New York Mortgage Trust Inc (NYMT) 2023 Q2 法說會逐字稿

Good morning, ladies and gentlemen, and thank you for standing by. Welcome to the New York Mortgage Trust Second Quarter 2023 Results Conference Call. (Operator Instructions) This conference is being recorded on Thursday, August 3, 2023.

早上好，女士們先生們，感謝你們的支持。歡迎參加紐約抵押信託 2023 年第二季度業績電話會議。 （操作員說明）本次會議於 2023 年 8 月 3 日星期四錄製。

A press release and supplemental financial presentation with New York Mortgage Trust second quarter 2023 results was released yesterday. Both the press release and supplemental financial presentation are available on the company's website at www.nymtrust.com. Additionally, we are hosting a live webcast of today's call, which you will be able to access in the Events & Presentations section of the company's website.

昨天發布了紐約抵押信託 2023 年第二季度業績的新聞稿和補充財務報告。新聞稿和補充財務報告均可在公司網站 www.nymtrust.com 上獲取。此外，我們還將舉辦今天電話會議的網絡直播，您可以在公司網站的“活動和演示”部分觀看。

At this time, management would like me to inform you that certain statements made during the conference call, which are not historical, may be deemed forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. Although New York Mortgage Trust believes the expectations reflected in any forward-looking statements are based on reasonable assumptions, it can give no assurance that its expectations will be attained. Factors and risks that could cause actual results to differ materially from the expectations are detailed in yesterday's press release and from time to time in the company's filings with the Securities and Exchange Commission.

目前，管理層希望我通知您，電話會議期間做出的某些非歷史性陳述可能被視為 1995 年《私人證券訴訟改革法案》含義內的前瞻性陳述。相信任何前瞻性陳述中反映的預期都是基於合理的假設，但它不能保證其預期將會實現。昨天的新聞稿以及該公司不時向美國證券交易委員會提交的文件中詳細介紹了可能導致實際結果與預期存在重大差異的因素和風險。

Now at this time, I would like to introduce Jason Serrano, Chief Executive Officer. Jason, please go ahead.

現在，我想介紹一下首席執行官賈森·塞拉諾(Jason Serrano)。傑森，請繼續。

Thank you. Good morning, everyone. Thank you for joining our second quarter 2022 earnings call. With me today is Nick Mah, President; and Kristine Nario, Chief Financial Officer. I will begin by providing some market information and briefly touch on the second quarter update, before passing the call to Kristine, who will discuss our quarterly results in more detail. Nick will then provide additional commentary with respect to our portfolio and market opportunity.

謝謝。大家，早安。感謝您參加我們的 2022 年第二季度財報電話會議。今天和我在一起的是總裁 Nick Mah；克里斯汀·納里奧（Kristine Nario），首席財務官。我將首先提供一些市場信息並簡要介紹第二季度的最新情況，然後將電話轉給克里斯汀，她將更詳細地討論我們的季度業績。然後尼克將提供有關我們的投資組合和市場機會的額外評論。

Starting on Page 7 of our supplemental. Over the past few quarters, we have highlighted market data plans and various graphs to help inform our rationale behind key company management decisions. Last quarter, we showed a table that illustrates the time, measured in months, to recession given the inversion of different tenors of the yield curve. The data indicated that the U.S. economy will be in a recession at this time, which correctly predicted 10 out of the 10 recessions since 1957. The recent rate hike bring the effective funds rate to 5.25%, it's the most on record and has occurred at the fastest pace ever.

從我們的補充材料第 7 頁開始。在過去的幾個季度中，我們重點介紹了市場數據計劃和各種圖表，以幫助我們了解公司關鍵管理決策背後的基本原理。上個季度，我們展示了一張表格，說明了考慮到收益率曲線不同期限的反轉，經濟衰退的時間（以月為單位）。數據表明，美國經濟此時將陷入衰退，該數據準確預測了自1957年以來的10次衰退中的10次。最近的加息使有效基金利率達到5.25%，這是有記錄以來的最高水平。有史以來最快的速度。

So the question is why the Fed hikes have not materially dented economic growth forcing higher unemployment? I believe this is the biggest story of the year and can be answered by looking into the U.S. government fiscal spending. Current economic growth seems to be financed through continued and substantial fiscal easing policies. Fed's balance sheet growth, 14% year-over-year or $6.7 trillion over a 12-month rolling basis, materially neutralized the rate move. Federal spending level has not only accelerated in recent months, but is up $2 trillion, which is 50% from pre-COVID spending. Astonishingly, this is a time when unemployment is pinned below 4%.

那麼問題是，為什麼美聯儲加息沒有嚴重削弱經濟增長並導致失業率上升？我相信這是今年最大的新聞，可以通過研究美國政府的財政支出來回答。當前的經濟增長似乎是通過持續且大規模的財政寬鬆政策來融資的。美聯儲的資產負債表同比增長 14%，即 12 個月滾動增長 6.7 萬億美元，實質上抵消了利率變動。聯邦支出水平近幾個月不僅有所加速，而且增加了 2 萬億美元，比新冠疫情前的支出增加了 50%。令人驚訝的是，此時失業率被控制在 4% 以下。

Never seen before, the administration, with the assistance from Congress, is running a 6.3% deficit-to-GDP ratio at a time of full employment. Fitch recently took offense to this U.S. fiscal situation with a downgrade earlier this week to U.S. debt from AAA to AA+. With the $1 trillion of debt sales expected in Q3 and interest payments projected to take 20% of government revenue from 9% 2 years ago, a serious constraint lies ahead. Can fiscal growth continue to offset the demand destruction caused by higher rates?

在國會的協助下，政府在充分就業的情況下實現了前所未有的赤字佔 GDP 的 6.3%。惠譽最近對美國的財政狀況感到不滿，本週早些時候將美國債務評級從 AAA 下調至 AA+。由於第三季度預計將出售 1 萬億美元的債務，利息支出佔政府收入的比例預計將從兩年前的 9% 增至 20%，未來將面臨嚴重的製約。財政增長能否繼續抵消利率上升造成的需求破壞？

From our lens, the economy is not as healthy as advertised. Many asset pricing for credit investments in our sector do not reflect the credit downturn. However, over the past 6 months, this is not entirely incorrect. However, one can see an inflection point to consumer credit strength with credit and auto default hitting 2- and 3-year highs, respectively. Not to mention personal bankruptcies edging up 10% year-over-year.

從我們的角度來看，經濟並不像宣傳的那樣健康。我們行業的許多信貸投資資產定價並未反映信貸衰退。然而，從過去6個月來看，這種說法並不完全錯誤。然而，人們可以看到消費信貸實力出現拐點，信貸和汽車違約分別觸及兩年和三年高點。更不用說個人破產數量同比上升 10%。

Looking at Page 8, thus far, have not addressed the stress the market is observing in the regional banking system. Banks with $10 billion to $250 billion deposits are the only cohort showing deposit declines, which, of course, is the cohort where regional banks reside. Exacerbating these concerns was the highly anticipated announcement made by the FDIC a week ago -- sorry, this week.

到目前為止，第 8 頁尚未解決市場在區域銀行體系中觀察到的壓力。存款為 100 億至 2500 億美元的銀行是唯一出現存款下降的群體，當然，這是區域性銀行所在的群體。 FDIC 一周前（抱歉，本週）發布的備受期待的公告加劇了這些擔憂。

The FDIC Board of Directors provide details to capital requirement changes for banks with $100 billion in assets. The changes address the desire to align capital change charges with international standards of Basel III and to address recent bank failures. The increased capital requirements further diminished banks' lending and balance sheet capacity. Due to this, it is assured we will see more strength to grow strategies through bank mergers, where assets are shed to short bank balance sheets, such as the case of the recent PacWest-Banc of California merger.

FDIC 董事會提供了資產規模達 1000 億美元的銀行資本要求變化的詳細信息。這些變化滿足了將資本變更費用與巴塞爾協議 III 的國際標准保持一致的願望，並解決了最近的銀行倒閉問題。資本要求的增加進一步削弱了銀行的放貸和資產負債表能力。因此，可以肯定的是，我們將看到更多力量通過銀行合併來發展戰略，銀行合併將資產剝離到短期銀行資產負債表上，例如最近的 PacWest-Banc of California 合併案例。

The opportunity presented here is significant to NYMT in 2 different ways. First, we are seeing a pricing portfolio sales from banks. We expect to see this flow increase at more attractive prices for potential investments and to include trades of differing sizes and asset types, particularly late in the year with bank sheet cleanup activity.

這裡提供的機會對於 NYMT 來說具有兩個不同的意義。首先，我們看到銀行對投資組合銷售進行定價。我們預計這一流量將以對潛在投資更具吸引力的價格增加，並包括不同規模和資產類型的交易，特別是在今年年底銀行票據清理活動。

Secondly, we expect to grab a larger market share with lending opportunities to increase our book within multi- and single-family given lower banking competition. We believe this will translate to higher coupons and more stringent lending requirements in coming months, which we see as favorable to NYMT earnings. This is an extremely exciting market development for us.

其次，鑑於銀行業競爭較低，我們希望通過貸款機會獲得更大的市場份額，以增加我們在多戶和單戶家庭中的賬簿。我們相信，這將在未來幾個月轉化為更高的息票和更嚴格的貸款要求，我們認為這有利於 NYMT 的盈利。這對我們來說是一個極其令人興奮的市場發展。

Laid out on Page 9 is the continuation of our strategic plan. As discussed in the past, we sharply curtailed investment activity in April 2022, shortly after the Fed's first rate hike. Reducing the portfolio through runoff and not reallocating at the lower market coupons at that time, afford us the flexibility today, achieved through excess liquidity, a low debt load and low-cost operating structure. Not only do we believe we have avoided material credit risk that may surface from loans produced at peak valuations over the second half of 2022, we avoided material extension risk to our capital from locking in tight NIM financing structures.

第 9 頁列出的是我們戰略計劃的延續。正如過去所討論的，我們在 2022 年 4 月美聯儲首次加息後不久大幅削減了投資活動。通過徑流減少投資組合，而不是以當時較低的市場息票重新分配，為我們提供了今天的靈活性，這是通過流動性過剩、低債務負擔和低成本運營結構實現的。我們相信，我們不僅避免了 2022 年下半年估值峰值時產生的貸款可能出現的重大信用風險，還避免了因鎖定嚴格的淨息差融資結構而給我們的資本帶來的重大擴展風險。

Today, we are more constructive on asset opportunities as loan coupons have reset higher in consideration of higher funding costs. With this improvement alongside the selling pressure from regional banks, our capital deployment is increasing with superior risk-adjusted returns than available earlier.

今天，我們對資產機會更具建設性，因為考慮到較高的融資成本，貸款息票已調高。隨著這種改善以及區域銀行的拋售壓力，我們的資本配置正在增加，風險調整後的回報比以前更高。

On Page 10, the top right shows earlier efforts to shrink the bank's balance sheet. Unfortunately, with stepping out of the market in many ways, we sacrificed short-term interest income to capitalize on longer-term value for our investors. This was intentional and we believe the right call. While we didn't forecast today's pressures for banking consolidation and an opportunity presented by it, we did expect history to repeat, with market liquidity issues from asset liability mismatches in the financial community.

第 10 頁的右上角顯示了該銀行此前為縮減資產負債表所做的努力。不幸的是，隨著我們以多種方式退出市場，我們犧牲了短期利息收入，以實現投資者的長期價值。這是故意的，我們相信這是正確的決定。雖然我們沒有預測到今天銀行業整合的壓力及其帶來的機遇，但我們確實預計歷史會重演，金融界資產負債錯配會導致市場流動性問題。

We are looking forward to unlocking the $0.5 billion of dry power by capitalizing on liquidity issues, especially within the regional bank space. Earlier impact of investment activity in Q2 was made, primarily within the agency space, as interest income increased after 2 quarters of sequential declines. We look to improve on this performance over the near term.

我們期待通過利用流動性問題，特別是在區域銀行領域，釋放 5 億美元的干電力。第二季度投資活動的早期影響主要是在機構領域，因為利息收入在連續兩個季度下降後有所增加。我們希望在短期內改善這一表現。

Quick highlights from the quarter on Page 11, before passing on to Kristine. Our performance in this period was negatively impacted by taking impairments to our multifamily JV equity positions held for sale, 15 properties in total. As Nick will discuss in more detail in the portfolio management discussion, after adjusting for higher market caps and increases to insurance and taxes, particularly in Florida and Texas, we took impairments of $17 million, which contributed to undepreciated loss per share of $0.38.

第 11 頁該季度的快速亮點，然後交給克里斯汀。我們這一時期的業績受到了對待售多戶型合資企業股權頭寸（總共 15 處房產）進行減值的負面影響。正如尼克將在投資組合管理討論中更詳細地討論的那樣，在針對更高的市值以及保險和稅收的增加（特別是在佛羅里達州和德克薩斯州）進行調整後，我們計提了1700萬美元的減值，這導致每股未折舊損失0.38 美元。

Including impairment, operating results and sale activity of our 4 properties, our JV equity portfolio reduced adjusted book value by $62 million in the quarter, mainly contributing to the adjusted book value decline of just over 7%. As discussed, we increased our balance sheet in the quarter with $664 million of acquisitions, including $564 million of Agency RMBS.

包括我們4 處房產的減值、運營業績和銷售活動在內，我們的合資股權投資組合在本季度使調整後賬面價值減少了6200 萬美元，這主要是導致調整後賬面價值下降略高於7 % 的原因。正如所討論的，我們在本季度通過 6.64 億美元的收購擴大了資產負債表，其中包括 5.64 億美元的代理 RMBS。

Due to the addition of agency bonds, our company recourse leverage ratio increased to 0.7x from 0.4x in the previous quarter. With this increase, we still maintain exceptionally low company leverage overall. Utilization of leverage within our credit book is flat from last quarter at 0.3x, reflecting our desire to maintain high flexibility in Q2.

由於代理債券的增加，公司追索槓桿率由上季度的0.4倍增至0.7倍。通過這一增長，我們總體上仍保持極低的公司槓桿率。我們信用賬簿中的槓桿利用率與上季度持平，為 0.3 倍，反映出我們希望在第二季度保持高度靈活性。

At this time, I will pass the call to Kristine to provide the financial commentary. Kristine?

這個時候，我會把電話轉給克里斯汀，讓她提供財務評論。克里斯汀？

Thank you, Jason. Good morning. In my comments today, I will focus my commentary on the main drivers of second quarter financial results. Our financial snapshot on Slide 13 covers key portfolio metrics for the quarter, and Slide 26 summarizes the financial results for the quarter.

謝謝你，傑森。早上好。在今天的評論中，我將重點評論第二季度財務業績的主要驅動因素。我們在幻燈片 13 上的財務快照涵蓋了本季度的關鍵投資組合指標，幻燈片 26 總結了本季度的財務業績。

As Jason discussed, the company had undepreciated loss per share of $0.38 in the second quarter as compared to undepreciated earnings per share of $0.14 in the first quarter. We had net interest income of $15.1 million, a contribution of $0.17 per share, down from $0.20 per share in the first quarter.

正如 Jason 所討論的，該公司第二季度未折舊每股虧損為 0.38 美元，而第一季度未折舊每股收益為 0.14 美元。我們的淨利息收入為 1510 萬美元，每股貢獻 0.17 美元，低於第一季度的每股 0.20 美元。

Our adjusted interest income for the quarter increased to $51.6 million from $50.8 million in the first quarter. This is due to the $546 million investment in Agency RMBS made during the quarter, which offset a decrease in interest income related to continued runoff of our high-yielding, short-duration BPL bridge loans.

我們本季度調整後的利息收入從第一季度的 5080 萬美元增至 5160 萬美元。這是由於本季度對代理 RMBS 進行了 5.46 億美元的投資，抵消了與我們高收益、短期 BPL 過橋貸款持續流失相關的利息收入減少。

The increase in adjusted interest income was offset by a $1.95 million increase in adjusted interest expense due to the financing of purchases of Agency RMBS during the quarter as well as the financing of our SFR portfolio. This was offset by the net interest benefit of our in-the-money interest rate swaps.

調整後利息收入的增加被調整後利息支出增加 195 萬美元所抵消，該增加是由於本季度購買代理 RMBS 的融資以及我們的 SFR 投資組合的融資而導致的。這被我們的價內利率掉期的淨利息收益所抵消。

We had noninterest-related income of $25.5 million or $0.28 per share in the second quarter. Our consolidated multifamily JV properties contributed $0.49 per share in income, an increase from $0.46 per share in the second quarter, as properties continue to implement business plans to drive rents higher. Our mezzanine loan book accounted for under equity method contributed $0.06 per share in income, unchanged from the first quarter.

第二季度我們的非利息相關收入為 2550 萬美元，即每股 0.28 美元。我們的綜合多戶型合資物業貢獻了每股 0.49 美元的收入，高於第二季度的每股 0.46 美元，因為物業繼續實施業務計劃以推高租金。我們按權益法核算的夾層貸款賬目貢獻了每股 0.06 美元的收入，與第一季度持平。

As Jason mentioned, during the quarter, we recognized $8.9 million or $0.10 per share of unrealized losses due to an increase in interest rates which impacted the pricing of our residential loan book and investment in consolidated SLST, partially offset by gains recognized on our interest rate swaps and caps.

正如傑森提到的，在本季度，我們確認了890 萬美元或每股0.10 美元的未實現損失，因為利率上升影響了我們的住宅貸款賬簿的定價和合併SLST 的投資，部分被我們的利率確認的收益所抵消掉期和上限。

In addition, we determined that 4 out of the 13 consolidated multifamily properties held for sale had lower property valuations as compared to our GAAP carrying costs, resulting in an impairment loss of $16.9 million or $0.19 per share during the quarter. The sale of 4 consolidated multifamily properties did not have a significant impact on GAAP earnings this quarter. After considering the share of noncontrolling interest holders, the sales resulted in a GAAP net loss to common shareholders of $0.6 million.

此外，我們確定，與我們的 GAAP 賬面成本相比，待售的 13 處合併多戶住宅中有 4 處的房產估值較低，導致本季度減值損失為 1,690 萬美元或每股 0.19 美元。出售 4 處合併的多戶住宅並未對本季度 GAAP 收益產生重大影響。考慮到非控股股東的份額後，此次出售給普通股股東帶來了 60 萬美元的 GAAP 淨虧損。

Total G&A and operating expenses amounted to $71.4 million for the quarter, up slightly from $70.4 million in the previous quarter, primarily due to an increase in interest expense on mortgages payable on consolidated real estate due to change in base rates. This increase was partially offset by reduced net servicing fees on our declining BPL bridge portfolio, which are included in portfolio operating expenses.

本季度的一般管理費用和運營費用總額為 7140 萬美元，略高於上一季度的 7040 萬美元，主要是由於基本利率變化導致綜合房地產應付抵押貸款利息費用增加。這一增長被我們不斷下降的 BPL 橋樑投資組合淨服務費的減少所部分抵消，這些費用已包含在投資組合運營費用中。

As Jason mentioned earlier, adjusted book value per share ended at $14.32, down 7% from March 31, and translated to a negative 5.1% economic return on adjusted book value during the quarter. The main drivers of adjusted book value change were a 41 basic loss per share, our declared dividend of $0.30 per share, a negative $0.43 per share, primarily due to the removal of cumulative depreciation and amortization add-backs attributable to the 4 consolidated multifamily properties sold during the quarter and 4 consolidated multifamily properties for which impairment was recognized during the quarter.

正如傑森之前提到的，調整後每股賬面價值為 14.32 美元，較 3 月 31 日下降 7%，導致本季度調整後賬面價值的經濟回報為負 5.1%。調整後賬面價值變化的主要驅動因素是每股基本虧損 41、每股宣派股息 0.30 美元、每股負 0.43 美元，這主要是由於取消了 4 個合併多戶住宅的累計折舊和攤銷回加本季度出售了4 處綜合多戶住宅，並在本季度確認了減值。

As of quarter end, the company's recourse leverage ratio and portfolio recourse leverage ratio increased slightly to 0.7x and 0.6x, respectively, from 0.4x and 0.3x as of March 31. While our financing leverage remains low relative to historic levels, the slight increase in the quarter is primarily due to the financing of newly acquired, highly liquid Agency RMBS. Currently, only 36% of our debt is subject to mark-to-market margin cost, which is comprised of 21% agency and 15% credit. The remaining 64% have no exposure to collateral repricing of our counterparties.

截至季末，公司的追索槓桿率和投資組合追索槓桿率分別從3 月31 日的0.4 倍和0.3 倍小幅上升至0.7 倍和0.6 倍。雖然我們的融資槓桿相對於歷史水平仍處於較低水平，但本季度的增長主要是由於新收購的高流動性代理 RMBS 的融資。目前，我們的債務中只有 36% 需要繳納按市值計價的保證金成本，其中 21% 為代理成本，15% 為信貸成本。剩下的 64% 沒有受到我們交易對手抵押品重新定價的影響。

In addition, as you can see on Slide 14, we have $100 million of unsecured fixed debt due in 2026, and $45 million of subordinated bonds due in 2035. As mentioned in previous quarters, the maturity profile of our corporate debt allows us to have more flexibility by avoiding cash pullbacks related to near-term bond maturities.

此外，正如您在幻燈片14 中看到的，我們還有1 億美元的無擔保固定債務將於2026 年到期，還有4500 萬美元的次級債券將於2035 年到期。正如前幾個季度所提到的，我們公司債務的到期情況使我們能夠通過避免與近期債券到期相關的現金回撤來獲得更大的靈活性。

We paid a $0.30 per common share dividend down from $0.40 the prior quarter. We continue to evaluate our dividend policy each quarter and look at the 12- to 18-month projection of not only our net interest income, but also realized or capital gains that can be generated from our investment portfolio. With that said, we wanted to note that we expect undepreciated earnings per share to remain below the current dividend given the rotation of excess liquidity and the asset ramp over the next quarters.

我們支付的每股普通股股息為 0.30 美元，低於上一季度的 0.40 美元。我們每個季度都會繼續評估我們的股息政策，不僅關注我們的淨利息收入，還關注我們的投資組合所實現的或可產生的資本收益的 12 至 18 個月預測。話雖如此，我們想要指出的是，鑑於未來幾個季度流動性過剩的輪換和資產的增加，我們預計未折舊每股收益將繼續低於當前股息。

And with that, I will now turn it over to Nick to go over the market and strategy update. Nick?

現在，我將把它交給尼克，讓他檢查市場和戰略更新。缺口？

Thank you, Kristine. Good morning, everyone. We have remained patient over the past few quarters. We have opted to conserve capital and liquidity to deploy doing a more favorable investment environment for longer-term value. In the quarter, after the Fed's historic rate hiking cycle, noted by its exceptional pace, we may be approaching a cyclical peak in rates.

謝謝你，克里斯汀。大家，早安。過去幾個季度我們一直保持耐心。我們選擇保留資本和流動性，以創造更有利的投資環境，實現長期價值。本季度，在美聯儲歷史性的加息週期之後（以其異常的步伐而聞名），我們可能正在接近利率的周期性峰值。

However, there is still plenty of uncertainty on the ultimate path of inflation, interest rates and the cumulative effect of the Fed's actions on the overall economy. From a portfolio positioning perspective, we are now taking a more balanced approach in stabilizing our asset portfolio decline through more investments. We are still focused on acquiring assets that can be resilient through a potential credit downturn.

然而，通脹、利率的最終路徑以及美聯儲行動對整體經濟的累積影響仍存在大量不確定性。從投資組合定位的角度來看，我們現在正在採取更加平衡的方式，通過更多的投資來穩定資產組合的下滑。我們仍然專注於收購能夠抵禦潛在信貸低迷的資產。

Investment activity grew meaningfully in the second quarter. We had $664 million of portfolio acquisitions. This is almost 3x more than the prior quarter and the highest amount since we curtailed purchases in the second quarter of 2022. Notably, $546 million of those acquisitions were in Agency RMBS. We capitalize on elevated spreads in agencies that unfolded in the second quarter. BPL bridge loan purchases have also begun to increase as our origination partners adjust to our pricing and more stringent underwriting criteria.

第二季度投資活動大幅增長。我們進行了價值 6.64 億美元的投資組合收購。這幾乎是上一季度的 3 倍，也是我們自 2022 年第二季度削減採購以來的最高金額。值得注意的是，其中 5.46 億美元的收購屬於代理 RMBS。我們利用了第二季度出現的機構利差上升的情況。隨著我們的發起合作夥伴適應我們的定價和更嚴格的承保標準，BPL 過橋貸款購買量也開始增加。

Over the last few quarters, we have reiterated our focus on asset management across our entire credit portfolio given the asset seasoning. That holds true, in particular, for our BPL bridge portfolio, as more of those loans reach maturity. When we initially targeted BPL bridge as a short duration opportunity, we were cognizant that any significant decline in purchase activity from its peak will result in a rapid decline in portfolio size.

在過去的幾個季度中，鑑於資產的老化，我們重申了對整個信貸投資組合的資產管理的關注。隨著越來越多的貸款到期，對於我們的 BPL 過橋投資組合來說尤其如此。當我們最初將 BPL 橋作為短期機會時，我們認識到購買活動從峰值的任何顯著下降都將導致投資組合規模迅速下降。

This dynamic is a positive from a deleveraging perspective, but commensurate with that is an increase of maturity-related defaults and a higher delinquency amount reported on a smaller and smaller portfolio base. Both of these effects we are seeing today.

從去槓桿化的角度來看，這種動態是積極的，但與之相稱的是，與期限相關的違約增加，以及在越來越小的投資組合基礎上報告的拖欠金額增加。我們今天看到了這兩種影響。

The chart on Page 19 highlights the BPL bridge portfolio's decline from the peak in Q2 of 2022 of $1.7 billion to $933 million today. For each incremental delinquency that materialized over the past 12 months, our BPL bridge portfolio has experienced an almost 7x more net reduction in portfolio size. Furthermore, the portfolio is now aged 15.4 months, bumping up right next to the average original term of 16 months. We expect that the delinquency percentage, absent a significant increase of BPL bridge acquisitions, will continue to rise as the portfolio ages and pays down.

第 19 頁的圖表突出顯示了 BPL 橋投資組合從 2022 年第二季度的峰值 17 億美元跌至今天的 9.33 億美元。對於過去 12 個月內出現的每一次增量拖欠，我們的 BPL 過橋投資組合的投資組合規模淨減少了近 7 倍。此外，該投資組合目前的期限為 15.4 個月，接近原始平均期限 16 個月。我們預計，如果 BPL 橋樑收購沒有大幅增加，拖欠率將隨著投資組合的老化和支付而繼續上升。

With respect to performance, we still collect a consistent amount of cash flow on the BPL bridge portfolio. On a 12-month average, we have received cash flows equivalent to 95% of the scheduled interest across the portfolio, not including principal paydowns. That trend has been relatively stable over the past few months.

就業績而言，我們仍然在 BPL 橋投資組合上獲得穩定的現金流量。平均 12 個月，我們收到的現金流相當於整個投資組合預定利息的 95%，不包括本金償還。過去幾個月，這一趨勢相對穩定。

Not only are many of the delinquent assets ultimately resolving with a catch-up of their past due interest amounts, but our interest cash flows are further bolstered by ancillary proceeds. Those come in the form of late fees, extension fees and default interest. Principal losses across BPL bridge loans are still muted, less than 1 basis point of our total invested amount to date as of the end of the second quarter.

不僅許多拖欠資產最終通過彌補逾期利息金額來解決，而且我們的利息現金流也得到了輔助收益的進一步支持。這些費用以滯納金、延期費和違約利息的形式出現。截至第二季度末，BPL 過橋貸款的本金損失仍然較小，不到我們迄今為止總投資額的 1 個基點。

Overall, within residential credit, we still see BPL bridge as presenting compelling risk-adjusted returns. The portfolio is performing to expectation as we navigate the assets to resolution with the goal of loss minimization. Fortunately, we are winding down the portfolio into a tight housing market. There is still a scarcity of housing inventory as many borrowers with lower mortgage rates are locked into their homes. Existing home sales are still lingering at a decade low.

總體而言，在住宅信貸領域，我們仍然認為 BPL 橋提供令人信服的風險調整回報。當我們以損失最小化為目標引導資產解決問題時，投資組合的表現符合預期。幸運的是，我們正在逐步縮減投資組合，以適應緊張的房地產市場。由於許多抵押貸款利率較低的借款人被鎖定在自己的房屋中，住房庫存仍然稀缺。現有房屋銷售仍徘徊在十年來的低點。

Because of these factors, HPA has been relatively stable despite the higher mortgage rates brought on by the hiking cycle. This housing backdrop is positive for not only our BPL bridge loans, but also for BPL rental and our other credit-related whole loan assets.

由於這些因素，儘管加息週期帶來抵押貸款利率上升，但 HPA 仍相對穩定。這種住房背景不僅對我們的 BPL 過橋貸款有利，而且對 BPL 租金和我們其他與信貸相關的整體貸款資產也有利。

In the quarter, we also continued to add to our Agency RMBS positions. We have not had a significant exposure to the sector since Q1 of 2020. Today, however, we find a more attractive investment environment for agencies given the wide spreads. In April and into May, there was an overhang from the regional bank crisis and the escalation of the debt ceiling negotiations, all while the Fed was taking a more hawkish tone in response to macroeconomic data.

本季度，我們還繼續增加代理 RMBS 頭寸。自 2020 年第一季度以來，我們一直沒有對該行業進行大量投資。然而，如今，鑑於利差較大，我們發現該行業的投資環境對機構更具吸引力。 4月和5月，地區銀行危機和債務上限談判升級的影響一直懸而未決，而美聯儲在應對宏觀經濟數據時卻採取了更為強硬的語氣。

This culminated in current coupon spreads peaking in May, which moderated through June when several of these market risks dissipated. We believe that Agency MBS provide a diversified risk profile to our broader credit book, as Agency MBS have historically outperformed during recessionary periods. We also stand to benefit from building a portfolio today, not only due to a higher interest rate environment, but also having the ability to scale into production coupons that present better spread and carry profile versus down in coupon assets.

目前的息差在 5 月份達到頂峰，並在 6 月份有所緩和，其中一些市場風險消散。我們相信，機構 MBS 為我們更廣泛的信用賬簿提供了多元化的風險狀況，因為機構 MBS 歷來在經濟衰退時期表現出色。我們也將從今天建立的投資組合中受益，不僅因為利率環境較高，而且還能夠擴大生產優惠券的規模，與優惠券資產的下降相比，這些優惠券的利差和利差狀況更好。

As it stands as of quarter end, our $640 million agency portfolio is still relatively homogeneous, with the entirety of the portfolio consisting of liquid 5.5% coupon spec pools. And we have been aggregating spec pools with minimal pay-ups, about 0.25 point on average for additional prepayment protection. In terms of hedging, we have used a combination of swaps across different tenors, with a target of being duration neutral at purchase.

截至季度末，我們 6.4 億美元的代理投資組合仍然相對均勻，整個投資組合由流動性 5.5% 息票投機池組成。我們一直在以最低的付款額（平均約 0.25 個點）聚合規格池，以提供額外的預付款保護。在對沖方面，我們採用了不同期限的掉期組合，目標是在購買時保持久期中性。

We ended the quarter with leverage on our agency book of 7.2x. Given the low utilization of leverage in our overall credit portfolio, we have room to apply increased leverage on agencies as we ramp up. Overall, we expect a levered return across our Agency MBS book to be in the mid- to high teens depending on leverage.

本季度結束時，我們的代理賬面槓桿率為 7.2 倍。鑑於我們整體信貸投資組合中的槓桿利用率較低，隨著我們的擴張，我們有空間增加對機構的槓桿率。總體而言，我們預計我們的機構 MBS 賬簿的槓桿回報率將在十幾歲左右，具體取決於槓桿率。

We believe that there will be positive tailwinds for agencies going into the second half of the year. As of last week, FDIC has already sold 84% of the $114 billion of mortgage pass-throughs from the failed regional bank portfolios. This liquidation process should be substantially complete by the end of the year. We expect that the supply/demand dynamics and the better seasonal factors going into year-end to be beneficial to the Agency MBS market. Interest rate volatility has also been slowly abating since its recent peak in March.

我們相信下半年各機構將迎來積極的推動力。截至上週，FDIC 已經出售了來自失敗的地區銀行投資組合的 1,140 億美元抵押貸款傳遞中的 84%。這一清算過程應在今年年底前基本完成。我們預計，年底的供需動態和更好的季節性因素將有利於機構 MBS 市場。自三月份的近期峰值以來，利率波動也一直在緩慢減弱。

Moving on to multifamily. Our core focus here remains the asset management of our existing positions as well as the continued divestiture of our held-for-sale joint venture equity positions. We have made progress in that regard in the second quarter and have provided further information on this in Slide 23. We are also seeing a growing pipeline of deals in the multifamily mezz sector at 14% to 15% returns given the upcoming maturity wall of senior bank debt in the multifamily space.

轉向多戶家庭。我們的核心重點仍然是現有頭寸的資產管理以及持續剝離我們持有待售的合資企業股權頭寸。我們在第二季度在這方面取得了進展，並在幻燈片23 中提供了更多信息。考慮到高級住宅即將到期，我們還看到多戶夾層樓領域的交易不斷增長，回報率為14 % 至15%。多戶家庭空間中的銀行債務。

Across our multifamily portfolio, we continue to see positive annualized rent growth in 2023, with 4% in our mezz portfolio and 7% in our JV equity portfolio. This follows a more expansive rent growth in both 2021 and 2022. This positive rent growth has been helpful to offset some expense pressures driven by inflation and higher rates.

在我們的多戶型投資組合中，我們繼續看到 2023 年年化租金正增長，其中夾層投資組合增長 4%，合資股權投資組合增長 7%。在此之前，2021 年和 2022 年租金都會出現更廣泛的增長。這種積極的租金增長有助於抵消通貨膨脹和利率上升帶來的一些費用壓力。

Our multifamily mezz portfolio continues to prepay consistently over the year, with 13% of the portfolio paying off this year thus far, netting a 1.41x multiple. We are pleased with the performance of the multifamily mezz strategy. And as I mentioned earlier, we'll look to deploy capital here judiciously into the future.

我們的多戶夾層投資組合在今年繼續持續預付，今年迄今已有 13% 的投資組合獲得回報，淨收益為 1.41 倍。我們對多戶夾層策略的表現感到滿意。正如我之前提到的，我們將尋求明智地在未來部署資本。

Now relating to our JV equity sales, we have made progress by selling 4 of those positions in the quarter. This resulted in a realization of 93% of the first quarter's carrying value. This disposition process continues in earnest, with PSAs executed on 2 additional multifamily JV equity properties. These 2 PSAs are at prices that are estimated to imply an increase of $10 million on an adjusted book value basis. And although we are past the due diligence phase, we are cautiously optimistic that they will close in the third quarter.

現在，關於我們的合資企業股權銷售，我們在本季度出售了其中 4 個頭寸，取得了進展。這導致第一季度賬面價值的 93% 實現。這一處置過程正在認真地繼續進行，並對另外 2 個多戶型合資企業股權房產執行了 PSA。這 2 份 PSA 的價格估計意味著在調整後的賬面價值基礎上增加 1000 萬美元。儘管我們已經過了盡職調查階段，但我們對他們將在第三季度完成持謹慎樂觀態度。

On top of this, we have continued to actively market the remaining 13 properties. Even though we have historically been selling properties individually, we are also pursuing a combination of selling the portfolio as a whole or in groups, with overall execution and speed being factors that will determine the eventual outcome.

除此之外，我們繼續積極推銷其餘 13 處房產。儘管我們歷來都是單獨出售房產，但我們也在追求整體或分組出售投資組合的組合，整體執行和速度是決定最終結果的因素。

The market provides more challenges than when we first initiated the process to sell down our JV equity position. There has been an anemic volume of actual sales as market participants wait for financing rates to settle down. This slump in market activity has slowed down the disposition time lines and has impacted some of the prices of properties that we have sold or continue to hold on our balance sheet. We look forward to continuing to unlock liquidity from these sales to be able to redeploy into accretive assets.

與我們首次啟動出售合資企業股權的流程相比，市場帶來了更多挑戰。由於市場參與者等待融資利率穩定下來，實際銷售量一直疲軟。市場活動的低迷減緩了處置時間，並影響了我們已出售或繼續持有在資產負債表上的一些房產的價格。我們期待繼續從這些銷售中釋放流動性，以便能夠重新部署到增值資產中。

And with that, I will now pass it back to Jason.

現在，我將把它傳回給傑森。

Thank you, Nick. We believe our flexible balance sheet enables us to seek new opportunities such as operating businesses that can add value in this market, where we can leverage our deep experience in our asset management platform to unlock value. We're looking forward to the opportunities and the challenges that come ahead. We believe this market is a market where flexibility and liquidity will drive value.

謝謝你，尼克。我們相信，靈活的資產負債表使我們能夠尋求新的機會，例如經營可以在這個市場增加價值的業務，我們可以利用我們在資產管理平台上的豐富經驗來釋放價值。我們期待著即將到來的機遇和挑戰。我們相信這個市場是一個靈活性和流動性將驅動價值的市場。

With that, I'll pass it back to the operator for questions.

這樣，我會將其傳回給接線員以供提問。

(Operator Instructions) Our first question comes from Doug Harter at Crédit Suisse.

（操作員說明）我們的第一個問題來自瑞士信貸銀行的 Doug Harter。

Just hoping for a clarification on the comment around the 4 sales in the quarter, that 93% of carrying value, is that a GAAP carrying value or kind of the economic carrying value that would be an economic book value?

只是希望澄清有關本季度 4 次銷售的評論，即賬面價值的 93%，是 GAAP 賬面價值還是經濟賬面價值的經濟賬面價值？

That is GAAP carrying value.

這就是 GAAP 賬面價值。

Okay. But then you said the 2 that you had the PSAs on, that would be -- and price is $10 million north of the economic carrying value?

好的。但你說你有 PSA 的 2 件——價格超出經濟賬面價值 1000 萬美元？

That's right. That's correct.

這是正確的。這是正確的。

And then I guess just on the strategy to sell. I guess can you talk about the rationale to continue to sort of push forward with the sales versus maybe taking a pause and waiting for a better environment if the operating cash flows still remain attractive and kind of what -- why is now still the right time to sell?

然後我想只是關於銷售策略。我想您能否談談繼續推進銷售的理由，而不是暫停並等待更好的環境（如果經營現金流仍然保持吸引力）以及為什麼現在仍然是正確的時間賣？

I'll take that. This is Jason. So the rationale on the sale is really twofold. One, we're looking at the operating income and seeing what other opportunities are available and looking at the total return with respect to reinvesting that capital into other items. The process we've taken on the sale has been patient. This is not a for-sale process. We have taken bids in from a number of counterparties and passed on a number of options, including larger portfolio transactions.

我會接受的。這是傑森。因此，出售的理由實際上是雙重的。第一，我們正在研究營業收入，看看還有哪些其他機會，並研究將該資本再投資到其他項目的總回報。我們的銷售過程非常耐心。這不是一個出售過程。我們已經接受了許多交易對手的出價，並傳遞了許多選擇，包括更大的投資組合交易。

So we think we -- given our liquidity position, we're not at a point where we need to accept the next bid that comes through, and therefore, continue marketing these assets, we believe, is the right strategy given some higher returning opportunities that we're seeing with better upside value in the market.

因此，我們認為，考慮到我們的流動性狀況，我們還沒有到需要接受下一個出價的地步，因此，我們認為，考慮到一些更高回報的機會，繼續營銷這些資產是正確的策略我們在市場上看到了更好的上行價值。

Our assets are located mostly in the south and southeast. Part of the decline in value that we experienced was a function of the fact that we have higher taxes primarily in Texas and you have the insurance-related issues of insurers leaving the market in Florida, so property insurance got a lot more expensive on top of some overhead. So that's more of an operating item and then a slight adjustment to cap rates.

我們的資產主要位於南部和東南部。我們所經歷的價值下降的部分原因是，我們主要在德克薩斯州徵收較高的稅收，並且保險公司退出佛羅里達州市場，因此存在與保險相關的問題，因此財產保險的價格變得更加昂貴一些開銷。因此，這更多的是一個運營項目，然後是對資本化率的輕微調整。

But overall, we do like what we have as far as the portfolio. We like the rent growth that we're seeing. We like the transition plans that we're continuing to work on with the CapEx budgets that are already prefunded in those transactions in those properties. So it's business as usual with respect to those assets. It's just the question of whether or not we can find an attractive exit point that allows us to reinvest that capital in more accretive assets.

但總的來說，我們確實喜歡我們所擁有的產品組合。我們喜歡我們所看到的租金增長。我們喜歡我們正在繼續與資本支出預算一起制定的過渡計劃，這些預算已經在這些資產的交易中預先提供資金。因此，這些資產的業務一切如常。問題只是我們能否找到一個有吸引力的退出點，使我們能夠將資本再投資於更具增值性的資產。

(Operator Instructions) At this time, I would like to turn it back to the speakers for any further comments. Thank you.

（操作員指示）此時，我想將其轉回給發言人以徵求進一步的意見。謝謝。

Thank you, operator. Well, thank you for your time today. We look forward to speaking with you on our third quarter call and provide a financial update and business update with respect to our business. Thank you very much, and have a great day.

謝謝你，接線員。好的，謝謝您今天抽出時間。我們期待在第三季度的電話會議上與您交談，並提供有關我們業務的財務更新和業務更新。非常感謝，祝您有美好的一天。

This concludes today's conference call. Thank you for participating. You may now be disconnected.

今天的電話會議到此結束。感謝您的參與。您現在可能已斷開連接。