Annaly Capital Management Inc (NLY) 2025 Q2 法說會逐字稿

Good day, and welcome to the Q2 2025 Annaly Capital Management Earnings Conference Call. (Operator Instructions)Please note, this event is being recorded.

大家好，歡迎參加 2025 年第二季 Annaly Capital Management 財報電話會議。（操作員指示）請注意，此事件正在被記錄。

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

現在，我想將會議交給投資者關係總監 Sean Kensil。請繼續。

Good morning, and welcome to the Second Quarter 2025 Earnings Call for Annaly Capital Management. Any forward-looking statements made during today's call are subject to certain risks and uncertainties, which are outlined in the Risk Factors section in our most recent annual and quarterly SEC filings. .

早安，歡迎參加 Annaly Capital Management 2025 年第二季財報電話會議。今天電話會議上做出的任何前瞻性陳述都存在某些風險和不確定性，這些風險和不確定性在我們最近的年度和季度 SEC 文件中的風險因素部分中概述。。

Actual events and results may differ materially from these forward-looking statements. We encourage you to read the disclaimer in our earnings release in addition to our quarterly and annual filings. Additionally, the content of this conference call may contain time-sensitive information that is accurate only as of the date hereof. We do not undertake and specifically disclaim any obligation to update or revise this information.

實際事件和結果可能與這些前瞻性陳述有重大差異。我們鼓勵您除了閱讀我們的季度和年度文件外，還要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僅在本電話會議之日準確的時間敏感資訊。我們不承擔更新或修改此資訊的任何義務，並明確否認有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 earnings release. Content referenced in today's call can be found in our second quarter 2025 investor presentation and second quarter 2025 financial supplement, both found under the Presentations section of our website. Please also note, this event is being recorded.

在本次電話會議中，我們可能會展示 GAAP 和非 GAAP 財務指標。我們的收益報告中包含了 GAAP 與非 GAAP 指標的對帳。今天電話會議中引用的內容可以在我們 2025 年第二季度的投資者介紹和 2025 年第二季度的財務補充中找到，這兩個文件都可以在我們網站的「介紹」部分找到。另請注意，此事件正在被記錄。

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

參加今天早上電話會議的人員包括首席執行官兼聯席首席投資官 David Finkelstein、首席財務官 Serena Wolfe、聯合首席投資官兼住宅信貸主管 Mike Fania、代理機構主管 V.S. Srinivas 和抵押貸款服務權主管 Ken Adler。

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

說完這些，我會把電話轉給大衛。

Thank you, Sean. Good morning, everyone, and thank you all for joining us for our second quarter earnings call. Today, as usual, I'll briefly review the macro and market environment as well as our performance for the quarter, then I'll provide an update on each of our three businesses, ending with our outlook. Serena will then discuss our financials before opening up the call to Q&A. .

謝謝你，肖恩。大家早安，感謝大家參加我們的第二季財報電話會議。今天，像往常一樣，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個業務的最新情況，最後介紹我們的展望。然後，Serena 將討論我們的財務狀況，然後開始問答環節。。

Now starting with the macro landscape, the US economy is persevere through considerable trade-related uncertainty and resulting market volatility in recent months. Growth is likely to run around 1% annualized for the first half of the year, well below the pace of recent years but is arguably outperforming post Liberation Day expectations.

現在從宏觀情勢來看，近幾個月來，美國經濟一直承受著與貿易相關的巨大不確定性以及由此產生的市場波動。今年上半年的年化成長率可能達到 1% 左右，遠低於近年來的成長速度，但可以說超出了解放日後的預期。

Employers hired nearly 450,000 workers in the second quarter, which has lowered the unemployment rate marginally to 4.1%. And overall hiring has slowed compared to recent years, but the labor market is relatively balanced and layoffs have been somewhat muted.

第二季度，雇主僱用了近45萬名工人，失業率小幅下降至4.1%。與近年來相比，整體招募速度有所放緩，但勞動市場相對平衡，裁員情況有所緩和。

Inflation, meanwhile, likely ran at the slowest level in the past three quarters, as the continued decline in service sector inflation offset firming and goods prices, some of which likely tariff related.

同時，通膨率可能處於過去三個季度以來的最低水平，因為服務業通膨率的持續下降抵消了商品價格的走高（其中一些價格可能與關稅有關）。

The economy and the labor market's resilience has affirmed the Fed's current wait-and-see stance with the majority of policymakers indicating a preference for more data to assess the impact of tariffs on inflation.

經濟和勞動力市場的韌性證實了聯準會目前的觀望立場，大多數政策制定者表示傾向於獲取更多數據來評估關稅對通膨的影響。

We do expect the Fed to ultimately deliver on the two interest rate cuts projected for 2025 at the last FOMC meeting given the consensus view among policymakers, the current interest rate levels remain somewhat restrictive.

鑑於政策制定者的共識，目前的利率水準仍然具有一定的限制性，我們確實預計聯準會最終將實現上次 FOMC 會議上預測的 2025 年兩次降息。

As it relates to markets, a positive reversal in sentiment as the second quarter progressed, help risk assets recover from their sharp underperformance in early April, and financial conditions have reached some of the most accommodative levels since the onset of the hiking cycle in 2022. And despite improvement in markets, longer-term treasury yields remain elevated as the market will need to continue to fund large deficits, particularly with the passage of the recent tax and spending bill.

就市場而言，隨著第二季的進展，市場情緒出現積極逆轉，幫助風險資產從 4 月初的大幅表現不佳中恢復過來，金融狀況也達到了自 2022 年加息週期開始以來最寬鬆的水平。儘管市場有所改善，但長期國債殖利率仍然居高不下，因為市場需要繼續為巨額赤字提供資金，尤其是在最近的稅收和支出法案通過之後。

Swap spreads have also been unable to reverse the majority of their April tightening, which left Agency MBS spreads 5 to 10 basis points wider on the quarter.

掉期利差也未能扭轉 4 月大部分收緊的勢頭，導致機構 MBS 利差在本季度擴大了 5 至 10 個基點。

Now against this backdrop, we delivered an economic return of 0.7% for the second quarter, while generating earnings available for distribution of $0.73, once again out earning our dividend.

在此背景下，我們第二季度的經濟回報率為 0.7%，同時可供分配的收益為 0.73 美元，再次超過了我們的股息收益。

Q2 marked the seventh consecutive quarter of generating a positive economic return for our shareholders, demonstrating the diversification benefit of our 3 fully scaled housing finance strategies.

第二季是我們連續第七個季度為股東帶來正的經濟回報，體現了我們三項全面住房融資策略的多元化優勢。

Year-to-date, we've delivered a 3.7% economic return with a total shareholder return of over 10% through quarter end. And further to note, we raised just over $750 million of accretive capital in the second quarter through our ATM program, which was predominantly deployed in the agency sector. and leverage increased modestly to 5.8 turns in light of the increased allocation to agency.

年初至今，我們已實現 3.7% 的經濟回報，截至季末的股東總回報率超過 10%。進一步值得注意的是，我們在第二季透過 ATM 計畫籌集了超過 7.5 億美元的增值資本，主要部署在代理部門。鑑於對代理商的配置增加，槓桿率小幅上升至 5.8 倍。

Now turning to our investment strategies and beginning with agency. Our portfolio ended the quarter at nearly $80 billion in market value, up 6% quarter-over-quarter. After the early April volatility, market conditions for Agency MBS improved. Rates were range-bound, the yield curve remained relatively steep, implied volatility declined and comparable fixed income assets tightened given the favorable risk sentiment in markets. Agency MBS did lag in the recovery as demand from overseas and the bank community has remained muted, but we do think that these participants could become more active, should the Fed resume cutting or as expected regulatory reform materializes.

現在轉向我們的投資策略，從代理商開始。截至本季末，我們的投資組合市值接近 800 億美元，季增 6%。經過 4 月初的波動之後，機構 MBS 的市場狀況有所改善。鑑於市場風險情緒良好，利率區間波動，殖利率曲線維持相對陡峭，隱含波動率下降，可比固定收益資產更緊。由於海外和銀行界的需求依然低迷，機構MBS在復甦中確實落後了，但我們確實認為，如果聯準會恢復降息或預期的監管改革得以實現，這些參與者可能會變得更加活躍。

With respect to our activity early in the quarter, we managed our duration through the tariff-driven volatility with little adjustment to our agency portfolio, -- and as markets normalized, we steadily added Agency MBS at attractive spreads in line with our capital raising, growing our agency portfolio by roughly $4.5 billion in notional terms.

就本季初的活動而言，我們透過關稅驅動的波動來管理我們的期限，對我們的代理投資組合幾乎沒有進行調整——隨著市場正常化，我們根據融資情況穩步增加了具有吸引力利差的機構 MBS，使我們的代理投資組合名義上增加了約 45 億美元。

Purchases were fairly evenly split across 4 moves, 5.5s and 6s, and we marginally preferred pools over TBAs as repo financing was slightly more attractive than dollar roll carry.

購買量在 4 次移動、5.5 次移動和 6 次移動中平均分配，並且我們略微偏向於資金池而非 TBA，因為回購融資比美元展期套利略帶吸引力。

We continue to operate within a narrow interest rate risk band given the volatility we've experienced thus far this year. And in Q2, all asset purchases were hedged, and duration extension was prudently managed due to the rise in long-end rates.

鑑於今年迄今經歷的波動，我們繼續在狹窄的利率風險區間內運作。而在第二季度，所有資產購買都進行了對沖，並且由於長期利率上升，期限延長得到了審慎管理。

Within our hedge portfolio, we remain in favor of holding swaps against shorter-term risk due to the positive carry profile while maintaining a more balanced mix of treasury and swap exposure in the intermediate and long end.

在我們的對沖投資組合中，我們仍然傾向於持有掉期合約以抵禦短期風險，因為其具有積極的套利特徵，同時在中期和長期保持更均衡的國債和掉期敞口組合。

Swap spreads tightened significantly during the quarter and forward markets are signaling further tightening in the months ahead. That changes, however, You can nimbly adjust our hedges between swaps and treasury risk but for now, maintaining a roughly 60-40 hedge allocation between swaps and treasuries is more favorable in our view.

本季掉期利差大幅收緊，遠期市場也預示著未來幾個月將進一步收緊。然而，情況會發生變化，您可以靈活地調整掉期和國債風險之間的對沖，但就目前而言，我們認為在掉期和國債之間維持大約 60-40 的對沖分配更為有利。

Overall, we remain optimistic on the agency sector as fundamentals are sound, and there are several potential catalysts out the [Verizon] to improve Agency MBS technicals Additionally, we're encouraged by the administration's recent statements regarding GSE reform noting that any privatization efforts will preserve the implicit guarantee and aim to tighten MBS spreads, removing a significant market concern.

總體而言，我們仍然對代理行業持樂觀態度，因為基本面良好，並且 [Verizon] 存在多種潛在催化劑來改善代理 MBS 技術。此外，我們對政府最近關於 GSE 改革的聲明感到鼓舞，指出任何私有化努力都將保留隱性擔保，並旨在收緊 MBS 利差，從而消除重大市場擔憂。

Shifting to residential credit. Our portfolio was relatively unchanged at $6.6 billion in market value and $2.4 billion of capital. The resi credit sector broadly tracked corporate credit over the quarter, widening in sympathy with other risk assets in early April, only to finish the quarter with spreads roughly unchanged.

轉向住宅信貸。我們的投資組合相對沒有變化，市值為 66 億美元，資本額為 24 億美元。本季度，住宅信貸板塊大致追蹤企業信貸，4 月初與其他風險資產一起擴大，但本季末利差基本保持不變。

Now despite the turbulence in the first half of the quarter, the non-agency market demonstrated its durability with over $43 billion of gross issuance in the quarter.

儘管本季上半段出現了動盪，但非機構債券市場仍展現出其持久力，本季總發行量超過 430 億美元。

Our Onslow Bank platform had its highest quarterly securitization activity to date, closing $3.6 billion across 7 transactions, and we priced an additional two securitizations in July bringing cumulative 2025 activity to $7.6 billion across 15 transactions, generating $913 million of high-yielding proprietary assets for Annaly and our joint venture.

我們的 Onslow Bank 平台迄今為止的季度證券化活動最高，在 7 筆交易中成交 36 億美元，並且我們在 7 月份對另外兩筆證券化進行了定價，使 2025 年的累計活動達到 15 筆交易中的 76 億美元，為 Annaly 和我們的合資企業創造了 9.13 億美元的資產高級收益。

Onslow Bay's expanded credit correspondent channel also remain the industry leader, generating $5.3 billion of locks and funding $3.7 billion of loans over the quarter. And this is despite tightening our credit standards once again, given some of the headwinds we are seeing in housing.

昂斯洛灣 (Onslow Bay) 擴展的信貸代理管道也繼續保持行業領先地位，本季度產生了 53 億美元的鎖定額度並為 37 億美元的貸款提供了資金。儘管考慮到房屋市場面臨的一些阻力，我們再次收緊了信貸標準，但情況仍然如此。

Our current lock pipeline has a 764 weighted average FICO, a 68% LTV and is over 95% first lien.

我們目前的鎖定管道具有 764 加權平均 FICO、68% LTV 和超過 95% 的第一留置權。

Regarding the housing market, available-for-sale inventory continues to increase as affordability remains challenged given elevated mortgage rates, high home prices and increased property taxes and insurance premiums. While housing affordability has been an issue for the past 3 years, we've entered a buyer's market as sellers now materially outweigh prospective homeowners. Higher supply has led to 4 consecutive months of negative HPA according to Zillow, and we expect the majority of the housing market to turn modestly negative year-over-year in the near term.

就房地產市場而言，可供出售的庫存持續增加，因為由於抵押貸款利率上升、房價高企以及房產稅和保險費增加，負擔能力仍然面臨挑戰。雖然住房負擔能力在過去三年一直是一個問題，但我們已經進入買方市場，因為賣家的數量現在遠遠超過潛在的房主。根據 Zillow 的數據，供應量增加已導致房屋售價連續 4 個月為負，我們預計短期內大部分房地產市場將年比將出現小幅負成長。

Now balancing the deceleration of the housing market. This is a stable labor market, low consumer delinquencies, expansionary fiscal policy and elevated asset pricing, including equity markets. We remain well positioned in this environment as we control all aspects of our loan manufacturing strategy and the resulting assets have minimal leverage.

現在正在平衡房地產市場的減速。這是一個穩定的勞動市場、較低的消費者違約率、擴張性的財政政策和較高的資產定價（包括股票市場）。由於我們控制著貸款製造策略的各個方面，並且由此產生的資產槓桿率極低，因此我們在這種環境中仍然處於有利地位。

Notably, over 70% of our residential credit exposure is represented by retained OBX securities and residential whole loans collateralized with high-quality borrowers.

值得注意的是，我們 70% 以上的住宅信貸敞口來自保留的 OBX 證券和以優質借款人為抵押的住宅全額貸款。

Moving to our MSR business. The portfolio ended the second quarter unchanged at $3.3 billion in market value, comprising $2.6 billion of the firm's capital. While bulk trading activity was healthy in the second quarter, we were measured with respect to new purchases as MSR valuations remain firm, acquiring approximately $30 million in market value.

轉向我們的 MSR 業務。該投資組合第二季的市值保持不變，為 33 億美元，占公司資本的 26 億美元。雖然第二季大宗交易活動表現良好，但我們對新採購量進行衡量，因為 MSR 估值依然堅挺，收購的市值約為 3,000 萬美元。

Our MSR valuation improved very modestly quarter-over-quarter, driven by the steepening of the yield curve, lower implied volatility and strong observed bulk execution.

我們的 MSR 估值環比略有改善，這得益於殖利率曲線的陡化、隱含波動率的降低以及強勁的批量執行。

Solid fundamental performance of the portfolio persisted this past quarter with a 3-month CPR of 4.6%. Serious delinquencies unchanged at 50 basis points. and escrow balances up 6% year-over-year, which helped to drive increased float income. And the portfolio continued to generate well-defined durable cash flows given the 3.24% note rate with the average borrower at 350 basis points out of the money.

上個季度，該投資組合的基本面表現依然穩健，3 個月 CPR 為 4.6%。嚴重拖欠率維持不變，為 50 個基點。託管餘額年增 6%，有助於推動浮動收入的增加。鑑於票據利率為 3.24%，平均借款人虧損 350 個基點，該投資組合繼續產生明確而持久的現金流。

As we move forward, we remain focused on furthering the build-out of our flow servicing relationships and capabilities and expanding our subservicing and recapture partnerships, which should allow us to capitalize on MSR opportunities across both the bulk and flow channels as relative value dictates.

隨著我們繼續前進，我們將繼續致力於進一步建立我們的流量服務關係和能力，並擴大我們的次級服務和重新奪回合作夥伴關係，這將使我們能夠根據相對價值利用散裝和流量管道中的 MSR 機會。

Now to conclude with our outlook, we maintain conviction that our portfolio will continue to generate strong risk-adjusted returns in the current environment. We've been encouraged by declining macro volatility as of late and we see further benefits to our portfolio in the mortgage sector should expected Fed cuts materialize.

現在總結我們的展望，我們堅信我們的投資組合將在當前環境下繼續產生強勁的風險調整回報。近期宏觀波動性的下降令我們感到鼓舞，如果預期的聯準會降息成為現實，我們的抵押貸款領域投資組合將進一步受益。

In the near term, we expect to be overweight agency given historically attractive spread levels, but over the long term, we'll strategically grow our residential credit and MSR portfolios as we look to expand on low-based presence across the housing finance sector. And as always, we remain flexible in the current investing climate with our historically low leverage and ample liquidity, we're well positioned as we enter the second half of the year.

短期內，鑑於歷史上具有吸引力的利差水平，我們預計機構投資者將增持，但從長期來看，我們將戰略性地擴大住宅信貸和 MSR 投資組合，以擴大我們在住房金融領域的低基數存在。像往常一樣，我們在當前的投資環境中保持靈活性，憑藉我們歷史性的低槓桿率和充足的流動性，我們在進入下半年時已經做好了準備。

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

接下來，我將把時間交給小威來討論財務問題。

Thank you, David. Today, I will provide a brief overview of the financial highlights for the quarter ended June 30, 2025.

謝謝你，大衛。今天，我將簡要概述截至 2025 年 6 月 30 日的季度財務亮點。

Consistent with prior quarters, our earnings release will disclose both GAAP and non-GAAP earnings metrics. However, my comments will focus on our non-GAAP EAD and related key performance metrics, which exclude PAA. As of June 30, 2025, our book value per share decreased 3% from the prior quarter to $18.45. After accounting for our dividend of $0.70, we achieved a positive economic return of 0.7% for the second quarter. This brings our economic return to 3.7% for the first half of the year.

與前幾季一致，我們的收益報告將揭露 GAAP 和非 GAAP 收益指標。不過，我的評論將集中在我們的非 GAAP EAD 和相關關鍵績效指標，其中不包括 PAA。截至2025年6月30日，我們的每股帳面價值較上一季下降3%至18.45美元。在計入0.70美元的股息後，我們第二季實現了0.7%的正經濟回報率。這使得我們上半年的經濟報酬率達到3.7%。

Earnings available for distribution per share increased by $0.01 to $0.73 and once again exceeded our dividend for the quarter. Results were primarily driven by higher yields on our investment portfolio of 5.41% compared to 5.23% in the prior quarter. Additionally, we saw lower average repo rates of 4.53% during the quarter, a modest decline of 3 basis points in comparison to the prior quarter. These increases were partially offset by lower swap income due to very modest swap runoff in the first half of the year.

每股可供分配的收益增加了 0.01 美元，達到 0.73 美元，再次超過了本季的股息。業績成長主要得益於我們的投資組合收益率上升至 5.41%，而上一季為 5.23%。此外，本季平均回購利率下降至 4.53%，與上一季相比小幅下降了 3 個基點。由於上半年掉期交易量非常小，導致掉期收入減少，部分抵銷了這些成長。

Our attention upping coupon and agency over the last several quarters is evident in our interest metrics due to our increase in yields. The resi credit business generated additional income due to the growth of accretive OBX securitizations on balance as Enzo Bay experienced another quarter of record issuance.

過去幾個季度，由於收益率的提高，我們對票面利率和代理商的關注度有所提高，這在我們的利息指標中得到了明顯體現。由於恩佐灣 (Enzo Bay) 經歷了又一個季度的創紀錄發行量，增值型 OBX 證券化總體增長，住宅信貸業務產生了額外收入。

Net interest spread ex PAA has increased again. reaching 1.47% in the second quarter compared to 1.24% a year ago. And net interest margin ex PAA is 1.71% in Q2 compared to 1.58% in Q2 2024.

扣除PAA後的淨利差再次擴大，第二季達到1.47%，去年同期為1.24%。扣除PAA後的淨利差在第二季為1.71%，而2024年第二季為1.58%。

Turning to our financing strategy. Over the past several years, we have made deliberate and disciplined efforts to expand and diversify our funding sources. Today, our financing platform encompasses a diverse range of traditional and nontraditional financing arrangements which enhanced both our liquidity profile and operational flexibility. We have added substantial capacity through non-mark-to-market arrangements, second lien and HELOC lines, structured repurchase agreements and committed lines.

談到我們的融資策略。過去幾年來，我們經過深思熟慮並嚴格努力，擴大和多樣化我們的資金來源。如今，我們的融資平台涵蓋了多種傳統和非傳統融資安排，增強了我們的流動性狀況和營運靈活性。我們透過非以市價計價安排、第二留置權和 HELOC 額度、結構化回購協議和承諾額度增加了大量容量。

For example, across our residential loan facilities, our non-mark-to-market capacity has grown from $150 million or 6% of total available capacity at the end of 2023 to $1.9 billion in the second quarter. now representing 45% of total capacity. These additions complement our more traditional financing sources, including bilateral repo, our internal broker-dealer, sponsored repo, securitizations, participation interests and warehouse financing facilities.

例如，在我們的住宅貸款業務中，我們的非以市價計價容量已從 2023 年底的 1.5 億美元（佔總可用容量的 6%）成長到第二季的 19 億美元，現在佔總容量的 45%。這些新增內容補充了我們更傳統的融資來源，包括雙邊回購、我們的內部經紀交易商、保薦回購、證券化、參與權益和倉儲融資工具。

This breadth of funding structures allows us to navigate a range of market environments more effectively enhancing stability during periods of volatility and positioning us to capitalize on opportunities as they arise.

這種廣泛的融資結構使我們能夠更有效地應對各種市場環境，增強波動時期的穩定性，並使我們能夠抓住出現的機會。

During the quarter, we added approximately $5 billion of repo principal, including term at attractive spreads. This increase was primarily due to the growth of the agency portfolio. As a result, our Q2 reported weighted average repo days maintained a healthy position of 49 days.

本季度，我們增加了約 50 億美元的回購本金，其中包括具有吸引力利差的期限。這一增長主要歸因於代理機構投資組合的增長。因此，我們報告的第二季加權平均回購天數維持在 49 天的健康水準。

During the quarter, we upsized several resi credit warehouse facilities and added a new MSR line, increasing our capacity by $500 million. As of June 30, 2025, our total facility capacity for the residential credit business was $4.2 billion across 10 counterparties with a utilization rate of 40%.

在本季度，我們擴大了幾個住宅信貸倉庫設施，並增加了一條新的 MSR 生產線，使我們的產能增加了 5 億美元。截至 2025 年 6 月 30 日，我們針對 10 個交易對手的住宅信貸業務總融資能力為 42 億美元，利用率為 40%。

Our MSR business has total available committed warehouse capacity of $2.1 billion across 4 counterparties as of June 30, 2025, with a utilization rate of 50% and Inclusive of our committed MSR warehouse facilities, our weighted average days to maturity is 56 days.

截至 2025 年 6 月 30 日，我們的 MSR 業務在 4 個交易對手方擁有的總可用承諾倉庫容量為 21 億美元，利用率為 50%，包括我們承諾的 MSR 倉庫設施在內，我們的加權平均到期日為 56 天。

Annaly's financial strength is further evident in our unencumbered assets, which ended the second quarter at approximately $6 billion including cash and unencumbered Agency MBS of $4.7 billion. In addition, we have roughly $1.5 billion in fair value of MSR that has been pledged to committed warehouse facilities but remains undrawn and can be quickly converted to cash, subject to market advance rates. Together, we have approximately $7.4 billion in assets available for financing, a decrease of roughly $70 million compared to the first quarter.

Annaly 的財務實力進一步體現在我們的無抵押資產上，截至第二季末，我們的無抵押資產約為 60 億美元，其中包括現金和 47 億美元的無抵押機構 MBS。此外，我們擁有約 15 億美元的 MSR 公允價值，已承諾用於已承諾的倉儲設施，但仍未提取，可根據市場預付利率快速轉換為現金。總的來說，我們擁有約 74 億美元的資產可供融資，與第一季相比減少了約 7,000 萬美元。

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

我們的準備好的演講到此結束，我們將開始回答提問。謝謝您，接線生。

(Operator Instructions)

（操作員指示）

Bose George, KBW

博斯·喬治，KBW

Hey everyone, good morning. Actually, first, can I just get an update on book value quarter-to-date?

大家好，早安。實際上，首先，我能否獲得本季迄今的帳面價值更新資訊？

Sure, Bose. As of last night, pre-dividend accrual book was up about 0.5%, so call it, 1.5% economic return.

當然，Bose。截至昨晚，股息前應計帳面價值上漲了約 0.5%，因此可以稱之為 1.5% 的經濟回報。

Okay. Great. And then can you just discuss your comfort level with the dividend, how that ties in with your -- the economic return that you guys are seeing from the portfolio?

好的。偉大的。然後，您能否討論一下您對股息的滿意程度，以及它與您從投資組合中看到的經濟回報有何關聯？

Sure. So obviously, we raised the dividend earlier this year, and we make those decisions very deliberately. And we did have confidence that it was certainly earnable. and that's been the case. We've outearned the dividend and we expect to certainly cover and potentially out earn the dividend for the remainder of the year, all else equal. .

當然。顯然，我們在今年稍早提高了股息，我們做出這些決定是非常謹慎的。我們確實有信心，這肯定是可以賺到的。事實也確實如此。我們的收益超過了股息，我們預計，在其他條件相同的情況下，我們肯定能夠覆蓋並有可能在今年剩餘時間內超過股息。。

As it relates to economic return, the way we look at it is the portfolio should generate an economic return approximating or in upwards of the dividend. There are hedging costs, which could erode that economic return somewhat. But nevertheless, the goal is to get as close to the dividend. as is achievable managing for hedging costs and other costs, and we feel pretty good about where our economic return is year-to-date, certainly.

由於它與經濟回報相關，我們的看法是投資組合應該產生接近或高於股息的經濟回報。存在對沖成本，這可能會在一定程度上侵蝕經濟回報。但儘管如此，我們的目標是盡可能接近股息。管理對沖成本和其他成本是可行的，我們對今年迄今的經濟回報感到非常滿意。

And as I mentioned, we have had positive economic return for the past 7 quarters. we think the environment is certainly conducive to achieving close to that dividend yield given volatility has come down and asset spreads are relatively cheap.

正如我所提到的，過去 7 個季度我們的經濟回報都是正的。我們認為，鑑於波動性已經下降且資產利差相對便宜，環境肯定有利於實現接近該股息收益率。

Okay, great. Thanks.

好的，太好了。謝謝。

Thank you both.

謝謝你們兩位。

Doug Harter, UBS

瑞銀集團（UBS）Doug Harter

Thanks, and good morning. David, hoping you could just talk through kind of how you thought about managing the portfolio through the second quarter. your comfort in letting kind of leverage rise during kind of the extreme bout of volatility versus kind of feeling compelled to kind of risk manage the portfolio? And just help us with that thought process.

謝謝，早安。大衛，希望您能談談您在第二季是如何管理投資組合的。在極端波動期間，您是否願意讓槓桿率上升，還是被迫對投資組合進行風險管理？並幫助我們完成這個思考過程。

Sure. Good question, Doug. So look, we came into the quarter with a very good liquidity position, consistent with where we're at this quarter. So we're comfortable in light of the volatility. And Liberation Day was announced well in advance, and so we wanted to be prepared for it. Our leverage was low, and we had ample capacity.

當然。問得好，道格。所以，我們進入本季時流動性狀況非常好，與本季的狀況一致。因此，考慮到波動性，我們感到很安心。解放日是提前宣布的，所以我們想做好準備。我們的槓桿率很低，而且產能充足。

So as April did get underway, our biggest focus was managing rate exposure. Given our low leverage, we could allow leverage to drift higher, which we certainly did. But rate exposure was something we were more focused on. And I think when it comes to the rates market in the current environment, navigating uncertainty is now the base case, and we need to be prepared for a range of outcomes. And so we're keeping our rate risk very close to home, as I mentioned in my prepared remarks. And we let duration drift, but we're very disciplined when it comes to bans. And now we feel we're in a much better place certainly than we were in April and throughout the second quarter.

因此，隨著四月的到來，我們最大的關注點是管理利率風險。鑑於我們的槓桿率較低，我們可以允許槓桿率上升，而我們確實這樣做了。但我們更關注的是利率風險。我認為，就當前環境下的利率市場而言，應對不確定性是基本情況，我們需要為一系列結果做好準備。因此，正如我在準備好的發言中提到的那樣，我們將利率風險保持在非常接近國內的水平。我們會讓持續時間隨意變化，但是在禁令方面我們會非常自律。現在我們感覺我們的狀況肯定比四月和整個第二季度要好得多。

We have a little bit more clarity on where tariffs are heading. The tax bill is complete. We came into this quarter with virtually no duration. We drifted a little bit and so far as rates have gone up, which is fine, but we feel good about the rates view, but that's the key focus in terms of managing that type of volatility given the fact that we have flexibility in light of relatively low leverage. Does that help?

我們對關稅的走向有了更清楚的認知。稅單已完成。我們幾乎沒有持續任何時間就進入了本季。我們稍微偏離了一點，就利率上升而言，這很好，但我們對利率觀點感覺良好，但這是管理這種波動性的重點，因為我們在相對較低的槓桿率下具有靈活性。這樣有幫助嗎？

Very helpful. And then, I guess, in that context of your -- I guess, how do you think about balancing kind of continuing to invest into a market you see as attractive that's through increasing leverage or continuing to access fresh capital? Kind of how are you weighing those decisions as kind of there's slightly more certainty than there was, say, 3 months ago?

非常有幫助。然後，我想，在這種背景下——我想，您如何看待平衡繼續投資於您認為有吸引力的市場，是透過增加槓桿還是繼續獲取新資本？您如何權衡這些決定，因為與 3 個月前相比，現在的確定性略有增加？

Yes. So look, as it relates to the second quarter and raising capital, we were very deliberate with how we invested it. Our view when it comes to raising capital. As we've said before, it's got to be accretive to book value and accretive to earnings. And as we raise capital, we deploy it accordingly. We look at new capital the same as we look at existing capital, and we study our leverage position on a daily basis. And if we feel like we're under-levered, we'll put money to work.

是的。因此，就第二季和籌集資金而言，我們對如何投資非常謹慎。我們對籌集資金的看法。正如我們之前所說，它必須增加帳面價值並增加收益。當我們籌集資金時，我們會進行相應的部署。我們對新資本的觀察與對現有資本的觀察是一樣的，我們每天都會研究我們的槓桿狀況。如果我們覺得自己的槓桿率太低，我們就會投入資金。

And to your point about in an environment that it was as uncertain as it was early in the second quarter, it can be difficult at times to deploy capital. But at the end of the day, we had confidence that capital raise would be accretive and so we're comfortable putting it to work.

正如您所說，在第二季初那樣不確定的環境下，部署資本有時會很困難。但最終，我們有信心籌集的資金將帶來增值，因此我們很樂意將其投入使用。

Now related to increasing leverage versus raising capital, it was more advantageous for us we felt to raise capital and put that money to work as opposed to increasing leverage given the uncertainty. And now we're in a place where all has come down. We could raise leverage, but we don't need to. If you look at the returns we're generating and the yield we're generating, which spreads where they're at, you can earn quite a handsome return with relatively low leverage, and it gives us a lot of flexibility to manage other parts of the portfolio, and it gives smoother returns.

現在，關於增加槓桿與籌集資本，考慮到不確定性，我們認為籌集資本並使用這些資金比增加槓桿更有利。現在，我們處於一個一切崩潰的境地。我們可以提高槓桿率，但沒必要。如果你看一下我們產生的回報和產生的收益率，你會發現，你可以用相對較低的槓桿獲得相當可觀的回報，這給了我們很大的靈活性來管理投資組合的其他部分，並帶來更平穩的回報。

The point I want to stress about consistently positive returns is that we have run at meaningfully lower leverage over the past couple of years than we had in the past. And it's worked out quite well. There's always an episode of volatility here and there. but we're able to sit on our hands with low leverage and not before sellers in a lot of circumstances, and that's led to smoother returns because we hadn't been in positions to sell cheap assets.

關於持續的正回報，我想強調的一點是，過去幾年我們的槓桿率比過去明顯較低。而且效果非常好。市場總是會不時出現波動，但在許多情況下，我們能夠以較低的槓桿守住自己的部位，而不會在賣家面前拋售，這帶來了更平穩的回報，因為我們還沒有準備好出售廉價資產。

And as we raise capital, we've been able to deploy it profitably. So we feel really good with the leverage where it's at. And we haven't raised capital thus far this quarter, but the opportunity materializes, we may do so.

隨著我們籌集資金，我們已經能夠有利可圖地部署它。因此，我們對目前的槓桿作用感到非常滿意。本季到目前為止我們還沒有籌集資金，但如果機會出現，我們可能會這樣做。

Great appreciate.

非常感謝。

Appreciate the answers, David.

感謝您的回答，大衛。

Thank you, Doug.

謝謝你，道格。

Rick Shane, JPMorgan

摩根大通 (JPMorgan) 瑞克沙恩 (Rick Shane)

Thanks for taking my questions this morning. Look, you one of the things you mentioned -- or actually 2 of the things you mentioned an expectation that rates will be headed lower later in the year and commentary about negative HPA. As we think about the credit portfolio, can you help us start to think about some of the dynamics there?

感謝您今天上午回答我的問題。瞧，您提到的其中一件事——或者實際上您提到的兩件事是預期利率將在今年稍後走低，以及對負面 HPA 的評論。當我們考慮信貸組合時，您能幫助我們開始思考其中的一些動態嗎？

How are you insulated on the credit side? What are the puts and takes potentially of higher speeds on a portfolio that has different discount characteristics than the historic agency portfolio. This is going to be sort of the first cycle with the credit portfolio of this size, and I think it's helpful for investors to sort of understand the dynamics that you -- sort of the pros and cons as we enter a new part of the housing cycle.

您如何在信用方面保持安全？與歷史代理投資組合相比，具有不同折扣特徵的投資組合可能以更高的速度產生哪些看跌期權和看漲期權？這將是這種規模的信貸組合的第一個週期，我認為這有助於投資者了解我們進入房地產週期新階段時的動態以及優缺點。

Yes. So I'll start and then Mike can take it from there. I'll just say, Doug, Mike has been very forward-thinking about but making sure that the quality of the credit portfolio was as high as it could be. We were very early in tightened credit standards in 2022. I talked about we've tightened them more recently. And I think when you look at the underlying credit it's as high quality as it gets in that sector.

是的。所以我先開始，然後麥克可以從那裡接手。我只想說，道格，麥克一直非常有遠見，但他確保信貸組合的品質盡可能高。我們在 2022 年很早就開始收緊信貸標準。我說過我們最近已經加強了這些限制。我認為，當你查看基礎信貸時，它的品質是該領域的最高水平。

Our mark-to-market LTV on the portfolio, I think, is around 62%. We look at stress scenarios with HPA shocks and -- if you look at our portfolio, we experienced, say, a 20% decline in home prices, roughly 4% of that portfolio would be under water, which is a very high quality credit portfolio in our view. And I think Mike has done the job and feel free to take it from here and talk about how you manage it.

我認為，我們投資組合的市值 LTV 約為 62%。我們研究了房屋購置稅 (HPA) 衝擊的壓力情景，如果你看看我們的投資組合，你會發現，房價下跌了 20%，大約有 4% 的投資組合將陷入困境，我們認為這是一個非常高品質的信貸投資組合。我認為麥克已經完成了這項工作，您可以隨意接手並談談您是如何管理它的。

Yes. Thanks, Rick. I think that I would just add that in terms of the proactive changes that we've made since 2022, they are very significant. And I would say that we are an outlier in the market in terms of making those changes. So if you go back to the middle of 2022, the weighted average FICO in our lot pipeline was 735, about 20% of our originations were greater than ADL TV, about 20% or less than 700 FICO.

是的。謝謝，里克。我想補充一點，就我們自 2022 年以來所做的主動改變而言，這些改變非常重要。我想說，在做出這些改變方面，我們是市場中的異類。因此，如果回到 2022 年中期，我們批次管道中的加權平均 FICO 為 735，其中約有 20% 的發起額高於 ADL TV，約有 20% 的發起額低於 700 FICO。

So if you fast forward to our lock pipeline right now, it's a 764 weighted average FICO, only about 1% of loans are greater than 80 LTV, and I'll say only about 4% to 5% are less than 700 FICO. So it has not impacted our volume in a meaningful way. But we've been very proactive in seeing the housing market decelerate and trying to be on our front foot, so to speak.

因此，如果您現在快轉到我們的鎖定管道，它的加權平均 FICO 為 764，只有大約 1% 的貸款大於 80 LTV，而且我會說只有大約 4% 到 5% 的貸款低於 700 FICO。因此它並沒有對我們的銷售產生重大影響。但我們一直非常積極地關注房地產市場的放緩，並試圖佔據先機，可以這麼說。

And Dave did mention the quality of the portfolio it's a $30 billion plus GAAP whole loan portfolio. The 759 original FICO. It's a 62 mark-to-market LTV. There's 300,000 of borrower equity in those underlying properties. And the D60+ as of the end of the recent quarter was under 2%, it was 185 basis points, and that's actually down, call it, 7, 8 basis points quarter-over-quarter.

戴夫確實提到了投資組合的質量，這是一個價值 300 億美元以上的 GAAP 整體貸款投資組合。759 原始 FICO。其 LTV 為 62。這些基礎資產中的借款人權益為 300,000。截至最近一個季度末，D60+ 利率低於 2%，為 185 個基點，實際上比上一季下降了 7 到 8 個基點。

In terms of the second part of your question in terms of speeds, so the portfolio is a $655 gross WAC. That's the GAAP consolidated portfolio. The 1-month CPR is 13%. But I think when you look at the part of the portfolio that right now, non-QM rates will say are 7.5%. If you look at our non-QM portfolio rates that are 8.5% to 9%. So you're saying 100 to 150 basis points in the money, They're only paying 25 to 35 CPR. So the S curves within this market are flatter than the agency market. They're certainly much flatter than the jumbo market. You do have forms of prepayment protection penalties. So I think that we are well insulated if there is a significant rally given the current gross back of the portfolio and the prepayment protection that we have.

就您問題的第二部分而言，就速度而言，投資組合的總 WAC 為 655 美元。這就是 GAAP 合併投資組合。1個月的心肺復甦率為13%。但我認為，當你查看目前的投資組合部分時，非 QM 利率將為 7.5%。如果你看一下我們的非 QM 投資組合利率，那就是 8.5% 到 9%。所以你說的是 100 到 150 個基點，他們只付 25 到 35 CPR。因此，該市場內的 S 曲線比代理市場更平坦。它們肯定比大型市場平坦得多。確實存在各種形式的提前還款保護罰金。因此，我認為，考慮到投資組合目前的整體情況和我們擁有的提前還款保護，如果出現大幅反彈，我們將能夠很好地抵禦衝擊。

Got it. Okay. That's helpful. And look, this is all triggering thinking about this on a deeper basis I don't see anywhere in the disclosures, but I may just be missing something. Is there a breakout by vintage, so we can think about the cohort exposure and HPA underlying HPA by year.

知道了。好的。這很有幫助。瞧，這一切都引發了人們對這個問題更深層的思考，我在披露中沒有看到任何內容，但我可能只是忽略了一些東西。是否有按年份劃分的突破，以便我們可以考慮按年份劃分的群組曝光度和 HPA 背後的 HPA。

Yes, Rick, that's not something that we have disclosed, but that's something that we can follow up with you off-line in a discussion about potentially disclosing that in the future.

是的，里克，這不是我們已經披露的事情，但我們可以在線下與您進行跟進，討論未來可能披露的事情。

Terrific. Hey, appreciate the answers and thank you for the time this morning.

了不起。嘿，感謝您的回答，也感謝您今天早上抽出的時間。

Thank you, Rick.

謝謝你，里克。

Jason Stewart, Janney Montgomery.

傑森史都華、珍妮蒙哥馬利。

Hi, good morning. And congrats on seven consecutive quarters of positive economic returns, quite an achievement there. So I wanted to continue on Rick's question on the credit markets. What's your expectation at this point for GSE reform and how does that impact opportunities and developments in terms of products and where you can grow that business?

嗨，早安。恭喜我們連續七個季度實現經濟正回報，這是一項了不起的成就。所以我想繼續回答里克關於信貸市場的問題。您目前對政府支持企業改革有何期望？改革對產品方面的機會與發展有何影響？您的業務可以在哪些方面發展？

Sure. And we've talked a lot about this in the past, Jason. Our expectation is now that the tax bill is done and we're working our way through tariff negotiations. We do expect it to be on the front burner over the near term, the GSEs do still need to raise capital, and there's a lot of work to do before privatization can occur. But as we've said in the past, a lot of the loans that the GSEs originate or what are considered noncore, I think roughly 20% thereabouts. And ultimately, we'll be able to compete for that origination is our news. So we're optimistic, both in terms of lower supply in the agency sector, which can help the technicals and also the ability to broaden the approach on the resi side. Does that help?

當然。傑森，我們過去已經多次討論過這個問題。我們現在的預期是稅收法案已經完成，我們正在努力進行關稅談判。我們確實預計它會在短期內成為當務之急，政府支持企業仍然需要籌集資金，而且在實現私有化之前還有很多工作要做。但正如我們過去所說的那樣，政府支持企業發放的許多貸款或被視為非核心的貸款，我認為大約佔 20% 左右。最終，我們將能夠競爭，以求新聞的原創性。因此，我們感到樂觀，因為代理商領域的供應量較低，這有助於技術面，也有助於拓寬住宅方面的方法。這樣有幫助嗎？

Yes. I guess I'm hearing no change to your view there, which is fine

是的。我想我聽到的你的觀點沒有改變，這很好

Sorry, Jason, one thing I could add for David, in terms of the correspondent channel, about, I'll say, call it, 10% to 11% of the actual correspondent lock volume is agency collateral. So that is agency investor agency second homes. You are not seeing us come to the market to do stand-alone deals However, that collateral is oftentimes included in our non-QM transaction. So we are capitalizing on some of the pricing that the GSEs have and some of the efficiencies within the PLS market relative to GSE execution. So we are doing that right now.

抱歉，傑森，我可以為大衛補充一點，就代理管道而言，我認為大約有 10% 到 11% 的實際代理鎖定量是代理抵押品。這就是機構投資人機構的第二套房。您不會看到我們進入市場進行獨立交易，但是，抵押品通常包含在我們的非 QM 交易中。因此，我們正在利用 GSE 的一些定價以及 PLS 市場相對於 GSE 執行的一些效率。所以我們現在就這麼做。

Okay. Okay. That's helpful. And then on the MSR portfolio, I mean I understand that the in gross WACC is so far the money that any sort of -- it would take such a meaningful movement rates to have a prepayment effect there. But how do you think about external factors impacting the multiple, whether it's M&A activity in the space, lower rates impacting transaction multiples elsewhere? How do you think about that in terms of valuation on the MSR portfolio?

好的。好的。這很有幫助。然後關於 MSR 投資組合，我的意思是，我理解總的 WACC 到目前為止是任何類型的錢——它都需要如此有意義的變動率才能產生預付款效應。但是您如何看待影響倍數的外部因素，無論是該領域的併購活動，還是影響其他地方交易倍數的較低利率？從 MSR 投資組合的估值角度來看，您如何看待這一點？

One of the driving factors of MSR valuations as of late has been the cost of servicing has come down because of technological enhancements, which are only, I would say, right now escalating and accelerating and consolidation in the servicing sector will only fuel that. There's about four to five players that are investing combined hundreds of millions of dollars in technology and which you're going to see in terms of the pace of advancements in servicing is going to be very meaningful over the next few years in terms of lowering the cost, and that all passes through to us because it leads to cheaper subservicing expenses.

近期 MSR 估值的驅動因素之一是，由於技術進步，服務成本已經下降，我想說，目前技術進步正在不斷升級和加速，而服務業的整合只會推動這一進程。大約有四到五家公司在技術上投資了數億美元，從服務進步的速度來看，你將看到未來幾年在降低成本方面將非常有意義，而這一切都將轉嫁給我們，因為它可以降低服務費用。

So we're happy with what we've seen. We think there's going to be a lot of differentiation in servicing. And we're partnered with the ones who are making these investments, and they provide great service. And what we provide them is -- we help them with their scale, obviously. But also we're a capital and liquidity provider when there's a need to move MSR off balance sheet.

我們對所見所聞感到滿意。我們認為服務方面將會有很大的差異。我們與進行這些投資的人合作，他們提供優質的服務。我們為他們提供的是——顯然，我們幫助他們擴大規模。但當需要將 MSR 移出資產負債表時，我們也是資本和流動性提供者。

So we like where we sit. We like the evolution of the sector. We think it's only going to become more efficient and it flows through into the valuations, and we look at our multiple, we're relatively conservatively priced, we feel, and the performance of our MSR has been very good, well exceeded our expectations.

所以我們喜歡我們坐的地方。我們喜歡這個行業的發展。我們認為它只會變得更加高效，並流入估值，我們看看我們的倍數，我們的定價相對保守，我們感覺，我們的 MSR 的表現非常好，遠遠超出了我們的預期。

Yes. I mean another exogenous factor that's really helped as Dave mentioned in the prepared remarks, is just the growth in the float accounts, the T&I accounts up 6% year-over-year. That's not the first year. It's been up that much, and it's certainly below what the industry -- and we've modeled -- another exogenous factor is servicers have never been able to keep customers for so long. So developing that customer relationship and cross-sell opportunities and other revenue streams all the so derived from the MSR asset. I mean those initiatives are in the infancy, but sure, I have a lot of promise given all the technology investments.

是的。我的意思是，正如戴夫在準備好的評論中提到的那樣，另一個真正有幫助的外部因素是浮動帳戶的增長，T&I 帳戶同比增長了 6%。這已經不是第一年了。它已經上漲了這麼多，而且肯定低於行業水平——我們已經建模了——另一個外生因素是服務商從未能夠如此長時間地留住客戶。因此，發展客戶關係、交叉銷售機會和其他收入來源都源自於 MSR 資產。我的意思是這些舉措還處於起步階段，但當然，考慮到所有的技術投資，我有很多希望。

Thanks, Jason.

謝謝，傑森。

Eric Hagen, BTIG.

BTIG 的 Eric Hagen。

Coupon MSRs continue to season and pay down slowly. I mean how should shareholders think about the value impairing that opportunity with these higher coupons, right? Even versus a couple of years ago when the complexion of the mortgage market was a little different, the level of prepayment risk looked a little different volatility. I mean how should we think about like the pairing of that opportunity now?

優惠券 MSR 繼續老化並緩慢償還。我的意思是，股東應該如何看待這些更高的票面利息會損害這個機會的價值呢？對嗎？即使與幾年前抵押貸款市場的面貌略有不同相比，提前還款風險的水平也略有不同。我的意思是我們現在應該如何考慮這種機會的配對？

Yes. I mean we've built out the capability to really participate actively in any coupon. And the way we've done that, and again, as Dave alluded to building out these partnerships with the largest, the best and most technology-enabled servicers and we capture partners. And given the portfolio of partners we have and given we already have exposure to all the coupons, well, not a lot in the higher coupons, we have enough to be statistically significant, we're really able to see how they're performing and what's really going on and we do isolate the hedge strategies between the different note rates.

是的。我的意思是我們已經具備了真正積極參與任何優惠券的能力。正如戴夫所提到的，我們這樣做是為了與最大、最好、技術最強的服務商建立合作夥伴關係，並吸引合作夥伴。考慮到我們擁有的合作夥伴組合，並且我們已經接觸過所有息票，雖然高息票的利率並不高，但我們有足夠的數據來證明其統計意義，我們能夠真正了解他們的表現以及實際情況，並且我們確實在不同的票據利率之間隔離了對沖策略。

So we're ready, we're there. We're showing bids on all coupons and prepared. On the low coupon side, I mean, there is still a lot out there that does change hands because there's still -- there is a need for much of the mortgage industry to recycle out of the lower-yielding loan low-rate MSR and kind of reallocate that capital to originating new loans which would be the hydro -- so we're still facilitating that trade as well as building out the infrastructure.

所以我們準備好了，我們到了。我們正在展示所有優惠券的出價並做好準備。在低息票方面，我的意思是，仍然有很多債券在易手，因為仍然——抵押貸款行業的大部分企業需要從低收益貸款低利率 MSR 中回收資金，並將這些資本重新分配給發放新貸款，也就是水電——所以我們仍然在促進這種交易，並建設基礎設施。

Okay. That's helpful color. I mean how much hedging or like dollar duration is covered by the MSR position at this point? If you didn't have the MSR, how much bigger was your hedge portfolio swap portfolio -- in other words, like how much is the return of the total portfolio being supported by this pairing of MSR and Agency MBS?

好的。這是很有幫助的顏色。我的意思是，目前 MSR 部位涵蓋了多少對沖或美元期限？如果您沒有 MSR，那麼您的對沖投資組合掉期投資組合會有多大？換句話說，這對 MSR 和機構 MBS 能支持多少總投資組合的報酬？

Maybe I would call in less than 2% of the overall hedge portfolio. There's very little structural leverage in the MSR position, so we don't get meaningful duration change, but it's just a very powerful care generator with a little bit of negative duration there

也許我會調用不到 2% 的整體對沖投資組合。MSR 職位的結構性槓桿作用很小，因此我們沒有獲得有意義的持續時間變化，但它只是一種非常強大的護理生成器，具有一點負面持續時間

Right on.

正是如此。

All right, thank you, guys.

好的，謝謝大家。

Thank you.

謝謝。

Crispin Love, Piper Sandler.

克里斯賓·洛夫，派珀·桑德勒。

Thank you. Good morning, everyone. Can you dig into the demand picture for CMBS in the current environment where is the bulk of demand coming from? You seem pretty positive on the space. Just curious on your expectations in demand. Have you seen more involvement from banks? Is it too early there? Just curious on the picture overall and then just how that could impact your spread expectations?

謝謝。大家早安。您能否深入了解 CMBS 的需求情況？主要需求來自哪裡？您似乎對這個領域非常樂觀。只是好奇您對需求的期望。您是否看到銀行更多地參與其中？那裡是不是太早了？只是對整體情況感到好奇，那麼這會如何影響您的傳播預期？

Sure. On fundamentals. On demand, fixed income funds saw about $50 billion in redemptions in April. But since then, they have seen about $50 billion per month in inflows. So demand from fixed income funds has been pretty strong. CMO issuance continues to be very strong. We're seeing about $25 billion to $30 billion in CMO issuance, but that's taking away about 30% of the gross supply to the market.

當然。關於基本面。根據需求，4 月固定收益基金的贖回金額約為 500 億美元。但自那時起，他們每個月都看到約 500 億美元的資金流入。因此，固定收益基金的需求一直非常強勁。CMO 發行持續保持強勁。我們看到 CMO 發行量約為 250 億至 300 億美元，但這佔市場總供應量的 30% 左右。

What we've not seen is demand from banks and overseas accounts. And even without that demand, I think fundamentals are quite supportive for agency MBS, imply batteries currently at 3-year lows. Asset carry is attractive for unhedged accounts. So we do think MBS spreads can tighten 3 to 5 basis points to treasuries, even without additional demand from banks and foreign accounts. But the real bull case for MBS is that a combination of regulatory reform and further easing and monetary policy will materially increase demand from banks in Asian accounts, and we think the odds of that happening in the second half of the year are quite good.

我們還沒有看到銀行和海外帳戶的需求。即使沒有這種需求，我認為基本面對機構 MBS 來說仍然相當有支撐作用，這意味著電池目前處於 3 年來的最低點。對於非對沖帳戶而言，資產持有具有吸引力。因此，我們確實認為，即使沒有來自銀行和外國帳戶的額外需求，MBS 利差也可以相對於國債收窄 3 至 5 個基點。但 MBS 的真正牛市理由是，監管改革和進一步的寬鬆貨幣政策將大幅增加銀行對亞洲帳戶的需求，我們認為下半年發生這種情況的可能性相當大。

Yes, Crispin, if you think about the bank model, they benefited quite a bit from high short rates and the generation of NIM, specifically as a consequence of that. As the Fed does reduce rates, that need for NIM to replace that NIM will materialize, and we do expect it to come into agency MBS.

是的，克里斯平，如果你考慮銀行模式，他們從高短期利率和淨利差的產生中獲益頗豐，具體而言就是由此產生的。隨著聯準會確實降低利率，對 NIM 進行替代的需求將會實現，我們確實預計它將進入機構 MBS。

Great, thank you. I appreciate you taking my questions.

太好了，謝謝。感謝您回答我的問題。

Thanks, Kristen.

謝謝，克里斯汀。

Matthew Erdner, JonesTrading.

馬修·埃德納（Matthew Erdner），JonesTrading。

Hey, good morning, guys. Thanks for taking the question. I'd like to turn back to resi credit. In the second half, what you guys have seen kind of quarter-to-date. I know that there's close to about $1 billion in securitizations out there already. But do you think 3Q is tracking to kind of be in line with 2Q? And then just what are your margin expectations going forward as well given that the Fed is pricing -- are those 2 rate cuts priced in?

嘿，大家早安。感謝您回答這個問題。我想轉回 resi credit。在下半年，你們已經看到了本季迄今的情況。我知道現在證券化的金額已經接近 10 億美元。但您認為第三季的表現會與第二季持平嗎？那麼，考慮到聯準會的定價，您對未來的保證金預期是什麼？這兩次降息是否已經反映在價格上了？

Sure. Thanks, Matt. This is Mike. In terms of issuance, I'll say year-to-date, gross issuance has been $92 billion that's outperformed analyst expectations. I think we're tracking probably to be the highest issuance year since 2021, where we were north of $200 billion. So the capital markets remain robust. They're healthy.

當然。謝謝，馬特。這是麥克。就發行而言，我想說，今年迄今為止，總發行量已達 920 億美元，超出了分析師的預期。我認為我們可能即將迎來自 2021 年以來發行量最高的一年，2021 年發行量超過 2,000 億美元。因此資本市場依然強勁。他們很健康。

In terms of securitization and levels, we actually have the tightest print in terms of AAAs where we've printed post Liberation Day. Our latest transaction was Non-QM 13. It was a $662 million transaction, $500 million of AAA bonds, and we sold the AAA at $138 million all other issuers and sponsors are kind of in, call it, the $140 to $150 range. So I think what Q2 showed us in early Q2 and the volatility that we saw in April, I think that, that showed us that there's a resiliency and maturation of the non-agency market that, again, if that occurred 3, 4, 5 years ago, we don't think that you'd see the same outcomes.

就證券化和水平而言，我們在解放日後發行的 AAA 債券實際上是最嚴格的。我們最新的優惠是 Non-QM 13。這是一筆價值 6.62 億美元的交易，涉及 5 億美元的 AAA 債券，我們以 1.38 億美元的價格出售了 AAA 債券，而其他所有發行人和發起人的售價都在 140 至 150 美元的範圍內。因此，我認為第二季初的情況以及我們在 4 月看到的波動表明非代理市場具有彈性和成熟度，如果這種情況發生在 3、4、5 年前，我們認為你不會看到同樣的結果。

So I think it's very healthy, and we continue to build up the investor base. In terms of the second part of your question in terms of margins, we've talked about this in past calls. We don't actually publish what our margins are on our correspondent channel. But what you can assume is that we're retaining, call it, 11% to 12% of our transactions using maybe what 1 turn, 1.5 turns of recourse leverage. So call it 5% to 7% of capital deployment per each $100. And you're talking mid-teens returns on that capital deployed.

所以我認為這非常健康，而且我們將繼續擴大投資者基礎。關於您問題的第二部分，即利潤率，我們在過去的電話會議中已經討論過這個問題。實際上，我們並沒有在我們的通訊頻道上公佈我們的利潤率。但你可以假設的是，我們保留了 11% 到 12% 的交易，可能使用 1 轉、1.5 轉的追索槓桿。所以每 100 美元的資本部署率為 5% 到 7%。你說的是部署資本的報酬率在十五六成左右。

Got it. That's very helpful. And then just as a follow-up to that, you guys talked about the credit box there, but you don't expect that to have any effect on the volumes that you guys see the remainder of the year.

知道了。這非常有幫助。然後作為後續行動，你們談到了那裡的信用箱，但你不認為這會對今年剩餘時間的交易量產生任何影響。

Yes. It's hard to say. So we did $5.3 billion of locks, $3.7 billion of fundings on the quarter, which was virtually identical to Q1. It was down a little bit from Q4. When you look at some of the origination volumes that we've seen from the banks and some of the nonbank so far, origination volumes are up, call it, 20%. So it's hard for us to say that if we did not make some of these changes, to our guidelines and to our pricing that we would not have done more volume.

是的。這很難說。因此，我們本季鎖定了 53 億美元，融資 37 億美元，與第一季基本相同。與第四季相比略有下降。如果你看我們迄今為止從銀行和非銀行機構看到的一些貸款發放量，你會發現發放量上升了 20%。因此，我們很難說，如果我們沒有對我們的指導方針和定價做出一些改變，我們就不會增加銷售量。

But I do think that we feel very good with the type of volume that we're doing. So we've done $7.5 billion closed funded loans through the correspondent for the first half of the year, that's a $15 billion run rate. We think the non-QM DSCR market is about 5% of total originations. So call it $2 trillion of total originations, $100 billion of non-QM [DSCR] we think we're about a 15% market share, and we think that that's a comfortable level for us at this point in time. So I think we feel good with the volumes and the targeted credit box that we have.

但我確實認為，我們對目前的業務量感到非常滿意。因此，我們在今年上半年透過代理行發放了 75 億美元的封閉式融資貸款，即 150 億美元的運行率。我們認為非 QM DSCR 市場約佔總發起量的 5%。因此，假設總發起額為 2 兆美元，非 QM [DSCR] 為 1000 億美元，我們認為我們的市場份額約為 15%，而且我們認為這對我們來說目前是一個舒適的水平。所以我認為我們對現有的交易量和目標信貸額度感到滿意。

Awesome that's great thank you, Mike. Thank you.

太棒了，非常感謝，麥克。謝謝。

Trevor Cranston, Citizens JMP

特雷弗·克蘭斯頓（Trevor Cranston），公民JMP

I guess a question on the macro outlook. It seems like there's a pretty strong consensus around steepening of the yield curve going forward. But as the impact of tariffs start to come in, I guess, how much risk do you guys see of the impact of that on inflation being kind of greater than anticipated -- and if some of the pricing in the Fed cuts were to come out of the market at some point? How do you think agencies in particular, would perform in that type of scenario?

我想問的是有關宏觀前景的問題。看起來大家對於未來殖利率曲線趨陡已經達成了相當強烈的共識。但隨著關稅的影響開始顯現，我想，你們認為關稅對通膨的影響會有多大風險，會比預期更大——以及聯準會降息的部分定價是否會在某個時候從市場上消失？您認為在這種情況下，代理商的表現會如何？

Sure. So just looking at the macro outlook as it relates to tariffs, there will be inflation that will pass through. We're just starting to see it with the last CPI print, and it will come through the summer. And our view is, overall, you are going to have a continuation of services inflation and shelter coming down and goods inflation will be increasing.

當然。因此，僅從與關稅相關的宏觀前景來看，就會出現通貨膨脹。我們剛從最新一期的消費者物價指數數據中看到這一點，它將在整個夏天顯現出來。我們的觀點是，總體而言，服務業通膨和房屋通膨將繼續下降，而商品通膨將上升。

And as the Fed forecast, you got a 3.1% core PCE at the end of the year. And that equates to roughly 25 basis points per month core PCE. And we feel like that's a reasonable assessment with services inflation coming down and goods inflation coming up.

正如聯準會預測的那樣，今年年底核心個人消費支出 (PCE) 將達到 3.1%。這相當於核心個人消費支出 (PCE) 每月上漲約 25 個基點。我們認為，在服務業通膨下降、商品通膨上升的情況下，這是一個合理的評估。

So we do anticipate that they'll deliver on the two cuts, they have an unemployment rate of around 4.5%, so 4% higher. The labor market is slowing. That will likely materialize. And as it relates to growth, I think they have 1.4% GDP. To achieve that, we need to grow close to 2% for the second half of the year. And so overall, the forecast and the dots seem to paint what we believe would be a pretty accurate picture of how plays out and we'll get those two cuts.

因此，我們確實預期他們會兌現兩次減稅政策，他們的失業率約為 4.5%，因此高出 4%。勞動市場正在放緩。這很可能會實現。就成長而言，我認為他們的 GDP 為 1.4%。為了實現這一目標，我們需要在今年下半年實現接近2%的成長率。因此，總體而言，預測和點似乎描繪出了我們認為的相當準確的畫面，表明了經濟將如何發展，我們將獲得這兩次削減。

Now should that not occur, let's assume that inflation runs higher, and the Fed is not in a position to cut. You'll see a flattening of the yield curve, which were hedged for and Agency MBS so long as volatility is contained, should perform just fine. If, on the other hand, you get a bigger deterioration in the economy and the Fed is more aggressive, then that's obviously good for agency because you will get more cuts, you'll get more involvement and that would be encouraging for us. But overall, if they don't deliver on the cuts, we're reasonably well hedged for that. And that's not our base case. We actually think they'll get delivered upon.

現在，如果這種情況沒有發生，我們假設通膨率上升，而聯準會無力降息。你會看到殖利率曲線趨於平緩，只要波動性得到控制，對沖的機構 MBS 和機構 MBS 的表現就會很好。另一方面，如果經濟惡化程度進一步加深，而聯準會採取更激進的政策，那麼這顯然對機構有利，因為將進行更多降息，將獲得更多的參與，這對我們來說是令人鼓舞的。但整體而言，如果他們不履行減產承諾，我們也能採取相當好的措施來應對。這不是我們的基本情況。我們確實認為他們會實現這一目標。

This concludes our Q&A session. I would like to turn the conference back over to Mr. Finkelstein for any closing remarks. Thank you.

我們的問答環節到此結束。我想將會議交還給芬克爾斯坦先生，請他作最後發言。謝謝。

Thank you, Vicki. Everybody, have a good rest of the summer, and we'll talk to you soon.

謝謝你，薇琪。大家，祝大家夏天過得愉快，我們很快就會再和你們聊天。

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

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。再見。