行人中拖欠率最低。

And while the overall serious delinquency rate on the entire GAAP portfolio remains nominal at under 1.4%. And our resi business is very well positioned given the optionality of our ever-growing correspondent channel and our ability to manufacture high-yielding assets across all spread environments.

儘管整個 GAAP 投資組合的整體嚴重拖欠率名義上仍然低於 1.4%。鑑於我們不斷成長的代理商管道的選擇性以及我們在所有傳播環境中製造高收益資產的能力，我們的 Resi 業務處於非常有利的位置。

Now moving to the MSR business. Our portfolio ended the third quarter at $2.8 billion in market value, utilizing $2.5 billion in equity representing 21% of the firm's capital. Our MSR holdings, including unsettled acquisitions, were up modestly as we committed to purchase one bulk transaction comprising $125 million in market value which we expect to close before year end.

現在轉向MSR業務。截至第三季末，我們的投資組合市值為 28 億美元，使用的股本為 25 億美元，占公司資本的 21%。我們的 MSR 持股（包括未完成的收購）小幅增加，因為我們承諾購買一項市值為 1.25 億美元的大宗交易，預計將在年底前完成。

And notwithstanding the 80 basis point decline in mortgage rates on the quarter, the valuation on our MSR portfolio decreased minimally to a 5.6 multiple. Highlighting the durability of our portfolio that is 300 basis points out of the money. Fundamental performance in the portfolio continues to be strong with a three-month CPR of 3.9% and serious delinquencies are mere 45 basis points. Deposit income remains elevated given the shape of the curve and increased competition in the subservicing market should benefit financial participants like Annaly.

儘管本季抵押貸款利率下降了 80 個基點，但我們 MSR 投資組合的估值最低降至 5.6 倍。強調我們投資組合的耐用性，即價外 300 個基點。投資組合的基本面表現持續強勁，三個月 CPR 為 3.9%，嚴重拖欠率僅 45 個基點。鑑於曲線的形狀，存款收入仍然較高，服務市場競爭的加劇應該有利於像安娜利這樣的金融參與者。

And on the strategic front related to MSR, Annaly's long history of formulating value-add partnerships was again on display this quarter. As we announced a subservicing partnership with Rocket Mortgage in early October. And we size and the stability of our capital helped develop this relationship, and we're pleased to be Rocket's first agency MSR sub-servicing partner. Rocket is expected to begin servicing loans for us as early as December. And this collaboration should allow Annaly to benefit from Rocket's best-in-class recapture capabilities and we expect it to increase our competitiveness in purchasing new MSR.

在與 MSR 相關的策略方面，Annaly 建立增值合作夥伴關係的悠久歷史在本季度再次得到體現。十月初，我們宣布與 Rocket Mortgage 建立服務合作夥伴關係。我們的規模和資本的穩定性有助於發展這種關係，我們很高興成為 Rocket 的第一個代理 MSR 子服務合作夥伴。Rocket 預計最快將於 12 月開始為我們提供貸款服務。這項合作將使 Annaly 受益於 Rocket 一流的奪回能力，我們預計它將提高我們在購買新 MSR 方面的競爭力。

And similar to our existing subservicing agreements, a Rocket agreement allows Annaly to participate in the gain on sale of the loan refinanced helping to preserve and protect our portfolio. This new partnership in conjunction with our existing recapture agreements should allow Annaly to leverage best-in-class industry partners without taking on the operational leverage and earnings cyclicality of an originator.

與我們現有的次級服務協議類似，Rocket 協議允許 Annaly 參與再融資貸款的銷售收益，幫助維護和保護我們的投資組合。這種新的合作夥伴關係與我們現有的重新奪回協議相結合，將使 Annaly 能夠利用一流的行業合作夥伴，而無需承擔發起人的營運槓桿和盈利週期性。

Now lastly, as it relates to our outlook, we remain optimistic that our business model is well positioned with the Fed's cutting cycle now officially underway. And the potential realization of a soft landing. We do, however, remain disciplined in our management of the portfolio concerning leverage, liquidity, and duration exposure given the Fed's meeting-to-meeting dependence in the upcoming presidential election. We remain in a very attractive environment for Agency MBS given elevated investor inflows, a steeper yield curve and an improving technical backdrop. Our Onslow Bay home loan correspondent channel has continued to bring in record volume and allows us to create proprietary assets not available to the broader market.

最後，與我們的前景相關，我們仍然樂觀地認為，隨著聯準會降息週期的正式開始，我們的商業模式處於有利位置。並有可能實現軟著陸。然而，鑑於聯準會在即將到來的總統選舉中對會議的依賴，我們在槓桿、流動性和久期創投組合的管理上仍然保持紀律。鑑於投資者流入增加、殖利率曲線更陡以及技術背景改善，我們仍然處於對機構 MBS 非常有吸引力的環境中。我們的昂斯洛灣房屋貸款代理管道繼續帶來創紀錄的交易量，並使我們能夠創造更廣泛市場無法獲得的專有資產。

our ability to create industry-leading partnerships within MSR and our low gross WAC portfolio have created differentiated advantages. And collectively, we have all the pieces in place across our residential housing finance businesses to deliver stable returns as demonstrated by our 25% economic return realized over the past two years. And now with that, I'll hand it over to Serena to discuss the financials.

我們在 MSR 內建立行業領先合作夥伴關係的能力以及我們低總 WAC 產品組合創造了差異化優勢。總的來說，我們的住宅金融業務的所有部分都已到位，可以提供穩定的回報，過去兩年實現的 25% 的經濟回報證明了這一點。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 third quarter ended September 30, 2024. Consistent with prior quarters, while our earnings release disclosures 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 2024 年 9 月 30 日的第三季的簡要財務摘要。與前幾季一致，雖然我們的收益發布揭露了 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 of September 30, 2024, our book value per share increased from $19.25 in the prior quarter to $19.54. Strong performance across all our businesses contributed to the realization of a 4.9% economic return, including our dividend of $0.65 for Q3. When added to our first half performance, we have generated an economic return of 10.5% year-to-date for 2024.

截至 2024 年 9 月 30 日，我們的每股帳面價值從上一季的 19.25 美元增至 19.54 美元。我們所有業務的強勁表現促成了 4.9% 的經濟回報，其中包括第三季 0.65 美元的股息。加上我們上半年的業績，我們 2024 年年初至今的經濟報酬率為 10.5%。

Lower interest rate volatility during the quarter combined with modestly lower treasury rates, resulted in gains on our agency MBS portfolio of $4.30 per share. Our resi portfolio continued to add to book value, contributing $0.24 per share and lower rates adversely impacted MSR values for the quarter by $0.06. Together with the agency returns, these portfolio gains outpaced the losses on our hedging portfolio of $4.23 per share. Earnings available for distribution per share exceeded our dividend though decreased modestly in the third quarter compared to Q2, 2024, mainly due to an increase in share count and slightly higher preferred dividend expense. Due to our Series I preferred changing from fixed to floating as of June 30, 2024.

本季利率波動性較低，加上國債利率小幅下降，導致我們的機構 MBS 投資組合每股收益 4.30 美元。我們的 Resi 投資組合繼續增加帳面價值，每股貢獻 0.24 美元，較低的利率對本季 MSR 價值產生了 0.06 美元的不利影響。加上機構回報，這些投資組合的收益超過了我們對沖投資組合每股 4.23 美元的損失。儘管與 2024 年第二季相比，第三季可分配的每股盈餘超出了股息，但主要是由於股票數量的增加和優先股股息費用的略高。由於我們的系列，我傾向於從 2024 年 6 月 30 日起從固定更改為浮動。

That said, earnings available for distribution on an absolute basis increased on higher coupon income related to continued rotation up in coupon on the agency portfolio and additional yield provided by the securitization of the assets sourced through the Onslow Bay correspondent channel.

也就是說，可用於分配的絕對收益增加，原因是與機構投資組合票息持續輪換相關的息票收入增加，以及透過昂斯洛灣代理管道取得的資產證券化所提供的額外收益。

Consequently, average asset yields ex-PAA increased 11 basis points to 5.25% in Q3. Increased coupon income was partly offset by a marginal increase of 3 basis points in our economic cost of funds for the quarter. Average repo rates declined 3 basis points during the quarter but were offset by higher securitized debt expense from the six securitizations that closed during the quarter. Our swap interest component benefited EAD as we actively managed the hedge book throughout the quarter during the rates market rally.

因此，第三季不計 PAA 的平均資產收益率上升 11 個基點至 5.25%。本季經濟資金成本小幅成長 3 個基點，部分抵銷了息票收入的增加。本季平均回購利率下降了 3 個基點，但被本季結束的六項證券化債務支出增加所抵銷。我們的掉期利息部分使 EAD 受益，因為我們在整個季度利率市場上漲期間積極管理對沖帳簿。

Based on the earlier factors, our net interest spread ex-PAA, improved by 8 basis points to 1.32%. Our net interest margin ex-PAA declined by 6 basis points to 1.52% primarily due to nuances in the calculation of NIM that are not apparent in NIS. For example, impact of the higher denominator of average interest-earning assets in TBA notional and not an indicator of a decline in income from interest-earning assets.

基於先前的因素，我們的淨利差（扣除 PAA）改善了 8 個基點，達到 1.32%。我們的淨利差（扣除 PAA）下降了 6 個基點，至 1.52%，主要是由於 NIM 計算中的細微差別在 NIS 中並不明顯。例如，TBA名義上平均生息資產較高分母的影響，並非生息資產收入下降的指標。

Turning to details on financing. We continue to see strong demand for funding for our agency and nonagency security portfolios. Our reported strategy is considered with prior quarters with the book position around Fed meeting dates we look to take advantage of any future rate cuts. As a result, our Q3 reported weighted average repo days were 34 days, down 2 days compared to Q2.

轉向融資細節。我們繼續看到對我們的機構和非機構安全投資組合的資金需求強勁。我們報告的策略考慮了前幾季的情況，以及聯準會會議日期前後的帳面頭寸，我們希望利用未來的任何降息機會。因此，我們第三季報告的加權平均回購天數為 34 天，比第二季減少了 2 天。

Today, we have maintained our disciplined approach to diversifying our funding options in our credit businesses. We added $560 million of warehouse capacity for residential credit, which brings our total warehouse capacity across both credit businesses to $4.7 billion with a utilization rate of 40% as of September 30. Post quarter end, we implemented an additional MSR warehouse facility for $300 million, adding to our substantial availability.

今天，我們保持了嚴格的方法，使信貸業務的融資選擇多樣化。我們為住宅信貸增加了 5.6 億美元的倉庫容量，這使得我們兩個信貸業務的總倉庫容量達到 47 億美元，截至 9 月 30 日利用率為 40%。季度末後，我們斥資 3 億美元增建了一座 MSR 倉庫設施，提高了我們的可用性。

Annaly's unencumbered assets increased to $6.5 billion in the third quarter compared to $5.4 billion in the second quarter, including cash and unencumbered Agency MBS of $4.7 billion. In addition, we have approximately $900 million in fair value of MSR that has been placed to committed warehouse facilities, that remain unwon and can be quickly converted to cash, subject to market advanced rates. We have approximately $7.4 billion of assets available for financing, up $1.1 billion compared to last quarter.

第三季度，Annaly 的未支配資產增加至 65 億美元，而第二季度為 54 億美元，其中包括現金和 47 億美元的未支配機構 MBS。此外，我們還有約 9 億美元的 MSR 公允價值，已存放在承諾的倉庫設施中，這些設施尚未贏得，可以根據市場預付率快速轉換為現金。我們有大約 74 億美元的可用於融資的資產，比上個季度增加了 11 億美元。

Finally, turning to expenses. Our efficiency ratios improved during the quarter due to lower other G&A costs and higher average equity balances. This resulted in our OpEx to equity ratio decreasing 10 basis points to 1.48% for the quarter. On a year-to-date basis, our OpEx to equity ratio remains in line with historical amounts at 1.46%. That concludes our prepared remarks.

最後，轉向支出。由於其他一般管理費用降低和平均股本餘額增加，我們的效率比率在本季度有所改善。這導致本季我們的營運支出與股本比率下降 10 個基點至 1.48%。今年迄今，我們的營運支出與股本比率仍與歷史水準保持一致，為 1.46%。我們準備好的演講到此結束。

We will now open the line for questions. Thank you, operator.

我們現在將開通提問熱線。謝謝你，接線生。

(Operator Instructions) Richard Shane, JPMorgan.

（操作員指示）Richard Shane，摩根大通。

Thanks, everybody, for taking my question this morning. Look, the history of mortgage REIT suggests that the known risks are pretty manageable. It's the unexpected risks. It's when you think rates are going up and they go down. It's when you think rates are going down, that they go up that you get, you experienced the greatest turmoil.

謝謝大家今天早上提出我的問題。看，抵押房地產投資信託基金的歷史表明，已知的風險是相當可控的。這就是意想不到的風險。這是當你認為利率上升而利率下降的時候。當你認為利率正在下降時，實際上利率上升了，你就經歷了最大的動盪。

Fourth quarter has started with base rates going up, spreads widening, higher volatility. Can you tell us a little bit about how you're managing that and particularly in light of political uncertainty over the next 2.5 weeks?

第四季開始，基本利率上升，利差擴大，波動性加大。您能否告訴我們一些您是如何應對這一情況的，特別是考慮到未來 2.5 週的政治不確定性？

Hi Rick, and thank you. That's actually a good question to kick off the call here. So we came into the quarter with virtually no rate risk, as I mentioned in our prepared remarks. And if you look at our rate shots, that reinforces that notion. And our leverage was down a touch heading into the quarter.

嗨，瑞克，謝謝你。這實際上是一個很好的開始通話的問題。因此，正如我在準備好的發言中提到的那樣，我們進入本季時幾乎沒有利率風險。如果你看一下我們的比率鏡頭，就會強化這個想法。進入本季度，我們的槓桿率略有下降。

Now at the onset of the quarter, we got payrolls, which was certainly stronger than expected, and we proactively managed the portfolio selling roughly $2 billion in Agency MBS, given the pickup in ball and higher rates. And we've actively managed the rate risk as the market has sold off. We probably sold a little over $3 billion 10-year equivalents over the course of the month of October. But nevertheless, the portfolio has extended. We're operating at today, approximately half a year in duration, which we're perfectly comfortable with here, notwithstanding the election uncertainty.

現在，在本季度初，我們收到了就業數據，這肯定強於預期，考慮到球數的回升和利率的上升，我們主動管理了出售約 20 億美元機構 MBS 的投資組合。隨著市場拋售，我們積極管理利率風險。10 月我們可能賣出了略高於 30 億美元的 10 年期債券。但儘管如此，投資組合還是擴大了。我們今天的營運時間大約是半年，儘管選舉存在不確定性，但我們對此感到非常滿意。

When we take a step back and look at the rates market, here, we're sitting here today with 10-year real yields approaching 2% nominal yields on the 10-year [420], which is 135 basis points or thereabouts above the rest of the G7, which looks reasonable. OIS at [3.70] as a proxy for future short rates looks perfectly reasonable to us. And the five-year note of 4% or just above 4% here, it looks fair. Now in the [340s], as we sat in mid-September, it looked certainly rich, and that's why we didn't carry any rate risk. Market is pricing, a terminal funds rate 50 basis points higher than where the Fed is at, which is a big reversal from where we were at before, and that's encouraging.

當我們退後一步看看利率市場時，我們今天坐在這裡，10 年期實際收益率接近10 年期名目殖利率的2% [420]，比10 年期公債實際殖利率高出135 個基點左右。OIS 的 [3.70] 作為未來短期利率的代理，對我們來說看起來完全合理。五年期國債利率為 4% 或略高於 4%，看起來很公平。現在在[340年代]，當我們坐在九月中旬時，它看起來確實很豐富，這就是為什麼我們沒有承擔任何利率風險。市場正在定價，終端基金利率比聯準會的利率高出50個基點，這與我們之前的水平相比是一個巨大的逆轉，這是令人鼓舞的。

We're respectful of the data, which has been quite strong. And so we understand the volatility that's materialized. And obviously, as you point out, the election is front and center. And it warrants maintaining a very conservative position.

我們尊重這些數據，這些數據非常有力。因此，我們了解已實現的波動性。顯然，正如您所指出的，選舉是最重要的。它需要保持非常保守的立場。

Given that we sold mortgages, our leverage position has maintained -- we've maintained the leverage position. We feel good about it. And as we go through the next couple of weeks, we're going to be very disciplined about managing our rate and basis risk here because this is a big unknown. If we do get a red wave, then the points I made about market pricing, may look a little too optimistic, and we'll see where that -- how that plays out. But for now, we're keeping things close to home. We like our basis exposure and we're going to manage our rate risk here. Does that help?

鑑於我們出售了抵押貸款，我們的槓桿頭寸一直保持不變——我們一直維持著槓桿頭寸。我們對此感覺很好。在接下來的幾周里，我們將非常嚴格地管理我們的利率和基差風險，因為這是一個很大的未知數。如果我們確實出現了紅色浪潮，那麼我對市場定價提出的觀點可能看起來有點過於樂觀，我們將看看結果如何。但現在，我們還是把事情安排在離家更近的地方。我們喜歡我們的基差敞口，並且我們將在這裡管理我們的利率風險。這樣有幫助嗎？

That's very helpful. Thank you, guys. Thank you for squeezing me in this morning. Appreciate it.

這非常有幫助。謝謝你們，夥計們。謝謝你今天早上擠我。欣賞它。

You bet, Rick. Have a good morning.

你敢打賭，瑞克。祝你早安。

Bose George, KBW.

博斯·喬治，KBW。

Hey everyone, good morning. Can I start just with asking for an update on book value?

大家早安。我可以先要求更新帳面價值嗎？

Sure, Bose. Good morning. Through Friday, we were off just a little over 1% in book value. That's pre-dividend accrual. If you consider the dividend accrual, it's roughly 0.5% off.

當然，博斯。早安.截至週五，我們的帳面價值僅下降了 1% 多一點。這是預計股息。如果考慮應計股息，大約有 0.5% 的折扣。

Okay. Great. Thank you. And then, I mean, in terms of dividend, I guess you've commented that you're comfortable through '24. Any -- are you ready to sort of discuss the outlook into '25, how you feel about the dividend?

好的。偉大的。謝謝。然後，我的意思是，就股息而言，我想您已經評論說您對 24 年感到滿意。您準備好討論 25 年的前景了嗎？

Well, as we sit here today, we feel good about the dividend. We're in a safe place here. We do expect to modestly earn a little bit more this quarter, the fourth quarter than in Q3. We expect our NIM to increase modestly. But look, we have to see how things play out.

好吧，當我們今天坐在這裡時，我們對股息感到滿意。我們在這裡是一個安全的地方。我們確實預計本季第四季的營收將比第三季略有增加。我們預計淨息差將小幅成長。但是，我們必須看看事情會如何發展。

We need to understand the Fed's direction the market's direction before we can really understand where the dividend is going. Obviously, there's been dividend increases over the course of the last number of months in the sector, but a lot of that was coming from very low levels to get to not so low levels and some others that were essentially approaching or contextual with our dividend currently. But 13.5% roughly a dividend yield on book, I think, 13.3%. It's a solid return. And we're much more focused on economic return and making sure that we can deliver the dividend.

我們需要先了解聯準會的方向和市場的方向，才能真正了解股利的去向。顯然，過去幾個月該行業的股息有所增加，但其中許多是從非常低的水平達到不那麼低的水平，還有一些基本上接近或與我們目前的股息相關的股息。但我認為 13.5% 大致相當於帳面股息殖利率 13.3%。這是一個堅實的回報。我們更加關注經濟回報並確保我們能夠提供紅利。

And as the market and policy plays out heading into 2025, we do certainly recognize that the Fed's posture provides a tailwind to a lot of aspects of our business and certainly EAD, and we're hopeful that we do get the cuts that are priced in, and we'll see how it goes.

隨著 2025 年市場和政策的發展，我們確實認識到聯準會的立場為我們業務的許多方面（當然還有 EAD）提供了順風，我們希望我們確實能得到定價中的降息，我們將看看進展如何。

Okay. Great. Thank you.

好的。偉大的。謝謝。

Thank you, Bose.

謝謝你，博斯。

Doug Harter, UBS.

道格·哈特，瑞銀集團。

Thanks. Can you talk about how you're thinking about equity allocation, capital allocation to the three businesses and kind of how different rate scenarios might change your appetite for that capital allocation?

謝謝。您能否談談您如何看待這三個業務的股權配置、資本配置，以及不同的利率方案可能如何改變您對資本配置的偏好？

Sure. And look, as I noted in my prepared remarks, all three of our businesses weren't growing. We can generate good returns across the three businesses. But right here, given where we're at in the cycle at the beginning of a -- a sequence of rate cuts agency does look the best. Now we understand volatility is high, but spreads are considerate of that.

當然。看，正如我在準備好的發言中指出的那樣，我們的三個業務都沒有成長。我們可以在這三項業務中產生良好的回報。但就目前而言，考慮到我們正處於週期的開始階段，一系列降息機構看起來確實是最好的。現在我們知道波動性很高，但點差考慮到了這一點。

And the technicals in the agency market have become much more supportive. So at the margin, agency looks a little bit better. And you can see that in our capital allocation at quarter end as we raise capital, the vast majority did go into the agency sector.

代理市場的技術面也變得更有支持性。因此，從邊際角度來看，代理商看起來要好一些。你可以看到，在我們籌集資金時的季度末資本配置中，絕大多數確實進入了代理行業。

Now we do want to get the resi credit business higher, certainly. We'll have to see how originations materialize. But when you look at the returns in that business, through securitization from loans acquired through our correspondent channel, we want to keep growing that. And we expect to do so, but we got to be responsible at credit or with respect to credit here at this point in the cycle. So we feel like we can keep that engine going.

當然，現在我們確實希望提高 Resi 信貸業務。我們必須看看起源是如何實現的。但是，當你看到該業務的回報時，透過我們的代理商管道獲得的貸款的證券化，我們希望繼續成長。我們希望這樣做，但在周期的此時此刻，我們必須對信貸或信貸負責。所以我們覺得我們可以讓這個引擎繼續運轉。

And then in MSR, that does tend to be episodic. We, again, would like to grow it. and we'll see the extent to which packages do come to market. And we'll be certainly aggressive as that materializes. But at the margin, agency is where the marginal dollar is going, and we'll keep it balanced overall, though.

而在 MSR 中，這往往是偶發的。我們再次希望種植它。我們將看看軟體包在多大程度上進入市場。當這一切實現時，我們肯定會積極進取。但在邊際上，代理是邊際美元的去向，不過我們將保持整體平衡。

And I guess just on your comment that all three businesses kind of warrant investment. With that comment, how do you think about continued capital raising in this environment?

我想根據您的評論，這三項業務都值得投資。有了這樣的評論，您如何看待在這種環境下繼續融資？

Sure. Look, as we've always said, we'll only raise capital if it's accretive and if assets are priced appropriately. So to the extent that, that -- those stars line up, we'll consider it. But we are we have ample liquidity. If you look at where our liquid box is, as Serena mentioned, $4.7 billion in Agency MBS cash.

當然。看，正如我們一直說的，只有在資本增值且資產定價適當的情況下，我們才會籌集資金。因此，就那些明星排列而言，我們會考慮它。但我們有充足的流動性。正如 Serena 所提到的，如果你看看我們的液體盒子裡有 47 億美元的機構 MBS 現金。

We don't need to raise capital. A lot of the justification in our minds for the capital raise was obviously accretive in assets, but also the ability to generate more scale for these businesses without impacting our operating expense ratio. And we feel like we have greater resources now to be able to make investments in things like technology as well as broadening the correspondent channel and the resi efforts and other things to where -- we feel good about capital raising because I'd characterize it as offensive scale.

我們不需要籌集資金。我們認為籌集資金的許多理由顯然是增加資產，但也是在不影響我們的營運費用率的情況下為這些業務創造更大規模的能力。我們覺得我們現在擁有更多的資源，能夠在技術等方面進行投資，以及拓寬通訊管道、resi 努力和其他方面——我們對融資感到滿意，因為我將其描述為進攻規模。

We're clearly fully skilled across our businesses, and we are among -- we are the most efficient for anybody who has this broad of a business mix in the market running these three businesses is about 150 basis points of OpEx to equity. But it does help to raise equity so that we can make the appropriate investments to generate more initiatives that will ultimately benefit the shareholder over the long term. So that's just a little thought -- a little of our thought process around raising capital. We don't need to. But if the market is telling us to do so, we'll consider it.

顯然，我們在各個業務方面都擁有充分的技能，而且對於市場上擁有如此廣泛業務組合的任何人來說，我們是效率最高的，運營這三項業務的運營支出與股本之比約為150 個基點。但它確實有助於籌集股本，以便我們能夠進行適當的投資，以產生更多舉措，最終使股東長期受益。這只是我們關於籌集資金的一點思考過程。我們不需要。但如果市場告訴我們要這樣做，我們就會考慮。

Great. Thanks, David.

偉大的。謝謝，大衛。

Thank you, Doug.

謝謝你，道格。

Jason Weaver, Jones Trading.

賈森‧韋弗，瓊斯貿易公司。

Good morning. Thanks for taking my question. David, and maybe Mike can provide some input to. I was wondering if you're seeing anything in the securitization data out there just given your visibility that might indicate any kind of early stress like first-time delinquencies, slow pays, grace period maximization?

早安.感謝您提出我的問題。大衛，也許麥克可以提供一些意見。我想知道，鑑於您的可見性，您是否在證券化數據中看到任何可能表明任何類型的早期壓力，例如首次拖欠、緩慢付款、寬限期最大化？

Yeah, Jason, this is Mike. Thanks for the question. I think in terms of the -- a lot of the commentary around the consumer, it's more focused on the lower end consumer, the low to medium income borrower. That's not consistent with the type of borrower that we're lending to. So if you look at non-QM 15, the latest transaction that we priced that average loan size is $495,000 on 68% LTV, that's $730,000 property value.

是的，傑森，這是麥克。謝謝你的提問。我認為，就消費者而言，許多評論更關注低端消費者、中低收入借款人。這與我們貸款的借款人類型不一致。因此，如果您查看非 QM 15，我們定價的最新交易平均貸款規模為 495,000 美元，LTV 為 68%，即房產價值 730,000 美元。

Our average borrower makes about $250,000 per year. So when you think about the type of borrowers we're lending to, it's very sophisticated self-employed borrowers, it's professional real estate investors. We are not necessarily seeing that stress that other products are seeing like in credit cards, like that lower-end consumer like subprime auto. You're not seeing within the portfolio. David mentioned it earlier in the call, but the [d-60 plus] of our entire portfolio is 137 basis points.

我們的借款人平均每年賺取約 25 萬美元。因此，當你考慮我們貸款的借款人類型時，他們是非常成熟的自營職業借款人，是專業的房地產投資者。我們不一定會看到其他產品所面臨的壓力，例如信用卡、次級車等低階消費者。您沒有在投資組合中看到。David 在電話會議早些時候提到過，但我們整個投資組合的 [d-60 plus] 是 137 個基點。

And when we look at just the non-end the DSCR part of the portfolio, it's around 2%. So I think we feel very good with the type of credit that we're originating and the borrowers, specifically that we're targeting.

當我們僅查看投資組合的非末端 DSCR 部分時，比例約為 2%。因此，我認為我們對我們發起的信貸類型和借款人（特別是我們的目標借款人）感覺非常好。

Thanks. That's helpful. wondering more in a macro sense, just seeing if there's any persistence into that higher level credit quality. But it sounds like not. And then going back to your remarks on the Rocket partnership, I think you had mentioned seeing some greater competition among subservicers. Should we take that to expect any better pricing on subservicing expense or any change in the economics that are more favorable to Annaly? When that product comes online partnership?

謝謝。這很有幫助。從宏觀意義上想知道，只是看看是否有任何堅持更高水準的信用品質。但聽起來好像不是。然後回到您對火箭合作夥伴關係的評論，我認為您提到看到子服務商之間存在更激烈的競爭。我們是否應該以此來期待服務費用的更好定價或對安娜利更有利的經濟變化？該產品什麼時候推出線上合作夥伴關係？

Sure Jason, we'll have Bob Ken on that one.

當然，傑森，我們將請鮑勃肯主持。

Hey Jason, thanks for the question. In short, absolutely, as MSR, as there's been substantial MSR trading in the last few years, the amount leaving sub-servicers and going to owners who service their own loans has been material. So there's been a contraction in the share of overall mortgage servicing rights handled by subservicers and that's created a lot of competition in the market. So we are seeing lower pricing and better economic.

嘿傑森，謝謝你的提問。簡而言之，絕對是，作為 MSR，由於過去幾年有大量的 MSR 交易，因此離開子服務商並流向為自己貸款提供服務的所有者的金額非常大。因此，由子服務商處理的整體抵押貸款服務權的份額出現了收縮，這在市場上造成了激烈的競爭。因此，我們看到價格更低，經濟性更好。

All right. That's helpful. Thanks for the color.

好的。這很有幫助。謝謝你的顏色。

Thank you, Jason.

謝謝你，傑森。

Eric Hagen, BTIG.

艾瑞克‧哈根，BTIG。

Thanks. Good morning. So when we look historically at the portfolio, the book value has been consumed by a higher bond premium. I think at 1 point, the premium in the agency portfolio was like a third of book value. versus now the premium risk is a lot more dialed down, and so the prepayment exposure might be characterized a lot differently on the balance sheet. Do you feel like that, in any way, drives your philosophy around leverage and capital allocation versus how you've managed in the past and how we should expect you guys to manage going forward?

謝謝。早安.因此，當我們從歷史角度審視投資組合時，帳面價值已被較高的債券溢價所消耗。我認為在某個時刻，代理投資組合的溢價相當於帳面價值的三分之一。與現在相比，保費風險大大降低，因此預付款風險在資產負債表上的特徵可能有很大不同。您是否認為這以某種方式推動了您關於槓桿和資本配置的理念，以及您過去的管理方式以及我們應該如何期望您們未來的管理方式？

Well certainly, the convexity profile of the agency portfolio is going to inform how we think about leverage. Right now, the agency average coupon, I think, is about 4.95%. So we're below par. We have methodically gone up in coupon, as I talked about. And the convexity obviously has -- convexity exposure has increased, and it's now off a little bit or it's now a little bit better with the selloff, but nevertheless, it is a consideration.

當然，機構投資組合的凸度特徵將告訴我們如何看待槓桿。目前，我認為機構平均票面利率約為 4.95%。所以我們低於標準桿。正如我所說，我們有條不紊地提高了優惠券的價格。凸性顯然已經增加了，凸性暴露有所增加，現在有所下降，或者現在隨著拋售而有所好轉，但無論如何，這是一個考慮因素。

And Serena feel free to elaborate on how we think about it from the overall managing the portfolio -- the agency portfolio standpoint.

Serena 可以隨意詳細說明我們如何從整體管理投資組合（機構投資組合的角度）的角度來考慮這個問題。

Yeah. I mean, to a large extent, we have gone up in coupon, but we have stayed in fairly high-quality specified pools as David alluded to in his in his opening remarks about 70% of our portfolio is in high-quality pools. So we don't have the same amount of duration drift that you would have if you are in lower quality generic pools. So given that the dollar price dollar prices are generally higher for the quarter as rates rally, and the durations are no ore, which means your hedging costs or your -- the amount of hedges you need against them is no work. It creates more liquidity.

是的。我的意思是，在很大程度上，我們的息票有所增加，但我們仍然處於相當高品質的指定池中，正如大衛在他的開場白中提到的那樣，我們的投資組合的70 ％ 位於高品質池中。因此，如果您處於較低品質的通用池中，我們的持續時間漂移量不會與您相同。因此，考慮到美元價格隨著利率上漲而在本季度普遍走高，並且久期沒有礦石，這意味著您的對沖成本或您需要的對沖金額是沒有作用的。它創造了更多的流動性。

Okay. That's helpful. Yeah, that was a helpful explanation. Thank you, guys. Returning to the non-QM a little bit. You guys have been really active there. I mean how do you think that portfolio maybe benefits from the Fed cutting rates -- and do you think lower rates will catalyze originators to create more non-QM?

好的。這很有幫助。是的，這是一個有用的解釋。謝謝你們，夥計們。稍微回到非 QM 上來。你們在那裡非常活躍。我的意思是，您認為該投資組合如何從聯準會降息中受益？

We certainly hope so. We've been pretty happy with the growth of the correspondent channel as obviously, we discussed in the prepared remarks. Presumably, if you do get lower rates, it will spur more housing activity and certainly should benefit to non QM. Oftentimes, the originators are in a lower rate environment, more focused on the agency market, but it feels like the market is in a healthy place and could grow as rates do come down.

我們當然希望如此。我們對通訊頻道的發展感到非常滿意，顯然，我們在準備好的評論中對此進行了討論。據推測，如果利率確實降低，將會刺激更多的房地產活動，並且肯定會讓非 QM 受益。通常情況下，發起人處於較低的利率環境中，更專注於代理市場，但感覺市場處於健康的狀態，並且隨著利率的下降可能會增長。

Yeah, with respect to the back book, I mean, how do you feel like the back book of non-QM might benefit from the Fed cutting rates since it's a fixed rate portfolio?

是的，關於後台帳簿，我的意思是，您認為非 QM 的後台帳簿可能會從聯準會降息中受益，因為它是固定利率投資組合？

Yeah. About -- Eric, this is Mike. About 85% of the portfolio is fixed rate. But we do look at that portfolio on a hedge basis. We're hedging that on a macro level with the MSR portfolio and with the agency portfolio as well.

是的。關於——埃里克，這是麥克。大約85%的投資組合是固定利率的。但我們確實在對沖的基礎上看待該投資組合。我們正在透過 MSR 投資組合和代理投資組合在宏觀層面上對沖這一點。

I do think that the majority of investors look at non-QM in terms of the AAA investors is down to BBB looking at it on a spread basis and not necessarily a yield basis. So I think to the extent that rates do rally and there's a realization of these Fed cuts, I think it does put origination volumes up. Hopefully, it puts non-QM securitization volumes higher. And from a spread perspective, we do think once we get past some of these fall events, specifically the elections, that spreads could continue to tighten. So I think it's a conducive environment for us to the extent the Fed does ease as kind of the market predicts and you do see a little bit rally from here in rates.

我確實認為，大多數投資者從 AAA 投資者的角度來看非 QM，他們會根據利差而不一定是收益率來看待 BBB。因此，我認為，在利率確實上漲並且聯準會降息的情況下，我認為這確實會增加發行量。希望這能提高非 QM 證券化交易量。從利差的角度來看，我們確實認為，一旦我們度過了一些秋季事件，特別是選舉，利差可能會繼續收緊。因此，我認為這對我們來說是一個有利的環境，只要聯準會確實像市場預測的那樣放鬆貨幣政策，並且您確實會看到利率略有回升。

Got you. Thank you, guys, very much.

明白你了。非常感謝你們，夥伴們。

Thank you, Eric.

謝謝你，埃里克。

Harsh Hemnani, Green Street.

嚴酷的 Hemnani，格林街。

Thank you. maybe in light of the Rocket mortgage partnership and also perhaps the desire to grow the MSR book into the end of the year. Could you comment on how you're viewing relative value between sort of the higher coupon MSRs but with recaptured opportunities versus the lower coupon MSRs that are currently in the portfolio?

謝謝。也許是考慮到火箭抵押貸款合作夥伴關係，也可能是希望將 MSR 的帳簿延長到今年年底。您能否評論一下您如何看待高息票 MSR 與當前投資組合中的低息票 MSR 之間的相對價值？

Yeah, absolutely. Look, we capture, it's absolutely a component of valuation. And with the Rocket partnership, that's just another addition to our portfolio of recapture and subservicing partners. We're excited about the opportunity, given their leading customer retention rates and customer satisfaction. It's also been great to work with the Rocket team.

是的，絕對是。看，我們發現，這絕對是估值的一個組成部分。與火箭的合作關係只是我們的奪回和維修夥伴組合的另一個補充。鑑於他們領先的客戶保留率和客戶滿意度，我們對這個機會感到興奮。與火箭隊合作也很棒。

Each of our partners has differing strategies and approaches to subservicing and recapture. So they are part of our portfolio, and we're prepared to opportunistically bid on the higher note rate or the lower note rate and building on our infrastructure just adds to this capacity.

我們的每個合作夥伴都有不同的維護和奪回策略和方法。因此，它們是我們投資組合的一部分，我們準備機會性地競標更高的票據利率或更低的票據利率，而建立我們的基礎設施只會增加這種能力。

Okay. Thank you. I'll leave it there.

好的。謝謝。我會把它留在那裡。

Thank you, Harsh.

謝謝你，嚴酷。

Jason Stewart, Janney Montgomery Scott.

傑森·斯圖爾特，珍妮·蒙哥馬利·斯科特。

Hi. Thanks for taking the question. I wanted to pull together the concept of offensive capital raising leverage in the election. And maybe if you could, David, put a pin in whether that's a signpost that would lead you to take leverage up? Or there other issues that you're looking at -- and if you could just pull those three together for us and then maybe another signpost to take leverage up and how you're thinking about those?

你好。感謝您提出問題。我想在選舉中整合進攻資本籌措槓桿的概念。大衛，也許你可以指出這是否是一個引導你提高槓桿率的路標？或者您正在考慮其他問題 - 如果您可以為我們將這三個問題放在一起，然後也許是另一個提高槓桿率的路標以及您如何考慮這些問題？

Yeah. So as it relates to raising capital, that's a better alternative, been taking leverage up in our mind right now. The way we look at it is if you really like Agency MBS you don't need to raise capital, you raise leverage. We do like Agency MBS, but it was more advantageous to raise capital than to lever up because of all these fall events on the horizon. Now if we fast forward a couple of weeks and we get an outcome on the election imminently after Tuesday, two weeks from now.

是的。因此，就籌集資金而言，這是一個更好的選擇，我們現在一直在考慮提高槓桿率。我們的看法是，如果您真的喜歡 Agency MBS，您不需要籌集資金，只需提高槓桿。我們確實喜歡機構MBS，但由於所有這些即將發生的秋季事件，籌集資金比槓桿化更有利。現在，如果我們快進幾週，我們將在周二之後（即兩週後）立即得到選舉結果。

And the market calms down, we could certainly take leverage up because mortgages have cheapened about 4 to 5 basis points thus far in the quarter. They look perfectly reasonable. But ball is high, and we have to be respectful of it.

當市場平靜下來時，我們當然可以提高槓桿率，因為本季迄今為止抵押貸款已經便宜了約 4 到 5 個基點。他們看起來完全合理。但球很高，我們必須尊重它。

And we don't need to take leverage up. We're certainly earning an adequate return. But if we feel like there's a tactical opportunity or even more intermediate-term opportunity to do so. We certainly have the capacity to do so, but we've got to see how things play out.

我們不需要提高槓桿率。我們當然獲得了足夠的回報。但如果我們覺得有一個戰術機會，甚至更多的中期機會可以這樣做。我們當然有能力這樣做，但我們必須看看事情會如何發展。

Okay. That's helpful. Thanks for taking the question.

好的。這很有幫助。感謝您提出問題。

Thank you, Jason.

謝謝你，傑森。

Don Fandetti, Wells Fargo.

唐范德蒂，富國銀行。

Hi. Good morning. Can you talk a little bit about your sort of view on agency MBS spreads. I mean I think they're still a little wide versus historical and the bull case is that maybe the banks come in and you could see some tightening. Do you subscribe to that? Or are you sort of more thinking we're range bound for a while?

你好。早安.您能談談您對機構 MBS 利差的看法嗎？我的意思是，我認為與歷史相比，它們仍然有點寬泛，看漲的情況是，也許銀行介入，你可能會看到一些緊縮政策。你同意嗎？還是你比較認為我們暫時處於區間波動？

So just stepping back, the big picture is that monetary policy that has been restrictive for a while has -- is now normalizing along with labor markets and inflation. So from a fundamental perspective, I think you're likely to see the yield curve steepen up and interest rate volatility decline, all of which are positive for Agency MBS. And what you alluded to, the supply-demand technicals are better today than any time it's 2022. Banks, which shed about $200 billion in 2023 have modestly added to MBS this year.

因此，退一步來說，大局是，一段時間以來一直實行限制性的貨幣政策現在正在隨著勞動市場和通貨膨脹而正常化。因此，從基本面角度來看，我認為您可能會看到殖利率曲線變陡，利率波動性下降，所有這些對機構MBS都是有利的。正如您所提到的，今天的供需技術面比 2022 年的任何時候都要好。2023 年損失約 2,000 億美元的銀行今年適度增持了 MBS。

So looking forward, I think if the Fed cutting cycle continues as we expect or as the Fed expects we should see an increase in bank demand, and we should also see foreign buyers coming into the agency MBS market. So the technical also looks pretty good for the Agency MBS market. So we've been trading -- put some numbers on it. We've been trading in the 115 to 145 range -- basis point range (inaudible) spread to blended treasury curve for the last four, five months. And I think as we get past the election and boldly subsides, we could see that spread tighten to 110 to 130 basis point range.

因此，展望未來，我認為，如果聯準會降息週期按照我們的預期或聯準會的預期繼續下去，我們應該會看到銀行需求增加，我們也應該看到外國買家進入機構MBS市場。因此，對於代理 MBS 市場來說，技術面看起來也相當不錯。所以我們一直在進行交易——給出一些數字。過去四、五個月，我們一直在 115 到 145 的範圍內交易——基點範圍（聽不清楚）與混合國債曲線的利差。我認為，隨著大選結束並大膽消退，我們可能會看到利差收窄至 110 至 130 個基點範圍。

What we don't expect is that we'll go back to spreads, we saw pre-COVID which was closer to, say, 65 to 85 basis points when both the (technical difficulty) the Fed were actively involved. I think we will remain wide of those levels. but we could definitely tighten another. The range has moved down by 10 to 15 basis points from where we are today.

我們沒想到的是，利差會回到新冠疫情之前的水平，例如，當聯準會積極參與（技術難度）時，利差接近 65 至 85 個基點。我認為我們將保持在這些水平之上。但我們絕對可以收緊另一個。該區間較目前水準下降了 10 至 15 個基點。

Okay. Thank you.

好的。謝謝。

Thank you, Don.

謝謝你，唐。

(Operator Instructions) Trevor Cranston, Citizens JMP.

（操作員說明）Trevor Cranston，Citizens JMP。

All right. Thanks. There was some news recently about a large asset manager making a move to get involved in the non-QM space. Could you guys maybe talk a little bit about generally what you guys are seeing in terms of new participants coming into the market and what that might mean for the competitive landscape and overall economics in non-QM space. Thanks.

好的。謝謝。最近有消息稱，一家大型資產管理公司正在涉足非 QM 領域。你們能否大致談談你們在新參與者進入市場方面所看到的情況，以及這對非 QM 領域的競爭格局和整體經濟意味著什麼。謝謝。

Sure. Thanks, Trevor. I would say that we actually think it's a little bit of the opposite where entities that have fully scaled platforms with dedication of significant resources are in a really good spot right now. with where we're at, if you include October, we've already funded $9 billion of loans year to date. Now when you look at the market, it is hard to put a pin in what the actual origination volume is within non-QM and DSCR. But we think we're anywhere at a 10% to 15% market share.

當然。謝謝，特雷弗。我想說的是，我們實際上認為情況有點相反，擁有完全擴展的平台並投入大量資源的實體目前處於非常好的位置。就我們目前的情況而言，如果算上 10 月份，今年迄今為止我們已經發放了 90 億美元的貸款。現在，當您觀察市場時，很難確定非 QM 和 DSCR 內的實際發起量是多少。但我們認為我們的市佔率在 10% 到 15% 之間。

The market share that we're experiencing continues to increase. A lot of that is signing up new correspondence. We're signing up about 15 correspondents per each quarter. We've started to roll out additional originator tools, the ability to underwrite bank statement income. A lot of the capital raise that David talked about, we're putting a lot of those resources towards helping improve the velocity of funding loans.

我們所經歷的市佔率持續增加。其中很大一部分是簽署新的信件。每個季度我們都會簽約約 15 位通訊員。我們已經開始推出額外的發起工具，即承保銀行對帳單收入的能力。大衛談到的許多資金籌集，我們都投入了大量資源來幫助提高融資貸款的速度。

So I would say, it's actually a little bit of the opposite, Trevor. Like we actually feel is that we continue to gain market share and the margins that we're putting out on a daily basis where our rates are increasing. So while you'll certainly always have participants and asset managers that want to participate in this product, the extensive architecture that we put in place without the infrastructure, the ability to phase 240-plus correspondents. It's hard to buy those assets. at the same pricing that we have.

所以我想說，這實際上有點相反，特雷弗。我們實際上感覺到的是，我們不斷獲得市場份額和利潤，我們每天都在提高利率。因此，雖然您肯定總會有參與者和資產管理者想要參與該產品，但我們在沒有基礎設施的情況下建立了廣泛的架構，能夠階段性地容納 240 多名通訊員。購買這些資產很困難。與我們的價格相同。

So I think we've been ahead of the game. We launched this corresponding in 2021. We've been buying non-QM loans since 2016, 2017. So I think we've identified the opportunity a lot earlier than others. And I think we feel really good with kind of where we're at.

所以我認為我們已經領先了。我們於 2021 年推出了相應的產品。自 2016 年、2017 年以來，我們一直在購買非 QM 貸款。所以我認為我們比其他人更早發現了這個機會。我認為我們對目前的處境感覺非常好。

Yeah. And then I'll just add, Trevor, there are large huge barriers to entry in this space. We've -- Mike said, we started the correspondent channel in 2021. We've been in non-QM since around 2016. And we've been consistent, and we've been a durable partner to a lot of the originator community through COVID.

是的。然後我要補充一點，特雷弗，進入這個領域存在著巨大的障礙。麥克說，我們在 2021 年啟動了通訊頻道。自 2016 年左右以來，我們一直處於非 QM 狀態。我們始終如一，在新冠疫情期間，我們一直是許多原創者社群的持久合作夥伴。

We funded everything we committed to in 2022. As volatility hit in capital markets efforts amongst originators, we're in a precarious position. We were there for them. And as a consequence we have established very deep relationships in the originator community. Our infrastructure is as good as anybody's.

我們為 2022 年承諾的一切提供了資金。隨著發起人資本市場努力的波動，我們的處境岌岌可危。我們一直在他們身邊。因此，我們在發起者社群中建立了非常深厚的關係。我們的基礎設施和任何人的一樣好。

We provide white glove service to our partners, and we have the distribution through our securitization brand that leads to very competitive spreads. And as a consequence, the originator community. It's better pricing and more durable commitments from us. So we feel like we're in a good place.

我們為合作夥伴提供白手套服務，並透過我們的證券化品牌進行分銷，從而帶來極具競爭力的利差。因此，發起者社群。這是我們更優惠的定價和更持久的承諾。所以我們感覺我們處於一個很好的位置。

Got it. Very helpful. Thank you.

知道了。非常有幫助。謝謝。

Thank you, Trevor.

謝謝你，特雷弗。

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

女士們、先生們，我們的問答環節到此結束。我想將會議轉回給大衛芬克爾斯坦發表閉幕詞。

Thank you, Chad, and thanks for joining us, everybody. We'll talk to you soon.

謝謝查德，也謝謝大家加入我們。我們很快就會和你談談。

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

謝謝您，先生。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。