Annaly Capital Management Inc (NLY) 2025 Q3 法說會逐字稿

Good morning, and welcome to the Q3 2025 Annaly Capital Management earnings conference call. (Operator Instructions) Please note, this event is being recorded.

早安，歡迎參加 Annaly Capital Management 2025 年第三季財報電話會議。（操作說明）請注意，本次活動正在錄影。

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

現在我將把會議交給投資者關係總監肖恩·肯西爾。請繼續。

Good morning, and welcome to the third 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 年第三季財報電話會議。今天電話會議中作出的任何前瞻性陳述均受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新的年度和季度美國證券交易委員會文件中的「風險因素」部分進行了概述。

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。我們建議您除了閱讀季度和年度報告外，還要閱讀我們的獲利報告中的免責聲明。此外，本次電話會議的內容可能包含有時效性的信息，這些信息僅在會議召開之日有效。我們不承擔更新或修改此資訊的義務，並特此聲明免除任何此類義務。

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 third quarter 2025 investor presentation and third 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，我們可能會同時提供GAAP和非GAAP財務指標。我們的獲利報告中包含了GAAP與非GAAP指標的調節表。今天電話會議中提到的內容可以在我們網站的「簡報」部分找到的 2025 年第三季投資者簡報和 2025 年第三季財務補充文件中找到。另請注意，本次活動正在錄影。

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. Srinivasan, Head of Agency and Ken Adler, Head of Mortgage Services and rights.

今天早上電話會議的參與者包括：首席執行官兼聯席首席投資官大衛·芬克爾斯坦；首席財務官塞雷娜·沃爾夫；聯合首席投資官兼住宅信貸主管邁克·法尼亞；代理主管V.S.斯里尼瓦桑；以及抵押貸款服務和權益主管肯·阿德勒。

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

接下來，我將把電話交給大衛。

Thank you, Sean. Good morning, everyone, and thank you all for joining us for our third 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。各位早安，感謝各位參加我們的第三季財報電話會議。今天，我將照例簡要回顧宏觀和市場環境以及我們本季的業績，然後分別介紹我們三項業務的最新情況，最後展望未來。接下來，小威將討論我們的財務狀況，然後開放問答環節。

Now, starting with the macro landscape. The US economy remained resilient in the third quarter, with GDP likely to be on pace with that Q2. Growth was supported by healthier consumer spending as well as AI-driven business investment despite lingering uncertainty around tariffs and the immigration. Inflation remained elevated near 3% during the quarter, though the anticipated uptick in goods inflation resulting from higher tariffs has been more muted than expected thus far.

現在，讓我們從宏觀層面開始。美國經濟在第三季保持韌性，GDP可能與第二季持平。儘管關稅和移民問題仍存在不確定性，但更健康的消費支出以及人工智慧驅動的商業投資支撐了經濟成長。本季通膨率仍維持在 3% 左右的高位，儘管此前預期的因關稅提高而導致的商品通膨上升幅度比預期要小。

Labor market conditions did weaken with hiring slowing to a mere 30,000 jobs per month over the past three months, while sentiment around future hiring deteriorated. Although the unemployment rate has moved only slightly higher, the Fed's 25 basis points cut in September and forward guidance was supported by an outlook that suggests growing downside risks to its employment mandate.

勞動市場狀況確實有所惡化，過去三個月招聘速度放緩至每月僅 3 萬個工作崗位，對未來招聘的信心也隨之下降。儘管失業率僅略有上升，但聯準會9月降息25個基點以及前瞻性指引，都得到了就業目標面臨日益增長的下行風險的前景的支持。

Yields fell modestly during the quarter, and the curve steepened given the market's expectation for modestly lower policy rates going forward. The treasury market also benefited from a shift in issuance towards the front end of the yield curve and strong tariff revenue, the combination of which helped ease concerns about long-term debt issuance. This led quarter-over-quarter and 6 basis points to 9 basis points widening in swap spreads relative to their forward implied levels, which benefited our returns.

本季殖利率小幅下降，鑑於市場預期未來政策利率將小幅下調，殖利率曲線趨於陡峭。國債市場也受益於發行重心向殖利率曲線前端轉移以及強勁的關稅收入，這兩者的結合有助於緩解人們對長期債務發行的擔憂。這導致互換利差相對於其遠期隱含水準較上月擴大了 6 至 9 個基點，從而使我們的收益受益。

The precipitous decline in interest rate volatility during the quarter also provided meaningful support to our portfolio by lowering convexity costs and fueling much of the agency spread tightening that occurred. We generated an economic return of 8.1% for the third quarter and 11.5% year-to-date, notably recording a positive economic return for eight consecutive quarters, exhibiting the benefits of Annaly's diversified housing finance strategy.

本季利率波動性的急劇下降也為我們的投資組合提供了實質的支持，降低了凸性成本，並推動了機構利差的收窄。第三季我們實現了 8.1% 的經濟回報，年初至今實現了 11.5% 的經濟回報，尤其值得一提的是，我們連續八個季度實現了正的經濟回報，充分展現了 Annaly 多元化住房融資策略的優勢。

our portfolio's earnings power remains strong with EAD of $0.73 per share, out-earning our dividend each quarter since we increased it at the outset of the year. Also to note, we raised $1.1 billion of accretive equity in Q3, including $800 million through our ATM program. We also reopened the mortgage REIT preferred market with Annaly's first preferred issuance since 2019 and the first residential REIT issuance in multiple years.

我們的投資組合獲利能力依然強勁，每股收益為 0.73 美元，自年初提高股息以來，每季的收益都超過了股息。另外值得一提的是，我們在第三季籌集了 11 億美元的增值股權，其中包括透過我們的 ATM 計畫籌集的 8 億美元。我們也重新開放了抵押貸款 REIT 優先股市場，Annaly 自 2019 年以來首次發行優先股，也是多年來首次發行住宅 REIT。

Now, turning to our investment strategies and beginning with agency. Our portfolio ended the quarter at just over $87 billion in market value, up 10% quarter-over-quarter, as the majority of the capital raise was deployed in Agency MBS considerate of attractive relative returns.

現在，讓我們轉向我們的投資策略，首先從代理商開始。由於大部分募集資金都投入到機構抵押貸款支持證券（MBS）中，考慮到其相對吸引力高的回報，我們的投資組合在本季度末市值略高於 870 億美元，環比增長 10%。

Total growth of our agency portfolio was $7.8 billion in market value with about 15% of that increase coming from Agency CMBS and a similar share coming from market value appreciation. While the primary driver of agency performance was lower interest rate volatility, also noteworthy that the supply and demand dynamics in the Agency MBS market continue to improve.

我們代理商投資組合的總市值成長了 78 億美元，其中約 15% 的成長來自代理商 CMBS，另有約 15% 的成長來自市值增值。雖然推動機構績效成長的主要因素是利率波動性降低，但值得注意的是，機構抵押貸款支持證券市場的供需動態也持續改善。

Specifically, fixed income fund inflows were more than 50% higher than the average over the past few quarters and an additional indication of favorable technicals is that CMO demand has been heavy with production running at over $30 billion per month, which has helped distribute MBS supply to a wider audience of investors.

具體而言，固定收益基金的流入量比過去幾季的平均水平高出 50% 以上，另一個有利的技術指標是，抵押貸款證券 (CMO) 的需求一直很旺盛，每月產量超過 300 億美元，這有助於將抵押貸款支持證券 (MBS) 的供應分散到更廣泛的投資者群體中。

Overall agency spreads tightened by 8 basis points to 12 basis points to treasury in the quarter with intermediate and lower coupons outperforming higher coupons. Early in the quarter, we added agency in line with our capital raise across coupons. And ultimately, as higher coupons began to look more attractive given cheapening into lower mortgage rates. We shifted purchases to specified pools in 5.5s and 6s. Our holdings and higher coupons have been methodically constructed over the past few years to mitigate prepayment risk, which gives us flexibility to add in areas that provide the best expected return.

本季機構債券與國債的整體利差收窄了 8 個基點至 12 個基點，其中中低息債券的表現優於高息債券。本季度初，我們根據票息融資計劃增加了代理權。最終，隨著抵押貸款利率下降，較高的票息看起來更具吸引力。我們將採購轉移到 5.5 秒和 6 秒內指定的資金池。過去幾年，我們透過有條不紊地建立持倉和提高票息，以降低提前償付風險，這使我們能夠靈活地增加預期回報最高的領域。

And on the hedging side, we had less need to intervene this past quarter, as realized volatility was somewhat muted but we did maintain our disciplined approach to rate risk management, as we added hedges alongside new asset purchases with a bias towards swaps in the front end of the yield curve. And as we mentioned previously, relative value and the superior carry of swap hedges has informed our overweight and swaps, which added meaningfully to our economic return this past quarter.

在對沖方面，由於上個季度實際波動性有所減弱，我們幹預的必要性有所降低，但我們仍然保持了對利率風險管理的嚴謹態度，在新增資產購買的同時增加了對沖，並偏向於收益率曲線前端的互換交易。正如我們之前提到的，相對價值和互換對沖的優異收益促使我們超配互換，這在上個季度為我們的經濟回報做出了顯著貢獻。

Shifting to residential credit, our portfolio increased to $6.9 billion in economic market value, representing $2.5 billion of the firm's capital. Investment-grade residential credit assets tightened during the quarter with new origination, non-QM AAA spreads ending Q3, 15 basis points tighter, providing a supportive backdrop for securitization issuance. Non-Agency gross securitizations have totaled $160 billion year-to-date, which is already the second largest annual gross issuance since 2008, and will end up being second only to the 2021 vintage.

轉向住宅信貸後，我們的投資組合經濟市值增加到 69 億美元，占公司資本的 25 億美元。本季投資級住宅信貸資產收緊，新增貸款和非合格抵押貸款AAA級貸款利差在第三季末收窄15個基點，為證券化發行提供了有利環境。今年迄今為止，非機構證券化總額已達 1,600 億美元，這已經是自 2008 年以來第二大的年度發行總額，最終將僅次於 2021 年的發行量。

Our Onslow Bay platform was eight transactions for $3.9 billion in the quarter, generating $473 million of high-yielding OBX retained securities for handling in our joint venture. Year-to-date, we've now priced 24 transactions, representing $12.4 billion of UPB, solidifying Annaly is not only the largest nonbank issuer in the residential credit market but a top 10 issuer worldwide of asset-backed and mortgage-backed securities.

本季度，我們的 Onslow Bay 平台完成了 8 筆交易，總額達 39 億美元，產生了 4.73 億美元的高收益 OBX 留存證券，供我們的合資企業處理。今年迄今為止，我們已經完成了 24 筆交易定價，未償付本金總額達 124 億美元，這鞏固了 Annaly 不僅是住宅信貸市場最大的非銀行發行機構，而且是全球資產支持證券和抵押貸款支持證券發行機構前 10 名的地位。

We also redeemed OBX 2022 and QMA during the quarter, exercising the transaction's three-year call feature and we expect there to be significant embedded value in our late '22 and '23 vintage NQM issues, given current mortgage rates and securitization economics.

本季我們也贖回了 OBX 2022 和 QMA，行使了該交易的三年贖回權，鑑於目前的抵押貸款利率和證券化經濟，我們預計我們 2022 年末和 2023 年發行的 NQM 債券將具有顯著的內含價值。

With respect to our correspondent channel, we achieved record-setting quarterly volumes across both locks and fundings while remaining disciplined in our approach to credit. The channel locked $6.2 billion in whole loans and funded $4 billion in the third quarter with our quarter-end lock pipeline representing a 765 weighted average FICO, 68 LTV and over 96% first lien.

就我們的代理商管道而言，我們在鎖定和融資方面均實現了創紀錄的季度交易量，同時在信貸方面保持了嚴謹的態度。該管道在第三季鎖定了 62 億美元的整筆貸款，並提供了 40 億美元的資金。季度末鎖定的貸款項目平均 FICO 評分為 765 分，貸款價值比為 68%，第一順位抵押權佔比超過 96%。

Now, with respect to the underlying housing market, as we foreshadowed on previous calls, the market is now experiencing relatively flat year-over-year HPA nationally, as consistently elevated mortgage rates weigh on affordability. There is a potential for further depreciation in the winter seasonals as available for sale inventory has increased, although we do expect cumulative depreciation to be modest given the longer-term positive fundamentals in the housing market.

至於基礎房屋市場，正如我們在先前的電話會議中預告的那樣，由於持續高企的抵押貸款利率對住房負擔能力造成了壓力，目前全國範圍內的住房價格同比相對平穩。冬季季節性房產可能進一步貶值，因為可供出售的庫存增加了，但鑑於住房市場長期積極的基本面，我們預計累計貶值幅度不會太大。

Nonetheless, in light of softer housing, we'll remain focused on maintaining a high credit quality portfolio with a continued emphasis on manufacturing our own proprietary assets through our market-leading correspondent channel. And approximately 75% of our residential credit exposure is now comprised of OBX securities and residential whole loans, providing full control over both the acquisition and management of the assets.

儘管如此，鑑於房地產市場疲軟，我們將繼續專注於維持高信貸品質的投資組合，並透過我們市場領先的代理商管道繼續專注於打造我們自己的專有資產。目前，我們約 75% 的住宅信貸曝險由 OBX 證券和住宅整筆貸款構成，因此可以完全控制這些資產的收購和管理。

Now, moving to MSR. Our portfolio increased by $215 million in market value to $3.5 billion, comprising $2.9 billion of the firm's capital. We purchased $17 billion in UPB across three bulk packages in our flow network during the quarter as well as committing to purchase an additional package for $9 billion in UPB subsequent to quarter end. Our MSR valuation multiple decreased very modestly quarter-over-quarter, driven largely by lower mortgage rates. Our portfolio remains well insulated as the aggregate borrower is approximately 300 basis points out of the money and the portfolio continues to exhibit highly stable cash flows as it paid sub 5 CPR over the past three months.

現在，轉到MSR。我們的投資組合市值增加了 2.15 億美元，達到 35 億美元，其中包括該公司 29 億美元的資本。本季度，我們透過流通網路中的三個大宗商品包購買了價值 170 億美元的 UPB，並承諾在本季末之後再購買價值 90 億美元的 UPB。我們的 MSR 估值倍數較去年同期略有下降，主要原因是抵押貸款利率下降。我們的投資組合仍然受到良好的保護，因為借款人整體虧損約 300 個基點，而且該投資組合在過去三個月支付的 CPR 低於 5%，因此現金流繼續保持高度穩定。

The fundamentals associated with conventional MSR remained positive as evidenced by our portfolio of serious delinquencies being unchanged at 50 basis points. The competition for deposits remaining strong, resulting in better-than-expected float income and subservicing costs decreasing given increased technology investments across our servicing partners.

與傳統抵押貸款服務權 (MSR) 相關的基本面仍然積極，我們的嚴重違約貸款組合維持在 50 個基點不變，就證明了這一點。存款競爭仍然激烈，導致浮動收入優於預期，同時由於我們的服務合作夥伴增加了技術投資，二級服務成本有所下降。

Also to note, we announced a new partnership with PennyMac Financial Services subsequent to quarter end, adding another industry-leading mortgage originator and servicer to our existing set of best-in-class subservicing and recapture partners. As part of this new relationship, we purchased $12 billion of low note rate MSR whereby PennyMac will handle all subservicing and recapture responsibilities for the portfolio sold.

另外值得一提的是，我們在季度末宣布與 PennyMac Financial Services 建立新的合作夥伴關係，為我們現有的頂級次級服務和回收合作夥伴組合增加了一家行業領先的抵押貸款發起和服務商。作為這種新合作關係的一部分，我們購買了 120 億美元的低利率票據 MSR，PennyMac 將負責所售投資組合的所有次級服務和追償責任。

Now, shifting to our outlook. Our investment strategies are well positioned for the balance of the year given declining macro volatility, additional Fed cuts expected and healthy fixed income demand. While agency spreads are tighter, the sector remains compelling as spread compression has been achieved through lower volatility and a steeper yield curve, thus improving the fundamentals of the asset class.

現在，讓我們轉向我們的展望。鑑於宏觀經濟波動性下降、聯準會預期將進一步降息以及固定收益需求旺盛，我們的投資策略已為今年剩餘時間做好了充分準備。儘管機構債券利差收窄，但該行業仍然具有吸引力，因為利差收窄是透過降低波動性和提高殖利率曲線的陡峭程度實現的，從而改善了該資產類別的基本面。

Furthermore, a more accommodated monetary policy should continue to support a strong technical backdrop for Agency MBS, not to mention the likelihood of regulatory reform and the potential for greater bank demand for the sector into 2026. Our residential credit business should further benefit from the growing private label market with our Onslow Bay correspondent channel and OBX securitization platform being clear market leaders.

此外，更寬鬆的貨幣政策應繼續為機構抵押貸款支持證券提供強勁的技術背景，更不用說監管改革的可能性以及到 2026 年銀行對該行業需求增加的可能性了。隨著自有品牌市場的成長，我們的住宅信貸業務將進一步受益，我們的 Onslow Bay 代理商管道和 OBX 證券化平台顯然是市場領導者。

And our MSR portfolio stands out as the lowest note rate portfolio out of the top 20 largest conventional portfolios in the market, providing highly predictable, durable cash flows with limited negative convexity. Lower note rate MSR remains our preferred positioning, as investors are compensated more for selling convexity and Agency MBS. We also expect MSR supply to remain healthy as we maintain ample excess capacity to opportunistically grow our portfolio.

我們的 MSR 投資組合在市場上排名前 20 名的最大傳統投資組合中脫穎而出，成為利率最低的投資組合，提供高度可預測、持久的現金流，且負凸性有限。較低的票據利率MSR仍然是我們的首選定位，因為投資者出售凸性資產和機構MBS可以獲得更高的補償。我們也預期MSR供應將保持健康，因為我們保持著充足的過剩產能，並且可以抓住機會擴大我們的投資組合。

Now, this diversified housing finance model has delivered proven results, having generated a 13% annualized economic return over the past three years since scaling each business. And while we maintain our positive outlook, we carefully built our portfolio to guard against uncertainty, and we remain flexible in the current investing climate with historically low leverage and significant liquidity.

如今，這種多元化的住房金融模式已經取得了顯著成效，自過去三年擴大各項業務規模以來，已產生了 13% 的年化經濟回報率。儘管我們保持樂觀態度，但我們精心構建了投資組合以應對不確定性，並且在當前的投資環境下，我們保持了靈活性，槓桿率處於歷史低位，流動性充足。

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

接下來，我將把發言權交給小威，讓她來討論財務問題。

Thank you, David. Today, I will provide a brief overview of the financial highlights for the quarter ended September 30, 2025. Consistent with prior quarters, while our earnings release discloses GAAP and non-GAAP earnings metrics, my comments will focus on our non-GAAP EAD and related key performance metrics, which exclude PAA.

謝謝你，大衛。今天，我將簡要概述截至 2025 年 9 月 30 日的季度財務亮點。與前幾季一致，雖然我們的財報揭露了 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, 2025, our book value per share increased 4.3% from 18.5% in the prior quarter to 1925. After coming for our dividend of $0.70, we achieved an economic return of 8.1% in Q3. This brings our year-to-date economic return to 11.5%.

截至 2025 年 9 月 30 日，我們的每股帳面價值從上一季的 18.5% 成長了 4.3%，達到 1925。在獲得每股 0.70 美元的股息後，我們在第三季度實現了 8.1% 的經濟回報。這使得我們今年迄今的經濟回報率達到 11.5%。

We generated positive economic returns for the quarter across all of our businesses. Our performance was driven by strong results in our Agency business, which benefited from spread tightening leading to gains across the investment portfolio. These gains were partially offset by losses on our hedge positions in light of marginally lower interest rates in the quarter.

本季度，我們所有業務都實現了正的經濟效益。我們的業績主要得益於代理業務的強勁表現，該業務受益於利差收窄，從而帶動了整個投資組合的收益。由於本季利率略有下降，我們的對沖部位損失部分抵銷了這些收益。

Earnings available for distribution per share for the quarter were consistent with Q2 at $0.73 per share and again exceeded our dividend for the quarter. We maintained our AAG levels by generating average yield of 5.46% compared to 5.1% in the prior quarter, and our average repo rate improved by 3 basis points to 4.5%. Our credit business contributed to increased yields this quarter, driven by record securitization and loan purchases with average yields rising to 6.29%. Net interest spread ex-PAA, increased again this quarter to 1.5% and net interest margin ex-PAA is comparable with the price 1.7%.

本季可供分配的每股收益與第二季度持平，為每股 0.73 美元，再次超過了我們本季的股息。我們維持了 AAG 水平，平均收益率從上一季的 5.1% 上升至 5.46%，平均回購利率提高了 3 個基點，達到 4.5%。本季度，受創紀錄的證券化和貸款購買推動，我們的信貸業務提高了收益率，平均收益率升至 6.29%。本季度，除 PAA 外的淨利差再次擴大至 1.5%，除 PAA 外的淨息差與價格 1.7% 相當。

Turning to our financing. In conjunction with deploying the proceeds from our capital raise during the quarter, we added approximately $8.6 billion of repo principal at attractive spreads. As a result, our Q3 reported weighted average repo days maintained a healthy position of 49 days, comparable to the prior quarter and a modest economic leverage ratio of 5.7 times on to lower than at the end of the second quarter.

接下來談談我們的融資狀況。在本季度，我們利用籌集的資金，以優惠的利差增加了約 86 億美元的回購本金。因此，我們第三季報告的加權平均回購天數維持了49天的健康水平，與上一季相當，經濟槓桿率適中，為5.7倍，低於第二季末的水平。

As of September 30, 2025, our total facility capacity for the -- with a utilization rate of 40%. Our MSR total available committed warehouse capacity is $2.1 billion across four companies at September 30, 2025 with a utilization rate of 50%. We continue to explore additional funding relationships as we invest in our growth businesses and add new facilities in anticipation of future business growth.

截至 2025 年 9 月 30 日，我們的總設施容量為 -- 利用率為 40%。截至 2025 年 9 月 30 日，我們 MSR 旗下四家公司的總可用承諾倉儲容量為 21 億美元，利用率為 50%。我們將繼續探索其他融資關係，同時投資我們的成長型業務並增加新設施，以應對未來的業務成長。

Annaly financial strength is further demonstrated by our $7.4 billion in unencumbered assets at the end of the quarter. This includes cash nonencumbered agency MBS of $5.9 billion. In addition, we have roughly $1.5 billion of fair value of MSR pleased to committed warehouse facilities that can be quickly converted to cash subject to market advance rates. Combined, we have a probably $8.8 billion in assets available for financing, which is up $1.4 billion compared to the second quarter, in line with our asset growth and represents 59% of our total capital base.

截至季末，我們擁有 74 億美元的未抵押資產，這進一步證明了 Annaly 的財務實力。其中包括59億美元的無抵押機構抵押貸款支持證券。此外，我們還有約 15 億美元的 MSR 公允價值，這些 MSR 已承諾用於倉儲設施，可以根據市場預付款率快速轉換為現金。總計，我們可用於融資的資產可能達到 88 億美元，比第二季增加了 14 億美元，與我們的資產成長一致，占我們總資本基礎的 59%。

Finally, touching on OpEx, our efficiency ratios improved significantly during Q3, decreasing by 10 basis points to 1.41% for the quarter and now standing at 1.46% for the year-to-date period. Using period end equity as of September 30, our OpEx to equity ratio was 1.34% for the quarter, highlighting the efficiency and scale of our diversified model. This ratio is one of the lowest in the mortgage REIT sector (technical difficulty)

最後，談到營運支出，我們的效率比率在第三季顯著改善，該季度下降了 10 個基點至 1.41%，而今年迄今的效率比率為 1.46%。以 9 月 30 日的期末權益計算，本季我們的營運支出權益比率為 1.34%，凸顯了我們多元化模式的效率和規模。這一比例在抵押貸款房地產投資信託基金領域屬於最低水準之一。（技術難題）

(Operator Instructions) Bose George, KBW.

（操作說明）Bose George，KBW。

First, just in terms of returns, the agency returns took down a couple of points just with tighter spreads. Can you talk about how that compares now with -- like in terms of your preferred area for investment, is it more parity now with agencies and some of the other areas?

首先，就收益而言，由於利差收窄，機構收益下降了幾個百分點。您能否談談現在的情況與以往有何不同——例如，就您偏好的投資領域而言，現在是否與代理商和其他一些領域更加趨於平等了？

Sure. From a capital allocation perspective, as we came into the third quarter, we obviously felt like agency warranted an overweight, and that certainly came to fruition. As spreads have come in, agency still looks very attractive. Particularly because, as I mentioned in the prepared remarks, both fundamentally and technically, this sector has healed quite well from 2022 and 2023. Fundamentally, we have lower volatility. Fed cuts are going to continue, and we have slope to occur.

當然。從資本配置的角度來看，進入第三季後，我們顯然認為代理股值得超配，而事實也的確如此。隨著調查結果的出爐，代理業仍然顯得非常有吸引力。特別是正如我在準備好的演講稿中提到的那樣，無論從根本上還是技術上來說，該行業從 2022 年和 2023 年起都已恢復得相當不錯。從根本上講，我們的波動性較低。聯準會降息將會持續，降息幅度還會逐漸增大。

And also equally as important from a technical perspective, the demand base has broadened quite a bit. Money managers are adding. Obviously, a lot of money is coming into fixed income, as we talked about, REITs are adding. And we haven't had banks in overseas as strong of a participation. But as the Fed does continue to cut and potentially bank deregulation occurs, we do expect more demand to come from that sector.

從技術角度來看，同樣重要的是，需求基礎也大大擴展了。資金管理人正在增持。顯然，正如我們之前討論過的，大量資金正在流入固定收益市場，房地產投資信託基金（REITs）也在增持。而我們在海外也沒有看到銀行如此強大的參與。但隨著聯準會繼續降息，以及銀行業可能放鬆管制，我們預計該行業的需求將會增加。

So we feel good about the market. Spreads are tighter still overweight agency, even more overweight, which benefited us. We'd like to get our resi and MSR weightings back up to a combined 40%. We're patient to do so. And we feel good about how the portfolio is positioned. But nonetheless, we would like to increase those two sectors from a near-term capital allocation perspective.

所以我們對市場感覺良好。價差進一步收窄，超重機構甚至更加超重，這對我們有利。我們希望將住宅和MSR的權重恢復到總計40%。我們有足夠的耐心這樣做。我們對目前的投資組合配置感到滿意。但儘管如此，從近期資本配置的角度來看，我們還是希望增加對這兩個產業的投資。

Okay. Great. And then actually, just following up on that. The MSR, you guys noted the bulk supply is up, I think, 50%. Where is that coming from? How is the pricing looking? And could we see the MSR increase as a result of that?

好的。偉大的。然後，實際上，我只是想跟進一下。MSR，你們注意到大宗供應量增加了，我認為增加了50%。這是從哪裡來的？定價策略如何？那麼，MSR會因此而增加嗎？

Yeah. Thanks, Bose. This is Ken. Yeah, the bulk supply has been coming from large participants. Several of them have not previously been sellers. So that is encouraging for future bulk supply. Pricing has been relatively stable throughout the year. So we're pretty much encouraged by that like the return profile. And we opportunistically added on the quarter, as you can see and subsequent to quarter end, Bose.

是的。謝謝，Bose。這是肯。是的，大部分供應都來自大型參與者。他們當中有些人以前從未賣過東西。這對未來的大宗供應來說是個好兆頭。全年價格相對穩定。所以，我們對這樣的回報情況感到非常鼓舞。正如你所看到的，我們在季度末抓住機會增加了 Bose。

Doug Harter, UBS.

道格·哈特，瑞銀集團。

As you look at the agency returns, can you help breakdown kind of how you see like OAS returns versus how much of it is coming from the swap spread and how that makes you think about the risk of the position?

在分析機構收益時，您能否幫忙分析您如何看待 OAS 收益，以及其中有多少來自掉期利差，這又會如何影響您對該頭寸風險的看法？

Sure. I mean, the spread to swaps versus treasuries is running about 35 basis points to 40 basis points. So if you fully 100% has to small spread about 25 basis points wider than what they would be as to treasuries. And let's stay 5.5, we see to our hedge ratio, we're using about 35% swaps and -- 55% swaps and 35% pressures to our mix of hedges, we see a blended yield of about 160 basis points, which is just shy of a 17% ROE.

當然。我的意思是，互換與國債之間的利差大約在 35 到 40 個基點之間。所以，如果完全 100% 的話，利差會比國債的利差大 25 個基點左右。讓我們保持 5.5 的對沖比率，我們看到，在我們的對沖組合中，我們使用了大約 35% 的互換和 - 55% 的互換和 35% 的壓力，我們看到混合收益率約為 160 個基點，略低於 17% 的 ROE。

Now, finally, a fair amount of option costs. I would put the option cost somewhere in the 60 basis points to 65 basis points rate. But depending on what kind of specified pool you buy and how much you allow your duration to drip, you can substantially decrease the hedging costs. What has really helped over the last quarters, how low realized swaps has been -- realized what has been running below implied -- and that has really helped with hedging costs. And we think we are in an environment where what will remain subperiod at least relative to what we saw in 2023 or 2024.

最後，終於要考慮相當多的選擇成本了。我認為選擇權成本應該在 60 到 65 個基點之間。但是，根據您購買的特定類型的資金池以及您允許期限遞減的程度，您可以大幅降低對沖成本。過去幾季真正起到幫助作用的是實際互換價格的低迷——實際價格低於隱含價格——這確實有助於降低對沖成本。我們認為，我們目前所處的環境，至少相對於 2023 年或 2024 年的情況而言，將會是一個次要時期。

Does that help?

這樣有幫助嗎？

That's very helpful. And then if you could just provide an update on how book value is faring quarter-to-date?

那很有幫助。那麼，您能否提供本季迄今帳面價值的狀況更新呢？

Doug, as of last night, book pre-dividend accrual was up in upwards of 1%. And if you add the dividend accrual, 1.5% to 2% economic return.

道格，截至昨晚，帳面股息前應計利潤成長超過 1%。如果加上股利累積，經濟報酬率可達 1.5% 至 2%。

Harsh Hemnani, Green Street.

哈什·赫姆納尼，格林街。

So this quarter, it seems like you rotated up in coupon continued that rotation, but focused primarily on specified pools. Could you sort of talk to the puts and takes of how you're thinking about given the rate backdrop we're in right now, being those higher coupon specified pools versus perhaps rotating into lower coupon to get some of that prepayment protection in that way?

所以這個季度，你們似乎在優惠券方面繼續輪換，但主要集中在指定的優惠券池上。您能否談談在當前利率環境下，您是如何考慮的，是選擇高利息債券池，還是選擇低利率債券池，以期獲得一些提前還款保障？

So we are constantly looking at what is the better way to get better in production, either move down at coupon or kind of bispecified pools. What happened in the last quarter is as rates rallied to the lowest level in over a year, prepared expectations on generic higher coupon of rent-up materially. And this caused the duration to shrink and negatively impacted their carry profile. So not surprisingly, there was a big shipment demand to lower the intermediate coupons.

因此，我們一直在尋找提高生產效率的更好方法，無論是降低優惠券價格還是採用雙重指定池。上個季度發生的情況是，利率反彈至一年多以來的最低水平，這預示著租金大幅上漲，票面利率普遍走高。這導致持續時間縮短，並對其持有情況產生了負面影響。因此，毫不奇怪，為了降低中間優惠券的價格，出現了大量的出貨需求。

And by our metrics, it looked like lower intermediate coupons are rich relative to where higher coupons were traded. So this gave us -- so when you look at specified pools, the pay up to a cheap asset, the payouts are actually quite strong, but that the TBA has underperformed materially and so that made a specified pool taper.

根據我們的指標來看，較低的中期優惠券相對於較高的優惠券而言，交易價格似乎更高。所以，當你觀察特定資金池時，支付到廉價資產，收益實際上相當強勁，但TBA的表現卻明顯低於預期，因此導致特定資金池逐漸減少。

The big advantage of such that these are options that we own for a very long time. It's not like these options expire in six months or nine months. Once you buy a loan balanced paper, it doesn't matter how long it takes for rates to rally. Eventually when they do, you still have the option in place. So the length of the option is what makes specific so much more attractive than going down in coupon or buying general collateral and trying to hit the next thing.

這樣做的最大優勢在於，這些選擇權我們可以長期持有。這些選擇權並非像某些選擇權那樣，六個月或九個月後就會過期。一旦你購買了貸款平衡債券，利率上漲需要多長時間都無關緊要。最終當他們真的這麼做時，你仍然有選擇。因此，選擇權的期限使得特定選擇權比購買優惠券或購買一般抵押品並試圖抓住下一個機會更具吸引力。

Got it. That's helpful. And then maybe one on the MSRs. So it seems like the purchase this quarter was fairly low co point perhaps in your existing portfolio. But given the increase in supply we've seen perhaps over the last quarter, how is breaking down between the lower coupon MSRs that close the production coupons.

知道了。那很有幫助。然後或許還有MSR上的一個。所以看來本季的這筆購買對您現有的投資組合來說可能成本較低。但考慮到過去一個季度供應量的增加，較低票息的MSR如何與生產票息相銜接呢？

Yeah. Thank you very much for the question. And just a follow-up to what Srini said, we have the opportunity to look at OAS valuations in both MBS and MSRs. So when we price convexity in opportunities, we're taking convexity on the MSR side by purchasing the lower note rates. And when we do the valuations, we see more opportunity there and to participate in the higher note rates in the form of Agency MBS. So that's a big part of our strategy.

是的。非常感謝您的提問。補充一下 Srini 剛剛說的，我們有機會研究 MBS 和 MSR 中的 OAS 估值。因此，當我們對機會的凸性進行定價時，我們透過購買較低的票據利率來獲得 MSR 方面的凸性。當我們進行估值時，我們發現了更多參與更高利率票據（例如機構抵押貸款支持證券）的機會。所以這是我們策略的重要組成部分。

And as a follow-up to the other point about the increase in bulk supply. What's going on as rates have come down, mortgage origination is at a much higher level. And as mentioned previously, the industry just can't afford to retain all the MSR that's created in a high-volume environment.

關於散裝供應增加這一點，還有一點需要補充。利率下降的同時，抵押貸款發放量卻大幅上升。正如前面提到的，該行業根本無法承擔在高產量環境下產生的所有 MSR。

And Harsh, just to jump in here, Ken brings up a very important point in terms of -- we'd rather take negative Convex risk in MBS in pass-throughs in the TBA market than in the MSR market because it's cheaper there.

Harsh，我插一句，Ken提出了一個非常重要的觀點——我們寧願在TBA市場的MBS過手證券中承擔負凸風險，也不願在MSR市場中承擔負凸風險，因為那裡更便宜。

Now, your question to both Srini and Ken, from a big picture perspective in terms of how we manage Convexity and bolt. We have a fair amount of options and we look at everything on a portfolio basis. So first of all, diversification outside of Agency MBS in the form of resi credit and MSR is the biggest most powerful way to reduce our negative convexity.

現在，從宏觀的角度來看，你們要問Srini和Ken的問題是，我們要如何管理凸性和螺栓。我們有很多選擇，我們會從投資組合的角度來審視所有選項。首先，在機構抵押貸款擔保證券之外，透過住宅信貸和抵押貸款支持證券進行多元化投資，是降低負凸性的最大最有效方法。

In fact, in the resi market, every time we do a securitization, we're buying an option, essentially with the call option in the burn down rate type scenario. So we're buying both from that standpoint. And again, we pick up a better convexity profile by buying low note rate MSR, which has very little negative convexity exposure to it.

事實上，在住宅市場，每次我們進行證券化時，我們實際上是在購買選擇權，本質上是在購買燃盡率類型的看漲選擇權。所以從這個角度來看，我們兩個都要買。同樣，我們透過購買低利率的 MSR 來獲得更好的凸性分佈，因為 MSR 幾乎沒有負凸性風險敞口。

And then within the agency market, obviously, Srini talked about pools and how for years we've built what we think is a very durable portfolio from a convexity profile, but also Agency CMBS, which we added over $1 billion this past quarter, which has virtually no negative convexity. So the point being is that there's a lot of options for us to mitigate our convexity risk. And I think we look at everything on a portfolio basis and come up with the most efficient way to do it.

然後，在代理市場方面，Srini 顯然談到了資產池，以及多年來我們如何從凸性概況構建了我們認為非常持久的投資組合，還有代理 CMBS，我們在上個季度增加了超過 10 億美元，幾乎沒有負凸性。所以重點是，我們有很多方法可以降低凸性風險。我認為我們應該從投資組合的角度來審視所有事情，並找出最有效的方式來完成這項工作。

Jason Weaver, Jones Trading.

Jason Weaver，Jones Trading。

With your outlook you put out, with mortgage spreads now back at the tight, would you expect for the pace of lock volume and securitization issuance sort of towards and into year-end remains elevated despite the usual seasonal pressure?

根據您給予的展望，目前抵押貸款利差已收窄，您是否預計儘管存在季節性壓力，但鎖定交易量和證券化發行量在年底前仍將保持較高水平？

Jason, this is Mike. Thanks for the question. In terms of where we're at in mortgage spreads, we've actually been tighter in the beginning of the year, AAA spreads were 115 to 120 over the curve. Right now, I think that just given the supply that we've seen over the last two to three weeks and to your point, broader supply within the market, we're probably closer to that 135 area for generic issuance.

傑森，我是麥克。謝謝你的提問。就抵押貸款利差而言，年初的時候利差實際上更窄，AAA 級貸款的利差比曲線高出 115 到 120 倍。就目前而言，我認為鑑於過去兩到三週的供應情況，以及你所說的市場供應更加廣泛，我們可能已經接近仿製藥發行量達到 135 的水平了。

What I will say, though, is that non-QM continues to make progress in terms of market penetration. There's market share that's being created. If you look at Optimal Blue, in the month of July, they said 8% of all outstanding lots were non-QM and SCR, which is the highest percentage that we've ever seen. If you went back two to three years, I think that number is probably closer to 2% to 3%.

不過，我想說的是，非QM在市場滲透方面持續取得進展。市場份額正在不斷增長。如果你查看 Optimal Blue 的數據，他們表示 7 月所有未結清的批次中有 8% 為非合格藥品和 SCR 藥品，這是我們見過的最高比例。如果把時間倒回兩三年，我認為這個數字可能接近 2% 到 3%。

So I think in terms of mortgage spreads, the fact that they've been in a range -- mortgage spreads, AAA spreads, they've been in the kind of the 130 to 145 range. So there slightly wider than the beginning of the year, but the fact that they've been stable has allowed us to be very active. It's allowed the market to continue to grow.

所以我認為就抵押貸款利差而言，事實上它們一直處於一個範圍內——抵押貸款利差，AAA 利差，它們一直處於 130 到 145 的範圍內。所以，雖然比年初略有擴大，但由於市場一直保持穩定，我們得以非常積極地開展業務。這使得市場得以持續成長。

And I think that when you look at the last half of the year -- at this point, we've done $60 billion of non-QM issuance. Last year in 2024, the entire year was $47 billion, $48 billion. I think we'll end up, call it, $65 billion to $70 billion. And from our perspective, we actually had our most active month. In September, we did $2.3 billion of locks. Within non-QM and DSCR, we did over $6 billion in the quarter.

我認為，回顧今年下半年，我們已經完成了 600 億美元的非合格市場債券發行。去年（2024年），全年為470億美元，480億美元。我認為最終金額會達到，大概 650 億到 700 億美元。從我們的角度來看，這實際上是我們最活躍的一個月。9月份，我們完成了價值23億美元的鎖具交易。本季度，我們在非合格市場和債務償付覆蓋率方面實現了超過 60 億美元的收入。

So I think that securitization may be a little bit slower than what we just did within Q2 and Q3. A lot of that is what you're mentioning. It's seasonal. It's the holidays, but I think that just the market penetration of non-QM continues to grow, and we do think it could be close to 10% of the market. So over long periods of time, we think it will continue to increase.

所以我認為證券化進程可能會比我們在第二季和第三季所取得的進展稍慢。你提到的很多方面都正是如此。這是季節性的。雖然是假期，但我認為非合格市場滲透率仍在持續增長，我們認為它可能接近市場份額的 10%。因此，我們認為從長遠來看，它會繼續增長。

Got it. That's helpful. And then maybe more for on the agency side. There's some talk to Governor Logan is proposing shifting of the Fed's primary policy tool to target tri-party repo away from Fed funds. Any sense on the likelihood there and if or how that might ultimately influence MBS repos?

知道了。那很有幫助。然後，或許代理商方面會有更多的問題。有傳言稱，洛根行長提議將聯準會的主要政策工具從聯邦基金轉向三方回購。您認為這種可能性有多大？如果發生這種情況，最終會如何影響抵押貸款擔保證券（MBS）的回購？

Well, it's present Logan, not Governor Logan. But to answer the question, so in a speech, she did discuss that tri-party GC was a better indicator in terms of short-term rates relative to Fed funds. And the fact of the matter is the Fed has to evolve as the market evolves. And the Feds market is just not as good of a barometer of financing rates as repo is, and that's simply a reflection of that. I wouldn't read anything more into it than the Fed thinking about rates that are most impactful to markets and making sure that they have all the best information to evaluate financing markets and conduct policy. That's simply how I would read it.

哦，是現任洛根，不是州長洛根。但要回答這個問題，她在一次演講中確實討論了三方擔保利率相對於聯邦基金利率而言，是短期利率的更好指標。事實是，聯準會必須隨著市場的發展而發展。聯準會市場作為融資利率的晴雨表，其效果遠不如回購市場，這正是反映了這一點。我不會對此做任何過度解讀，這只是聯準會考慮對市場影響最大的利率，並確保他們擁有所有最佳資訊來評估融資市場和製定政策。我就是這麼理解的。

Eric Hagen, BTIG.

Eric Hagen，BTIG。

This is kind of a big picture question. There's a point at which mortgage REITs, including Annaly applied more duration to their portfolio. And then the taper tantrum in 2013, disrupted some of that since then, the mortgage rates have basically hedged out all the duration in their portfolio including yourselves. I mean, do you envision ever getting back to a point where a duration gap is part of the conversation again? Like how do you weigh the act of like raising leverage versus letting the duration drift out a little bit more in order to create alpha?

這是一個比較宏觀的問題。有一段時間，包括 Annaly 在內的抵押貸款 REIT 在其投資組合中增加了久期。2013 年的縮減恐慌擾亂了其中的一些，從那時起，抵押貸款利率基本上已經對沖了他們投資組合中的所有期限，包括你們自己的期限。我的意思是，你認為未來是否還有機會再次將持續時間差距納入討論範圍？例如，如何權衡提高槓桿率和延長持有期以創造超額收益之間的關係？

Sure. So obviously, we have three primary risks that we take, spread basis risk in agency credit risk and duration risk and we evaluate those risks based on the most attractive and place our bets where we think it has the highest risk risk-adjusted return. Now, as far as a duration gap, it's absolutely the case. We've been running at close to a zero duration gap for the recent past. And I think it's justified by virtue of the amount of uncertainty currently in the rates market.

當然。顯然，我們承擔三種主要風險：利差基差風險、機構信用風險、久期風險。我們會根據最具吸引力的因素來評估這些風險，並將賭注押在我們認為風險調整後收益最高的地方。至於持續時間上的差距，那絕對是事實。最近一段時間，我們的時間間隔幾乎是零。我認為，鑑於目前利率市場存在許多不確定因素，這種做法是合理的。

Look, I can give you arguments for lower rates, and I can give you arguments for higher rates. In terms of the catalyst for lower rates, obviously, the Fed is cutting rates, and we'll likely continue to do so. The deficit prognosis is better, so less long-term issuance than we might have just thought QT is coming to an end. There's very strong demand for fixed income in the market, and that could accelerate with lower cash yields, deregulation for banks to add demand for fixed income and the labor market is weakening, certainly. And all of these would suggest lower rates.

你看，我可以給你一些降低利率的理由，也可以給你一些調漲利率的理由。就降低利率的催化劑而言，顯然是聯準會正在降息，而且我們很可能會繼續這樣做。赤字預測情況有所好轉，因此長期債券發行量可能比我們之前認為的要少，量化緊縮政策即將結束。市場對固定收益產品的需求非常強勁，而現金收益率下降、銀行放鬆管制以增加對固定收益產品的需求以及勞動力市場疲軟，無疑會加速這種需求的成長。所有這些都表明利率會降低。

However, on the other side of the equation, no rates do look full currently, 5-year real rates right around 120, 10 years around 170, nominal rates, inflation breakevens. They look a little snug in the low to mid-2s. And globally, rates in the US are a little bit low relative to the rest of the G7 and inside of 90 basis points on that average. So the market doesn't look cheap.

然而，從另一個角度來看，目前的利率似乎並不高，5 年期實際利率在 120 左右，10 年期實際利率在 170 左右，名目利率與通貨膨脹率持平。它們看起來有點緊，大概在2碼左右。在全球範圍內，美國的利率相對於其他七國集團成員國來說略低，平均低了不到 90 個基點。所以市場看起來不便宜。

And inflation hasn't gone away. We'll get some more down this week, fortunately. The Fed will cut next week. But beyond that, it is uncertain. You had eight committee members -- actually nine, I believe. Nine committee members that said one or two cuts to come this year, and there's some hawks on that committee. So the market's been priced pretty aggressively in terms of cuts. We're through neutral by the end of next year in the eyes of the market, and the Fed's 50 basis points above that.

通貨膨脹並沒有消失。幸運的是，我們本週還能再完成一些。聯準會下週將降息。但除此之外，就尚不確定了。你們委員會共有八名成員──實際上應該是九名。九名委員會成員表示今年將進行一到兩項裁員，而且該委員會中還有一些鷹派人士。因此，市場對降價的預期已經相當樂觀了。在市場看來，到明年年底我們將擺脫中性狀態，而聯準會的利率將在此基礎上再高出 50 個基點。

So to us, we get the fundamentals and what's going on that could lead to lower rates, but there's also the potential for higher rates. And the way we want to play it is something could break either way and the best approach for us right now is to not take a lot of risk in the rates market. And fortunately, volatility has been low. We've been able to manage our duration with minimal cost to the portfolio. And until we get a better sense of where things are going from we remain that way.

所以對我們來說，我們了解了基本面以及可能導致利率下降的因素，但同時也存在利率上升的可能性。我們想採取的策略是，任何事情都有可能發生，目前對我們來說最好的方法是不要在利率市場冒太大的風險。幸運的是，波動性一直很低。我們成功地在保證投資組合最低成本的前提下，實現了合理的投資期限管理。在我們更清楚地了解事情的發展方向之前，我們將繼續保持這種狀態。

Now, relative to the longer-term business model REITs taking duration risk and levered maturity transformation, there is, at times, carry and taken rate risk. When the yield curve is quite steep, you're paying check and carry -- near-term carry for taking rate risk. 52 basis points on 10s, it's positive, but it's not all that attractive. And so at some point, I'm sure we'll take a longer duration approach. But right now, we feel being very close to home is where we want to be.

現在，相對於承擔久期風險和槓桿到期轉換的長期商業模式 REITs 而言，有時會存在收益分成風險和承擔的利率風險。當殖利率曲線非常陡峭時，你需要支付利息和利差——也就是承擔利率風險以獲得短期利差。 10年期公債殖利率為52個基點，雖然是正收益，但並不算特別吸引人。因此，我相信在某個時候，我們會採取更長期的方法。但現在，我們覺得待在離家很近的地方才是我們最想待的地方。

Yeah. Got you. That's really helpful. I mean there's lots of speculation right now around the GSEs being buyers of Agency MBS again, certainly in a more meaningful way. I mean, how much of that potential catalyst do you think is priced in to spreads right now? And more generally, I mean, do you think their presence in the market would have an impact on the MSR market or valuations in any sort of way?

是的。抓到你了。這真的很有幫助。我的意思是，目前有很多猜測認為政府支持企業（GSE）將再次購買機構抵押貸款支持證券（MBS），而且肯定會以更有意義的方式購買。我的意思是，你認為目前價差已經反映了多少這種潛在催化劑的影響？更普遍地說，我的意思是，你認為他們在市場上的存在會對MSR市場或估值產生任何影響嗎？

Well, a couple of points to note. There has been a lot of talk about the GSEs having entered into the market, but that's been very limited, and I wouldn't read too much into it. Market does have some expectations that they could be more active buyers as we're talking about this privatization potential and the fact that they do have capacity and the portfolios are relatively low. So there is a little bit priced into the market.

嗯，有幾點要注意。關於政府支持企業（GSE）進入市場的討論很多，但這非常有限，我不會對此過度解讀。市場確實有一些預期，認為他們可能會成為更積極的買家，因為我們正在討論私有化的潛力，而且他們確實有能力，投資組合也相對較低。所以市場價格中已經反映了一部分因素。

But the demand for MBS has been broad and it's been strong. REITs have obviously been buyers of MBS. And again, the money flowing into fixed income funds and a third of that money on average goes to mortgages. That's been the real driver. And speculation around the GSEs is not something that we want to bank on, but it could materialize. And does it warrant consideration from a policy perspective? It certainly could. Back pre-financial crisis, the GSEs were very powerful stabilizers of spreads and that lowered spread volatility. And as a consequence of that, you ended up at a lower baseline spread.

但市場對抵押貸款支持證券的需求一直很廣泛且強勁。顯然，房地產投資信託基金一直是抵押貸款支持證券的買家。此外，流入固定收益基金的資金，平均有三分之一用於抵押貸款。這才是真正的驅動力。我們不希望對政府支持企業（GSE）的猜測寄予厚望，但這有可能發生。從政策角度來看，這是否值得考慮？當然有可能。在金融危機之前，政府支持企業（GSE）是利差的非常強大的穩定器，這降低了利差波動性。因此，最終得到的基準價差較低。

So from a policy perspective, if the government does have this desire to get spreads tighter, giving the GSE some capacity in acting somewhat as guardrails so long as it's very well regulated and they don't get out over their skis or anything like that, it could have some benefit, but it's very difficult to navigate that path and it could be a slippery slope. So it has to be looked at very carefully. But nonetheless, as stabilized as they could be beneficial.

因此，從政策角度來看，如果政府確實希望收窄利差，賦予政府支持企業（GSE）一定的權力來起到某種護欄作用，只要監管得當，不越界行事，這可能會帶來一些好處，但這條路很難走通，而且可能會走上一條危險的道路。所以必須非常仔細地審視這個問題。但即便如此，只要它們夠穩定，就可能是有益的。

Rick Shane, JPMorgan.

Rick Shane，摩根大通。

And there have been a lot of thoughtful questions and answers on this. So just one quick one. When we look at the NII adjusted for PAA. It's been really stable over the last four quarters. You guys have done a good job managing asset yields and funding costs. I'm curious at this point, how confident you are that it will remain stable over the next couple of quarters? And how do you sort of manage that given the uncertainty?

關於這個問題，已經有很多深思熟慮的問題和答案。就簡單問一個問題。當我們查看經 PAA 調整後的 NII 時。過去四個季度一直非常穩定。你們在資產收益和融資成本管理方面做得很好。我現在很想知道，您對未來幾季保持穩定有多大信心？鑑於這種不確定性，你該如何應對呢？

So the question you're asking, I'll start from a big picture standpoint, and then Serena can get into the accounting. But look, at the end of the day, the portfolio has been very stable from the standpoint of low leverage, and we haven't had a lot of volatility associated with the hedged returns from an EAD perspective. It's been $0.72, $0.73. And that's how we feel about this quarter, we expect to earn EAD consistent with where we were this past quarter.

所以對於你提出的問題，我將從宏觀角度出發，然後小威可以深入到具體細節。但歸根結底，從低槓桿的角度來看，該投資組合一直非常穩定，而且從 EAD 的角度來看，我們對沖收益也沒有出現太多波動。每股收益一直是 0.72 美元，0.73 美元。我們對本季的預期也是如此，預計本季 EAD 的收益將與上個季度持平。

Another point to note that I think helps the stability is the swap portfolio. So in terms of runoff, we have about $1.5 billion running off in the first quarter next year, then we don't have any runoff until Q4 of 2026. So the slot portfolio should stay relatively stable. And the agency portfolio, the average price of the portfolio is very close to par. And so the runoff doesn't have too much -- add too much volatility to the overall accounting aspect of it. So we'll see. We can't forecast too far out. But this quarter, we feel good about outearning the dividend and overall, the portfolio is in a stable place.

我覺得有助於穩定性的另一點是互換投資組合。因此，就資金流出而言，明年第一季我們將有大約 15 億美元的資金流出，然後直到 2026 年第四季我們都不會再有任何資金流出。因此，老虎機產品組合應該會保持相對穩定。而且，該機構投資組合的平均價格非常接近面額。因此，徑流不會對整體會計方面造成太大的波動。我們拭目以待。我們無法預測太遠的事。但本季度，我們對獲利超過股利感到樂觀，整體而言，投資組合處於穩定狀態。

Anything to add, Serena?

小威，還有什麼要補充的嗎？

No, I think they have covered it. Look, obviously, we have been doing really well and increasing yields as we are deploying additional capital and that is showing up in the NII. We offer an accounting projective. Obviously, we lock in those yields. And so we should expect to continue to benefit from those. And obviously, as David mentioned, we do expect future set cuts, so we will benefit on the cost of fund side of things. So I think that all things equal and another crystal ball, we should continue to see some good levels of NII going forward.

不，我覺得他們已經涵蓋了。很明顯，我們做得非常好，隨著我們投入更多資金，收益率也在不斷提高，這在淨利息收入中有所體現。我們提供會計預測。顯然，我們會鎖定這些收益。因此，我們應該預期會繼續從中受益。顯然，正如大衛所提到的，我們預計未來會有預算削減，因此我們將從資金成本方面受益。所以我認為，在其他條件相同的情況下，我們也可以預見，未來 NII 將繼續保持良好的水平。

Got it. Yeah. The point about increasing yields but not increasing premiums really the big takeaway for me on that comment.

知道了。是的。關於提高殖利率但不提高保費這一點，對我來說，這番評論最重要的意義就在於此。

Kenneth Lee, RBC Capital Markets.

Kenneth Lee，加拿大皇家銀行資本市場。

And this is just a follow-up from a previous one. Fair to say that the risk appetite has been tempered down a bit. Just looking at the spread and rate sensitivity, they both declined a bit quarter-over-quarter. So I just wanted to check to see if that's reflective of Annaly taking a little bit less risk there.

這只是之前那篇文章的後續。可以說，市場的風險偏好降低。單看利差和利率敏感度，兩者較上季均略有下降。所以我想確認一下，這是否反映出安娜莉在那方面承擔的風險稍微小了一些。

Yes, it's a good question, Ken. So on the rate side, there's a little bit more negative convexity in the portfolio with current coupon spreads, I think, 28 basis points lower. And so that does lead to what looks like a more deleterious outlook on both sides of the equation and the duration is hovering close to flat. And to the earlier question, we're not going to take a lot of rate risk right here.

是的，肯，你問得好。因此，在利率方面，由於目前的票息差降低了 28 個基點，投資組合的負凸性略有增加。因此，這似乎導致等式雙方的前景都更加不利，持續時間也接近持平。至於之前的問題，我們目前不會承擔太大的利率風險。

In terms of spread exposure, also that decline in mortgage rate does reduce the spread duration of the portfolio, and so that's kind of occurred organically, and we were a little bit lighter coming into the quarter on MBS. We do have a little bit of dry powder. I'd say our risk posture is not overly conservative but, to the extent, we see an opportunity we could add to the agency portfolio or an MSR resi package over the near term locally. So our risk is not more negative at all by any stretch. We do just have a little bit more dry powder.

就利差曝險而言，抵押貸款利率的下降也確實降低了投資組合的利差久期，因此這種情況是自然發生的，而且我們在本季度初的抵押貸款支持證券 (MBS) 持倉也略有減少。我們確實還有一些乾粉。我認為我們的風險承受能力並非過於保守，但如果我們看到近期在本地有可以增加代理投資組合或MSR住宅項目的機會，我們也會考慮。所以無論如何，我們的風險都遠遠沒有那麼糟。我們確實多了一些乾粉。

Great. And just one follow-up. I think you touched upon this, EAD looking around consistent to the third quarter's levels. Any updated thoughts around dividend coverage, especially just given the current macro rate outlook?

偉大的。還有一個後續問題。我認為你已經提到了這一點，EAD 的走勢與第三季的水平基本持平。關於股利覆蓋率，尤其是在當前宏觀利率前景的背景下，您有什麼最新的看法嗎？

Sure. So again, this quarter, we have line of sight into and we'll see what happens into 2026, but we feel very good about the dividend. It's at a healthy level. It's little over 13% yield, close to 15% yield on book. And it feels perfectly ample, and we feel like good place. And we also feel like when we look at the forwards and also the Fed doesn't cut as much as the market, we still feel like the dividend is safe. our hedge ratio is 92%. So there's a lot of protection around the income stream, and we're perfectly comfortable with where things are at, and we'll see what happens into 2026.

當然。所以，本季度，我們對2026年的情況有了大致的了解，我們將拭​​目以待，但我們對股息前景非常樂觀。處於健康水平。收益率略高於 13%，帳面收益率接近 15%。感覺空間非常寬敞，我們覺得這裡是個好地方。而且，考慮到遠期合約的走勢，以及聯準會降息幅度不如市場，我們仍然認為股利是安全的。我們的對沖比率為92%。因此，收入來源方面有許多保障措施，我們對現狀非常滿意，我們將拭​​目以待 2026 年會發生什麼。

Trevor Cranston, Citizens JMP.

特雷弗克蘭斯頓，公民聯合行動小組。

Question on the non-agency portfolio and I guess, particularly the OBX securitizations. Can you comment on kind of what you guys are seeing there in terms of refi responsiveness as mortgage rates come down recently? And more generally, if you could also just comment on kind of what the return sensitivity is on the subordinate positions if we do and do see faster prepay speeds within that portfolio?

關於非機構投資組合的問題，特別是關於 OBX 證券化的問題。能否請您談談，隨著近期抵押貸款利率的下降，你們觀察到的再融資市場反應情況如何？更一般地說，如果您也能就以下問題發表一下看法：如果我們在該投資組合中看到更快的預付速度，那麼從屬頭寸的回報敏感性如何？

Sure. Thanks, Trevor. This is Mike. In terms of prepaid protection and what we have been seeing within the OBX portfolio, 2023 vintage, the majority of those deals that are outstanding there between, call it, 8% and 8.5% gross WAC. Those deals are paying in the low 30 CPR, which I will say is a decent amount slower than we would have anticipatedl. Non-QM rates as we sit here today for the type of credit that we're underwriting, call it, 6%, 7%, 8% so 100 basis points to 150 basis points in the money, and it's only paying modestly above where we would put at the money loans and where the market convention is, which is 25 CBR. So I think we've been pleasantly surprised by the convexity profile of the underlying.

當然。謝謝你，特雷弗。這是麥克。就預付保障而言，以及我們在 OBX 投資組合中看到的 2023 年到期的大多數未償付交易，其總 WAC 大多在 8% 到 8.5% 之間。這些交易的收益只有每股 30 美分左右，這比我們預期的要慢得多。目前我們所承銷的這類信貸的非合格抵押貸款利率為 6%、7%、8%，也就是比市場慣例高出 100 到 150 個基點，而我們給出的利率只是略高於平值貸款和市場慣例（即 25 CBR）。所以我覺得我們對標的資產的凸性特徵感到驚訝。

Part of that is driven by prepayment penalties that we see within our investor loans. Investor loans are about 50% of the loans that we buy, and about three quarters of investor loans have prepayment penalties. So the S curves associated with those assets are significantly flatter than what you would see within the agency conforming market. It's also significantly flatter than what you would see within the jumbo market as well. So I think the portfolio and the broader market has been in pretty good shape in terms of prepaid fees.

部分原因是由於我們在投資者貸款中看到的提前還款罰款。投資者貸款約占我們購買貸款總額的 50%，而投資者貸款中約有四分之三有提前還款罰款。因此，與這些資產相關的 S 曲線比你在符合代理商標準的市場中看到的曲線要平緩得多。它也比你在大型貨車市場看到的貨車要扁平得多。所以我認為，就預付費用而言，投資組合和更廣泛的市場狀況都相當不錯。

Regarding the level of variability within our returns, as you see within the presentation, we've kind of been in this 13% to 15% ROE range. That is referencing OBX retained securities. That's forecasting what I'll say, a base speed of, call it, 20 to 25 CPR for at-the-money loans. So I will say that the actual return profile has been higher within our open transactions because speeds have been slower than anticipated. But yes, there is a lot of embedded IO that we are taking once we securitize these assets, given that we are retaining the excess. But I will say at this point, it's actually been a large positive as we've outearned our forecasted assumptions.

關於我們收益的波動程度，如您在簡報中看到的，我們的淨資產收益率 (ROE) 一直維持在 13% 到 15% 的範圍內。這是指OBX保留的證券。我預測，對於平值貸款，基本速度大概是每分鐘 20 到 25 美元。因此，我認為，由於交易速度比預期慢，我們未結交易的實際回報率更高。但是，是的，一旦我們將這些資產證券化，就會產生大量的嵌入式 I/O，因為我們保留了剩餘部分。但就目前而言，這實際上是一個巨大的利好，因為我們的收入已經超過了預期。

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

我們的問答環節到此結束。我謹將會議交還給大衛‧芬克爾斯坦，請他作總結發言。謝謝。

Thank you, guys, and thank you, everybody, for joining us today. Enjoy the fall, and we'll talk to you real soon.

謝謝各位，也謝謝大家今天收看我們的節目。好好享受秋天吧，我們很快再聯絡。

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

會議已經結束。感謝各位參加今天的報告會。您現在可以斷開連線了。