New York Mortgage Trust Inc (NYMT) 2023 Q3 法說會逐字稿

Good morning, ladies and gentlemen, and thank you for standing by. Welcome to the New York Mortgage Trust Third Quarter 2023 Results Conference Call. (Operator Instructions) This conference is being recorded on Thursday, November 2, 2023. I would now like to turn the call over to Kristi Mussallem of Investor Relations.

早安，女士們先生們，感謝你們的支持。歡迎參加紐約抵押信託 2023 年第三季業績電話會議。 （操作員說明）本次會議將於 2023 年 11 月 2 日星期四進行錄製。我現在想將電話轉給投資者關係部的 Kristi Mussallem。

Good morning, and thank you all for joining New York Mortgage Trust's Third Quarter 2023 Earnings Call. With me on today's call are Jason Serrano, Chief Executive Officer; Nick Mah, President; and Kristine Nario, Chief Financial Officer. A press release and supplemental financial presentation with New York Mortgage Trust third 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 can access in the Events & Presentations section of the company's website.

早安，感謝大家參加紐約抵押信託信託公司 2023 年第三季財報電話會議。與我一起參加今天電話會議的是執行長傑森·塞拉諾 (Jason Serrano)；尼克·馬，總裁；克里斯汀‧納裡奧（Kristine Nario），財務長。紐約抵押信託信託公司 2023 年第三季業績的新聞稿和補充財務報告於昨天發布。新聞稿和補充財務報告均可在本公司網站 www.nymtrust.com 上取得。此外，我們還將對今天的電話會議進行網路直播，您可以在公司網站的「活動和演示」部分進行觀看。

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 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，管理階層希望我通知您，電話會議期間所做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，我想介紹一下執行長賈森·塞拉諾(Jason Serrano)。傑森，請繼續。

Thanks, Kristi. Good morning. Welcome to New York Mortgage Trust's Third Quarter Earnings Call. We have been discussing a seismic market shift that has been underway since early 2022. The impact is likely to be far reaching given historic rate moves and curb inversions. In anticipation of heavy treasury issuance calendar and continued to hire for (inaudible) the Fed, the market witnessed record short positions added in the futures and options market by hedge funds, likely causing the curve to flat in recent weeks.

謝謝，克里斯蒂。早安.歡迎參加紐約抵押信託信託公司第三季財報電話會議。我們一直在討論自 2022 年初以來發生的一場巨大的市場轉變。考慮到歷史性的利率變動和遏制倒掛，其影響可能是深遠的。由於預計美國國債發行日程將會很重，並且聯準會將繼續招聘（聽不清楚），市場見證了對沖基金在期貨和期權市場上增加了創紀錄的空頭頭寸，這可能導致曲線在最近幾週趨於平坦。

Home affordability is now at the worst point since the 1970s. And yet earlier this week, (inaudible) showed increase of 1.01% month-over-month, which is the fifth straight month increase. Low inventory of properties for sale are keeping home value support in the near term. This trend will continue to keep rental demand strong, particularly in the southern markets where migration is still elevated. Mean reversion to long-term housing affordability would require deflating home prices, lowering mortgage rates and/or increasing incomes. Given that we are likely at the end of a growth cycle, a combination of lower home prices and lower mortgage rates are more likely. Hence, we see that growing a credit portfolio by being a liquidity provider in this market seems to be a highly unattractive proposition at this time.

住房負擔能力目前處於 20 世紀 70 年代以來的最低點。然而本週早些時候，（聽不清楚）環比增長了 1.01%，這是連續第五個月增長。待售房產庫存較低，短期內為房價提供支撐。這一趨勢將繼續保持強勁的租賃需求，特別是在移民仍然較多的南部市場。恢復長期住房負擔能力的平均水平需要降低房價、降低抵押貸款利率和/或增加收入。鑑於我們可能正處於成長週期的末期，房價下降和抵押貸款利率下降的可能性更大。因此，我們認為，目前透過成為該市場的流動性提供者來擴大信貸投資組合似乎是一個非常沒有吸引力的提議。

Now to briefly highlight company's quarterly results, which Kristine will cover in detail, the impact of rate volatilities clearly eroded investor confidence in the quarter, and we are not immune to this reaction. Our adjusted book value declined by 9.71% in third quarter as a result of lower asset value and impairments, particularly within our multifamily joint venture equity portfolio. Despite improvements we are seeing to our top line revenue for our multifamily properties on balance sheet today and generally a large cash word from buyers in the market, there's little urgency being exhibited to transact at this time. Buyers are waiting for interest rate stability to lock in equity returns. And on the flip side, we don't see any evidence of property sales at the wider cap rates either.

現在簡要強調克里斯汀將詳細介紹的公司季度業績，利率波動的影響顯然削弱了投資者對本季的信心，我們也不能倖免於這種反應。由於資產價值和減損下降，特別是在我們的多戶合資企業股權投資組合中，我們第三季調整後的帳面價值下降了 9.71%。儘管我們今天的資產負債表上多戶型房產的營收有所改善，而且市場上的買家通常會提供大量現金，但目前並沒有表現出交易的緊迫性。買家正在等待利率穩定以鎖定股票回報。另一方面，我們也沒有看到任何證據表明房地產銷售以更廣泛的上限利率進行。

Not surprisingly, 2023 property transaction volume is 72% below last year and will likely stay depressed in the near term. With limited recourse leverage we utilize through the year and excess liquidity generated, we were able to safely more than double our Agency portfolio in the quarter and take advantage of technical pressure, which pushed secondary market Agency spreads to one of the widest levels ever.

毫不奇怪，2023 年房地產交易量比去年下降 72%，短期內可能會持續低迷。由於我們全年利用的追索槓桿有限以及產生的過剩流動性，我們能夠在本季度安全地將我們的代理投資組合增加一倍以上，並利用技術壓力，這將二級市場代理利差推至有史以來最寬的水平之一。

Looking at Page 8, our defensive posture as a result of signs that the economy is an inflection point, recent consumer data shows mounting stress at a time when the timing seems to be functioning well. GDP rose at annual rate of 4.9% in the third quarter. The increase was driven by strong consumer demand, which accounted for more than half of the GDP increase. Consumer spending, as measured by expenditures, increased 4% in the third quarter from 80 basis points in the second quarter. Consumers seem to enjoy a bit of a spending surge at the end of the summer with heavy retailer discounts. The outlook for continued consumer growth to support economic station looks unlikely. In fact, when digging deeper into the inputs, Q3 GDP had poor quality results.

看看第 8 頁，我們的防禦姿態是由於有跡象表明經濟處於拐點，最近的消費者數據顯示，在時機似乎運作良好的時候，壓力卻在增加。第三季GDP按年率成長4.9%。這一成長是由強勁的消費需求所推動的，消費需求佔GDP成長的一半以上。以支出衡量，第三季消費者支出較第二季的 80 個基點成長 4%。消費者似乎在夏末享受著零售商大幅折扣帶來的消費激增。消費者持續成長以支持經濟復甦的前景看起來不太可能。事實上，當深入研究投入時，第三季 GDP 的結果品質較差。

As you can see on Page 8, consumer spending was fueled by more debt, which is nearly $1.3 trillion or 20% higher than pre-COVID levels. On this point, for the first time ever, more than 50% of all U.S. credit card holders are rolling debt by making minimum payments rather than paying off balances. And according to bank rate, this is happening at a time where credit cards APR recently hit a record-high of 28.3%. Furthermore, while tapping our credit cards, U.S. consumers seem to have burned through excess savings as well. The drawdown of savings as a percentage of disposal income went from 5.3% in May to 3.4% in September.

正如您在第 8 頁上看到的，消費者支出是由更多債務推動的，債務增加近 1.3 兆美元，比新冠疫情前的水平高出 20%。在這一點上，有史以來第一次，超過 50% 的美國信用卡持有者透過支付最低還款額而不是還清餘額來滾動債務。根據銀行利率，這種情況發生在信用卡年利率最近創下 28.3% 的歷史新高之際。此外，在使用信用卡的同時，美國消費者似乎也消耗了多餘的儲蓄。儲蓄佔可支配所得的比例從 5 月的 5.3% 降至 9 月的 3.4%。

One would have to look back 10 years ago to see such a change. With this low savings rate at 50% of historical average, the ability to use credit to spend is looking more unlikely. Change in credit availability has recently become much harder than any time over the past 20 years. With headwinds, the U.S. consumer, the trend of discretionary spending is likely to contract in Q4. Due to how consumption was generated, we do not find the GD print to be impressive, which reinforces our portfolio's management strategy. However, third quarter GDP does line up with similar trends related to contraction in past as a 5% GDP print is quite common in the last 2 quarters before the onset of a recession historically.

人們必須回顧十年前才能看到這樣的改變。由於儲蓄率僅為歷史平均的 50%，因此使用信貸進行消費的可能性似乎更小。最近，信貸供應的變化比過去 20 年來的任何時候都要困難得多。面對不利因素，美國消費者的可自由支配支出趨勢可能在第四季萎縮。由於消費的產生方式，我們認為 GD 列印並不令人印象深刻，這強化了我們投資組合的管理策略。然而，第三季 GDP 確實與過去收縮相關的類似趨勢一致，因為歷史上經濟衰退開始前的最後兩季 GDP 成長 5% 是很常見的。

We recognize that our previous goal to shrink our credit portfolio and maintain asset acquisitions at a minimal pace brings forth a different set of risks, particularly reinvestment risk to the extent we are -- we have misread potential signals for credit contraction. We also recognize we're on -- we're an outlier for the hybrid credit REIT with this downsizing strategy. We do not have a bunch of companies here. However, if we have read this correctly, and we believe we have, we should have begun to see signs of economic contraction in the near term, likely in the first half of 2024. 150 basis points decline in the 10-year is the average move after a tightening cycle as a flight to safety trend emerges by investors.

我們認識到，我們先前縮小信貸投資組合併保持最低速度資產收購的目標會帶來一系列不同的風險，特別是再投資風險，我們誤讀了信貸緊縮的潛在訊號。我們也意識到，我們在這種縮小規模策略的混合信貸房地產投資信託基金中是一個異類。我們這裡沒有很多公司。然而，如果我們正確地解讀了這一點，並且我們相信我們已經正確解讀了這一點，那麼我們應該在短期內開始看到經濟收縮的跡象，很可能是在2024 年上半年。10 年平均下降150個基點隨著投資人出現轉向安全的趨勢，緊縮週期結束後將採取行動。

From our portfolio management decisions, staying up in quality and not taking on new leverage credit is prudent. In this stage, we will continue to proceed cautiously and focus on investments that will outperform in a downturn. Pointing to our focus in the non-credit space at this time. On Page 9, we explain the objectives that have been consistent for over a year. In the near term, the focus on curbing tail risk with respect to our book value by winding down our short-dated portfolio and picking our spots to sell real property opportunistically. Our goal is to keep liquidity high and patiently wait for a period of sustaining market dislocation. We believe strong asset management capability will be required to unlock value. This is our strength, and we're excited to leverage our skill set.

從我們的投資組合管理決策來看，保持品質並且不採用新的槓桿信貸是謹慎的做法。現階段我們將繼續謹慎行事，重點關注在低迷時期表現優於大盤的投資。指出我們目前對非信用領域的關注。在第 9 頁，我們解釋了一年多來始終如一的目標。短期內，我們的重點是透過縮減短期投資組合並擇機出售房地產來控制帳面價值的尾部風險。我們的目標是保持高流動性，並耐心等待市場持續混亂的時期。我們認為，釋放價值需要強大的資產管理能力。這是我們的優勢，我們很高興能夠利用我們的技能。

On the right side of Page 9, we show the company's repositioning time line. We have well documented this transition of reducing pipelines, downsizing our portfolio by 20% in 2022 and now $1 billion of credit asset reduction year-over-year. Recently, we were in a unique position to start rebuilding our Agency MBS portfolio, which we find very accretive at these higher coupons as we started the year with 0 exposure. Nick will provide more color on this important point. We are seeking higher returns from lending opportunities as we are beginning to see special situation to recapitalize assets and to acquire portfolios of deeply discounted senior loans.

在第9頁的右側，我們展示了公司重新定位的時間表。我們已經詳細記錄了減少管道的轉變，到 2022 年將我們的投資組合規模縮小 20%，現在信貸資產比去年同期減少了 10 億美元。最近，我們處於一個獨特的位置，開始重建我們的代理 MBS 投資組合，我們發現這些較高的票面利率非常有增值作用，因為我們在年初的風險敞口為 0。尼克將在這一重要點上提供更多的資訊。我們正在從貸款機會中尋求更高的回報，因為我們開始看到資產重組和收購大幅折扣高級貸款投資組合的特殊情況。

As discussed last quarter, a consequence of our defensive posture is that we elected not to replace asset coupons that are paying off from our portfolio, thus also reducing company earnings. As clearly shown on the bottom right of Page 10, the company's adjusted interest income precipitously declined in the second half of 2022. However, recent allocations to high coupon Agency MBS represented in the legend within our other investments, increased adjusted interest income by 15% in the quarter to $59.2 million. We still have more work to do here and are finding large opportunities within the Agency market, trading at historical wide levels in the secondary market.

正如上個季度所討論的，我們防禦姿態的一個後果是，我們選擇不更換從我們的投資組合中獲得回報的資產息票，這也減少了公司收益。正如第10 頁右下角清楚地顯示的那樣，該公司的調整後利息收入在2022 年下半年急劇下降。然而，最近在我們的其他投資中對高息票代理MBS 的分配（如圖例所示）使調整後利息收入增加了15%本季達到 5,920 萬美元。我們在這方面還有更多工作要做，並正在代理市場中尋找大量機會，在二級市場上以歷史最高水準進行交易。

With $500 million in dry power equaling 41% of company market capitalization as of 9/30, we believe we are well positioned for income growth. We're excited about this approach, we can meet our goal to grow income while also staying liquid and protected in the downturn. At this time, I'll pass the call over to Kristine to provide more details about our Q3 financial results. Kristine?

截至 9 月 30 日，乾電力價值 5 億美元，相當於公司市值的 41%，我們相信我們已做好收入成長的準備。我們對這種方法感到興奮，我們可以實現增加收入的目標，同時在經濟低迷時期保持流動性和受到保護。此時，我會將電話轉接給克里斯汀，以提供有關我們第三季財務業績的更多詳細資訊。克里斯汀？

Thank you, Jason. Good morning. In my comments today, I will focus my commentary on the main drivers of third quarter financial results. Our financial snapshot on Slide 12 covers key portfolio metrics for the quarter, and Slide 26 summarizes the financial results for the quarter. The company had undepreciated loss per share of $1.02 in the third quarter as compared to undepreciated loss per share of $0.38 in the second quarter. We had net interest income of $16.8 million, a contribution of $0.19 per share, up from $0.17 per share in the second quarter.

謝謝你，傑森。早安.在今天的評論中，我將重點放在第三季財務表現的主要驅動因素。我們的投影片 12 上的財務快照涵蓋了本季的關鍵投資組合指標，投影片 26 總結了本季的財務表現。該公司第三季每股未折舊虧損為 1.02 美元，而第二季每股未折舊虧損為 0.38 美元。我們的淨利息收入為 1,680 萬美元，每股貢獻 0.19 美元，高於第二季的每股 0.17 美元。

Our quarterly adjusted interest income increased to $59.2 million in the third quarter from $51.6 million in the second quarter. The increase is a result of the $946 million investment made in Agency MBS during the quarter, which offsets the decrease in interest income related to continued runoff of our higher-yielding short-duration BPL bridge loans. The increase in adjusted interest income was offset by $3.6 million increase in adjusted interest expense due to the financing of purchases of Agency MBS during the quarter, offset by the net interest benefit of our in-the-money swaps. Overall, the operations of our consolidated multifamily JV properties contributed a net loss of $0.08 per share during the quarter.

我們的季度調整後利息收入從第二季的 5,160 萬美元增至第三季的 5,920 萬美元。這一增長是由於本季度對 Agency MBS 進行了 9.46 億美元的投資，抵消了與我們的高收益短期 BPL 過橋貸款持續流失相關的利息收入下降。調整後利息收入的增加被本季購買機構 MBS 融資導致的調整後利息支出增加 360 萬美元所抵消，並被我們的價內掉期的淨利息收益所抵消。總體而言，本季我們合併的多戶型合資物業的營運貢獻了每股 0.08 美元的淨虧損。

Since investing in this asset class, we have disposed off 5 multifamily joint venture properties, 4 of which occurred in the second quarter. This resulted in a decrease in both real estate income and expenses by $2.4 million and $2.3 million, respectively, during the quarter. Also during the quarter, we recognized $44.2 million or $0.49 per share of impairment charges on real estate, due primarily to widening cap rates, resulting in lower property valuations as compared to our carrying costs on 7 out of the 13 consolidated multifamily properties held for sale.

自從投資該資產類別以來，我們已處置了 5 處多戶合資房產，其中 4 處發生在第二季。這導致本季房地產收入和支出分別減少 240 萬美元和 230 萬美元。同樣在本季度，我們確認了4,420 萬美元或每股0.49 美元的房地產減值費用，這主要是由於上限利率擴大，導致與我們持有待售的13 處綜合多戶住宅中的7 處的賬面成本相比，房產估值較低。

One of our multifamily joint venture properties is currently subject to a purchase sale agreement and we have been active in marketing our interest in the remaining 14 properties. Although we can provide no assurance of the timing or success of our ultimate exit from these investments, we continue to believe that we can rotate this portfolio over time to more attractive investments through a well-navigated disposition process. The fair value changes related to our investment portfolio continued to have a significant impact on our earnings. During the quarter, we recognized $61.3 million or $0.67 per share of unrealized losses due to lower asset prices on our residential loans and the bond portfolio, partially offset by $0.23 per share in gains recognized on our interest rate swaps and caps.

我們的一處多戶型合資房產目前已簽訂買賣協議，我們一直在積極推銷我們對其餘 14 處房產的興趣。儘管我們無法保證最終退出這些投資的時間或成功，但我們仍然相信，隨著時間的推移，我們可以透過良好的處置流程將該投資組合轉向更具吸引力的投資。與我們的投資組合相關的公允價值變動持續對我們的收益產生重大影響。在本季度，由於我們的住宅貸款和債券投資組合的資產價格下降，我們確認了6,130 萬美元或每股0.67 美元的未實現損失，部分被利率掉期和上限確認的每股0.23 美元的收益所抵消。

We had total G&A expenses of $11.8 million, which decreased compared to the previous quarter due to a decrease in incentive compensation accrual and an annual Board compensation made in the second quarter. We had portfolio operating expenses of $5.2 million, which decreased primarily due to reduced net servicing fees on our declining BPL bridge portfolio. After significantly curtailing our investment activity for most of 2022 and early in 2023, starting in the second quarter, we began stabilizing our investment portfolio holdings through greater investment activity. And over the course of the past 2 quarters, we have experienced solid momentum in our portfolio acquisition activities. Our investment portfolio increased by approximately $700 million on a net basis and ended at $4.7 billion as of 9/30.

我們的一般管理費用總額為 1,180 萬美元，與上一季相比有所下降，原因是應計激勵薪酬和第二季度董事會年度薪酬的減少。我們的投資組合營運費用為 520 萬美元，下降的主要原因是我們不斷下降的 BPL 橋樑投資組合的淨服務費減少。在 2022 年大部分時間和 2023 年初大幅削減投資活動後，從第二季開始，我們開始透過更大的投資活動來穩定我們的投資組合持股。在過去的兩個季度中，我們的投資組合收購活動呈現出強勁的勢頭。截至 9/30，我們的投資組合淨額增加了約 7 億美元，最終達到 47 億美元。

As Jason mentioned earlier, adjusted book value per share ended at $12.93, down 9.71% from June 30 and translated to a negative 7.61% economic return on adjusted book value during the quarter. The main drivers of adjusted book value change for $1.04 basic loss per share, our declared dividend of $0.30 per share and negative $0.11 per share, primarily due to removal of cumulative depreciation and amortization add-backs attributable to consolidated multifamily properties for which impairment was recognized during the quarter. As of quarter end, the company's recourse leverage ratio and portfolio leverage ratio increased to 1.3x and 1.2x respectively, from 0.7x and 0.6x respectively as of June 30.

正如傑森之前提到的，調整後每股帳面價值為 12.93 美元，較 6 月 30 日下降 9.71%，導致本季調整後帳面價值的經濟回報為負 7.61%。調整後帳面價值變化的主要驅動因素為每股基本虧損1.04 美元、每股宣派股息0.30 美元和每股負0.11 美元，主要是由於取消了已確認減值的綜合多戶房產的累計折舊和攤銷回加本季期間。截至季末，該公司的追索槓桿率和投資組合槓桿率分別從6月30日的0.7倍和0.6倍增至1.3倍和1.2倍。

While our financing leverage remains low relative to historic levels, the increase in the quarter is primarily due to the financing of newly acquired highly liquid Agency MBS. Despite this, our portfolio recourse leverage ratio on our credit book is unchanged from the previous quarter at 0.3x. Currently, only 52% of our debt is subject to mark-to-market margin costs, of which 40% is collateralized by Agency MBS and 12% collateralized by residential credit assets. The remaining 48% of our debt as of September 30 has no exposure to collateral repricing by our counterparties. Although we expect our leverage to move higher as we expand our Agency MBS holdings, we continue -- we intend to continue to focus on procuring longer-term and non-market financing arrangements for certain parts of our credit portfolio.

雖然我們的融資槓桿相對於歷史水準仍然較低，但本季的成長主要是由於新收購的高流動性機構 MBS 的融資。儘管如此，我們信用帳簿上的投資組合追索槓桿率與上一季持平，為 0.3 倍。目前，我們的債務中只有 52% 需要繳納以市值計價的保證金成本，其中 40% 由機構 MBS 抵押，12% 由住宅信貸資產抵押。截至 9 月 30 日，我們剩餘 48% 的債務不存在交易對手抵押品重新定價的風險。儘管我們預計隨著我們擴大機構MBS持有量，我們的槓桿率將會上升，但我們仍打算繼續專注於為我們信貸投資組合的某些部分尋求長期和非市場融資安排。

We paid $0.30 per common share dividend unchanged from the prior quarter. We continue to evaluate our dividend policy each quarter and look at the 12- to 18-month projection of not only interest income but also realized our capital gains that can be generated from our investment portfolio. With that said, we note that we expect undepreciated earnings per share to remain below the current dividend as we continue to retain excess liquidity into asset acquisitions over the next few months.

我們支付了每股普通股 0.30 美元的股息，與上一季持平。我們每季都會繼續評估我們的股利政策，不僅關注利息收入，還關注我們的投資組合可產生的資本利得的 12 至 18 個月預測。話雖如此，我們注意到，隨著我們在未來幾個月繼續保留過剩流動性用於資產收購，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，讓他檢查市場和策略更新。缺口？

Thank you, Kristine, and good morning. Over the past 2 quarters, we have begun to pivot from our defensive posture. As the Fed entered the final chapter of its hiking cycle, we sought to reverse some of the portfolio runoff that we have experienced to date. While we acknowledge that there is still a considerable amount of uncertainty and volatility across markets and the odds of an economic slowdown are further heightened by geopolitical conflict, we believe that we can prudently grow our portfolio in investments that have the potential to outperform for the long term.

謝謝你，克里斯汀，早安。在過去的兩個季度裡，我們已經開始改變防守姿態。隨著聯準會進入升息週期的最後一章，我們試圖扭轉迄今為止所經歷的一些投資組合流失。儘管我們承認整個市場仍然存在相當大的不確定性和波動性，並且地緣政治衝突進一步加劇了經濟放緩的可能性，但我們相信我們可以謹慎地增加有潛力長期跑贏大盤的投資組合。學期。

We seek to expand our asset base such that we can achieve a higher and more sustainable rate of income generation. We are, however, staying cautious about the potential credit dislocations that may arise in the future. We are being selective about where we invest and remain steadfast on asset management. In the quarter, we substantially increased asset acquisitions, purchasing $1.1 billion of assets with $946 million of those concentrated in Agency MBS. This activity was greater than last year's peak of acquisitions in the second quarter of 2022 before we slow down our investment pipeline. Away from agencies, our BPL bridge volumes have also grown at $179 million in the quarter from $100 million in the prior quarter.

我們尋求擴大我們的資產基礎，以便實現更高、更永續的創收率。然而，我們對未來可能出現的潛在信貸混亂保持謹慎。我們對投資地點進行精挑細選，並堅定不移地進行資產管理。本季度，我們大幅增加了資產收購，購買了 11 億美元的資產，其中 9.46 億美元集中在 Agency MBS。在我們放慢投資管道之前，這項活動超過了去年 2022 年第二季的收購高峰。除代理商外，本季我們的 BPL 橋接交易量也從上一季的 1 億美元成長到 1.79 億美元。

The overall investment portfolio is now $4.7 billion as of the end of the third quarter, up from $4 billion. The conservative positioning that we undertook in 2022 preserve liquidity and allow for capital return through portfolio paydowns. This has afforded us the ability to meaningfully scale up investment activity now with wider yields and spreads available in the market. We continue to favor Agency MBS with its historical wide spreads due to technical headwinds. We are also focused on expanding our investments in BPL bridge given its high yield and shorter duration.

截至第三季末，整體投資組合從 40 億美元增至 47 億美元。我們在 2022 年採取的保守定位是為了保留流動性，並允許透過投資組合償還來實現資本回報。這使我們現在能夠有意義地擴大投資活動，並在市場上提供更廣泛的收益率和利差。由於技術上的不利因素，我們繼續看好機構MBS，因為它的利差處於歷史最高水準。鑑於 BPL 橋的收益率高且持續時間短，我們也專注於擴大對 BPL 橋的投資。

Delving first into Agency MBS. As we mentioned earlier, we have managed to deploy a meaningful amount of capital in the quarter in Agency MBS as spreads, both in (inaudible) terms approach the wides of the year. The Fed's resolve to keep interest rates higher for longer has manifested in a sharp rate move higher at the longer end, with the yield curve steepening and gradually disinverting. As the 10-year treasury rate made a steady march higher towards 5% in the quarter, the market began to contemplate the bond supply impact of rising government interest costs and the sustainability of a worsening budget deficit.

首先深入研究機構MBS。正如我們之前提到的，我們在本季成功地在機構 MBS 上配置了大量資本，因為利差（聽不清楚）接近全年的寬幅。聯準會在更長時間內維持較高利率的決心體現在長期利率大幅走高，殖利率曲線變得陡峭並逐漸反轉。隨著本季10年期公債利率穩定上升至5%，市場開始思考政府利息成本上升對債券供應的影響以及預算赤字惡化的可持續性。

This increase in interest rate volatility has weighed on Agency MBS spreads. The technical backdrop is also challenging as it is hard to discern who the next marginal buyer of Agency MBS will be. Money managers who have been supportive of the market currently overweight the sector amidst a challenging quarter for fixed income returns. We see the widespread in agencies as an opportunity. And although the near-term technicals may be choppy, we believe that this is a favorable entry point to attractive longer-term returns.

利率波動性的增加對機構MBS利差造成壓力。技術背景也充滿挑戰，因為很難判斷誰將是 Agency MBS 的下一個邊際買家。在固定收益回報充滿挑戰的季度中，一直支持市場的基金經理人目前增持了該行業。我們將在機構中的廣泛應用視為一個機會。儘管近期技術面可能波動較大，但我們認為這是獲得有吸引力的長期回報的有利切入點。

Our strategy within Agency MBS remains consistent. We seek to invest up in coupon where we see a better spread and carry profile, and we target low pay-up spec pools for additional prepayment protection. We have managed to increase our spec pool average coupon to 5.7% from 5.5% from the prior quarter because of the purchases of higher coupon assets. Overall, the leverage of the Agency book is 8.5x, up from the prior quarter of 7.2x, primarily due to mark-to-market moves. This is still within a comfortable range where we would run the Agency strategy as the credit book on the other side is underlevered at a 0.3x portfolio recourse leverage ratio. We have the ability to rotate capital from our credit strategies and available cash to deploy into agencies where we see ROEs in the high teens.

我們在 Agency MBS 內的策略保持一致。我們尋求在息差和利差狀況更好的地方進行投資，並且我們的目標是低支付規格池以提供額外的預付款保護。由於購買了更高的票面資產，我們已成功將我們的規格池平均票面利率從上一季的 5.5% 提高到 5.7%。總體而言，代理帳簿的槓桿率為 8.5 倍，高於上一季的 7.2 倍，這主要是由於市值計價的變動。這仍然在我們運行代理策略的舒適範圍內，因為另一方的信用帳簿槓桿率較低，投資組合追索槓桿率為 0.3 倍。我們有能力將信貸策略中的資本和可用現金部署到 ROE 高達十幾的機構。

In BPL bridge, we have been onboarding additional originators to increase our go-forward volumes. Our credit underwriting remains strict as we try to avoid the fringes of the credit box and seek out experienced sponsors with straightforward rehabilitation projects. We also limit small balance multifamily, large balance single-family and ground-up construction loans, all of which have less liquidity and financeability in the market. Given the short duration nature of these BPL bridge loans, recent origination volume and coupons have not meaningfully been impacted by the move in longer-term rates.

在 BPL 橋接中，我們一直在招募更多發起者以增加我們的前進量。我們的信貸承保仍然嚴格，因為我們試圖避免信貸框的邊緣，並尋找經驗豐富的贊助商來提供簡單的康復項目。我們也限制小額多戶住宅、大額單戶住宅和基礎建設貸款，所有這些貸款在市場上的流動性和融資能力均較低。鑑於這些 BPL 過橋貸款的期限較短，近期發放量和票面利率並未受到長期利率變動的顯著影響。

The stability of the BPL bridge profile amidst this recent volatility further highlights the attractive return potential for the asset class. Relating to the asset management of the portfolio, quarter-over-quarter, we are pleased to see the net decline in the dollar balance of outstanding delinquencies from $208 million to $202 million, driven by additional resolutions and sales. Our cumulative loss to date in the strategy is 5 basis points on $3.3 billion of historical BPL bridge fundings as of quarter end. Cash collections of interest, inclusive of ancillary income continues to be stable at a 95% average of scheduled interest.

在最近的波動中，BPL 橋樑狀況的穩定性進一步凸顯了該資產類別具有吸引力的回報潛力。就投資組合的資產管理而言，我們很高興看到，在額外決議和銷售的推動下，未償拖欠的美元餘額從 2.08 億美元下降到 2.02 億美元。截至季末，我們在該策略中的累積損失為 33 億美元歷史 BPL 過橋資金的 5 個基點。利息現金收取（包括輔助收入）繼續穩定在預定利息平均水準的 95%。

The portfolio continues to pay down steadily as we expected, leaving only $884 million of UPB as of the end of the third quarter of 2023. We hope to maintain and grow the level of BPO bridge from this point. Pivoting now to our multifamily mezzanine book. The strong credit performance in our multifamily mezzanine portfolio has been consistent over the prior quarters. There is still only on delinquent loan in the portfolio with that loan expecting to pay off without a loss. Not only has the credit performance of these assets been stable, the speed of the return of capital has been exemplary. The payoff rate of the mezzanine portfolio was at 32% in 2022 and is at an annualized 35% in 2023 thus far. These payoff rates are meaningfully higher than the average historical payoff rate through time of approximately 27%. These elevated redemption rates are not surprising despite a more difficult financing environment.

正如我們預期的那樣，該投資組合繼續穩步下降，截至 2023 年第三季末，UPB 只剩下 8.84 億美元。我們希望從此時起保持並提高 BPO 橋樑的水平。現在轉向我們的多戶夾層書。我們的多戶夾層投資組合的強勁信貸表現與前幾季保持一致。投資組合中仍然只有拖欠貸款，該貸款預計將在不損失的情況下還清。這些資產不僅信用表現穩定，資金回籠速度也堪稱典範。 2022 年夾層投資組合的報酬率為 32%，2023 年迄今的年化報酬率為 35%。這些回報率明顯高於歷史平均回報率約 27%。儘管融資環境更加困難，但贖回率上升並不令人意外。

The weighted average origination date of our mezzanine loan portfolio is the second quarter of 2021. These are more seasonal loans that have accumulated property value increases over the passage of time, further buttressed by the completion or pending completion of their value-add programs. These assets are ripe for monetization or recapitalization to date with significant incentive for sponsors to tap into the equity growth embedded in these properties.

我們的夾層貸款組合的加權平均發放日期是 2021 年第二季。這些貸款屬於季節性貸款，隨著時間的推移，房地產價值不斷增加，增值計劃的完成或待完成進一步支撐了這些貸款。迄今為止，這些資產的貨幣化或資本重組的時機已經成熟，極大地激勵了贊助商利用這些資產所蘊含的股權成長。

Moving on to our multifamily JV equity portfolio. We continue to make progress on the wind-down of the overall portfolio. We have a property amounting to $5 million of invested capital in PSA this quarter. Looking forward, market forces may hinder the pace of future sales of JV equity positions. With the recent rate moves, senior financing rates are now pricing at around 6.25% for 10-year Agency debt, a marked increase from sub-4% rates the market saw prior to 2022. Higher financing costs have exerted pressure on cap rates, with cap rates moving out by approximately 25 basis points in the third quarter. However, there are some positive tailwinds for our portfolio.

接下來是我們的多戶型合資企業股權投資組合。我們在整體投資組合的縮減方面繼續取得進展。本季我們在 PSA 擁有價值 500 萬美元的投資資本。展望未來，市場力量可能會阻礙未來出售合資企業股權的腳步。隨著最近的利率變動，10 年期代理債務的優先融資利率目前約為 6.25%，比 2022 年之前市場上低於 4% 的利率顯著上升。較高的融資成本對上限利率造成了壓力，第三季資本化率下降約25 個基點。然而，我們的投資組合有一些正面的推動因素。

On a macro level, the cost of home ownership is 50% more expensive than renting today. And as more consumers are priced out of home ownership, the demand for multifamily rentals will be robust for the foreseeable future. Furthermore, we continue to deliver on CapEx plans that have the potential to improve occupancies at higher rental rates. So the longer time frames of sales should be offset by NOI growth. Overall, we have completed approximately 65% of the budgeted CapEx plans relating to the disposal group properties and will continue to make progress on this alongside our continued sales efforts.

從宏觀層面來看，如今買房的成本比租屋貴 50%。隨著越來越多的消費者因價格過高而放棄擁有住房，在可預見的未來，多戶型租賃的需求將會強勁。此外，我們繼續實施資本支出計劃，這些計劃有可能以更高的租金率改善入住率。因此，更長的銷售時間框架應該被 NOI 的成長所抵消。總體而言，我們已經完成了與處置組物業相關的預算資本支出計劃的約 65%，並將在繼續努力銷售的同時繼續在這方面取得進展。

I will now pass it back to Jason for his closing remarks.

現在我將把它傳回給傑森，讓他作結束語。

Thanks, Nick. We're using this time to strengthen our resourcing pipelines in target areas where we expect to see opportunity. For example, in primary markets with bridge lending and as recapitalizations and within the secondary loan market, where we anticipate price discounts. We are well positioned for this opportunity to unlock value with our market-leading asset management team.

謝謝，尼克。我們正在利用這段時間加強我們希望看到機會的目標領域的資源管道。例如，在具有過橋貸款和資本重組的一級市場以及二級貸款市場中，我們預計會出現價格折扣。我們已做好充分準備，抓住這個機會，透過我們市場領先的資產管理團隊釋放價值。

Now at this time, I'll pass the call over to the operator for investor Q&A.

現在這個時候，我會將電話轉接給接線生進行投資者問答。

Thank you. At this time, we will conduct the question-and-answer session.

謝謝。這時，我們將進行問答環節。

(Operator Instructions) Our first question comes from the line of Bose George of KBW.

（操作員說明）我們的第一個問題來自 KBW 的 Bose George。

Actually, what's the pace at which you could deploy capital into agencies? And how would you characterize your capital that's available for investment there? Should we look at the $220 million in cash? Or is there some kind of more holistic way to think about what's available?

實際上，您向代理商配置資金的速度是多少？您如何描述可用於在那裡投資的資本？我們應該看看這2.2億美元的現金嗎？或者是否有某種更全面的方法來考慮可用的內容？

Yes, I think that's a -- this is Nick, by the way. I think that's a fair way to take a look at it. Clearly, we have an ability to access additional capital that we can deploy into this strategy. We are also mindful about the leverage of the entire enterprise. And given that we are underlevered in general, we do have room to move on that front as well. We see Agency MBS offering one of the best risk-adjusted returns, especially given our views of potential slowdown across the fixed income space. So from our perspective, we intend to continue to scale into the strategy.

是的，我認為這是——順便說一句，這是尼克。我認為這是一個公平的看待問題的方式。顯然，我們有能力獲得額外的資本，並將其部署到這項策略中。我們也關注整個企業的槓桿作用。鑑於我們整體上槓桿率不足，我們在這方面也確實有前進的空間。我們認為機構 MBS 提供了最佳的風險調整回報之一，特別是考慮到我們對整個固定收益領域潛在放緩的看法。因此，從我們的角度來看，我們打算繼續擴大該策略的規模。

Now with that said, there has been some recent volatility and we are looking for -- mortgage rates have moved pretty significantly higher. So we're also waiting for some new production coupon to come into spec pool form. So we are going to continue to invest in this space. We're going to continue to scale up. I would say that going into the fourth quarter, the pace may not be as much as what we invested in the third quarter. But nonetheless, we do expect to continue to grow in this space.

話雖如此，最近出現了一些波動，我們正在尋找——抵押貸款利率已經大幅上升。因此，我們也在等待一些新的生產優惠券進入規格池形式。因此，我們將繼續在這個領域進行投資。我們將繼續擴大規模。我想說，進入第四季度，速度可能不會像我們在第三季投資的那麼快。但儘管如此，我們確實希望在這個領域繼續成長。

Okay. Great. That's helpful. And then the multifamily JV portfolio that you're working on disposing, what's the earnings contribution of that? Should we just look at that real estate income and expense line? Or are there sort of other pieces that we need to think about as well?

好的。偉大的。這很有幫助。然後，您正在處理的多戶型合資企業投資組合，其獲利貢獻是多少？我們應該只看房地產收入和支出線嗎？或者我們還需要考慮其他一些問題嗎？

It's Kristine. So there is on our financial statements the net lost from real estate, but that is really based on operations of our real estate portfolio. I did mention impairment that we recorded during the quarter. So that's part of the income that's being generated by or loss being generated by that portfolio.

這是克里斯汀。因此，我們的財務報表中有房地產淨損失，但這實際上是基於我們房地產投資組合的營運。我確實提到了我們在本季度記錄的減值。因此，這是該投資組合產生的收入或損失的一部分。

Okay. But I was also thinking more about -- I mean, to the extent that this gets disposed, the equity gets freed up, sort of the incremental earnings contribution, is there a way to think about what the current kind of ROE -- run rate ROE on the equity in the JV is and sort of the benefit as that gets recycled into higher returning investments?

好的。但我也更思考——我的意思是，在這種情況得到處置、股權得到釋放、增量收益貢獻等方面，是否有辦法考慮當前的淨資產收益率——運行率合資企業股權的淨資產收益率是一種收益，因為它可以回收到更高回報的投資中？

Yes, that's exactly right. This is Jason. We're thinking along the same line. Rotation of these assets as well as other assets that are yielding below where we think we can deploy and earn within the agency space. So yes, we believe there will be additional EPS contribution from rotation of that multifamily portfolio, which is, I think if you look at it around 5% type of kind of annualized return until the CapEx program starts really taking form allowing the rental rates to increase. We're in the -- the occupancy rate has been around 90% on average, and that's a combination of some that have done well in the mid-90s and others that are in the 80 -- kind of mid- to high 80% range, and that's a function of the CapEx taking units offline and then having to redeploy through releasing. So as that happens, we do expect to earn just higher just carry on those assets, but the point is well taken that we do expect to rotate that into a higher-yielding agency asset class.

是的，完全正確。這是傑森。我們的想法是一致的。這些資產以及其他資產的輪換，這些資產的收益率低於我們認為可以在機構空間內部署和賺取的水平。所以，是的，我們相信，多戶型投資組合的輪換將會帶來額外的每股收益貢獻，也就是說，我認為，如果你看看大約5% 的年化回報率，直到資本支出計劃開始真正形成，允許租金率增加。我們處於——平均入住率約為 90%，這是一些在 90 年代中期表現良好的酒店和其他在 80 年代中期表現出色的酒店的組合——大約 80% 的中高入住率範圍，這是資本支出使設備離線然後必須透過釋放重新部署的函數。因此，當這種情況發生時，我們確實希望透過這些資產獲得更高的收益，但我們確實希望將其轉換為收益更高的機構資產類別，這一點已被充分接受。

(Operator Instructions)

（操作員說明）

Our next question comes from the line of Matthew Erdner of JonesTrading.

我們的下一個問題來自 JonesTrading 的 Matthew Erdner。

In terms of capital deployment, what do you see is giving you the best return on capital right now? Is it MBS, which you guys have obviously built a good position there, share repurchases or possibly some distressed opportunities down the road?

在資本配置方面，您認為目前什麼能為您帶來最佳的資本回報？是 MBS（你們顯然已經在那裡建立了良好的地位）、股票回購還是未來可能出現的一些困境機會？

Sure. And this is Nick. We see a lot of value in the Agency MBS strategy. We think this is an opportune time that may not persist forever, but we want to be able to deploy into this space. Relating to the other uses of capital. Within credit, we do believe that there is a potential for more credit distress, more delinquencies and more changes in expectation in terms of overall losses across the credit spectrum. So because of that, delving head first into credit is not something we would do at this juncture. With that said though, we do not mind participating in certain asset classes such as BPL bridge, which offers shorter duration type profiles.

當然。這是尼克。我們看到了 Agency MBS 策略的巨大價值。我們認為這是一個可能不會永遠持續下去的時機，但我們希望能夠部署到這個領域。涉及資本的其他用途。在信貸領域，我們確實認為，整個信貸領域的整體損失可能會出現更多的信貸困境、更多的拖欠和預期變化。因此，我們目前不會先深入研究信貸。儘管如此，我們並不介意參與某些資產類別，例如 BPL 橋接器，它提供較短持續時間的類型設定檔。

Got you. That's helpful. And then on the MBS, I believe the current leverage right now is 8.5x as of quarter end. Where do you ideally want to run that portfolio in terms of leverage? And then how high are you guys willing to take it?

明白你了。這很有幫助。然後就 MBS 而言，我認為截至季末目前的槓桿率為 8.5 倍。就槓桿而言，您理想地希望在哪裡運行該投資組合？那麼你們願意接受多高的水平呢？

Sure. So 8.5% and in the 8 multiples is -- in terms of leverage is a very comfortable level for us. And really, we're looking at it from the context of just the overall portfolio in general. We are underlevered, and we are -- we have unencumbered assets, available cash and also cash that's freed up from divestitures of other assets. And because of that, we do not mind running the Agency strategy with a little bit more leverage in the context of just the overall leverage profile of the firm. So the 8x, we feel comfortable there and we do expect that to be probably the level that we're going to be running at somewhere between 8x to 9x for the time being.

當然。因此，就槓桿而言，8.5% 的 8 倍數對我們來說是一個非常舒適的水平。事實上，我們只是從整體投資組合的背景來看待它。我們的槓桿率不足，而且我們擁有未支配資產、可用現金以及從其他資產剝離中釋放出來的現金。正因為如此，我們不介意在公司整體槓桿狀況的背景下以更多的槓桿來運行代理策略。因此，我們對 8 倍感到滿意，我們確實預計這可能是我們暫時在 8 倍到 9 倍之間運行的水平。

Thank you. I would now like to pass back to Jason Serrano for closing remarks.

謝謝。現在我想請賈森·塞拉諾 (Jason Serrano) 致閉幕詞。

Thank you for joining today's earnings call. We look forward to speaking with you on our fourth quarter earnings early next year. Have a great day.

感謝您參加今天的財報電話會議。我們期待明年初與您討論我們第四季的收益。祝你有美好的一天。

Thank you. This now does conclude today's call. You may now disconnect. Thank you.

謝謝。今天的電話會議到此結束。您現在可以斷開連線。謝謝。