New York Mortgage Trust Inc (NYMT) 2020 Q1 法說會逐字稿

Good morning, ladies and gentlemen. Thank you for standing by, and welcome to the New York Mortgage Trust's First Quarter 2020 Results Conference Call. (Operator Instructions) This conference is being recorded on Friday, May 22, 2020.

早上好，女士們，先生們。感謝您的支持，並歡迎參加紐約抵押信託基金 2020 年第一季度業績電話會議。 （操作員說明）本次會議將於 2020 年 5 月 22 日星期五錄製。

A press release and supplemental financial presentation with New York Mortgage Trust's First Quarter 2020 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.

紐約抵押信託基金 2020 年第一季度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公司網站 www.nymtrust.com 上查閱。此外，我們正在主持今天電話會議的現場網絡直播，您可以在公司網站的“活動和演示”部分進行訪問。

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.

此時，管理層希望我通知您，在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。儘管紐約抵押貸款信託相信任何前瞻性陳述中反映的預期均基於合理的假設，因此無法保證其預期將會實現。昨天的新聞稿以及公司不時向美國證券交易委員會提交的文件中詳細說明了可能導致實際結果與預期產生重大差異的因素和風險。

Now at this time, I would like to introduce Steve Mumma, Chairman and CEO. Steve, please go ahead.

現在這個時候，我想介紹一下董事長兼首席執行官 Steve Mumma。史蒂夫，請繼續。

Thank you, operator. Good morning, everyone, and thank you for being on the call. Jason Serrano, our President, will also be speaking this morning as we talk through the first quarter presentation. I will be speaking to the company's overview and financial summary sections, while Jason will be speaking to our investment strategy and business outlook sections.

謝謝你，接線員。大家早上好，感謝您的來電。我們的總裁傑森·塞拉諾（Jason Serrano）今天上午也將在我們討論第一季度報告時發表講話。我將在公司的概述和財務摘要部分發言，而傑森將在我們的投資策略和業務前景部分發言。

The first quarter was defined by 2 periods: January 1 through March 9, where the company continued to execute their plan, raising $500 million in accretive capital and deploying it into residential and multifamily credit investments. And post March 9, where we saw unprecedented market disruptions from the COVID-19 global pandemic. As a response to these disruptions, we took decisive action to restructure our portfolio and focus on our core strengths, residential and multifamily credit opportunities. And at the same time, we focused on reducing our exposure to what we can't control, short-term mark-to-market borrowings or repos.

第一季度由兩個時期定義：1 月 1 日至 3 月 9 日，公司繼續執行他們的計劃，籌集 5 億美元的增值資本並將其部署到住宅和多戶信貸投資中。在 3 月 9 日之後，我們看到 COVID-19 全球大流行給市場帶來了前所未有的混亂。作為對這些中斷的回應，我們採取果斷行動來重組我們的投資組合，並專注於我們的核心優勢、住宅和多戶家庭信貸機會。同時，我們專注於減少我們無法控制的短期按市價借貸或回購的風險敞口。

Beginning on March 23 and continuing through the quarter end, we sold over $2 billion in assets, reducing our outstanding repurchase agreements by $1.7 billion, finishing the quarter with $173 million in cash liquidity, $1.4 billion in unencumbered assets and a portfolio leverage of 0.7x. In early April, we completed a $250 million borrowing against our unencumbered residential loan portfolio. Combined with the proceeds received from the settlement of securities sold in March, we were able to repay an additional $560 million in securities repo. After giving effect of these transactions, the company's liquidity improved to over $200 million while reducing our portfolio leverage further to 0.6x. These actions did come at a significant cost as the company had its worst quarter in its history, seeing its book value decline by 33% and temporarily suspending its quarterly dividends. However, we believe our efforts have better positioned the company to weather the oncoming economic storm caused by the pandemic and to recover some of the $300 million of unrealized losses carried on our balance sheet, allowing us to return to delivering the results to our stockholders that they have come to expect.

從 3 月 23 日開始並持續到季度末，我們出售了超過 20 億美元的資產，將未完成的回購協議減少了 17 億美元，以 1.73 億美元的現金流動性、14 億美元的未支配資產和 0.7 倍的投資組合槓桿率結束本季度. 4 月初，我們以未支配的住宅貸款組合完成了 2.5 億美元的借款。加上 3 月份出售的證券結算所得收益，我們能夠額外償還 5.6 億美元的證券回購。在這些交易生效後，公司的流動性提高到超過 2 億美元，同時我們的投資組合槓桿進一步降低到 0.6 倍。這些行動確實付出了巨大的代價，因為該公司經歷了其歷史上最糟糕的一個季度，其賬面價值下降了 33%，並暫時暫停了季度股息。但是，我們相信我們的努力使公司能夠更好地抵禦由大流行引起的即將到來的經濟風暴，並收回資產負債表上 3 億美元的未實現損失中的一部分，使我們能夠重新向股東交付業績他們已經開始期待了。

I will now move over to Slide 6, our overview section. As of March 31, 2020, our investment portfolio totaled $3 billion, and our total market capitalization was $800 million. As of last night's close, our total market capitalization had moved up to $1.1 billion. Today, our investment portfolios are 100% focused on credit strategies, choosing to manage our strength of asset management in both residential and multifamily, while reducing our dependency on mark-to-market leverage. We have 57 professionals employed across 3 offices, all working from home since March 13.

我現在將轉到幻燈片 6，我們的概述部分。截至 2020 年 3 月 31 日，我們的投資組合總額為 30 億美元，總市值為 8 億美元。截至昨晚收盤，我們的總市值已升至 11 億美元。今天，我們的投資組合 100% 專注於信貸策略，選擇管理我們在住宅和多戶家庭的資產管理實力，同時減少我們對盯市槓桿的依賴。自 3 月 13 日以來，我們在 3 個辦公室僱用了 57 名專業人員，他們都在家工作。

Moving over to Slide 8, where I'll discuss market conditions and housing fundamentals. On the economic front, COVID-19 has impacted the global as well as our country's economy significantly. Our first quarter GDP contracted 4.8% and is expected to decline further in the second quarter. Unemployment rate was close to 15% last month, and we saw lifetime lows in the 10-year treasury. Housing sales declined 17.8% last month, and home price appreciation is expected to decline 1% to 2% into the next year. In response to these factors, the U.S. government initiated several programs to help both businesses and consumers, committing upwards of $3 trillion to deal with this crisis. One of these initiatives, the CARES Act, which gives borrowers the opportunity to defer mortgage payments directly impacts our business. We have a history of dealing with payment interruptions from our borrowers. And we feel confident that as we emerge from this crisis, we will be able to assist and manage our borrowers back to their pre-crisis performance. In addition, given the dislocation in the mortgage credit markets, we believe this will present opportunities not seen over -- that we have not seen over the last several years.

轉到幻燈片 8，我將在其中討論市場狀況和住房基本面。在經濟方面，COVID-19 對全球以及我國的經濟產生了重大影響。我們的第一季度 GDP 收縮 4.8%，預計第二季度將進一步下降。上個月失業率接近 15%，我們看到 10 年期國債的歷史最低點。上個月房屋銷售下降 17.8%，預計明年房價漲幅將下降 1% 至 2%。針對這些因素，美國政府啟動了多項計劃來幫助企業和消費者，並承諾投入超過 3 萬億美元來應對這場危機。其中一項舉措是 CARES 法案，它讓借款人有機會推遲按揭付款，這直接影響了我們的業務。我們有處理借款人付款中斷的歷史。我們相信，隨著我們擺脫這場危機，我們將能夠幫助和管理我們的借款人恢復到危機前的表現。此外，鑑於抵押貸款市場的混亂，我們相信這將帶來前所未有的機會——這是過去幾年我們從未見過的。

In Slides 9, 10 and 11, I will address the COVID impact as it has had on our markets, our company and our response. The U.S., and more specifically, the mortgage market, started feeling the effects of COVID-19 in early March. On March 16, we started to experience increased margin calls. And by March 20, it was clear we were in a full-blown liquidity crunch. It was a combination of factors that impacted our company and our industry. Reduced liquidity access from the dealers for all types of collateral, decreased availability for credit-sensitive securities and accelerating price declines due in part to increased margin calls and a lack of buyer participants, which were quickly transitioning from return on equity investors to return on asset investors.

在幻燈片 9、10 和 11 中，我將討論 COVID 對我們的市場、公司和應對措施的影響。美國，更具體地說，抵押貸款市場，在 3 月初開始感受到 COVID-19 的影響。 3 月 16 日，我們的追加保證金通知開始增加。到 3 月 20 日，很明顯我們正處於全面的流動性緊縮狀態。這是影響我們公司和行業的多種因素的結合。減少交易商對所有類型抵押品的流動性訪問，減少對信用敏感的證券的可用性，並加速價格下跌，部分原因是追加保證金通知增加和缺乏買方參與者，這些參與者正在迅速從股權投資者轉向資產回報投資者。

On March 23, we stopped meeting margin calls and began discussions on some form of forbearance relief from our securities lenders. Over the course of the next 2 weeks, we sold over $2 billion of assets, including 100% of our Agency portfolio and 100% of our Freddie K PO portfolio, reducing our securities repurchase borrowings by over $1.6 billion. By April 7, we were able to pay an additional $560 million in repurchase agreements by utilizing a $213 million in proceeds from sales initiated in March and $250 million in increased borrowings from our residential loan portfolio. As of today, the company has 3 lenders with a total outstanding of $1.1 billion in borrowings. We are in good standing with all, and ultimately, we never entered into any formal forbearance agreements. In addition, we have over $200 million in cash and $1.5 billion in unencumbered investments today.

3 月 23 日，我們停止了追加保證金的要求，並開始討論我們的證券出借人的某種形式的寬容救濟。在接下來的兩週內，我們出售了超過 20 億美元的資產，包括 100% 的代理投資組合和 100% 的 Freddie K PO 投資組合，將我們的證券回購借款減少了超過 16 億美元。到 4 月 7 日，我們能夠利用 3 月份啟動的 2.13 億美元銷售收益和從我們的住宅貸款組合中增加的 2.5 億美元借款，額外支付 5.6 億美元的回購協議。截至今天，該公司有 3 家貸方，未償還的借款總額為 11 億美元。我們在所有人中都享有良好的信譽，最終，我們從未簽訂任何正式的寬容協議。此外，我們今天擁有超過 2 億美元的現金和 15 億美元的未支配投資。

On Slide 12, you can see the changes in the portfolio and leverage of the company from December 31, 2019, to March 31, 2020. Our company has a history of managing through volatile markets, but never have we experienced such rapid price declines without the corresponding underlying asset deterioration. Our decision to liquidate the Agency and Freddie K portfolios was a difficult one, but necessary as we needed to reduce low-margin high leverage strategies and levered noncash illiquid assets from our portfolio. We believe our remaining portfolio of credit investments gives us the best path to recover the book value declines that we have incurred. We will maintain a disciplined and measured approach as we continue to monitor the effects of COVID-19 on our markets and focus on credit assets that rely less on leverage from short-term mark-to-market financing.

在幻燈片 12 上，您可以看到公司從 2019 年 12 月 31 日到 2020 年 3 月 31 日期間的投資組合和槓桿率的變化。我們公司有應對動盪市場的歷史，但我們從未經歷過如此快速的價格下跌相應的標的資產惡化。我們清算 Agency 和 Freddie K 投資組合的決定是一個艱難的決定，但這是必要的，因為我們需要減少低利潤率的高槓桿策略，並從我們的投資組合中利用非現金非流動資產。我們相信，我們剩餘的信貸投資組合為我們提供了彌補賬面價值下降的最佳途徑。在繼續監測 COVID-19 對我們市場的影響並專注於較少依賴短期盯市融資槓桿的信貸資產時，我們將保持紀律嚴明和衡量的方法。

In addition, we continue to focus on financing transactions that have longer committed terms and minimal or no exposure to mark-to-market. As we move into the financial results, we've included in slides 26 to 34 is our quarterly comparative financial information section that will help in aiding the discussions of our performance -- our financial performance.

此外，我們將繼續專注於融資交易的承諾條款更長，並且很少或沒有按市值計價的風險。當我們進入財務業績時，我們在幻燈片 26 至 34 中包含了我們的季度比較財務信息部分，這將有助於討論我們的業績——我們的財務業績。

On Slide 14, we'll go through the first quarter financial snapshot, which you can see our basic and diluted GAAP loss per share of $1.71 and comprehensive loss per share of $2.11. Our economic return for the quarter was a negative 32.6%. We temporarily suspended both our common and preferred dividends on March 23. We continue to evaluate market conditions and hope to reinstate our dividends in the near future. Our investment portfolio totaled $3 billion, with 78% in credit asset -- in residential credit assets and 20% focused on multifamily credit assets. Our average net margin -- net interest margin for the first quarter was 2.92%, up 2 basis points from the previous quarter. Our average asset yields decreased by 16 basis points, but that was more than offset by the 18 basis point decline in our cost of financing, primarily due to Fed actions, which began late last year. With $2 billion in asset sales and the related reduction of $1.7 billion in borrowings, our quarter end portfolio leverage was 0.7x, and our overall leverage ratio was 0.8x. As I previously stated, our current portfolio leverage is 0.6x today.

在幻燈片 14 上，我們將瀏覽第一季度的財務快照，您可以看到我們的基本和攤薄後的 GAAP 每股虧損為 1.71 美元，每股綜合虧損為 2.11 美元。我們本季度的經濟回報率為負 32.6%。我們於 3 月 23 日暫停了普通股和優先股股利。我們將繼續評估市場狀況，並希望在不久的將來恢復我們的股利。我們的投資組合總計 30 億美元，其中 78% 為信貸資產——住宅信貸資產，20% 專注於多戶信貸資產。我們第一季度的平均淨利潤率——淨息差為 2.92%，比上一季度上升 2 個基點。我們的平均資產收益率下降了 16 個基點，但這被我們的融資成本下降 18 個基點所抵消，這主要是由於去年底開始的美聯儲行動。憑藉 20 億美元的資產出售和 17 億美元的相關借款減少，我們的季度末投資組合槓桿率為 0.7 倍，我們的整體槓桿率為 0.8 倍。正如我之前所說，我們目前的投資組合槓桿率是今天的 0.6 倍。

On Slide 15, our first quarter summary. You can see that we had $512 million loss in the first quarter -- I'm sorry, we had $512 million in equity raised in the first quarter with 2 successful raises, one in January and one in February, generating $20 million of accretive capital. In addition, we had $633 million in purchases through the first week of March. In the last 2 weeks of March, we sold $2 billion in securities and loans, and we had a GAAP net loss of $599 million and a comprehensive loss of $241 million.

在幻燈片 15 上，我們的第一季度總結。你可以看到我們在第一季度虧損 5.12 億美元——對不起，我們在第一季度籌集了 5.12 億美元的股本，其中兩次成功籌集，一次在 1 月，一次在 2 月，產生了 2000 萬美元的增值資本.此外，截至 3 月的第一周，我們的採購額為 6.33 億美元。在 3 月的最後兩週，我們賣出了 20 億美元的證券和貸款，我們的 GAAP 淨虧損為 5.99 億美元，綜合虧損為 2.41 億美元。

Going into Slide 16, where there's further details of our financial results. You can see that we had net interest income of $47.1 million, an increase of $3.1 million from the previous quarter. We would expect second quarter net interest income to decrease due to the sale -- the portfolio sale that took place at the end of March. However, we don't expect a significant decrease in our net interest margin in terms of basis point spread. We had noninterest losses totaling $622 million, including $153 million in realized losses and $397 million in unrealized losses. These losses were primarily related to the $2 billion in asset sales and the markdown of our quarter end portfolio valuation.

進入幻燈片 16，那裡有我們財務業績的更多細節。您可以看到我們的淨利息收入為 4710 萬美元，比上一季度增加了 310 萬美元。我們預計第二季度淨利息收入將因出售而減少——3 月底進行的投資組合出售。然而，就基點利差而言，我們預計我們的淨息差不會顯著下降。我們的非利息損失總計 6.22 億美元，包括 1.53 億美元的已實現損失和 3.97 億美元的未實現損失。這些損失主要與 20 億美元的資產出售和我們季度末投資組合估值的降價有關。

Sales included $1.4 billion of Agency and non-Agency securities, $550 million of Freddie K first loss POs and $50 million in loan sales. Also included in the realized and unrealized losses was the impact of unwinding our entire swap portfolio. Company has over $300 million of unrealized losses still on its balance sheet, which we believe we can substantially recover in the future as the world reopens post COVID-19. We had total G&A expenses of $10.8 million for the quarter, an increase of $1.5 million from the previous quarter. This increase was largely attributable to $1 million related to long-term incentive costs -- amortization costs and a $500,000 increase in professional fees, primarily related to the expenses incurred over the last 2 weeks of the quarter. For presentation process, the calculation of net loss attributable to common stockholders includes our preferred dividends. Even though they were not declared, the preferred dividends must be paid in full prior to any common stock and therefore, included when determining net income for common stockholders.

銷售額包括 14 億美元的代理和非代理證券、5.5 億美元的 Freddie K 首次虧損採購訂單和 5000 萬美元的貸款銷售。已實現和未實現的損失還包括我們解除整個掉期投資組合的影響。公司的資產負債表上仍有超過 3 億美元的未實現損失，我們相信隨著世界在 COVID-19 之後重新開放，我們可以在未來大幅恢復。本季度我們的 G&A 總費用為 1080 萬美元，比上一季度增加了 150 萬美元。這一增長主要歸因於與長期激勵成本相關的 100 萬美元——攤銷成本和 500,000 美元的專業費用增加，主要與本季度最後兩週發生的費用有關。對於演示過程，歸屬於普通股股東的淨虧損的計算包括我們的優先股股息。即使沒有宣布，優先股股息也必須在任何普通股之前全額支付，因此在確定普通股股東的淨收入時包括在內。

The graph on the page shows that -- shows the 5 quarters of book value. The first quarter of -- for the first quarter of 2020, we broke out the realized and unrealized losses for the purpose of illustrating that almost 2/3 of the book value decline is related to unrealized losses, which we believe we can substantially recover in the future.

頁面上的圖表顯示——顯示了賬面價值的 5 個季度。第一季度——對於 2020 年第一季度，我們列出了已實現和未實現的虧損，以說明賬面價值下降的近 2/3 與未實現虧損有關，我們相信我們可以在未來。

I'll now turn the presentation over to Jason, who will go through our investment strategy. Jason?

我現在將演示文稿交給 Jason，他將介紹我們的投資策略。傑森？

Thank you, Steve. Starting on Page -- on Slide 18. As Steve mentioned, our book is now weighted towards single-family at 78% versus 20% in multifamily. On 12/31, we had $1.5 billion of repo against $2.4 billion of assets. Looking at the end of the quarter, we ended with about $1 billion of assets with about $118 million of total securitization repo, which I'm going to get into a second, where a lot of the liquidity issues arose. That $118 million is net of restricted cash.

謝謝你，史蒂夫。從第 18 頁開始——在幻燈片 18 上。正如史蒂夫所說，我們的書現在以 78% 的比例偏向單戶家庭，而多戶家庭則為 20%。在 12/31，我們有 15 億美元的回購和 24 億美元的資產。在本季度末，我們以大約 10 億美元的資產和大約 1.18 億美元的總證券化回購結束，我將進入第二個，其中出現了很多流動性問題。這 1.18 億美元不包括受限制的現金。

On Page 19, where we're looking at here on the single-family credit strategy. It starts with the residential loans, which is our distressed loan portfolio, where we've been purchasing subperforming loans that had a checker delinquency history in the past but showed elements of being able to continue paying on a mortgage loan with the servicing oversight help. In that case, we spent time with our servicer, working on the borrowers and determining their servicing strategies and looking at different ways we can maintain a borrower's current payment from being, let's say, 30 to 60 days delinquent to being coming a current loan or a 12-month current loan, which is the goal. Obviously, with respect to the COVID-19 outcome and economic distress, we're spending, obviously, more time with our servicers, ensuring that borrowers are getting the relief that they need and/or just understanding the terms of their loans. So this is not an unusual strategy for us in working with borrowers that we've managed nonperforming and subperforming portfolios collectively for over 10 years on average, on our team. So we have -- with our calls with our services, we have design strategies to meet the issues that have arose out of COVID-19.

在第 19 頁，我們將在這裡討論單戶信貸策略。它從住宅貸款開始，這是我們的不良貸款組合，我們一直在購買表現不佳的貸款，這些貸款過去有過檢查拖欠的歷史，但顯示出能夠在服務監督幫助下繼續支付抵押貸款的要素。在這種情況下，我們花時間與我們的服務商合作，研究借款人並確定他們的服務策略，並研究我們可以維持借款人當前付款的不同方式，例如，從拖欠當前貸款的 30 到 60 天或12個月的當前貸款，這是目標。顯然，就 COVID-19 的結果和經濟困境而言，我們顯然要花更多的時間與我們的服務商在一起，以確保借款人得到他們需要的救濟和/或了解他們的貸款條款。因此，對於我們與借款人合作的策略來說，這並不是一個不尋常的策略，我們在團隊中平均共同管理了超過 10 年的不良和表現不佳的投資組合。所以我們有——通過我們的服務調用，我們有設計策略來解決由 COVID-19 引起的問題。

On the performing loan strategy, where most of those assets other than outside $94 million is related to Scratch & Dent loans, these are assets we've been purchasing at discounts to par with respect to some kind of technical issue at origination of that loan that was supposed to be sold to either Agency or a non-Agency conduit. In that case, with lower rates, we're seeing a pickup of prepayment rates on our portfolio, which has been shortening the duration of our discount, which is actually increasing the return of that asset class. Performance has done well through this period as well on the performance side.

在執行貸款策略中，除 9400 萬美元以外的大部分資產都與 Scratch & Dent 貸款有關，這些資產是我們一直以折扣價購買的資產，以應對貸款發起時的某種技術問題應該出售給代理商或非代理商渠道。在這種情況下，由於利率較低，我們看到我們的投資組合的預付款率上升，這一直在縮短我們的折扣期限，這實際上增加了該資產類別的回報。在此期間的表現也很好，在表現方面也是如此。

On the security side, where I'm going to spend most of my time, is where we saw a liquidity trap at the end of March. Lower prices led to higher-margin calls, led to more sales, led to lower prices and [onward]. In that case, we saw an opportunity to sell for $105 million mostly in securities to reduce our exposure to mark-to-market liquidity, increase our liquidity against the margin calls. Today, with -- on the security side, as I said earlier, with $118 million of total repo balance outstanding after effective restricted cash, our focus is going to be on looking at the close to $1 billion of unencumbered assets and looking to obtain term financing structures. Steve mentioned earlier that there was a $900 million of potential term structures that we're looking at for our portfolio. We have a number of proposals out there, and we will be executing a few in a few weeks -- next few weeks. Looking to reinvest those -- that cash into assets that will have shorter duration, low LTV and high coupon carry, which I'll talk about in a minute.

在安全方面，我將花費大部分時間，是我們在 3 月底看到流動性陷阱的地方。較低的價格導致更高的保證金要求，導致更多的銷售，導致更低的價格和[向前]。在這種情況下，我們看到了以 1.05 億美元的價格出售主要證券的機會，以減少我們對按市值計價流動性的敞口，增加我們針對追加保證金通知的流動性。今天，在安全方面，正如我之前所說，在有效限制現金後未償還的總回購餘額為 1.18 億美元，我們的重點將是關注近 10 億美元的未支配資產並尋求獲得期限融資結構。史蒂夫早些時候提到，我們正在為我們的投資組合尋找 9 億美元的潛在期限結構。我們有許多提案，我們將在幾週內執行一些提案——接下來的幾週。希望將這些現金再投資於期限更短、LTV 低和息票利差高的資產，我將在稍後討論。

Now going over to Page 20, we're looking at the distressed loan strategies and servicing strategy updates. Again, our SPL characteristics, we have been focusing on buying loans in this space at low LTV, about 73%, with a high cash carry on coupon relative to the conforming markets. In March, we actually saw the highest collections in our history of managing these types of loans, which we started the year at the end of 2019 with an 18% increase in total borrowers that are paying to -- in 1 quarter, we had a 6% increase as of March 31. After March -- middle of March, we saw the largest point ever in job losses of $23.15 million, which is about 8.7x what we saw in any 4-week time period during the Great Financial Recession. We quickly went from looking at some opportunities and refinancings and other strategies to shorten duration to more of a defensive posture and managing our loans for the delinquencies that we would see, given job losses and income losses altogether.

現在轉到第 20 頁，我們正在研究不良貸款策略和服務策略更新。同樣，我們的 SPL 特徵是，我們一直專注於以低 LTV 購買該領域的貸款，約 73%，相對於符合條件的市場而言，現金結轉息票較高。在 3 月，我們實際上看到了我們管理此類貸款歷史上最高的收款額，我們在 2019 年底開始這一年，支付給的借款人總數增加了 18%——在 1 個季度，我們有一個截至 3 月 31 日，增長了 6%。在 3 月 - 3 月中旬之後，我們看到了有史以來最大的失業點 2315 萬美元，這大約是我們在金融大衰退期間任何 4 週時間段內看到的 8.7 倍。我們很快就從尋找一些機會和再融資以及其他縮短期限的策略轉變為更具防禦性的姿態，並為我們將看到的拖欠貸款管理，同時考慮到失業和收入損失。

Today, we have a -- well, as of March 31, our portfolio had 7% COVID forbearance, which is actually, at that time, was in line with the Fannie, Freddie and GSE underlying forbearance rates around 6% to 7%. Again, this is a sub-performing loan book to be equal to a performing loan book and forbearance rates is quite an achievement. Fast forwarding to 4/30, we had 21% of loans that entered into forbearance relief plans. Those loans -- of those loans, 55% or about 9.5% of the total loans were current in the month -- in 2020. So while it's 21% looking further into the data, it shows that only 9.5% of the loans were current prior to COVID. So increasing our COVID forbearance rate from 7% to about 9.5%.

今天，我們有一個 - 嗯，截至 3 月 31 日，我們的投資組合有 7% 的 COVID 寬容度，這實際上與當時房利美、房地美和 GSE 的基本寬容率一致，約為 6% 至 7%。同樣，這是一個表現不佳的貸款簿，等於一個表現良好的貸款簿，寬容率是一個相當大的成就。快進到 4/30，我們有 21% 的貸款進入了寬容救濟計劃。這些貸款——在這些貸款中，55% 或約 9.5% 的總貸款在當月是流動的——在 2020 年。因此，雖然有 21% 的人進一步研究數據，但它顯示只有 9.5% 的貸款是流動的在 COVID 之前。因此，將我們的 COVID 容忍率從 7% 提高到 9.5% 左右。

Again, we spend weekly calls with our servicers. We have design strategies for these types of outcomes. It's going -- the servicing industry is going to be under a lot of pressure over the course of the next few months as those forbearance plans were in place with respect to the CARES Act, where borrowers are calling and getting updates and finding with -- finding out if they're going to get extended or not. In our strategies, we try to deal with the borrower one by one and have design strategies for each borrower that were coming in and asking for relief. We think we don't see a one-size-fits-all strategy here with respect to servicing outcome. We are outside the CARES Act, given these are private loans. And therefore, we are able to provide, we think, better relief efforts and longer standing relief efforts for these borrowers.

同樣，我們每週都會與我們的服務人員通話。我們為這些類型的結果制定了設計策略。它正在發生——在接下來的幾個月裡，服務行業將面臨很大的壓力，因為那些與 CARES 法案有關的寬容計劃已經到位，借款人正在打電話並獲取更新和尋找——找出他們是否會被延長。在我們的策略中，我們嘗試與借款人一一打交道，並為每個進來並要求救濟的借款人設計策略。我們認為，在服務結果方面，我們看不到一刀切的策略。我們不屬於 CARES 法案，因為這些是私人貸款。因此，我們認為，我們能夠為這些借款人提供更好的救濟工作和更長期的救濟工作。

On Page 21. Now skipping over to multifamily, where 20% of our portfolio currently sits. We -- as Steve mentioned, we sold out of our first loss position, which was mostly the $1 billion of sales we did in the quarter. We delevered out of the first loss and basically moved up the capital structure into the mezz bonds that we own on our balance sheet where we currently own today. So in doing so, we sold down about $800 million of POs first loss positions. And today, we have a portfolio with a minimum of 7% credit support in that security line item of $268 million, a 7% credit support against a portfolio of loans, which were underwritten at origination by our multifamily team. We feel very comfortable with the exposure there, limited exposure to student housing. In fact, when we look at the forbearance rates, it's a fraction of what we're seeing from the single-family side, and this is due to higher lease rollovers from expectations as well as landlords that have actually proactively reached out to tenants and helped them with securing government aid as relates to job losses or PPP plans, et cetera, as it relates to the CARES Act. So we think those efforts as well as solid fundamentals in the multifamily space has really helped keep the pay ratio high and the delinquency rates low on the underlying loans.

在第 21 頁。現在跳到多戶家庭，我們的投資組合目前佔 20%。我們——正如史蒂夫所說，我們賣出了我們的第一個虧損頭寸，這主要是我們在本季度完成的 10 億美元的銷售額。我們擺脫了第一次虧損，基本上將資本結構上移到我們目前擁有的資產負債表上的夾層債券中。因此，在這樣做的過程中，我們賣出了大約 8 億美元的 PO 首次虧損頭寸。今天，我們的投資組合在 2.68 億美元的安全項目中至少有 7% 的信貸支持，7% 的信貸支持針對貸款組合，這些貸款最初由我們的多戶家庭團隊承保。我們對那裡的接觸感到非常舒服，對學生宿舍的接觸有限。事實上，當我們查看寬容率時，這只是我們從單戶家庭方面看到的一小部分，這是由於預期的更高租約展期以及實際上主動接觸租戶的房東和幫助他們獲得與失業或 PPP 計劃等有關的政府援助，因為它與 CARES 法案有關。因此，我們認為這些努力以及多戶家庭領域的堅實基礎確實有助於保持較高的薪酬比率和較低的基礎貸款拖欠率。

Going to Page 22. Spending more time now on our direct loan exposure, where half of our exposure is in multifamily space. Our -- what we call direct exposure is loans to multifamily properties, typically 150, 300 units. These are loans mostly in the South/Southeast part of the United States, where the underlying borrower is taking out a senior loan with respect to likely Freddie Mac and the average loan portfolio section box to the right. You can see that loan is around $29.8 million on average, where we provide a $6.2 million average mezz loan or a pref to -- from a 68% LTV to an 82% LTV at our position. Again, these are loans that are 2 properties in mostly the South/Southeast part of the United States where we see the best demand characteristics and migration from the Northeast, particularly to those markets. Job losses in those markets, we think, will be -- given the economies have already, in most cases, have come back with respect to isolation measures, we think we'll have a faster return and we'll outperform the Northeast markets with respect to multifamily.

轉到第 22 頁。現在將更多時間花在我們的直接貸款風險上，其中我們一半的風險來自多戶家庭空間。我們——我們所說的直接敞口是對多戶住宅的貸款，通常是 150、300 套。這些貸款主要在美國南部/東南部，基礎借款人正在為可能的房地美和右側的平均貸款組合部分獲取高級貸款。您可以看到平均貸款約為 2980 萬美元，我們提供平均 620 萬美元的夾層貸款或優先級——從 68% 的 LTV 到我們職位的 82% 的 LTV。同樣，這些貸款是美國南部/東南部大部分地區的兩處房產，我們看到了最好的需求特徵和從東北部的遷移，特別是向這些市場。我們認為，這些市場的失業將是——鑑於在大多數情況下，經濟已經在隔離措施方面有所恢復，我們認為我們將獲得更快的回報，並且我們的表現將優於東北市場尊重多家庭。

In this -- in our portfolio, we have 50 mezzanine loans or pref loans, where we have 1 loan as of 4/30 that was in -- and as of today, that is in a state of COVID forbearance. Prior to -- up to 3/31, we didn't have any loans that needed forbearance relief. We do have 1 loan today that comprise of roughly 1% of portfolio. We're actively reaching out to our -- to the property managers and the sponsors on all these properties to get assessment of their forbearance-related plans with respect to their tenants. To date, we have been surprised on the level of activity and general performance underlying portfolios. This is an area that we will likely overweight with respect to the cash that we're raising from financing in the near future. So the expectation here is that we will continue investing into this asset class.

在這一點——在我們的投資組合中，我們有 50 筆夾層貸款或優先貸款，截至 4/30，我們有 1 筆貸款——截至今天，處於 COVID 寬容狀態。之前 - 直到 3/31，我們沒有任何需要暫緩減免的貸款。我們今天確實有 1 筆貸款，約佔投資組合的 1%。我們正在積極聯繫我們的物業經理和所有這些物業的讚助商，以評估他們對租戶的寬容相關計劃。迄今為止，我們對投資組合的活躍程度和總體表現感到驚訝。就我們在不久的將來從融資中籌集的現金而言，這是一個我們可能會增持的領域。因此，這裡的期望是我們將繼續投資於這一資產類別。

Switch over to Page 23, where we sold -- this is the Agency exposure. As Steve mentioned earlier, we took advantage of the liquidity that was being off of the market in our Agency book. We sold off the position to delever, increase liquidity, pay down margin calls. Today, this is an asset class that we find challenge with respect to generating any meaningful return. As of 5/8, the yield in this asset class was about 1.1%. You have a very short duration now in this market as they modeled out about 1.5 years versus a 5.5 year duration in January. So with respect to -- while the interest rate volatility is definitely lower, there's no structural changes coming to this market that will have to be analyzed that we've never seen before as it relates to COVID plan, forbearance release and different measures FHFA may roll out for those particular forbearance plans, whether those loans get bought out of the portfolio or stay in the portfolio will change the CPR rates. So these are additional factors that it will be very hard to model. There's no real history on that type of activity. And therefore, we think this is definitely an asset class that we'll be underweighting. We will continue using the Agency CMBS space as an incubator for cash to the extent that we were looking to raise new capital and put into the market. That is an area where we don't see negative convexity risk given the fact that indeed the borrowers and aligned multifamily CMBS from Freddie Mac, in particular, are locked out from any kind of prepayment potential. So the premium assets you can buy there have durations that are well -- can be well analyzed and modeled out.

切換到第 23 頁，我們在那裡銷售——這是代理機構的曝光。正如史蒂夫之前提到的，我們利用了我們代理書中的市場流動性。我們拋售頭寸以去槓桿、增加流動性、支付追加保證金。今天，這是一個我們發現在產生任何有意義的回報方面存在挑戰的資產類別。截至 5/8，該資產類別的收益率約為 1.1%。你現在在這個市場上的期限很短，因為他們模擬了大約 1.5 年，而 1 月份的期限為 5.5 年。因此，關於 - 雖然利率波動性肯定較低，但該市場不會發生結構性變化，我們必須分析我們以前從未見過的，因為它與 COVID 計劃、寬容釋放和 FHFA 可能的不同措施有關推出那些特定的寬容計劃，無論這些貸款是從投資組合中購買還是留在投資組合中，都會改變 CPR 利率。因此，這些是很難建模的附加因素。這種活動沒有真正的歷史。因此，我們認為這絕對是我們將減持的資產類別。在我們尋求籌集新資金並投入市場的範圍內，我們將繼續使用代理 CMBS 空間作為現金孵化器。這是一個我們看不到負凸性風險的領域，因為事實上，借款人和房地美的多戶家庭 CMBS 確實被排除在任何類型的提前還款潛力之外。因此，您可以在那裡購買的優質資產的持續時間很好——可以很好地分析和建模。

On Page 25, just looking at our -- the outlook for the second quarter. Obviously, we're going to continue our credit focus where we have ample and experience looking at both distress and delinquency and dislocation and both the multifamily and single-family asset classes. In this market, we can target higher discounts and look for better upside with respect to the low rate environment. I mentioned earlier, we were looking at some, in particular, short duration strategies in multifamily bridge loans, et cetera, where a sponsor was likely going to take out a K-Series or Freddie Mac senior loan. And looking at the underlying fundamentals, may want to wait a year or 2 to take out that senior loan and lock them in for 10 years. That's an opportunity to provide bridge loan financing at high at low double-digit and total teens return opportunity to a 50%, 65% LTV type of property under a very short duration.

在第 25 頁，只看我們的第二季度展望。顯然，我們將繼續我們的信貸重點，我們在處理困境、拖欠和錯位以及多戶和單戶資產類別方面擁有充足和經驗。在這個市場上，我們可以瞄準更高的折扣，並在低利率環境下尋找更好的上行空間。我之前提到過，我們正在研究多戶過渡貸款等的短期策略，特別是在這些策略中，贊助商可能會獲得 K 系列或房地美高級貸款。看看潛在的基本面，可能要等一兩年才能取出那筆高級貸款並將其鎖定 10 年。這是一個機會，可以在很短的時間內以低兩位數的高價提供過橋貸款融資，並且青少年總回報率高達 50%、65% 的 LTV 類型的房產。

In single family, we're finding value in the Scratch & Dent markets where we're looking at assets with [$80 price – 80 -- 8 handled oil] price, where we see rates continue to come down and more prepayment optionality for those borrowers that are getting into -- that were supposed to go into a Fannie Mae securitization, Freddie Mac securitization and did not make it because of a technical issue. So our ability to refinance those borrowers into a Fannie, Freddie deal on the follow is something that we think will add value.

在單身家庭中，我們在 Scratch & Dent 市場尋找價值，我們正在尋找具有 [80 美元價格 – 80 - 8 處理石油] 價格的資產，我們看到利率繼續下降，並且這些資產的預付選擇權更多正在進入的借款人 - 本來應該進入房利美證券化，房地美證券化但由於技術問題而沒有成功的借款人。因此，我們將這些借款人再融資成房利美交易的能力是我們認為會增加價值的東西。

On our financial position, given our -- as Steve mentioned, our total leverage ratio of about 0.6x, plenty of cash on balance sheet with unencumbered assets. We are, again, as you said, looking at different proposals for term finance nonmark-to-market structures where we can redeploy that capital into a market that has opportunities in both single-family and multifamily. In that particular case, the goal for us is to focus on credit -- in credit to focus on low LTV product, where there is ample credit support protection to protect against a 20 -- some moderate unemployment rate in this market. So the prices in this market are definitely reflecting the unemployed rate that we've seen. Different measures and economists have looked at unemployment rate coming back from 20s level to a 13.5%, so even 11.5% flat line over the course 2021. These are the types of scenarios that we have to abide by and look at when we're looking at anything in the credit space to ensure that it has the downside protection and being able to utilize our expertise in managing distress.

關於我們的財務狀況，考慮到我們 - 正如史蒂夫所提到的，我們的總槓桿率約為 0.6 倍，資產負債表上有大量現金和未支配資產。正如您所說，我們正在研究關於定期融資非按市值計價結構的不同建議，我們可以將這些資本重新部署到一個在單戶和多戶都有機會的市場中。在這種特殊情況下，我們的目標是專注於信貸——在信貸中專注於低 LTV 產品，其中有足夠的信貸支持保護來防止 20——這個市場的一些溫和失業率。所以這個市場的價格肯定反映了我們所看到的失業率。不同的措施和經濟學家已經看到失業率從 20 多歲的水平回到 13.5%，因此在 2021 年甚至是 11.5% 的持平線。這些是我們在觀察時必須遵守和觀察的情景類型在信貸領域的任何事情上，以確保它具有下行保護並能夠利用我們的專業知識來管理困境。

So with that, I'll pass it over to Steve.

因此，我將把它交給史蒂夫。

Thanks, Jason. Operator, why don't we open it up for questions now.

謝謝，傑森。接線員，我們為什麼不現在打開它來提問。

(Operator Instructions) Our first question comes from the line of Doug Harter from Crédit Suisse.

（操作員說明）我們的第一個問題來自 Crédit Suisse 的 Doug Harter。

Given the commentary you made around kind of target asset mix what do you think -- what type of leverage do you think your balance sheet can sustain right now? And kind of what should we think about in terms of pacing to get there?

鑑於您對目標資產組合的評論，您如何看待——您認為您的資產負債表現在可以維持什麼樣的槓桿？在到達那裡的節奏方面我們應該考慮什麼？

Yes. Look, Doug, going forward, I think all the -- all of us who are in credit -- the credit market, they're going to look to put more secure financing in place. So as we look at -- as we -- as Jason mentioned, we're in the process of working to get some of our [over] $1 billion of unencumbered securities out on some longer-term financing of 12 to 18 months nonmark-to-market. So it's going to definitely be on a lower leverage amount. Probably LTVs of 60% to 65%. So I would imagine at our 0.6x to 0.7x longer term, we'd probably start to look like between 1x and 1.5x. And that will depend on the underlying assets. But if we continue, as we -- I think we are going to do, given the opportunities today, focus on more loan-oriented type investing, either direct lending or residential loan purchasing, they'll be combined with some kind of longer-term financing. So again, given the kinds of advance rates we're seeing, my guess would be between 1x and 1.5x.

是的。看，道格，展望未來，我認為所有——我們所有的信貸人——信貸市場，他們都將尋求更安全的融資。因此，正如我們所看到的 - 正如我們 - 正如 Jason 所提到的，我們正在努力將我們 [超過] 10 億美元的未支配證券中的一些用於 12 至 18 個月的非標記長期融資——市場。因此，它肯定會採用較低的槓桿金額。可能 LTV 為 60% 到 65%。所以我想在我們的 0.6 倍到 0.7 倍的長期來看，我們可能會開始看起來介於 1 倍和 1.5 倍之間。這將取決於基礎資產。但是，如果我們繼續——我認為，鑑於今天的機會，我們將要做的，專注於更多以貸款為導向的投資，無論是直接貸款還是購買住宅貸款，它們將與某種更長期的——定期融資。再說一次，鑑於我們所看到的各種預付率，我的猜測是在 1 倍和 1.5 倍之間。

And kind of just, I guess, how should we think about the net interest margin kind of in that environment? Just trying to -- using 1, 1.5 turns of leverage and kind of backing into what that would mean from an ROE kind of after the preferred dividend and after the expenses that's -- I guess, just trying to figure out how that -- what that sort of pencils out to? And are there going to be other sort of fee income that you've generated in the past?

我想，在那種環境下，我們應該如何考慮淨息差？只是試圖 - 使用 1、1.5 圈的槓桿，並在優先股利和支出之後的 ROE 中支持這意味著什麼——我猜，只是想弄清楚這是怎麼回事——什麼那種鉛筆出來的？您過去是否會產生其他類型的費用收入？

Yes. Look, I think to some extent, selling some of the assets that we sold, the Freddie K POs, for example, now if you think about the assets we did sell, we sold the Agency, which was a lower yielding, higher leverage strategy, and we sold the POs, which was obviously a high yielding, lower levered, but still levered strategy. The net margin was 292 basis points. I think at the end, when we get done with it, we're going to be around the very similar neighbor, 280 to 295 in basis points. And if you look at -- if you take the leverage out, keeping in mind that we have much lower cost of interest expense because of the lower leverage. I mean I think we will still move towards generating a high single digit, low double-digit yield in this difficult environment. As we get more comfortable and get more financing in place, that's longer term, and we understand the cost of that financing, which has changed substantially from our discussions that started to take place in the beginning of April to today, it's probably come in 300 or 400 basis points. We're better able to judge what that looks like as we go into the end of the second quarter into the third quarter.

是的。看，我認為在某種程度上，出售我們出售的一些資產，例如 Freddie K PO，現在如果你考慮我們出售的資產，我們出售了代理機構，這是一種收益率較低、槓桿率較高的策略，我們賣掉了採購訂單，這顯然是一種高收益、低杠桿但仍然有槓桿的策略。淨利潤率為292個基點。我認為最後，當我們完成它時，我們將圍繞非常相似的鄰居，280 到 295 個基點。如果你看一下——如果你去掉槓桿，請記住，由於槓桿較低，我們的利息費用成本要低得多。我的意思是，我認為在這個困難的環境中，我們仍將朝著產生高個位數、低兩位數的收益率邁進。隨著我們變得更加舒適並獲得更多融資，這是長期的，而且我們了解融資的成本，從我們從 4 月初開始進行的討論到今天，這已經發生了很大變化，它可能會達到 300或 400 個基點。當我們進入第二季度末到第三季度時，我們能夠更好地判斷情況。

Our next question comes from the line of Eric Hagen from KBW.

我們的下一個問題來自 KBW 的 Eric Hagen。

I hope you guys are doing well. I have few questions here. On the preferred equity and mezz debt side, were there marks on those positions during the quarter? And then I have a...

我希望你們都做得很好。我在這裡有幾個問題。在優先股和夾層債務方面，本季度這些頭寸是否有標記？然後我有一個...

Absolutely.

絕對地。

Yes. Let me -- I'll just kind of go through my questions and you can answer them...

是的。讓我 - 我會簡單地回答我的問題，你可以回答它們......

Sure. Okay.

當然。好的。

And then on the $300 million in unrealized losses that you think are recoverable, versus the $390 something million that were unrealized taken during the quarter, can you just help us tie together the difference there? And it looks like maybe the unrealized losses are sitting mostly in the resi credit portfolio, but can you get more specific on where those losses sit?

然後關於您認為可以收回的 3 億美元未實現損失，與本季度未實現的 3.9 億美元相比，您能否幫助我們將其中的差異聯繫起來？看起來未實現的損失可能主要存在於 resi 信貸投資組合中，但您能否更具體地了解這些損失的具體位置？

And then finally, you guys noted that there were some settlements of sales that took place post quarter end. Was there any impact on book value from that? And what's the outlook for the dividend to be paid?

最後，你們注意到在季度末發生了一些銷售結算。這對賬面價值有影響嗎？派發股息的前景如何？

Yes. So the first one on -- sure. Thanks, Eric. The first -- the question on mark-to-market on the preferred. So we account for the preferred in 2 different buckets. One, if it, from an accounting standpoint, qualifies as a loan, it shows up as an individual line as a loan. And if it doesn't qualify as a loan, it shows up as an investment on consolidated subsidiary. But across those 2 asset classes, there was about $9 million of unrealized losses. Those losses are calculated based on how you go through any fair market valuation assessment, the Level 3 assets. We're looking at the current rates that preferreds are being issued at today in terms of our lending rates that we're active in the marketplace and our competitors as well as the underlying properties. So it was about $9 million on that portfolio.

是的。所以第一個 - 當然。謝謝，埃里克。第一個——關於按市值計價的問題。因此，我們在 2 個不同的存儲桶中考慮了首選。第一，如果從會計的角度來看，它符合貸款條件，它會作為貸款顯示為單獨的行。如果它不符合貸款條件，它就會顯示為對合併子公司的投資。但在這兩個資產類別中，大約有 900 萬美元的未實現損失。這些損失是根據您通過任何公平市場估值評估的方式計算的，即 3 級資產。我們正在根據我們在市場上活躍的貸款利率和我們的競爭對手以及基礎資產來查看當前發行的優先股利率。因此，該投資組合約為 900 萬美元。

As Jason pointed out, there was only -- today, at April 30, there's only one loan that's delinquent, it's $3 million of the $311 million. All of them are meeting their cash flow commitments to us so far. And when you look at trying to reconcile the unrealized, and this is where GAAP accounting doesn't do favors to people who look at financial statements. So if you think about realized versus unrealized, realize is the difference between the amortized purchase costs and the sales price and unrealized is where you last marked it to the amortize costs. So we end up with $300 million on the balance sheet. But as you can imagine, we were in a positive position on some of those asset classes. So as you transition from up $100 million to down $300 million, that's where you generate your $400 million or $396 million.

正如 Jason 指出的那樣，只有 - 今天，即 4 月 30 日，只有一筆貸款拖欠，它是 3.11 億美元中的 300 萬美元。到目前為止，他們都在履行對我們的現金流承諾。當你試圖調和未實現的東西時，這就是 GAAP 會計對查看財務報表的人沒有好處的地方。因此，如果您考慮已實現與未實現，實現是攤銷購買成本與銷售價格之間的差額，未實現是您最後將其標記為攤銷成本的位置。因此，我們最終在資產負債表上獲得了 3 億美元。但正如你可以想像的那樣，我們在其中一些資產類別上處於積極地位。因此，當你從上升 1 億美元過渡到下降 3 億美元時，這就是你產生 4 億美元或 3.96 億美元的地方。

Another part of the aspect of the $396 million is the unwinding of the swap book, where it showed that we had a $73 million realized loss, but that was offset by $43 million of unrealized losses previously taken. So really a net of $28 million. So the $300 million that ends up on the balance sheet is across the residential portfolio. And I think the best way to look at that, Eric, is if you look at the fair value table in what the 10-Q is filed next week, it will lay out exactly where all those unrealized losses sit. I don't have that right in front of me, otherwise, I'd give you the numbers, but I don't have it sitting in front of me, so I don't want to guess off the top of my head, but it will be disclosed Tuesday when we file the 10-Q.

3.96 億美元的另一部分是掉期賬簿的平倉，它顯示我們有 7300 萬美元的已實現損失，但這被之前的 4300 萬美元未實現損失所抵消。所以真的淨賺了2800萬美元。因此，最終出現在資產負債表上的 3 億美元是整個住宅投資組合。我認為，埃里克，如果你看一下下週提交的 10-Q 中的公允價值表，我認為最好的方法是，它將準確地列出所有未實現損失的位置。我面前沒有那個，否則，我會給你數字，但我沒有它坐在我面前，所以我不想猜測我的頭頂，但它會在我們週二提交 10-Q 時披露。

Super. And then how about the impact on book value [and what’s the outlook] dividend as well, Steve?

極好的。然後對賬面價值的影響[以及前景如何]股息，史蒂夫？

Yes, is it related to the sales? Yes. The sales that took place in early April were really sales that we entered into at the end of the March on a trade day basis and just settled in the first week of April. And then as a dividend, we are -- we continue to evaluate the markets. I would like to go through the June 1 payment cycle to see the delta change in the COVID cash payment flows, but we're very hopeful that we'll be reinstating the dividends in the near future.

是的，和銷量有關係嗎？是的。 4 月初發生的銷售實際上是我們在 3 月底以交易日為基礎進行的銷售，並且剛剛在 4 月的第一周結算。然後作為紅利，我們 - 我們繼續評估市場。我想通過 6 月 1 日的付款週期來查看 COVID 現金支付流量的增量變化，但我們非常希望我們將在不久的將來恢復股息。

Great. And not to be too dense on the book value, but it sounds like no real meaningful impact from the end of the quarter on book value?

偉大的。並且不要對賬面價值過於密集，但聽起來本季度末對賬面價值沒有真正有意義的影響？

No, I mean, look, we know from the other people that have come out and announced, there are several REITs that have come out and said their book values are up. But there's no question that securities portfolio is up. There is no question some of our other asset classes have improved, liquidity started to improve in terms of -- you're starting to see 2 way flows of securities and loan transacting, securitization is being done. We're still continuing to evaluate the residential loan market as it relates to forbearance. So we would prefer not to go out. While we feel comfortable that the book value is higher, we don't really want to put a number on what -- how much higher it is.

不，我的意思是，看，我們從其他已經出來並宣布的人那裡知道，有幾家房地產投資信託基金已經出來並表示它們的賬面價值上升了。但毫無疑問，證券投資組合上漲了。毫無疑問，我們的其他一些資產類別已經改善，流動性開始改善 - 你開始看到證券和貸款交易的兩種方式流動，證券化正在完成。我們仍在繼續評估與寬容有關的住宅貸款市場。所以我們寧願不出去。雖然我們對賬面價值更高感到滿意，但我們真的不想對它有多高給出一個數字。

Our next question comes from the line of Jules Kirsch from Jules P. Kirsch.

我們的下一個問題來自 Jules P. Kirsch 的 Jules Kirsch。

I hope you do have an enjoyable weekend. My question concerns the likelihood going forward of further margin calls. Has that exposure changed? And if so, in what direction?

我希望你周末過得愉快。我的問題涉及進一步追加追加保證金的可能性。曝光有變化嗎？如果是這樣，在什麼方向？

Yes, I mean, look, just from the mere fact that we've almost taken $1.7 billion of liabilities off the balance sheet that in itself has reduced the margin calls, which was one of the goals of the company. We have 1 non-Agency security out on a repo, which has been marked down significantly, and we believe the marks on that portfolio represents probably lower than where the actual prices of the security is today. So we don't foresee significant margin calls on that in the future. And then the remaining part of our borrowings on our residential loan portfolio, which has been marked to where we think represent market clearing levels on the loan side. So while there can be additional margin calls, we don't think we're in a situation where we'll have significant amounts of margin calls that put the company under distress again, unknowingly.

是的，我的意思是，看，僅僅因為我們已經從資產負債表中扣除了幾乎 17 億美元的負債，這本身就減少了追加保證金，這是公司的目標之一。我們在回購中有 1 只非機構證券，已大幅下調，我們認為該投資組合上的標記可能低於當前證券的實際價格。因此，我們預計未來不會對此進行重大追加保證金。然後是我們住宅貸款組合中的剩餘部分借款，這已被標記為我們認為代表貸款方面的市場清算水平的位置。因此，雖然可能會有額外的追加保證金通知，但我們認為我們不會在不知不覺中收到大量追加保證金通知，讓公司再次陷入困境。

Our next question comes from the line of Stephen Laws from Raymond James.

我們的下一個問題來自 Raymond James 的 Stephen Laws。

Steve, good to hear from you guys. Hope everyone is doing well. Wanted to follow-up, maybe I apologize if I missed a comment, but a question earlier, somewhat around the dividend, but really more taxable income. I think one of -- in the release was $170 million of unrealized gain reversal. Was that in taxable income and has been distributed? Where does that leave you from a distribution requirement standpoint? And from a taxable income basis, how do we think about what is losses on security sales, where they're floored at 0 and can't offset ordinary income versus what's normal course of business and can offset ordinary income from the portfolio to drive that taxable income?

史蒂夫，很高興聽到你們的消息。希望每個人都做得很好。想要跟進，如果我錯過了評論，也許我很抱歉，但更早的一個問題，有點圍繞著股息，但確實是更多的應稅收入。我認為其中之一 - 在發布中是 1.7 億美元的未實現收益逆轉。是否在應稅收入中並已分配？從分發需求的角度來看，這會給您帶來什麼影響？從應稅收入的基礎上看，我們如何看待證券銷售的損失，它們的底限為 0，不能抵消普通收入與正常業務過程，並且可以抵消投資組合中的普通收入來推動這一點應納稅所得額？

That's a very good question, Steve. We -- obviously, when we look at our taxable distribution requirements for the year, it's a yearly requirement that we have to meet. And so when we suspended a dividend, that was 100% related to meeting near-term liquidity concerns. And as we go forward and set our dividend policy, obviously, we're going to take all those into consideration. But as we sit today, we feel confident that given where we think when we reinstate the dividend and our ability to generate the return to cover those dividends, we won't have any significant mismatch of what we're required to pay and what we are.

這是一個很好的問題，史蒂夫。我們 - 顯然，當我們查看我們當年的應稅分配要求時，這是我們必須滿足的年度要求。因此，當我們暫停派息時，這 100% 與解決近期流動性問題有關。當我們繼續制定股息政策時，顯然，我們將考慮所有這些。但是當我們今天坐下來時，我們有信心考慮到我們在恢復股息時的想法以及我們產生回報以覆蓋這些股息的能力，我們不會出現任何重大不匹配我們需要支付的費用和我們的是。

Okay. And I know you don't have to -- still early in the year for dividend commentaries. I understand that. To think about cash flows a little more and just interest income on the loan portfolio, I appreciate the reconciliation of the 7% that's maybe 9.5%, roughly, I believe, Jason said at the end of April. Where do you -- do you have any thoughts on where that goes? Or can you give us some color on the geographic footprint of those loans? And then as they do go into some forbearance plan, how does that work with regards to accruing interest? Do you accrue interest for, say, 90 days or a certain period of time on your income statement? Or does it not run through the income statement once it starts taking forbearance?

好的。而且我知道你不必 - 仍然在今年年初進行股息評論。我明白那個。傑森在 4 月底表示，要多考慮現金流和貸款組合的利息收入，我很欣賞 7% 的對賬，我相信大概是 9.5%。你在哪裡——你對它的去向有什麼想法嗎？或者你能給我們一些關於這些貸款的地理足蹟的顏色嗎？然後，當他們確實進入一些寬容計劃時，這對累積利息有何影響？您是否會在損益表上累積 90 天或特定時間段的利息？或者一旦開始忍耐，它就不會貫穿損益表嗎？

Yes. So on the servicing side, the -- overall, what we're seeing is a market that's going to trend to about a 20% forbearance rate. And that -- in totality on the non-Agency side of the equation, including new performing loans that were originated in 2019, we think that number is going to be in the 20s. Our portfolio added 20 plus COVID relief plan effort, which most of those loans -- 55% of those loans were already delinquent prior to the COVID plans. We're giving extra relief without pursuing for closure measures, et cetera. We think we're going to continue to see that increase. We think we've seen the largest increase to date in that -- in the last monthly cycle in April. We have seen a number of borrowers that have made payment after the COVID plan has been in place for a 1-month deferral. And remember, our servicing strategies do not just simply have to offer a 6-month or 12-month forbearance. We're also looking at month-to-month deferrals as well to ensure that the borrower is not being put into a situation where he won't be able to access credit in the future, such as a refinance with a longer date forbearance.

是的。因此，在服務方面，總體而言，我們所看到的市場將趨向於大約 20% 的寬容率。而且——總的來說，在等式的非機構方面，包括 2019 年產生的新貸款，我們認為這個數字將在 20 多歲。我們的投資組合增加了 20 多項 COVID 救濟計劃工作，其中大部分貸款——其中 55% 的貸款在 COVID 計劃之前已經拖欠。我們在不採取關閉措施的情況下給予額外的救濟，等等。我們認為我們將繼續看到這種增長。我們認為我們已經看到了迄今為止最大的增長——在 4 月的最後一個月度週期中。我們已經看到許多藉款人在 COVID 計劃延期 1 個月後付款。請記住，我們的服務策略不僅僅是提供 6 個月或 12 個月的寬限期。我們也在考慮逐月延期，以確保借款人不會陷入未來無法獲得信貸的境地，例如延期延期的再融資。

And what everybody has read is that the -- as a loan goes into forbearance, the payment disruption is not reported to the credit bureaus, though it is -- it is reported is the fact that the borrower went into forbearance. So having a forbearance on your credit actually does limit your capability of accessing a refinance at lower rates. So we're very careful not to have that be a headwind against the borrower and lowering his overall payment in accessing record low mortgage rates, which we expect to see over the course of the next 6 months. So that is on a case-by-case basis. And again, we do expect that number to increase, but we think we've seen the largest increase to date in the month of March -- sorry, month of April.

每個人都讀到的是——當貸款進入延期付款時，付款中斷不會報告給信用局，儘管它是——據報導是藉款人進入延期付款的事實。因此，容忍您的信用實際上確實限制了您以較低利率獲得再融資的能力。因此，我們非常小心，不要讓這對借款人造成不利影響，並降低他在獲得創紀錄的低抵押貸款利率時的總體還款額，我們預計在未來 6 個月內會看到這種情況。所以這是根據具體情況而定的。再說一次，我們確實預計這個數字會增加，但我們認為我們在 3 月份看到了迄今為止最大的增長——對不起，4 月份。

As you can see in our portfolio, we bought these loans with a number of these loans already delinquent from the start. We are working with a loan servicer and servicers that have vast experience. And one of our largest servicers dedicated personnel to our servicing book. So we're not taking a performing loan servicing strategy and trying to figure out forbearance related to the relief plans. We have been in active conversation with a number of these borrowers for over a year. And those conversations continue through these forbearance plans. So we have borrowers that understand the relief efforts that our service has been providing to them. And we have a servicing team that is -- was basically selected and built to deal with a high level amount of delinquent performance. So we feel pretty comfortable about our ability to service through this environment. Obviously, the question of total delinquencies will be a function of total job losses and where those job losses are. Your question earlier is where our portfolio on a footprint. We have a national footprint portfolio. We have underweighted portfolios in selection in the Northeast part of the United States for a number of years, simply related to the foreclosure delinquent -- foreclosure time lines that are associated in a market like New York that could take up to 5 years to pursue a foreclosure. We -- in buying our portfolio, we are looking at loans that are more aligned with us, in the fact we have a 70-ish percent LTV. So there's plenty of equity in those loans for borrowers to want to keep access to that equity. Going through forbearance or delinquency just reduces the LTV or the borrowers' equity position. And that's something that they want to avoid as well as us. So again, we're aligned in these relief plans and do expect to have -- to outperform the market as a whole and potentially even the agency market with respect to their forbearance, relief plans on 100% performing loan portfolio.

正如您在我們的投資組合中看到的那樣，我們購買了這些貸款，其中一些貸款從一開始就已經拖欠。我們正在與具有豐富經驗的貸款服務商和服務商合作。我們最大的服務商之一專門負責我們的服務手冊。因此，我們沒有採取執行貸款服務策略並試圖找出與救濟計劃相關的寬容。一年多來，我們一直在與這些借款人進行積極對話。這些對話通過這些寬容計劃繼續進行。因此，我們的借款人了解我們的服務一直為他們提供的救濟工作。我們有一個服務團隊——基本上是為了處理大量拖欠績效而選擇和建立的。因此，我們對自己在這種環境中提供服務的能力感到非常自在。顯然，總拖欠問題將取決於總失業人數以及失業人數在哪裡。您之前的問題是我們的投資組合在哪裡。我們有一個全國性的足跡組合。多年來，我們一直在選擇美國東北部的投資組合，這與止贖拖欠有關——在像紐約這樣的市場中，止贖時間線可能需要長達 5 年的時間才能完成。止贖。我們 - 在購買我們的投資組合時，我們正在尋找更符合我們的貸款，事實上我們擁有 70% 左右的 LTV。因此，這些貸款中有足夠的股權讓借款人想要繼續獲得這些股權。經歷寬容或拖欠只會降低 LTV 或借款人的股權頭寸。這是他們和我們一樣想要避免的事情。因此，我們再次與這些救濟計劃保持一致，並且確實希望在其寬容、100% 表現貸款組合的救濟計劃方面超越整個市場，甚至可能超越代理市場。

And Steve, the last part of your question about the accrual. If they go into the forbearance plan, we would stop accruing immediately. Typically, you do 90 days and then you stop, but if somebody is going into a plan, we would stop accruing at that point and accrue on the cash basis.

還有史蒂夫，你關於應計的問題的最後一部分。如果他們進入寬容計劃，我們將立即停止累積。通常，您完成 90 天，然後停止，但如果有人進入計劃，我們將在那時停止累積並以現金為基礎累積。

Yes. That's great, as I think about my model, to have that clarified. Last question, if you don't mind. Really appreciate your disclosure in the deck and the financial tables. I wanted to ask one on Page 14 regarding the investment portfolio. Given the shift in mix, should we expect that yield on average earning assets to go up without the agency assets? Have these been historically adjusted to remove the impact of the lower yielding agency securities? Or how do we think about yield on average interest earning assets going forward without the agency MBS?

是的。很好，當我想到我的模型時，能澄清這一點。最後一個問題，如果你不介意的話。非常感謝您在甲板和財務表中的披露。我想在第 14 頁上詢問有關投資組合的問題。鑑於組合的轉變，我們是否應該期望在沒有機構資產的情況下平均收益資產的收益率會上升？歷史上是否對這些進行了調整以消除收益率較低的機構證券的影響？或者，在沒有機構 MBS 的情況下，我們如何看待未來平均生息資產的收益率？

I mean if you -- so we really sold 2 large blocks of assets, the low-yielding agency portfolio and the higher-yielding Freddie K first loss POs. And so interestingly enough, when you take out those 2 portfolios, the net margin overall for the company doesn't change significantly. I would -- I did the calculation -- we've obviously done the calculations forward. And I would say it's going to be within 10 to 15 basis points of where we were last quarter, first quarter, 2.92% as we sit back.

我的意思是如果你 - 所以我們真的出售了 2 大塊資產，低收益的代理投資組合和高收益的 Freddie K 首次虧損 PO。有趣的是，當你取出這兩個投資組合時，公司的整體淨利潤率並沒有顯著變化。我會 - 我做了計算 - 我們顯然已經完成了計算。我會說它會在我們上個季度、第一季度的 2.92% 的 10 到 15 個基點之內，因為我們坐下來。

Right. That's good color. I know you mentioned the stable spreads during your prepared remarks, but I wasn't sure if things were shifting off.

正確的。這個顏色不錯我知道您在準備好的講話中提到了穩定的價差，但我不確定事情是否正在發生變化。

No, no, that's -- yes.

不，不，那是——是的。

Our next question comes from the line of Christopher Nolan from Ladenburg Thalmann.

我們的下一個問題來自 Ladenburg Thalmann 的 Christopher Nolan。

On the comments that you guys made in terms of ramping up to a high single digit, low double-digit ROE, what should we expect for the next couple of quarters? I mean should you be able to achieve somewhere in that range in the second quarter or third quarter?

關於你們就提高到高個位數、低兩位數的 ROE 發表的評論，我們對接下來的幾個季度有何期待？我的意思是你應該能夠在第二季度或第三季度達到這個範圍內的某個地方嗎？

Yes, I mean, Chris, look, I think the difficulty of coming down with a very specific ramp on where and when we're going to get there, really, I mean, one of the reasons why we've hesitated to reinstate our dividend is we want to get a handle around this June 1 cycle mortgage payments that come through with the borrowers and exactly, as these states start to reopen, how is the economy reacting and how quickly do we think it's going to happen. So as we go and put these longer-term funding against our unencumbered portfolio that will give us some excess cash. That will -- as we start to reinvest some of that cash, we'll get a better sense of exactly when we think we're going to meet those goals. So we don't really, at this point, want to put a time line, a specific time line on that.

是的，我的意思是，克里斯，聽著，我認為很難以非常具體的坡道來確定我們將在何時何地到達那裡，真的，我的意思是，這是我們猶豫恢復我們的原因之一紅利是我們希望解決借款人在 6 月 1 日這個週期的抵押貸款支付問題，確切地說，隨著這些州開始重新開放，經濟如何反應以及我們認為它會以多快的速度發生。因此，當我們將這些長期資金用於我們未支配的投資組合時，這將為我們帶來一些多餘的現金。這將——當我們開始將部分現金進行再投資時，我們將更好地了解我們認為何時會實現這些目標。所以，在這一點上，我們真的不想在上面放置一個時間線，一個特定的時間線。

Great. And then on the mezzanines for the direct lending, Jason, do you have -- on the mezzanine part for the direct lending, you're sort of in a position on the capital structure for your borrowers, which going into a credit down cycle, I think, for multifamily. I mean how do you guys look to limit your losses on those?

偉大的。然後在直接貸款的夾層，Jason，你有沒有 - 在直接貸款的夾層部分，你的借款人的資本結構處於某種地位，這將進入信貸下降週期，我認為，對於多戶家庭。我的意思是你們如何限制這些損失？

Well, the loans are structured as more of a short duration type of opportunity. The premise of the borrower taking the loan was that there were some capital improvements, management issues that were underlying that property when the new sponsor took it over. So there's an expectation there that you'd have cash flow improvement underlying the property. And then that loan could be refinanced out -- our mezzanine loan could be refinanced out with agency supplemental. You have to remember that the multifamily market is backstopped by the Fannie and Freddie multifamily lending, senior lending. So there's plenty of liquidity on the senior loans that exist in that market. Part of the crisis that we've seen in the securitization space and residential loans is the fact that lending disappeared. So your ROA -- your ROE return now became the same return, but on an ROA basis. And that basically brought the price down 20, 25 points in some cases. So with -- where there is still lending and still active financing, you have not seen price declines to that extent. And this is one of those cases, the multifamily space where senior lending is still -- is basically backstopped by Fannie and Freddie.

好吧，這些貸款的結構更像是一種短期的機會。借款人獲得貸款的前提是，當新的讚助商接管該物業時，該物業存在一些資本改進和管理問題。因此，人們期望該物業的現金流會有所改善。然後這筆貸款可以再融資——我們的夾層貸款可以通過機構補充再融資。您必須記住，多戶家庭市場由房利美和房地美多戶家庭貸款、高級貸款支持。因此，該市場中存在的高級貸款有大量流動性。我們在證券化領域和住宅貸款中看到的部分危機是貸款消失的事實。所以你的 ROA——你的 ROE 回報現在變成了相同的回報，但是以 ROA 為基礎的。在某些情況下，這基本上使價格下降了 20 點、25 點。因此，在仍有貸款和活躍融資的情況下，您還沒有看到價格下跌到那種程度。這就是其中之一，高級貸款仍然存在的多戶家庭空間 - 基本上得到了房利美和房地美的支持。

In our case, we're mostly -- our assets, given the size of our assets, are mostly supported by senior loans from Freddie Mac. So to the extent that their management plan went in place, there's a potential supplemental that could be taken out. But overall, we've seen cash flows to be -- are pretty stable with respect to these assets. Again, our portfolio is mostly in the South, Southeast part of the United States. So with a 1 loan delinquency as of today, we are seeing very stable trends to that market. Obviously, unemployment rate benefits and PPP benefits have been helpful to the underlying tenants. We are supported by an 82% LTV on those loans. And to the extent -- our portfolio just wasn't originated. Obviously, this month, we have a seasoning in these loans where the LTV has actually decreased due to a 6%, 6.5% increase in property value prices or more, given the location of these assets, again, in the South, Southeast part of the United States, where you've had a lot of appraisal up to the high single digits and these marks are on annualized basis. So we feel comfortable about our position. We feel comfortable about our sponsors. Part of the reason the loan that we provide and the reason why we provide these loans to these sponsors is that they're well capitalized sponsors, they're not sponsors that come in with 1 loan opportunity and are not comfortable or don't know how to run a building. They are seasoned veterans in the space, have ample liquidity, ample access to the Fannie Freddie securitization financing channels. So we think that the liquidity and the sponsors are strong, the underlying assets have improved. Could we see increase in delinquencies with tenants, et cetera? Yes, absolutely. There are reserves, interest reserves, built into these loans as well. And there are various mechanisms that the senior lending forbearance plans will allow Freddie Mac as part -- is looking at up to 100 -- up 90, 120 days of forbearance for the landlords, which obviously will create income and help support that landlord if he has any liquidity issues. So we're not expecting a large increase of delinquencies in this space given the -- where the borrowers -- where the assets are located and the sponsors that support them.

在我們的案例中，我們主要是——鑑於我們的資產規模，我們的資產主要由房地美的高級貸款支持。因此，在他們的管理計劃到位的情況下，可以採取潛在的補充措施。但總的來說，我們已經看到現金流相對於這些資產非常穩定。同樣，我們的投資組合主要位於美國南部和東南部。因此，截至今天有 1 筆貸款拖欠，我們看到該市場的趨勢非常穩定。顯然，失業率福利和 PPP 福利對潛在租戶有所幫助。這些貸款的 LTV 為我們提供了 82% 的支持。在某種程度上——我們的投資組合併不是起源的。顯然，本月，我們對這些貸款進行了調整，由於房地產價值價格上漲 6%、6.5% 或更多，LTV 實際上已經下降，考慮到這些資產的位置，再次，在南部，東南部在美國，你有很多高達個位數的評估，這些分數是按年計算的。因此，我們對自己的立場感到自在。我們對我們的讚助商感到滿意。我們提供貸款以及我們向這些贊助商提供這些貸款的部分原因是他們是資本充足的讚助商，他們不是有 1 個貸款機會並且不舒服或不知道的讚助商如何經營一座建築。他們是該領域經驗豐富的資深人士，擁有充足的流動性，能夠充分利用房利美證券化融資渠道。所以我們認為流動性和發起人很強，基礎資產有所改善。我們會看到租戶拖欠的情況有所增加嗎？等等？是的，一點沒錯。這些貸款中也有準備金、利息準備金。並且有各種機制，高級貸款寬容計劃將允許房地美作為一部分 - 正在考慮最多 100 - 為房東延長 90 至 120 天的寬容期，這顯然將創造收入並幫助支持該房東，如果他有任何流動性問題。因此，鑑於 - 借款人 - 資產所在的位置以及支持它們的讚助商，我們預計該領域的拖欠金額不會大幅增加。

And Chris, one of the reasons we like this asset class is given the legal protection that we have in the sense that the senior is sitting at 68% LTV, we're sitting at 82% LTV. And to the extent they don't meet the terms of our loan, we can take over the property. So there's a significant amount of equity in the property that we think that protects us. And it has protected us historically. We have 1 exposure to a student housing, is a very small amount as a portfolio, which is probably the highest concern right now. And the 1 loan that's in the forward delinquency was a loan that has had issues from a property manager operation standpoint. It's more poor execution as opposed to a bad property. So while they've chosen a COVID forbearance plan because that's what the markets allow them to do, it is something that we're watching, but we don't have -- right now, as we sit, we feel very good about the properties, and they continue to perform above the expectation given where -- given what they could be performing.

克里斯，我們喜歡這個資產類別的原因之一是我們得到了法律保護，即老年人的 LTV 為 68%，我們的 LTV 為 82%。如果他們不符合我們的貸款條款，我們可以接管該物業。因此，我們認為可以保護我們的財產中有大量股權。它在歷史上保護了我們。我們有 1 次接觸學生宿舍，作為投資組合的數量非常少，這可能是目前最受關注的問題。遠期拖欠的第一筆貸款是從物業經理運營的角度來看存在問題的貸款。與糟糕的財產相比，它的執行更差。因此，雖然他們選擇了 COVID 忍耐計劃，因為這是市場允許他們做的事情，但這是我們正在關注的事情，但我們沒有——現在，當我們坐下來時，我們對屬性，並且它們的表現繼續超出預期 - 考慮到它們可以表現的程度。

Yes, my concern would be not so much the LTV. It's more the debt service coverage that these guys have after they pay off their first lien mortgage.

是的，我關心的不是 LTV。這些人在償還第一留置權抵押貸款後所擁有的更多的債務償還範圍。

That's right. Well, yes. And part of the protection is, look, there's no cash distribution out until all of our payments are made. So there is a cash trap within these structures, which is helpful to entice them to make sure that they get these things back cash flowing properly so they can take cash out of the property. But look, that's why most of our loans are, the seniors are Freddie or Fannie. And as Jason said, there is programs from both those institutions to lend money to let them help them meet their cash flow requirements.

這是正確的。嗯，是。部分保護是，看，在我們支付完所有款項之前不會發放現金。因此，這些結構中存在現金陷阱，這有助於吸引他們確保他們能夠正確地讓這些東西恢復現金流動，以便他們可以從房產中取出現金。但是看，這就是為什麼我們的大部分貸款都是，老年人是房地美或房利美。正如傑森所說，這兩家機構都有貸款計劃，讓他們幫助他們滿足現金流需求。

Our next question comes from the line of Matthew Howlett from Nomura.

我們的下一個問題來自野村的 Matthew Howlett。

Look, it's monumental, if you get the financing, then that's going to be a lot of cash. And I think if I hear you correctly, you're going to sort of deploy it slowly and see how things go. I want to sort of put it out there with, if you do reinstate the preferred and common, and you can buy. Obviously, you can look at sort of various prices of your capital stack. But is that something you'll look at when you look at sort of capital deployment options?

看，這是不朽的，如果你獲得融資，那將是一大筆現金。我想如果我沒聽錯的話，你會慢慢部署它，看看事情進展如何。我想把它放在那裡，如果你確實恢復了首选和常見的，你可以購買。顯然，您可以查看您的資本堆棧的各種價格。但是，當您查看某種資本部署選項時，您會考慮這一點嗎？

Yes, absolutely, Matt. I mean I think the question is, as we look forward to opportunities and we think about our business model, we need to figure out ways to create longer-term financing structures that eliminate or reduce the mark-to-market exposure, which going into March, we thought we were low levered, which we were at 1.5x. With over -- at the beginning of March, we had over $1 billion of unencumbered assets, but we still were unable to -- we still had difficulty in meeting margin calls. And so therefore, we reduced the portfolio. But as we go forward and raise and get additional capital that those returns of those incremental investments are going to be driven towards reinstating the dividend and making sure that we cover the dividend with cash.

是的，絕對是，馬特。我的意思是我認為問題是，當我們期待機會並考慮我們的商業模式時，我們需要找出方法來創建長期融資結構，以消除或減少按市值計價的風險敞口，這將進入3 月，我們認為我們的槓桿率很低，當時是 1.5 倍。隨著結束——在 3 月初，我們有超過 10 億美元的未支配資產，但我們仍然無法——我們仍然難以滿足追加保證金的要求。因此，我們減少了投資組合。但隨著我們前進並籌集並獲得額外資本，這些增量投資的回報將被推動恢復股息並確保我們用現金支付股息。

Got it. And then just when I look at the model going forward, I mean you guys have always had the net interest margin and also realized gains and sort of part of those debt NPL. I mean that's still going to be part of the core model, right, sort of looking at it, going forward, these gains you take on these whole loans and other strategies?

知道了。然後就在我看到未來的模型時，我的意思是你們一直擁有淨息差，也實現了收益和部分債務不良貸款。我的意思是這仍將成為核心模型的一部分，對吧，有點看它，向前看，這些收益是你從這些全部貸款和其他策略中獲得的？

That's right. No, that's right. I mean that's absolutely right. Look, I mean, part of the $300 million of unrealized loss sitting on the balance sheet, there's going to be some recovery of that unrealized, and that's going to be an aspect of everybody's income in the REIT sector. Our direct lend generates fees that will always be part of our income, and we will continue to invest in assets that we think are distressed that give us a chance for capital appreciation. It will never be just 100% net spread model. That's just not our core DNA, and we think there's better opportunities in buying distressed opportunities.

這是正確的。不，沒錯。我的意思是這絕對正確。看，我的意思是，在資產負債表上 3 億美元的未實現損失中，部分未實現的損失將會有所恢復，這將成為房地產投資信託行業每個人收入的一個方面。我們的直接貸款產生的費用將永遠是我們收入的一部分，我們將繼續投資於我們認為陷入困境的資產，從而為我們提供資本增值的機會。它永遠不會只是 100% 淨價差模型。這不是我們的核心 DNA，我們認為購買陷入困境的機會會有更好的機會。

Right. Certainly, it's always never been entirely a part of it. And then on the residential transitional loans, could you comment on what anything that's left in the portfolio? What you look at -- how you look at that market today and where the opportunities could be? Or is there something that you see value and opportunities elsewhere?

正確的。當然，它從來都不是它的一部分。然後關於住宅過渡貸款，您能否評論一下投資組合中還剩下什麼？你看什麼——你如何看待今天的市場以及機會在哪裡？還是您在其他地方看到了價值和機會？

Do you mean fix and flip? Is that what you mean?

你的意思是修復和翻轉？你是這個意思嗎？

Yes.

是的。

So on the fix and flip market, we have underweighted that. We have roughly $90 million of exposure there, are performing -- in that performing loan category. And we've underweighted it simply because of the refinancing that was happening in those underlying pools in the fix and flip market that was taking a lot of the borrowers out of the fix and flip loan into a 30-year loan invest in the non-QM market. Now with the non-QM market essentially closed, there's definitely going to be more pressure on the underlying borrowers there to make payment. Obviously, selling houses is more difficult in this environment. So we think there's going to be more extensions on the fix and flip market. I think eventually that will play itself out in the very near term, where extensions will increase somewhat probably beyond 20% to 30% ratios, if not more. And then the question is what happens to those properties after that. We've -- we are very confident in our ability to take over properties to manage profits, whether it's rental cash flows or into a sale. I see more of a distressed -- I see 2 options there, a distressed option to buy delinquent loans in that space where there's a lack of servicing from an originator that didn't have the servicing personnel to manage a 20% or 30% delinquent book where you can transfer servicing and basically utilize our servicing capability that we've built up on to do that. And the other side is that you're going to see more bridge loan opportunities in the space, shorter duration, hard money financing, if you will, to very strong sponsors, which could also provide an opportunity for us. In those cases, in the past, you'd take a 7-ish percent type of net coupon and you lever that 1x or so of what the market was doing. Today, you can do that on a levered basis and still generate a double digit return, which is obviously attractive. The question is tracking that sponsor and the ability to move the asset or rental -- or rent the assets, so ensuring that the cap rates in those markets are supportive of the debt that you're taking. So again, high coupon debt. That is -- some of that will have to be in the form of a flip. So we're evaluating it. We know the players in the space. We -- there's large portfolios that have been marked out for sale in the hundreds and millions of range that we've been tracking, and we think that there may be a better opportunity down the line from here than today.

因此，在修復和翻轉市場上，我們低估了這一點。我們在那裡有大約 9000 萬美元的風險敞口，正在執行——在該執行貸款類別中。我們之所以低估它，僅僅是因為在固定和翻轉市場中那些基礎池中發生的再融資使許多藉款人退出固定和翻轉貸款，從而投資於非質量管理市場。現在，隨著非 QM 市場基本上關閉，那裡的潛在藉款人肯定會面臨更大的付款壓力。顯然，在這種環境下，賣房更加困難。所以我們認為修復和翻轉市場將會有更多的擴展。我認為最終這將在短期內發揮作用，其中擴展將增加可能超過 20% 到 30% 的比率，如果不是更多的話。然後問題是在那之後這些屬性會發生什麼。我們已經 - 我們對我們接管物業以管理利潤的能力非常有信心，無論是租金現金流還是銷售。我看到了更多的苦惱——我在那裡看到了 2 個選項，一個苦惱的選擇是在那個空間中購買拖欠貸款，因為發起人缺乏服務，沒有服務人員來管理 20% 或 30% 的拖欠貸款預訂您可以轉移服務的地方，並基本上利用我們已經建立的服務能力來做到這一點。另一方面，您將在該領域看到更多的過渡性貸款機會，更短的期限，硬通貨融資，如果您願意的話，可以提供給非常強大的讚助商，這也可能為我們提供機會。在那些情況下，在過去，你會拿到 7% 左右的淨息票，然後你就可以利用市場行為的 1 倍左右。今天，你可以在槓桿的基礎上做到這一點，仍然可以產生兩位數的回報，這顯然很有吸引力。問題是跟踪贊助商以及移動資產或租賃的能力 - 或出租資產，以確保這些市場的上限利率支持您所承擔的債務。再說一次，高息債務。那就是——其中一些必須以翻轉的形式出現。所以我們正在評估它。我們認識這個領域的球員。我們 - 在我們一直在跟踪的數億範圍內，有大量的投資組合已被標記為待售，我們認為從這裡開始可能會有比今天更好的機會。

Yes, it sounds like you guys have really a ton of different opportunities. And the last question, I might as well throw it in there. You guys, you're really one of the few REITs ever to manage successfully through a financial crisis. You got through it, you came out very strong on the other end. Just any broad comments in terms of this cycle versus what you saw during that cycle. And sort of how you're going to position the company today versus what you did last time around? Just any broad thoughts.

是的，聽起來你們真的有很多不同的機會。最後一個問題，我不妨把它扔在那裡。你們真的是少數幾個能夠成功度過金融危機的房地產投資信託基金之一。你挺過來了，你在另一端表現得非常強大。關於這個週期的任何廣泛評論與你在那個週期中看到的內容。與上次相比，您今天將如何定位公司？只是任何廣泛的想法。

You're talking about the '08 cycle versus this cycle?

你在談論'08週期與這個週期？

Correct.

正確的。

Yes. Look, I think the problem with this cycle today is I think we're still in the middle of it, right? I mean we have massive amounts of people out of jobs. The hope is, as we get to reopening these economies, a large percentage of those people go back to work immediately, and we see the unemployment drop significantly. But we need to see that first before we try to figure out exactly how we're going to come out of this thing. So I think these opportunities are going to continue to unfold over the summer and into early fall. And that's why we are hesitant, Matt, to put out specific guidance on where we think the opportunities are going to be. But I think the big difference here is you had over-levered, over-priced assets and debt in 2008 on almost every single asset category. Today, it's really being driven right now just by the social distancing, the stay at home where the economies are literally shut down. So the asset price deterioration, we don't know where it's going to end up yet. And it is going to be a factor and function of how much government support is going to be pumped into the economy, both to consumers and businesses and how quickly we can reopen and/or get a vaccine to get the place back to whatever the new normal is going to be.

是的。看，我認為今天這個週期的問題是我認為我們仍然處於它的中間，對吧？我的意思是我們有大量的人失業。希望是，隨著我們重新開放這些經濟體，其中很大一部分人會立即重返工作崗位，我們會看到失業率大幅下降。但在我們試圖弄清楚我們將如何擺脫這件事之前，我們需要先看到這一點。所以我認為這些機會將在夏季和初秋繼續展開。這就是為什麼我們猶豫不決，馬特，就我們認為機會將在哪裡提供具體指導。但我認為這裡最大的不同是，2008 年幾乎每一個資產類別都存在過度槓桿化、定價過高的資產和債務。今天，它實際上是由社會疏遠推動的，人們待在家裡，經濟實際上已經關閉。所以資產價格惡化，我們還不知道它最終會走向何方。這將成為政府向經濟注入多少支持的因素和功能，無論是對消費者還是企業，以及我們能多快重新開放和/或獲得疫苗以使這個地方恢復到新的狀態會正常的。

I'll further add that there's a little bit differences in asset selection and where the stress is in the system. So in 2008, the average borrower in the non-QM space at over 100% LTV. Today, a lot of the financing that was done was at lower levels. You can see it today in home sale -- homes on the market for sale. You're at basically 3.5 months of supply. That number jumped to over 10 months of supply quickly in 2009 into '10. So you're not seeing the stress on the supply side. You actually have a contraction of homes on the market. And again, there was a home shortage to begin with prior to COVID. And now that -- it's exacerbated by the lack of assets that are on the market. So in some markets, you may see home price appreciation because of that, where in some markets where there's still COVID-related shutdowns, you may see double-digit type of declines, particularly in the service sector, and particularly in markets like Las Vegas, where the economy is supported by the service sector and you have massive amounts of unemployed borrowers.

我將進一步補充說，資產選擇和系統中的壓力存在一些差異。因此，在 2008 年，非 QM 領域的平均借款人的 LTV 超過 100%。今天，許多已完成的融資都處於較低水平。您今天可以在房屋銷售中看到它——在市場上出售的房屋。你的供應量基本上是 3.5 個月。這個數字在 2009 年到 10 年迅速躍升至超過 10 個月的供應量。所以你沒有看到供應方面的壓力。實際上，市場上的房屋數量有所減少。再一次，在 COVID 之前就開始出現家庭短缺。而現在——市場上缺乏資產加劇了這種情況。因此，在某些市場中，您可能會因此看到房價上漲，在某些仍然存在與 COVID 相關的停工的市場中，您可能會看到兩位數的下跌，尤其是在服務業，尤其是在拉斯維加斯等市場，經濟得到服務業的支持，並且有大量失業的借款人。

The other side of the coin is that the asset over the last 8 years that performed the best has been basically the smaller, lower-dollar properties across the market, where you can earn a higher coupon and finance those assets at similar rates. In this environment, with respect to job losses in the service sector versus other markets like information technology or -- and sectors like that, you've had basically 1/3 of the job losses in information technology than the service sector. So economies that are supported by those types of economies, you will see better results and better results in the middle price range of houses. So you'll -- simply looking at Ginnie Mae versus Freddie Mac forbearance ratios, you're seeing basically a 2 to 3x increase. I believe you'll see about 2 to 3x of forbearance plans in the Ginnie Mae space versus the Freddie Mac space, and you'll see an increase of supply in the lower income housing or lower price range than you would see in the mid-price range because of this. Before, it was across the board, in all asset classes, across all tiers of price -- home prices. And today, I think that you'll see more exacerbated distress in the lower income, lower price range.

硬幣的另一面是，過去 8 年表現最好的資產基本上是整個市場上規模較小、價值較低的房產，在那裡您可以獲得更高的息票並以相似的利率為這些資產融資。在這種環境下，相對於其他市場（如信息技術或類似行業）而言，服務業的失業人數基本上是信息技術行業失業人數的 1/3。因此，由這些類型的經濟體支持的經濟體，您會在房屋的中等價格範圍內看到更好的結果和更好的結果。所以你會 - 簡單地看看 Ginnie Mae 與 Freddie Mac 的忍耐率，你會看到基本上增加了 2 到 3 倍。我相信你會在 Ginnie Mae 空間看到大約 2 到 3 倍的寬容計劃，與 Freddie Mac 空間相比，你會看到低收入住房或價格範圍內的供應增加，而不是你在中期看到的。價格範圍因為這個。以前，它是全面的，在所有資產類別中，在所有價格層級——房價。而今天，我認為你會在收入較低、價格較低的範圍內看到更加惡化的困境。

Our next question comes from the line of Jason Stewart from JonesTrading.

我們的下一個問題來自 JonesTrading 的 Jason Stewart。

Jason, on the forbearance comments, just want to make sure I understood correctly. 9.5% of the forbearance, I guess, structures today were current and are now in forbearance. The rest were at some form of delinquency and/or in forbearance. Is that the right way to think about that?

傑森，關於忍耐的評論，只是想確保我理解正確。我猜 9.5% 的寬容，今天的結構是最新的，現在是寬容的。其餘的處於某種形式的犯罪和/或忍耐中。這是正確的思考方式嗎？

Yes.

是的。

And when you -- in your comments, can you give us the average term of the forbearance agreement, if you don't mind?

當你——在你的評論中，你能告訴我們寬容協議的平均期限，如果你不介意的話？

Yes. So we've elected to do more deferments than forbearance. And that's simply because the borrower will have more liquidity in his mortgage loan after effective COVID-related shutdowns than a forbearance. The GSE just last week passed through new servicing regs and that was -- that establishes that borrowers after forbearance will go into deferment. We're already doing that now. So we thought that was a better model from the beginning, which is why we elected to go through deferment and it adds less stress on the servicer as well to track it. And also because our borrowers often speak to our servicing personnel that are -- that is allocated to that loan, this also creates kind of a monthly dialogue on what's happening. And so we can design a longer-term structure if necessary. So some of these borrowers didn't even -- obviously, didn't know the extent of their job loss or income loss. And so it would be hard for us to say that 3 months, 6 months, 9 months or 12 months is appropriate. So taking a month to month type of approach we thought was a better result and then structuring into what could be more of a long-term solution once the effects of the COVID-19 economy has been impacted and overcome. Yes. So again, forbearance is not utilized to the same extent it is on the Fannie, Freddie portfolio that you see out that's been reported. And in the case of deferments, it is a month-to-month forbearance, if you will.

是的。所以我們選擇做更多的延期而不是忍耐。這僅僅是因為在與 COVID 相關的有效關閉之後，借款人的抵押貸款將擁有比寬容更多的流動性。 GSE 上周剛剛通過了新的服務法規，那就是 - 這確定了寬容後的借款人將進入延期。我們現在已經在這樣做了。所以我們從一開始就認為這是一個更好的模型，這就是我們選擇延期的原因，它給服務商增加了更少的壓力，也可以跟踪它。而且因為我們的借款人經常與我們的服務人員交談，這些服務人員被分配給該貸款，這也創造了一種關於正在發生的事情的每月對話。因此，如有必要，我們可以設計一個更長期的結構。因此，其中一些借款人甚至不——顯然，不知道他們失業或收入損失的程度。因此，我們很難說 3 個月、6 個月、9 個月或 12 個月是合適的。因此，我們認為採用一個月到一個月的方法是一個更好的結果，然後一旦 COVID-19 經濟的影響受到影響和克服，就可以構建一個更長期的解決方案。是的。因此，再一次，寬容的使用程度與您看到的房利美投資組合的使用程度不同。在延期的情況下，如果你願意的話，這是一個逐月的忍耐。

Okay. And I would expect that part of that plan is to keep contact rates up. And I think to your comment, I just want to make sure I understood this correctly. Do you think that at the end of this cycle, we will be in this portfolio back to pre-COVID payment levels? Is that what you're characterizing this plan as an ultimate outcome?

好的。我希望該計劃的一部分是保持聯繫率上升。我認為對於您的評論，我只是想確保我正確理解了這一點。您是否認為在這個週期結束時，我們將在這個投資組合中恢復到 COVID 之前的支付水平？這就是你將這個計劃描述為最終結果的原因嗎？

Yes, I mean, look, there's going to be -- it's going to bifurcate. We have loans at 4.5%, 4.78% coupons. The refinance market today will likely approach 3%, if not lower. So there's substantial spread for these borrowers to refinance into -- to achieve lower financing costs, which is one of our goals. And so that will be on one side of the equation where borrowers are not long-term impacted with COVID-related distress and can continue paying and take advantage of low rates, and we want to avail our borrowers to that outcome. On the other side, there will be borrowers that will not be able to continue paying, lost a job or have some kind of permanent damage in their fiscal side of the equation. So those are situations we're going to have to work out with the other loss mit plans we have in place, such as to even lose or short sales to avoid foreclosure to the extent we could rent back the property to those borrowers, we will assess that as well, which are all plans we put in place after 2010 managing tens of thousands of mortgage loans that were nonperforming loan space. So we -- you have to assess whether the borrower has the ability or not and then put the borrower into the right plan. When that assessment is done, we just believe it was too early in March to make that determination upfront, which is why we want the high contact ratio, and we think it serves the servicer and the borrowers better by overcommunicating.

是的，我的意思是，看，會有——它會分叉。我們的貸款利率為 4.5%，票面利率為 4.78%。今天的再融資市場可能會接近 3%，如果不是更低的話。因此，這些借款人有很大的利差可以再融資——以降低融資成本，這是我們的目標之一。因此，這將是等式的一方面，借款人不會長期受到與 COVID 相關的痛苦的影響，並且可以繼續支付並利用低利率，我們希望讓借款人獲得這一結果。另一方面，有些借款人將無法繼續付款、失去工作或在等式的財政方面遭受某種永久性損害。因此，在這些情況下，我們將不得不與我們現有的其他損失緩解計劃一起解決，例如甚至損失或賣空以避免喪失抵押品贖回權，在某種程度上我們可以將房產出租給那些借款人，我們將評估這一點，這是我們在 2010 年之後實施的所有計劃，用於管理數以萬計的不良貸款空間的抵押貸款。所以我們——你必須評估借款人是否有能力，然後將藉款人納入正確的計劃。當該評估完成時，我們只是認為在 3 月份做出該決定還為時過早，這就是我們想要高接觸率的原因，我們認為通過過度溝通可以更好地為服務商和借款人服務。

Understood. Okay. And then one high-level question. When you think about term financing, and I don't need details on what you're currently discussing, but generically at a high level, over the medium term, what does term financing look like for structured credit in the mezzanine part of the capital structure? And what impact, more specifically, do you think that has over time on asset prices? I would imagine loss adjusted yield is one component. But if you could remove that and just talk about the impact of what financing looks like and the impact on asset prices over time, that would be helpful.

明白了。好的。然後是一個高級問題。當您考慮定期融資時，我不需要您當前正在討論的內容的詳細信息，但一般來說，在中期，對於資本夾層部分的結構化信貸，定期融資是什麼樣的結構體？更具體地說，您認為隨著時間的推移會對資產價格產生什麼影響？我想損失調整後的收益率是其中一個組成部分。但是，如果您可以刪除它並僅談論融資方式的影響以及隨著時間的推移對資產價格的影響，那將是有幫助的。

Yes. I mean we expect asset prices to improve as the term structures are more utilized across the market. Again, in March, you basically lost repo financing across the entire securitization market. When I say lost, you had, obviously, margin calls, but also inability to add assets onto facilities to meet margin calls. In the thick of it in March, counterparties wanted cash or treasuries and did not want to increase their book with respect to new assets to meet margin calls. So there was a complete shutdown of securitization market. A lot of these mezzanines asset classes were sold with the concept of taking repo leverage against these assets that generate a double-digit return in the mezz space. So when you lose the financing, you have to back out the price decline to get to generate a double digit return. That's what you saw in the market in March and into April. So as the term financing structure is more utilized, we do expect prices to increase. We've already seen since 3/31 a pretty meaningful increase in asset prices in the security space, which was the most distressed part of the market. And that's due to financing proposals out there. I'd also mention that financing proposals, we've seen financing proposals from a number of counterparties. We evaluated a number of proposals. And initially, the proposals were fairly expensive in March and into April. We took a stance of waiting for better clearing levels once some of the -- some players were selling out large positions and need emergency financing. Since that is cleared, for the most part, we've seen level -- we've seen pricing come down from high single digits on these type of portfolios to mid-single-digit type of financing costs. So I think we were rewarded by waiting, and we were only able to wait because we didn't have the same -- we didn't have a cash liquidity issue into April, which would have forced us to take that financing at these -- at the higher level. So we had the ability to be patient with the financing, use it opportunistically, which we've done, and we will likely put one in place shortly and likely will be in that mid-, type of range, single-digit yields with advance rates anywhere from 55% to 75% depending on the asset and the securitization type.

是的。我的意思是，隨著期限結構在整個市場中得到更多利用，我們預計資產價格將有所改善。同樣，在 3 月份，你基本上失去了整個證券化市場的回購融資。當我說虧損時，您顯然有追加保證金通知，但也無法將資產添加到設施中以滿足追加保證金通知。在 3 月份的高峰期，交易對手想要現金或國債，並且不想增加新資產的賬面金額以滿足追加保證金的要求。因此，證券化市場完全關閉。許多夾層資產類別是在對這些資產進行回購槓桿的概念下出售的，這些資產在夾層空間產生了兩位數的回報。因此，當您失去融資時，您必須退出價格下跌才能獲得兩位數的回報。這就是你在 3 月和 4 月在市場上看到的情況。因此，隨著定期融資結構得到更多利用，我們確實預計價格會上漲。自 3/31 以來，我們已經看到證券領域的資產價格出現了相當顯著的上漲，這是市場中最痛苦的部分。這是由於那裡的融資建議。我還要提到融資提案，我們已經看到許多交易對手的融資提案。我們評估了一些提案。最初，這些提案在 3 月和 4 月相當昂貴。一旦一些參與者賣出大量頭寸並需要緊急融資，我們就採取了等待更好的清算水平的立場。自從這一點被清除以來，在大多數情況下，我們已經看到了水平——我們已經看到定價從這類投資組合的高個位數下降到中個位數的融資成本。所以我認為我們通過等待獲得了回報，我們之所以能夠等待，是因為我們沒有相同的 - 我們在 4 月份沒有現金流動性問題，這將迫使我們在這些 - - 在更高的水平。因此，我們有能力對融資保持耐心，機會主義地使用它，我們已經做到了，我們很可能很快就會到位，並且很可能會提前達到中等水平、個位數的收益率根據資產和證券化類型，利率從 55% 到 75% 不等。

Our next question comes from the line of Jon Evans from SG Capital.

我們的下一個問題來自 SG Capital 的 Jon Evans。

Can you just talk a little bit about maybe in the medium-term or longer term, how you kind of view the capital structure now with where you are, where you want to get to from a leverage standpoint relative to kind of the preferreds, et cetera? Do you expect to get more term financing and not raise more preferred debt? Can you just talk about your guys' thought process? Seems relatively expensive now.

你能談談中期或長期的，你如何看待現在的資本結構，你現在的位置，你想從相對於優先股的槓桿的角度到達哪裡，等等等等？您是否期望獲得更多的定期融資而不是籌集更多的優先債務？你能談談你的傢伙的思維過程嗎？現在好像比較貴。

Yes, I mean, look, I think given where the stock is trading, both preferred and common, we have no interest in going and accessing the market at these levels. I think we feel like to the extent that we can get longer-term structured finance against the assets that we're investing in, that's going to be the way that we're going to focus in the foreseeable future. Right? I mean, I think if you look historically what the company has done accessing the equity and preferred markets, it's been when we can raise accretive capital. And we got -- we want to get -- we've got to get our stock price back closer to where book value should be before you even contemplate that. And our preferreds are trading in the $16 to $18 range. That doesn't make any sense to go out and do 10% or 11% preferred. So I think we have better access to lower costing capital and structures -- loan structures than we do in the actual equity capital market. And from a ratio of preferred to common, we have $2 billion of equity, and we have about $500 million of preferred, so 1.5. Obviously, we took the $700 million hit to our common side. So the preferred is a little bit larger percentage. But we've also -- the dividend on the preferred and dividend of common closely track each other. So it's -- one, it's not that much more accretive or destructive right now as we sit here today. We need to reinstate all the dividends before we get a better sense of cost of capital and where our stock starts to perform after we reinstate the dividend.

是的，我的意思是，看，我認為考慮到股票在哪裡交易，無論是首選股票還是普通股票，我們都沒有興趣在這些水平上進入市場。我認為我們覺得我們可以從我們投資的資產中獲得長期結構性融資，這將是我們在可預見的未來關注的方式。正確的？我的意思是，我認為，如果您從歷史上看該公司在進入股票和優先市場方面所做的事情，那是我們可以籌集增值資本的時候。我們得到 - 我們想要得到 - 我們必須讓我們的股價更接近賬面價值，甚至在你考慮之前。我們的首選交易價格在 16 美元到 18 美元之間。出去做 10% 或 11% 的首選是沒有任何意義的。因此，我認為與實際股權資本市場相比，我們可以更好地獲得成本更低的資本和結構——貸款結構。從優先股與普通股的比率來看，我們有 20 億美元的股權，我們有大約 5 億美元的優先股，所以是 1.5。顯然，我們共同承擔了 7 億美元的損失。所以首選是更大的百分比。但我們也 - 優先股股息和普通股股息密切相關。所以它 - 一個，它現在並沒有像我們今天坐在這裡那樣更具增殖性或破壞性。我們需要恢復所有股息，然後才能更好地了解資本成本以及恢復股息後股票的表現。

And then just relative, I know it's a Board decision in the future, but some of your peers have paid their common dividend with stock. Is that something that you guys look to do to preserve cash?

然後只是相對的，我知道這是未來董事會的決定，但你的一些同行已經用股票支付了他們的共同股息。那是你們想要做的事情來保存現金嗎？

We -- right now, this is not a consideration, especially when our stock is trading at less than 50% of book value. We don't need to do that, and we would prefer not to reinstate a dividend with dilutive stock issuance. We'd rather wait until we feel comfortable that we can meet all the dividend requirements in cash, which like we've said on the call that we hope that's in the near term.

我們——現在，這不是一個考慮因素，尤其是當我們的股票交易價格低於賬面價值的 50% 時。我們不需要這樣做，我們不希望通過發行稀釋性股票來恢復股息。我們寧願等到我們能夠以現金滿足所有股息要求時感到舒服，就像我們在電話會議上所說的那樣，我們希望這是在短期內。

Our next question comes from the line of [Douglas Crockett from NH Holdings].

我們的下一個問題來自 [NH Holdings 的 Douglas Crockett]。

Two quick and relatively simple questions. The first one, on the balance sheet, you have $2 million of equity, as you said, and you show $2.7 million of liabilities, but yet you said there's a 0.6 leverage ratio. I'm just wondering which of those liabilities are disregarded.

兩個快速且相對簡單的問題。第一個，在資產負債表上，正如你所說，你有 200 萬美元的股權，你有 270 萬美元的負債，但你說槓桿比率是 0.6。我只是想知道哪些責任被忽略了。

Yes. So the liabilities, there's a lot of securitized debt on our balance sheet. So we're only -- when we define -- if you look at the definitions back in the glossary -- in the notes on the particular pages where the leverage ratio is calculated, we use what's called callable debt. And so let's see. If you go to Page 12 on the presentation, that's -- and you look at the financing, we're really just reflecting the debt that we've -- that is callable in nature in the portfolio side, the $1.4 billion of debt is really what we consider callable. The other debt that's in the balance sheet on the -- in the balance sheet statement is securitized debt, which truly doesn't have any call back to the company requirement. So it's collateralized by very particular assets that are in the structure that doesn't have any risk back to the company.

是的。所以負債，我們的資產負債表上有很多證券化債務。因此，我們僅在定義時-如果您查看術語表中的定義-在計算槓桿率的特定頁面的註釋中，我們使用所謂的可贖回債務。讓我們看看。如果您轉到演示文稿的第 12 頁，那是-您查看融資情況，我們實際上只是反映了我們所擁有的債務-在投資組合方面本質上是可贖回的，14 億美元的債務是真的是我們認為可調用的。資產負債表中資產負債表中的其他債務是證券化債務，它確實沒有任何回電公司的要求。因此，它由結構中非常特殊的資產擔保，這些資產對公司沒有任何風險。

Well, following up on that, though, isn't that the same way you classified the multifamily loans in the past, the $17.8 million that you ended up having to liquidate.

好吧，儘管如此，這與您過去對多戶家庭貸款的分類方式不同，您最終不得不清算的 1780 萬美元。

That's right. That's right. The $17.8 billion of multifamily debt was related to securitizations. And if you look at our balance sheet today, we don't have any of that. That's all gone, okay? And so the liabilities that are left that are securitized debt is we have $1 billion of residential securitized debt and another $31.034 million and $38 million. So the total of those 2 is about $1.1 billion in securitized debt that's not -- has no call back to the company.

這是正確的。這是正確的。 178 億美元的多戶家庭債務與證券化有關。如果您今天查看我們的資產負債表，我們沒有任何這些。這一切都過去了，好嗎？所以剩下的證券化債務是我們有 10 億美元的住宅證券化債務，還有 3103.4 萬美元和 3800 萬美元。因此，這兩個總額約為 11 億美元的證券化債務——沒有回電給公司。

So were there no margin calls then on that $17.8 billion previously.

那麼之前的 178 億美元是否沒有追加保證金。

No, no, no, 0.

不，不，不，0。

They weren't involved in margin calls. Okay? You just liquidated that to help with the other margins.

他們沒有參與追加保證金。好的？你剛剛清算它以幫助其他利潤。

Well, the POs, those -- the $17 billion is related to the structure that the securities were issued off of. The POs that we actually owned, we add them out on repo, that was mark-to-market and was receiving margin calls. And that's one of the asset classes we elected to sell to reduce those margin calls.

嗯，採購訂單，那些 - 170 億美元與證券發行的結構有關。我們實際擁有的採購訂單，我們將它們添加到回購中，即按市值計價並收到追加保證金通知。這是我們選擇出售以減少追加保證金的資產類別之一。

Second quick question. With regard to the multifamily second mortgage positions where Fannie and Freddie or Ginnie, whenever, is senior. If they go into a forbearance agreement, is NYMT's second position loan payable at that point or not payable? Or are they forced also into forbearance?

第二個快速問題。關於房利美和房地美或金妮，無論何時，都是高級的多戶第二抵押貸款職位。如果他們簽訂了暫緩協議，那麼 NYMT 的第二職位貸款是在那個時候支付還是不支付？還是他們也被迫忍耐？

They are forced into forbearance, but what does happen is the property itself is cash strapped. And so they need to come current with our forbearance interest prior to taking any cash out of the structure. And right now, we only have one property that's in a senior forbearance, which is the one that we're one forbearance on.

他們被迫忍耐，但確實發生的是財產本身現金拮据。因此，在從結構中取出任何現金之前，他們需要了解我們的暫緩利息。而現在，我們只有一個處於高級寬容中的財產，也就是我們被寬容的財產。

And then they are in continued forbearance, what, the cash is obviously -- I mean, obviously, these properties still generate cash. That cash is...

然後他們繼續忍耐，什麼，現金顯然是 - 我的意思是，顯然，這些房產仍然產生現金。那個現金是...

That's right. Well, typically, what happens is, obviously, the reason they're going to the agency to ask for forbearance is they have a higher percentage of renters not paying rent, which is not the case so far in our portfolio, but in the case where it does happen, and they're asking for relief. But the money that they receive on their rents is distributed forward, it's just a net number that they're being lent to cover their DSCR requirements for the month. To not getting lent the entire amount of rental income for the month, they're getting lengthy amount of money that fix this -- that essentially fills up the bucket.

這是正確的。好吧，通常情況下，發生的事情顯然是，他們去中介要求延期的原因是他們有更高比例的租戶不支付租金，這在我們的投資組合中迄今為止並非如此，但在這種情況下它確實發生的地方，他們正在尋求救濟。但是他們從租金中收到的錢是向前分配的，這只是他們被借來滿足當月 DSCR 要求的淨數字。為了不把當月的全部租金收入借出去，他們得到了大量的錢來解決這個問題——這基本上填滿了桶。

And that additional lending, that is senior to NYMT's second mortgage position?

那額外的貸款，比 NYMT 的第二抵押貸款地位高嗎？

That's right. But the way that lending is currently structured from the agencies is that is a loan for a short -- for a 12-month period that they need to repay. So I think that's one reason why many of -- I think that's one reason why many of them have elected not to take it. I mean, it's a 12-month mandate, but doesn't really solve their problem. So I think many of these sponsors have liquidity to meet the needs so far. And so I think they look at the cost of that debt for forbearance versus their other liquidity options, and that's where they're making the decisions.

這是正確的。但目前這些機構的貸款方式是短期貸款——他們需要償還的 12 個月期限。所以我認為這是許多人選擇不接受它的原因之一。我的意思是，這是一個為期 12 個月的任務，但並不能真正解決他們的問題。所以我認為到目前為止，這些贊助商中的許多人都有流動性來滿足需求。因此，我認為他們將債務成本與其他流動性選擇相比較，這就是他們做出決定的地方。

Our next question comes from the line of Mark DeVries from Barclays.

我們的下一個問題來自巴克萊銀行的 Mark DeVries。

I appreciate this may be a difficult question. But of the 23% hit the book you took in the quarter from unrealized losses that you're optimistic you'll get back, do you have a sense for how much of that is due to the market pricing and higher defaults? And how much of it is higher discount rates? And also, just how are you thinking about what the market is pricing in from a default perspective relative to what you expect? I'm just trying to get a better sense of how much of that could ultimately come back to you either through reversal of marks or just realized cash flows.

我很欣賞這可能是一個困難的問題。但是，在本季度您因未實現損失而遭受的 23% 損失中，您樂觀地認為自己會回來，您知道其中有多少是由於市場定價和較高的違約造成的嗎？其中有多少是更高的折扣率？此外，您如何看待市場定價相對於您的預期？我只是想更好地了解其中有多少最終會通過撤銷標記或剛剛實現的現金流量返回給你。

Yes. I mean the initial hit the market took on these prices is a function of lack of financing and then also forced sales, which then caused more markdowns and then more selling. So that negative feedback loop that was created in March was basically more of a technical decline. So that initially brought prices down out. As the markets go back to work in some communities and stay-at-home measures are in others, the market is evaluating the unemployment rate and the credit side of the equation. Through the last month, obviously, we've got a lot of reporting on unemployment rate per market and what the governors' plans are per state. We've had increases across the board in the asset classes in the securitization sector, simply because of the modeling done on unemployment rate was only a fraction of the losses of -- taken on the bonds relative to the liquidity issues that we're experiencing due to lack of financing. So as I mentioned earlier, with financing channels coming back more in term structure orientation versus monthly mark-to-market repo, we do expect prices to increase, to withstand for -- to back into basically an ROE of a double-digit versus an ROA of a double digit.

是的。我的意思是市場對這些價格的最初打擊是由於缺乏融資，然後是強制銷售，然後導致更多的降價和更多的銷售。因此，3 月份創建的負反饋循環基本上更多的是技術性下降。所以這最初降低了價格。隨著市場在某些社區恢復工作，而在其他社區採取居家措施，市場正在評估失業率和等式的信貸方面。顯然，在上個月，我們收到了很多關於每個市場的失業率以及每個州州長的計劃的報告。我們在證券化領域的資產類別全面增加，僅僅是因為對失業率的建模只是債券損失的一小部分——與我們正在經歷的流動性問題有關由於缺乏資金。因此，正如我之前提到的，隨著融資渠道更多地以期限結構為導向而不是每月按市值回購，我們確實預計價格會上漲，以承受 - 基本上回到兩位數的 ROE 而不是兩位數的 ROA。

At this time, I'm showing no further questions. I would like to turn the call back over to Steve Mumma for closing remarks.

在這個時候，我沒有再提出任何問題。我想把電話轉回給 Steve Mumma 做結束語。

Thank you, operator. The company's priority continues to center around the health and safety of our staff, partners and community. We believe our business continuity planning and infrastructure has positioned us well for the reality of working remotely. While these last 6 weeks has caused us to maintain a more defensive approach to investment and liability management, our long-term goals of delivering attractive risk-adjusted returns remains in place. We appreciate all your questions during the call today, and we look forward to discussing the second quarter in August. Have a safe and healthy Memorial Day holiday weekend, and thank you very much for your participation. Thanks, operator.

謝謝你，接線員。公司的首要任務繼續圍繞我們員工、合作夥伴和社區的健康和安全。我們相信，我們的業務連續性規劃和基礎設施使我們能夠很好地適應遠程工作的現實。雖然過去 6 週使我們對投資和負債管理採取更具防禦性的方法，但我們提供具有吸引力的風險調整回報的長期目標仍然存在。我們感謝您在今天的電話會議中提出的所有問題，我們期待在 8 月討論第二季度。有一個安全健康的陣亡將士紀念日假期週末，非常感謝您的參與。謝謝，接線員。

Ladies and gentlemen, this concludes today's conference call. Thank you for participating. You may now disconnect.

女士們，先生們，今天的電話會議到此結束。感謝您的參與。您現在可以斷開連接。