Two Harbors Investment Corp (TWO) 2024 Q2 法說會逐字稿

Good morning. My name is Melissa, and I will be your conference facilitator. At this time, I would like to welcome everyone to Two Harbors second-quarter 2024 financial results conference call. (Operator Instructions)

早安.我叫梅麗莎，我將成為你們的會議主持人。此刻，我歡迎大家參加雙港2024年第二季財務業績電話會議。（操作員說明）

I would now like to turn the call over to Maggie Karr.

我現在想把電話轉給瑪姬·卡爾。

Good morning, everyone, and welcome to our call to discuss Two Harbors second-quarter 2024 financial results. With me on the call this morning are Bill Greenberg, our President and Chief Executive Officer; Nick Letica, our Chief Investment Officer; and Mary Riskey, our Chief Financial Officer.

大家早安，歡迎來電討論雙港 2024 年第二季財務表現。今天早上與我一起參加電話會議的有我們的總裁兼執行長比爾‧格林伯格 (Bill Greenberg)； Nick Letica，我們的首席投資長；以及我們的財務長 Mary Riskey。

The earnings press release and presentation associated with today's call has been filed with the SEC and are available on the SEC's website as well as the Investor Relations page of our website at twoharborsinvestment.com. In our earnings release and presentation, we have provided reconciliations of GAAP to non-GAAP financial measures, and we urge you to review this information in conjunction with today's call.

與今天的電話會議相關的收益新聞稿和簡報已提交給 SEC，並可在 SEC 網站以及我們網站的投資者關係頁面（twoharborsinvestment.com）上查看。在我們的收益發布和演示中，我們提供了 GAAP 與非 GAAP 財務指標的調整表，我們敦促您結合今天的電話會議查看此資訊。

As a reminder, our comments today will include forward-looking statements, which are subject to risks and uncertainties that may cause our results to differ materially from expectations. These are described on page 2 of the presentation and in our Form 10-K and subsequent reports filed with the SEC. Except as may be required by law, Two Harbors does not update forward-looking statements and disclaims any obligation to do so.

提醒一下，我們今天的評論將包括前瞻性陳述，這些陳述受到風險和不確定性的影響，這可能導致我們的結果與預期有重大差異。這些內容在簡報的第 2 頁以及我們向 SEC 提交的 10-K 表格和後續報告中進行了描述。除法律要求外，兩港不會更新前瞻性陳述，也不承擔任何這樣做的義務。

I will now turn the call over to Bill.

我現在將把電話轉給比爾。

Thank you, Maggie. Good morning, everyone, and welcome to our second-quarter earnings call.

謝謝你，瑪吉。大家早安，歡迎參加我們的第二季財報電話會議。

Before getting into our financial results, I would like to take a moment to recognize the retirement of our CFO, Mary Riskey. As previously announced, Mary will retire in August after a long and distinguished career, the last 13 years of which were at Two Harbors. Mary was already at Two Harbors when I joined in 2012, and I remember having numerous conversations with her in those early years and being struck by her knowledge and command of very technical issues.

在介紹我們的財務業績之前，我想花點時間向我們的財務長 Mary Riskey 的退休表示祝賀。正如之前宣布的那樣，瑪麗將在經歷了漫長而傑出的職業生涯（其中最後 13 年是在兩港工作）後於 8 月退休。當我 2012 年加入時，瑪麗已經在兩港工作了，我記得早年與她進行過多次交談，她對技術性問題的知識和掌握令我印象深刻。

In the 12 years I have known Mary, I've come to admire her for her honesty, character, commitments and loyalty. There is no doubt Mary has left an indelible mark on our company, and we are grateful to her for her leadership. Mary, you'll be missed, and all of us at Two Harbors wish you the very best in your next chapter.

在我認識瑪麗的 12 年裡，我開始欽佩她的誠實、個性、承諾和忠誠。毫無疑問，瑪麗給我們公司留下了不可磨滅的印記，我們感謝她的領導。瑪麗，我們會想念你的，我們兩港的所有人都祝你在下一個篇章中一切順利。

We are also very excited to announce that William Dellal will be joining us as interim CFO effective August 1. William and I worked together for 10 years from 1998 through 2008, that couldn't be happier to join together again. Most recently, William worked at Caliber Mortgage, where he was CFO and then President, through the completion of the sale of Caliber. Prior to that, William was Head of Capital Markets at CitiMortgage. He has vast experience in the mortgage industry with deep knowledge of servicing, origination, markets and risk management.

我們也非常高興地宣布 William Dellal 將於 8 月 1 日加入我們，擔任臨時財務長。從 1998 年到 2008 年，威廉和我一起工作了 10 年，再次聚在一起真是太高興了。最近，William 在 Calibre Mortgage 工作，擔任首席財務官，然後在完成 Calibre 出售後擔任總裁。在此之前，William 曾擔任花旗抵押貸款公司資本市場主管。他在抵押貸款行業擁有豐富的經驗，對服務、發起、市場和風險管理有深入的了解。

In this time of growth and change for our company, we are especially fortunate to be able to draw on Williams's wisdom and expertise. We will continue to search for a permanent CFO, who will be able to help us grow, not from where we are currently, but from where we expect to be in the near future. William Dellal's presence allows us to be careful and thoughtful in that search.

在我們公司成長和變革的時期，我們特別幸運能夠借鏡威廉斯的智慧和專業知識。我們將繼續尋找一位常任財務官，他將能夠幫助我們成長，不是從我們目前的情況，而是從我們期望在不久的將來的情況。威廉·德拉爾的出現讓我們在搜尋過程中更加謹慎和深思熟慮。

Now turning to our quarterly results. I'll start by providing an overview of our performance, followed by a discussion on the markets and finish with an update on RoundPoint operations. Mary will cover our financial results in detail and Nick will discuss our investment portfolio and return outlook.

現在轉向我們的季度業績。我將首先概述我們的業績，然後討論市場，最後介紹 RoundPoint 營運的最新情況。瑪麗將詳細介紹我們的財務業績，尼克將討論我們的投資組合和回報前景。

Let's begin with slide 3. Our book value at June 30 decreased to $15.19 per share, representing a 0.0% total economic return for the quarter. For the first half of the year, we generated a total economic return of 5.8%.

讓我們從幻燈片 3 開始。截至 6 月 30 日，我們的帳面價值降至每股 15.19 美元，相當於本季總經濟回報率為 0.0%。上半年，經濟效益總量達5.8%。

Our second-quarter results were primarily affected by a small widening in the RMBS spreads and higher realized volatility in the second quarter compared to the first quarter. MSR performed well with stable cash flows supported by slow prepayment speeds.

我們第二季的業績主要受到人民幣債券利差小幅擴大以及第二季實現波動性較第一季更高的影響。MSR 表現良好，預付款速度緩慢，現金流穩定。

Please turn to slide 4 for a brief discussion on the markets. In the second quarter, there was no lack of conflicting economic data driving a pickup in volatility. Figure 1 on this slide shows CPI readings from the beginning of 2021 through the present. Both employment and CPI reports came in stronger than expected in April, followed by weaker-than-expected readings in May and then stronger and better-than-expected reports in June.

請翻至投影片 4，以了解有關市場的簡短討論。第二季度，不乏相互矛盾的經濟數據導致波動性加劇。本投影片上的圖 1 顯示了 2021 年初至今的 CPI 讀數。4 月的就業和 CPI 報告均強於預期，隨後 5 月的數據弱於預期，然後 6 月的報告強於預期。

Unexpected developments in the US presidential race, plus surprising results in French and British elections also contributed to market volatility. After rising 50 basis points and then following by 50 basis points, the 10-year treasury yield ultimately rose again and finished the quarter about 20 basis points higher at 4.40%. The two-year treasury yield followed a similar path, rising 40 basis points and falling by 30 basis points, finishing up 13 basis points to 4.75%.

美國總統競選的意外發展，加上法國和英國選舉的意外結果也導致了市場波動。在上漲 50 個基點、隨後上漲 50 個基點之後，10 年期公債殖利率最終再次上漲，本季末上漲約 20 個基點至 4.40%。兩年期公債殖利率也出現類似走勢，上漲40個基點，下跌30個基點，最終上漲13個基點至4.75%。

In June, the Fed left rates unchanged as they continue to wait for more good data showing that inflation was steadily declining towards their 2% target. Market expectations for interest rate cuts in 2024 declined from about three cuts or 75 basis points to about two cuts by quarter end as seen in figure 2.

6 月份，聯準會維持利率不變，繼續等待更多良好數據顯示通膨正穩定下降至 2% 的目標。如圖 2 所示，市場對 2024 年降息的預期從大約三次降息或 75 個基點下降到季末約兩次降息。

The Fed's own projections, the dot plots, moved the median expectation for Fed funds down from three cuts to one, though a plurality of members had two cuts in their forecasts. Inevitably, many forecasts shifted the first cut further out in time, reinforcing the higher for longer view. Post quarter-end, on the back of a weaker-than-expected inflation reading, Chairman Powell signaled that an interest rate cut is probable for September, and the market is now fully pricing in the September rate cut.

聯準會自己的預測（點陣圖）將聯邦基金的預期中位數從三次下調降至一次，儘管多數成員的預測下調了兩次。不可避免的是，許多預測將第一次下調的時間進一步推遲，強化了長期觀點的較高預期。季末後，在通膨數據弱於預期的背景下，主席鮑威爾暗示 9 月可能降息，市場目前已充分消化 9 月降息的影響。

We also expect that volatility will decrease as the Fed embarks on an easing cycle, which will benefit both RMBS and MSR valuations and further supports the idea that this is an excellent environment for our current allocation to MSR and Agency RMBS.

我們也預計，隨著聯準會開始寬鬆週期，波動性將會降低，這將有利於人民幣支持證券和MSR 估值，並進一步支持這樣的觀點，即這是我們目前配置MSR 和機構RMBS 的絕佳環境。

Please turn to slide 5 for a brief discussion on RoundPoint's operations. Our goal in owning and operating mortgage company was to achieve economies of scale, improve MSR economics and to be able to leverage a more expansive set of opportunities in the mortgage finance space, thus creating new sources of profitability for the company.

請參閱投影片 5，簡要討論 RoundPoint 的運作情況。我們擁有和經營抵押貸款公司的目標是實現規模經濟，提高 MSR 經濟性，並能夠利用抵押貸款金融領域更廣泛的機會，從而為公司創造新的盈利來源。

In line with our previously articulated plan, we completed the transfer of all of our servicing to RoundPoint's platform in June. RoundPoint's now services over 900,000 loans or about $225 billion of UPB. We continue to be focused on implementing operational efficiencies to deliver low cost of service per loan and are pleased with our progress so far.

根據我們先前製定的計劃，我們在 6 月完成了將所有服務轉移到 RoundPoint 平台的工作。RoundPoint 目前為超過 90 萬筆貸款或約 2,250 億美元的 UPB 提供服務。我們繼續專注於提高營運效率，以降低每筆貸款的服務成本，並對迄今為止的進展感到滿意。

In the second quarter, we also launched our direct-to-consumer originations platform, and we are actively taking loan applications from potential customers. In just the first few weeks of operations through July 25, we have taken locks on more than $25 million worth of loans. While this is still a very small number, we are pleased that we met the target that we set for ourselves, and we expect this number to grow over time even if interest rates remain unchanged. As a reminder, this direct-to-consumer platform is designed to have small but steady and positive returns in a higher rate environment like this, which should be able to generate larger returns in the refinance environment and to act as a hedge to faster-than-expected prepayment speeds. We also intend to begin offering ancillary and home equity products to our customers, including second lien loans later this year.

在第二季度，我們也推出了直接面向消費者的發起平台，並積極接受潛在客戶的貸款申請。截至 7 月 25 日，在營運的最初幾週內，我們已鎖定了價值超過 2500 萬美元的貸款。雖然這仍然是一個很小的數字，但我們很高興我們達到了為自己設定的目標，我們預計即使利率保持不變，這個數字也會隨著時間的推移而增長。提醒一下，這個直接面向消費者的平台旨在在像這樣的較高利率環境中獲得小額但穩定和正的回報，這應該能夠在再融資環境中產生更大的回報，並作為更快的對沖-預付款速度超預期。我們還打算在今年稍後開始向客戶提供輔助和房屋淨值產品，包括第二留置權貸款。

We added approximately 17,000 loans from one subservicing clients in the quarter. We believe that we are the ideal partner to service MSR for new and existing MSR holders, and we are actively working on the ability to support various structures.

本季我們從一個服務客戶增加了約 17,000 筆貸款。我們相信，我們是為新的和現有的 MSR 持有者提供 MSR 服務的理想合作夥伴，並且我們正在積極致力於支持各種結構的能力。

Our results this quarter again demonstrate the benefits of our portfolio construction of MSR paired with Agency RMBS. In addition, through owning an operating entity, we are able to more closely affect our returns through our own actions by lowering operating costs, hedging our existing portfolio to recapture originations and expanding our opportunity set.

我們本季的業績再次證明了我們的 MSR 投資組合建構與代理 RMBS 結合的好處。此外，透過擁有一個營運實體，我們能夠透過自己的行動，降低營運成本，對沖現有投資組合以重新奪回起源並擴大我們的機會集，從而更密切地影響我們的回報。

Our investment strategy is designed to produce returns across different market environments. With the majority of our capital allocated to hedged MSR, our portfolio is less exposed to fluctuations in mortgage spreads and portfolios without MSR, while still preserving upside to falling volatility and spread tightening environments.

我們的投資策略旨在在不同的市場環境中產生回報。由於我們的大部分資本分配給對沖的 MSR，我們的投資組合較少受到抵押貸款利差波動和沒有 MSR 的投資組合的影響，同時仍保留了波動性下降和利差收緊環境的上行空間。

With that, I'd like to hand the call over to Mary to discuss our financial results.

說到這裡，我想將電話轉交給瑪麗，討論我們的財務表現。

Thank you, Bill, for your kind words about my upcoming retirement. It has truly been an honor to service Two Harbors CFO, and I have been fortunate to work with amazing people.

比爾，謝謝你對我即將退休的好話。為兩港財務長服務確實是一種榮幸，我很幸運能夠與出色的人一起工作。

Now please turn to slide 6. Our book value was $15.19 per share at June 30 compared to $15.64 at March 31, including the $0.45 common dividend results in a flat quarterly economic return. As a reminder, total economic return is the primary metric we consider as an indicator of our performance.

現在請翻到投影片 6。截至 6 月 30 日，我們的帳面價值為每股 15.19 美元，而 3 月 31 日為每股 15.64 美元，其中包括 0.45 美元的普通股股息，導致季度經濟回報持平。提醒一下，總經濟回報是我們衡量績效的主要指標。

Please turn to slide 7. The company generated comprehensive income of $0.5 million or $0.00 per weighted average common share in the second quarter. Net interest expense of $38 million was favorable to the first quarter on lower average borrowing balances and rates, partially offset by lower RMBS interest income from net sales.

請翻到幻燈片 7。該公司第二季綜合收益為 50 萬美元，即每股加權平均普通股收益為 0.00 美元。由於平均借款餘額和利率較低，淨利息支出為 3,800 萬美元，這對第一季有利，但淨銷售產生的人民幣支持證券利息收入下降部分抵消了這一影響。

Net servicing income of $172 million included $139 million of service fee income and $37 million of float and ancillary income, offset by $4 million of third-party subservicing fees and other MSR-related servicing costs.

1.72 億美元的淨服務收入包括 1.39 億美元的服務費收入和 3,700 萬美元的浮動收入和輔助收入，被 400 萬美元的第三方服務費和其他 MSR 相關服務成本所抵銷。

Net servicing income was favorable to the first quarter by $12 million due to higher servicing fee collections and float income as well as lower third-party servicing costs as we transitioned our remaining servicing to the RoundPoint platform.

由於服務費收取和浮動收入增加，以及我們將剩餘服務轉移到 RoundPoint 平台而降低了第三方服務成本，第一季的淨服務收入增加了 1,200 萬美元。

Investment securities loss and change in OCI was favorable to Q1 by about $48 million due to a smaller selloff in rates and slight spread widening. Servicing asset losses were $23 million in the quarter, unfavorable to the first quarter due to amortization that more than offset the effect of higher rates driving an increase in the servicing asset. Net swap and other derivative gains were lower in the second quarter by $125 million due to a smaller sell-off in rates.

由於利率拋售規模較小且利差略有擴大，投資證券損失和 OCI 變化對第一季有利，約 4,800 萬美元。本季服務資產損失為 2,300 萬美元，與第一季相比不利，因為攤銷遠遠抵消了利率上升推動服務資產增加的影響。由於利率拋售規模較小，第二季掉期和其他衍生性商品淨收益減少了 1.25 億美元。

Please turn to slide 8. RMBS funding markets remained stable and liquid throughout the quarter with ample balance sheet available. Spreads and repurchase agreements tightened slightly with financing for RMBS between silver plus 16 to 20 basis points.

請翻到幻燈片 8。RMBS 融資市場在整個季度保持穩定和流動性，資產負債表充足。白銀之間的 RMBS 融資利差和回購協議略有收緊，增加 16 至 20 個基點。

At quarter end, our weighted average days to maturity for our Agency RMBS repo was 85 days. We financed our MSR activities across five lenders with $1.9 billion of outstanding borrowings under bilateral facilities. Our five-year MSR term notes matured in June, and we replaced them with increased capacity on the repo secured by the variable funding note. We ended the quarter with a total of $630 million unused MSR asset financing capacity and $91 million unused capacity for servicing advances.

截至季末，我們的代理 RMBS 回購協議的加權平均到期日為 85 天。我們透過雙邊貸款項下的 19 億美元未償還借款，為五家貸款機構的 MSR 活動提供了資金。我們的五年期 MSR 期限票據已於 6 月到期，我們以可變融資票據擔保的回購增加容量來取代它們。本季末，我們共有 6.3 億美元未使用的 MSR 資產融資能力和 9,100 萬美元未使用的預付款服務能力。

I will now turn the call over to Nick.

我現在將把電話轉給尼克。

Thank you, Mary. Please turn to slide 9. Our portfolio at June 30 was $16 billion, including $11.1 billion in settled positions and $4.9 billion in TBAs. Our leverage increased to 6.8 times as we migrated up in coupon in Agency RMBS shifted from specified pools to TBAs and increased our notional mortgage exposure.

謝謝你，瑪麗。請翻到投影片 9。截至 6 月 30 日，我們的投資組合為 160 億美元，其中已結算部位為 111 億美元，TBA 為 49 億美元。隨著我們將代理 RMBS 的票面利率從指定資金池轉移到 TBA，並增加了我們的名目抵押貸款風險，我們的槓桿率增加到了 6.8 倍。

Despite a pickup this quarter, volatility has been trending down as the variability of Fed outcomes has diminished, which we believe warrants a slightly more aggressive stance. While our leverage increased, you will notice in the bottom right graph that our spread exposure increased only slightly. Generally, higher coupon RMBS have lower spread durations and lower coupons. So as we went up in coupon, we also increased leverage to maintain the spread exposure of the portfolio.

儘管本季有所回升，但隨著聯準會結果的變動性減弱，波動性一直呈下降趨勢，我們認為這需要採取稍微更激進的立場。雖然我們的槓桿增加了，但您會在右下圖中註意到我們的點差敞口僅略有增加。一般來說，息票較高的 RMBS 具有較短的利差期限和較低的票面利率。因此，當我們提高息票時，我們也增加了槓桿以維持投資組合的利差敞口。

Lastly, we continue to manage our exposure to interest rates very closely. And similar to the first quarter, our rate exposure was low in the second quarter.

最後，我們繼續密切管理我們的利率風險。與第一季類似，我們第二季的利率風險敞口較低。

Please turn to slide 10. In the second quarter, interest rates rose modestly and volatility picked up primarily owing to erratic economic data. Bigger one, which we have shown over the past several quarters show spreads versus volatility from 2019 to present. Our preferred implied volatility gauge, two-year options on 10-year rates increased from 97 to 103 basis points on an annualized basis, slightly above its year to date mean.

請翻到投影片 10。第二季度，利率小幅上升，波動性加劇，主要是由於經濟數據不穩定。我們在過去幾季展示的更大的圖表顯示了 2019 年至今的利差與波動性。我們首選的隱含波動率指標——10 年期利率的兩年期期權按年化計算從 97 個基點增至 103 個基點，略高於今年迄今的平均值。

With rates and volatility higher, the nominal spread of current coupon RMBS predictably finished 8 basis points wider at 127 basis points to the treasury curve, while the option-adjusted spread finished 3 basis points tighter at 24 basis points, reflecting the increase in implied volatility.

隨著利率和波動性上升，當前息票人民幣支持證券的名目利差預計將比國債曲線擴大8個基點，達到127個基點，而期權調整利差最終收窄3個基點，達到24個基點，反映了隱含波動性的增加。

On a month-to-month basis, RMBS spreads generally followed the pattern of higher rates driving weaker performance and lower rates driving stronger performance. As you can see in figure 2, the nominal spread curve steepened across the coupon stack over the quarter, increasing the attractiveness of higher coupon mortgages.

從月度來看，RMBS 利差通常遵循利率較高導致業績疲軟、利率較低導致業績強勁的模式。如圖 2 所示，本季整個息票堆疊的名義利差曲線變陡，增加了高息票抵押貸款的吸引力。

Please turn to slide 11 to review our Agency RMBS portfolio. Figure 1 shows the composition of our specified pool holdings by coupon and story. And on figure 2, you can see the performance of TBAs compared to the specified pools we own throughout this quarter.

請翻到投影片 11 來回顧我們的代理商 RMBS 產品組合。圖 1 按優惠券和故事顯示了我們指定池持有量的組成。在圖 2 中，您可以看到 TBA 的效能與我們本季擁有的指定池的比較。

Hedge mortgage performance was negatively impacted across the coupon stack by the considerable choppiness of rates. We actively moved our positions around between specified pools and TBAs across the coupon stack. We added approximately $1.6 billion notional of 5.5% to 6% TBAs to better position our RMBS portfolio for potential spread tightening into a lower volatility environment.

由於利率大幅波動，對沖抵押貸款的表現受到了整個票面利率的負面影響。我們積極地在優惠券堆疊中的指定池和 TBA 之間移動我們的頭寸。我們增加了約 16 億美元名目利率為 5.5% 至 6% 的 TBA，以更好地定位我們的 RMBS 投資組合，以應對波動性較低的環境中潛在的利差收緊。

We also rotated approximately $665 million notional of lower coupon securities into 6% to 6.5% on TBAs to capture wider spreads and higher coupons. We subsequently replaced $450 million, 6.5% TBAs with specified pools to improve performance should rates rally and prepayments pick up.

我們還將約 6.65 億美元名義較低息票證券轉為 6% 至 6.5% 的 TBA，以獲得更廣泛的利差和更高的息票。隨後，我們以指定資金池取代了 4.5 億美元、利率為 6.5% 的 TBA，以在利率上漲和預付款增加時提高績效。

Figure 3 on the bottom right shows our specified pool prepayment speeds increased to 7.2 CPR from 5.1 CPR in the first quarter as expected due to seasonality. As the majority of our RMBS holdings are currently priced at a discount to par, faster speeds are beneficial to our portfolio.

右下圖 3 顯示，由於季節性原因，我們指定的池預付款速度從第一季的 5.1 CPR 增加到 7.2 CPR。由於我們持有的大部分人民幣支持證券目前的定價均低於面額，因此更快的速度有利於我們的投資組合。

Please turn to slide 12 as we discuss the environment for investments in MSR. MSR performed well in the second quarter with valuations being bolstered by a few large nonbank originators competing on lower amounts of supply. Given the strong bids in the market, certain large buyers turned into sellers, including ourselves. Figure 1 shows servicing transfers since the beginning of 2014. As expected, transfer volumes for the first two quarters of 2023 show a decline from the record levels of the past two years.

請參閱投影片 12，我們將討論 MSR 的投資環境。MSR 在第二季度表現良好，估值受到少數大型非銀行發起人競爭較低供應量的支撐。鑑於市場的強勁出價，某些大買家變成了賣家，包括我們自己。圖 1 顯示了 2014 年初以來的服務轉移。正如預期的那樣，2023 年前兩個季度的轉會量較過去兩年的創紀錄水準有所下降。

As you can see in figure 2, primary mortgage rates hovered again near 7% in the second quarter. Overall, prepayment rates for 30-year Fannie Mae RMBS increased to 6% CPR in the July report from 5.3% at the beginning of the quarter as turnover hit its spring peak. The end-of-money share of 30-year mortgages remained below 5%, although the share continues to slowly grow due to new originations. Prepayments follow the central themes of the last two years, turnover seasonality, early curtailments and muted refinancing.

如圖 2 所示，第二季初級抵押貸款利率再次徘徊在 7% 附近。總體而言，隨著營業額達到春季高峰，7 月報告中 30 年期房利美 RMBS 的預付款率從本季初的 5.3% 上升至 6%。30 年期抵押貸款的期末份額仍低於 5%，儘管該份額由於新的發放而繼續緩慢增長。預付款遵循過去兩年的中心主題：營業額季節性、提前削減資金和溫和的再融資。

Please turn to slide 13 to review our MSR portfolio. The portfolio was $211 billion UPB at June 30. We settled $328 million UPB of MSR through flow sale acquisitions and committed to purchase approximately $1.6 billion UPB through a bulk acquisition, which settled early in the third quarter.

請翻到投影片 13 回顧我們的 MSR 產品組合。截至 6 月 30 日，該投資組合的 UPB 為 2,110 億美元。我們透過流動銷售收購結算了 3.28 億美元的 MSR UPB，並承諾透過批量收購購買約 16 億美元的 UPB，該交易已於第三季初結算。

Post quarter end, we converted to purchase $1 billion UPB through another bulk purchase. We also opportunistically committed to sell $6.4 billion UPB of higher coupon MSR. Although our goal is to grow our MSR portfolio over time, we will continue to actively manage our assets, including MSR and allocate capital based on where we see opportunity. This was a targeted part of our MSR population, which we selected based on where we felt there was an extraordinary bid in the market.

季度末後，我們轉而透過另一次大量採購購買 10 億美元的 UPB。我們也趁機承諾出售價值 64 億美元的 UPB 更高票 MSR。儘管我們的目標是隨著時間的推移擴大我們的 MSR 投資組合，但我們將繼續積極管理我們的資產，包括 MSR 並根據我們看到的機會分配資本。這是我們 MSR 人群的目標部分，我們根據我們認為市場上有非凡出價的地方進行選擇。

The price multiple of our MSR increased slightly to 5.8 times from 5.7 times. Prepayment rates for our MSR holdings increased to 5.3 CPR, also following turnover seasonality, slightly slower than the same period in 2023. While our MSR with a gross WACC of 3.5% continues to enjoy slow prepayments and strong float income because of higher rates. When rates inevitably drop or prepayments increase, we are prepared for that, too. As Bill mentioned, we now have a retention recapture business up and running, which will protect our investment in MSR, particularly if rates were to materially fall. Though we have intentionally designed an MSR portfolio that has lower refinance characteristics with over 800,000 loans, there will always be some borrowers seeking to refinance their mortgage.

我們的MSR的價格倍數從5.7倍小幅上升至5.8倍。我們持有的 MSR 的預付款率增加至 5.3 CPR，同樣遵循營業額季節性，略低於 2023 年同期。雖然我們的 MSR 總 WACC 為 3.5%，但由於利率較高，預付款仍然緩慢，浮動收入強勁。當利率不可避免地下降或預付款增加時，我們也做好了準備。正如比爾所提到的，我們現在已經啟動並運行了保留回收業務，這將保護我們在 MSR 上的投資，特別是在利率大幅下降的情況下。儘管我們特意設計了一個具有較低再融資特徵的 MSR 投資組合，擁有超過 80 萬筆貸款，但總會有一些借款人尋求為其抵押貸款再融資。

Finally, please turn to slide 14, our return potential and outlook slide. The top half of this table is meant to show what returns we believe are available on the assets in our portfolio. We estimate that about 61% of our capital is allocated to servicing with a static return potential of 13% to 16%. The remaining capital is allocated to securities with a static return estimate of 15% to 17%.

最後，請參閱投影片 14，即我們的回報潛力和前景投影片。表格的上半部旨在顯示我們認為投資組合中的資產可獲得的回報。我們估計大約 61% 的資本分配給靜態回報潛力為 13% 至 16% 的服務。剩餘資本分配給靜態報酬率預計為 15% 至 17% 的證券。

With our portfolio allocation shown in the top half of the table, and after expenses, the static return estimate for our portfolio is between 10.8% to 13.4% before applying any capital structure leverage to the portfolio. After giving effect to our outstanding convertible notes and preferred stock, we believe that the potential static return on common equity falls in the range of 12.5% to 16.5% or a prospective quarterly static return per share of $0.47 to $0.63.

我們的投資組合配置如表上半部所示，扣除費用後，在對投資組合應用任何資本結構槓桿之前，我們投資組合的靜態回報估計在 10.8% 至 13.4% 之間。在我們已發行的可轉換票據和優先股生效後，我們認為普通股的潛在靜態回報率將在 12.5% 至 16.5% 之間，或每股預期季度靜態回報率在 0.47 美元至 0.63 美元之間。

Looking ahead, we remain optimistic about the return potential of our investments. Nominal spreads for Agency RMBS are still wide on a historical basis and possess tightening potential in a lower interest rate volatility environment. In fact, the relationship with spreads to rates has become less dramatic as evidenced by a decline in the volatility of mortgage spreads.

展望未來，我們對投資回報潛力保持樂觀。機構人民幣支持證券的名目利差在歷史基礎上仍然較大，並且在利率波動性較低的環境中具有收緊潛力。事實上，利差與利率的關係已經變得不那麼引人注目，而抵押貸款利差波動性的下降就證明了這一點。

Mortgage demand is on much more solid footing than it has been over the last several years, exhibited by the tightening of mortgage OAS in a selloff with rising volatility. This was a large reason why we have turned more constructive in the near term and are comfortable operating with slightly higher leverage.

抵押貸款需求比過去幾年更加穩固，在波動性上升的拋售中，抵押貸款 OAS 收緊就表明了這一點。這是我們在短期內變得更具建設性並願意以略高的槓桿率進行運作的一個重要原因。

With about 60% of our capital invested in hedged low coupon MSR that has low duration and low spread volatility, the portfolio has and should continue to perform well in bouts of heightened interest rate volatility while still preserving upside to spread tightening environments.

我們約有60% 的資本投資於久期短、利差波動性低的對沖低息MSR，因此該投資組合在利率波動加劇的情況下已經並且應該繼續表現良好，同時仍為利差收緊環境保留上行空間。

Our MSR portfolio remains deeply out of the money. Less than 1% of the mortgage loans that back our MSR are likely to refinance at current mortgage rate levels, keeping prepayment risk low and leading to stable attractive returns. Though the MSR market is presently in a dynamic of lower supply and higher demand, there will continue to be opportunities to add MSR at attractive levels, given our unique combination of investment management experience, coupled with our own servicing and recapture operations.

我們的 MSR 投資組合仍處於深度虛值狀態。在支持我們 MSR 的抵押貸款中，只有不到 1% 可能會按當前抵押貸款利率水平進行再融資，從而將提前還款風險保持在較低水平，並帶來穩定且有吸引力的回報。儘管 MSR 市場目前處於供應減少和需求增加的動態中，但鑑於我們獨特的投資管理經驗以及我們自己的服務和回收業務的結合，將繼續有機會以有吸引力的水平增加 MSR。

Thank you very much for joining us today. And now we will be happy to take any questions you might have.

非常感謝您今天加入我們。現在我們很樂意回答您可能提出的任何問題。

(Operator Instructions) Doug Harter, UBS.

（操作員說明）Doug Harter，UBS。

Thanks, and good morning. In the past, you had kind of described your leverage position as kind of neutral. How would you describe your leverage position today?

謝謝，早安。過去，您曾將自己的槓桿部位描述為中性。您如何描述您今天的槓桿部位？

Hey, Doug. Good morning. This is Nick. Thank you for that question. If you look -- we've described our leverage range as being somewhere between 5 to 8 times from a high to a low. If you look at where we are now at 6.75, we are just slightly above the middle of that range. We did increase our leverage, as we noted in our call in our prepared remarks, by about three quarters of a turn.

嘿，道格。早安.這是尼克。謝謝你提出這個問題。如果你看一下——我們已經將我們的槓桿範圍描述為從高點到低點的 5 到 8 倍之間。如果你看我們現在的 6.75，你會發現我們只略高於該範圍的中間位置。正如我們在準備好的演講中所指出的那樣，我們確實增加了槓桿率約四分之三。

But I would still say we're not -- we're also as described on the call, slightly more aggressive. But if you look at our overall risk metrics and leverage is but one metric at the way we look at risk, there are many other metrics. And as we pointed out, our spread sensitivity of the portfolio is a big one. And if from quarter to quarter, our spread sensitivity hasn't changed very much.

但我仍然想說，我們不是——我們也像電話會議中所描述的那樣，稍微更具侵略性。但如果你看看我們的整體風險指標，你會發現槓桿只是我們看待風險的一個指標，還有許多其他指標。正如我們所指出的，我們對投資組合的利差敏感性很大。如果從一個季度到另一個季度，我們的利差敏感度並沒有太大變化。

I would say that the interpretation or the feeling about which part of the coupon stack we feel has better opportunity right now has been to move up in coupon for a variety of reasons. And by doing so, that does lower the per unit of mortgage, it does lower the amount of technically spread duration, but it does other things, for example, we do think we capture more volatility sensitivity in being in higher coupons, and we just generally like that part of the stack better than the lower coupons.

我想說的是，我們認為優惠券堆疊中的哪一部分現在有更好的機會的解釋或感覺是，出於各種原因，優惠券的價格上升了。透過這樣做，這確實降低了每單位抵押貸款，它確實降低了技術上的利差期限，但它還有其他作用，例如，我們確實認為我們在更高的息票中捕獲了更多的波動敏感性，我們只是一般來說，與較低的優惠券相比，更喜歡這部分優惠券。

But I would still say we're slightly more aggressive, but certainly not full bore on mortgage spread tightening. We do -- I think like many market participants, we have more confidence that the Fed will cut rates this year, and we do expect that, that will happen. But as we have a Fed that is still stated to be data dependent.

但我仍然想說，我們稍微更激進一些，但肯定不會全力收緊抵押貸款利差。我們確實如此——我認為像許多市場參與者一樣，我們對聯準會今年將降息更有信心，而且我們確實預計這將會發生。但由於我們的聯準會仍然被認為依賴數據。

And as we've seen over the last few years, you never know. Our construction of our portfolio, which, again, is quite intentional with 60% of our capital in MSR provides a lot of return stability but still preserves upside should the Fed, in fact, cut, and we do see a steepening of the yield curve and a decline in volatility.

正如我們過去幾年所看到的，你永遠不知道。我們對投資組合的建構也是有意為之，將60% 的資本投入MSR，提供了很大的回報穩定性，但如果聯準會實際上降息，我們仍然會保留上行空間，而且我們確實看到收益率曲線變得陡峭。

Great. I appreciate that answer, Nick. Thank you.

偉大的。我很欣賞這個答案，尼克。謝謝。

Trevor Cranston, Citizens JMP.

特雷弗·克蘭斯頓 (Trevor Cranston)，公民 JMP。

Hey, thanks. Good morning. You talked some about the potential spreads to tighten if and when volatility declines. I guess as you look forward over the remainder of the year, with the Fed potentially starting to lower rates and also the election upcoming, can you talk a little bit about sort of the time frame you guys see for when we could actually see a meaningful decline in volatility? Thanks.

嘿，謝謝。早安.您談到如果波動性下降，利差可能會收緊。我想，當你們展望今年剩餘時間時，美聯儲可能會開始降低利率，而且大選即將到來，你們能談談你們認為我們真正可以看到有意義的時間框架嗎？謝謝。

Thank you, Trevor. Thanks for that question. I'll elaborate a little bit, I guess, on the prior response. It's very hard to time things exactly right. And I think it's a little bit foolhardy to try to put a stake in the ground about exactly when things like that will happen as I think, as we all know from being in the market for a long time. But the reality is that the probability of a Fed cutting cycle and a lower volatility environment is better now than it's been in the last two years as most notably inflation seems to be finally trending down towards the level which the Fed can start cutting rates again. So it's a very difficult thing to say.

謝謝你，特雷弗。謝謝你提出這個問題。我想，我將對先前的回應進行一些詳細說明。很難準確地掌握事情的時間。我認為，試圖按照我的想法來確定此類事情何時會發生有點魯莽，正如我們在市場上長期工作所知道的那樣。但現實情況是，聯準會降息週期和較低波動環境的可能性現在比過去兩年要好，因為最值得注意的是，通膨似乎最終趨向於下降至聯準會可以再次開始降息的水平。所以這是一件很難說的事情。

In a market, I think if you look at the forward curve, particularly in terms of the Fed for this year, the market is now pricing at about two and three quarter cuts, which is up about one cut since the beginning of the quarter, and we've had this better data. That seems to be pretty fully baked into what we think could happen right now. It certainly could happen, but it feels like it's pretty rational.

在市場上，我認為如果你看一下遠期曲線，特別是就美聯儲今年而言，市場現在的定價約為兩個和三個季度的降息，自本季度初以來降息幅度約為一次，我們已經有了更好的數據。這似乎完全融入了我們認為現在可能發生的事情。這當然有可能發生，但感覺這是相當合理的。

So I wouldn't expect to see an immediate drop in volatility. And if we felt like there was an immediate drop in volatility, we would probably position ourselves with more -- even a little more leverage than we have. But -- and as you mentioned, we have an election coming up. We've had a lot of gyrations around that. There's a lot of geopolitical instability around the world right now.

因此，我預計波動性不會立即下降。如果我們覺得波動性立即下降，我們可能會為自己設定更多的槓桿，甚至比我們現有的槓桿多一點。但是——正如你所提到的，我們即將舉行選舉。我們對此經歷了很多搖擺。目前世界各地地緣政治不穩定。

So it's not something that we think is going to happen immediately, but it's more likely to be a gradual thing that happens for the balance of the year and into 2025.

因此，我們認為這不會立即發生，但更有可能是今年餘下時間和 2025 年期間逐步發生的事情。

Got it. Okay. That's helpful. And then in terms of the construction of the hedge portfolio, can you maybe comment a little bit on how you guys are thinking about using treasuries as opposed to swaps kind of given where swaps spreads are trading recently? Thanks.

知道了。好的。這很有幫助。然後，就對沖投資組合的建構而言，考慮到最近掉期利差的交易情況，您能否評論一下您如何考慮使用國債而不是掉期？謝謝。

Sure. We have -- at the end of the quarter, we did have a little bit more -- if you look at our swap in terms of DV01 composition, we have a little bit more swaps than Treasury futures on as hedges. That's been quite intentional again, because we do -- if you look at the carry on using swaps versus Treasury futures, it is better. And certainly, there is -- you do introduce some amount of swap spread volatility to the mix, but we think where swap spreads are right now, they're meaningfully better carry than having treasury hedges.

當然。在本季末，我們確實有更多的掉期，如果你從 DV01 的組成來看我們的掉期，我們的掉期比作為對沖的國債期貨多一點。這又是有意而為之的，因為我們確實這樣做了——如果你看看使用掉期和國債期貨的利差，會發現效果更好。當然，確實存在一定程度的掉期利差波動性，但我們認為目前的掉期利差比國債對沖具有更好的套利意義。

And so we have shifted a little bit more to that side. We think it's a good time to be having -- being along that risk on the hedge side versus Treasury futures. But as usual, we use a mix of them, and it varies depending upon where swap spreads are and - and a little bit about our growth outlook in the market in terms of what treasury supply is. Most recently, just we had a refunding announcement this week that was pretty good for the market and swap spreads do seem to be a little bit better bid than they had been in the -- throughout the second quarter at least.

因此，我們已經向這一方向轉移了一些。我們認為，現在是應對國債期貨對沖風險的好時機。但像往常一樣，我們混合使用它們，取決於掉期利差的情況，以及我們在市場上國債供應方面的成長前景。最近，我們本週發布了一項退款公告，這對市場來說非常有利，而且掉期利差似乎確實比過去的出價要好一些——至少在整個第二季度是如此。

Yes. Okay. Appreciate the comments. Thank you.

是的。好的。感謝您的評論。謝謝。

Bose George, KBW.

博斯·喬治，KBW。

Hey, everyone. Good morning and congrats, Mary, on your upcoming retirement. If you first -- I didn't know if you guys gave this already, but if not, can we get an update on book value quarter to date?

嘿，大家。早安，恭喜你，瑪麗，即將退休。如果你首先——我不知道你們是否已經給出了這個，但如果沒有，我們可以獲得季度至今賬面價值的更新嗎？

Sure. Good morning, Bose. Thanks for that question. Through last Friday, we're up approximately 1% on book value.

當然。早上好，博斯。謝謝你提出這個問題。截至上週五，我們的帳面價值上漲了約 1%。

Okay. Great. And then I wanted to -- the slide 14, where you have the expected return and your return on the RMBS is 15 to 17, I guess, up from 12 to 13, can you just sort of break out the drivers? I guess the leverage is a little higher, you went up in coupon. Just how much, or if there's anything else that contributed to that as well.

好的。偉大的。然後我想 - 在第 14 張投影片中，您的預期回報率和 RMBS 的回報率為 15 到 17，我猜，從 12 到 13，您能列出驅動因素嗎？我猜槓桿有點高，你的優惠券增加了。究竟有多少，或者是否還有其他因素對此做出了貢獻。

Hey, Bose. It's Nick. Thanks again for the question. You hit it right on the head. Leverage is up a little bit, and we did migrate up in coupon, which is driving more return potential out of the security section of the portfolio.

嘿，博斯。是尼克。再次感謝您的提問。你擊中了它的頭。槓桿率有所上升，而且我們確實提高了息票，這推動了投資組合安全部分的更多回報潛力。

Okay, perfect. Thank you.

好的，完美。謝謝。

Jason Weaver, Jones Trading.

賈森‧韋弗，瓊斯貿易公司。

Hey. Good morning. I see that you enlarge the ATM program. Is there any change to the target asset allocation for the new capital raise there? Or was this in response to a change you've noticed in the marketplace, anything like that?

嘿。早安.我看到你擴大了 ATM 程式。新一輪融資的目標資產配置是否有變動？或者這是對您注意到的市場變化的回應，類似的事情嗎？

Yes. Thanks for the question. I would characterize this as really more of a housekeeping item. We had depleted our ATM authority really in the fourth quarter of last year, but in the first quarter and in the second quarter, we didn't utilize our ATM at all. And so this was really just resetting the thing back to a level where we could take advantage of any market opportunities should they arise in the near term, but we have no plans imminently to do that. This was really just to reset to a more normal level from where it had gotten.

是的。謝謝你的提問。我認為這實際上更像是一個家務用品。去年第四季度我們確實已經耗盡了ATM的權限，但在第一季和第二季度，我們根本沒有使用我們的ATM。因此，這實際上只是將事情重置到我們可以利用近期出現的任何市場機會的水平，但我們沒有立即這樣做的計劃。這實際上只是為了將其恢復到更正常的水平。

Okay. Thank you. And then I noticed you touched on this during the prepared remarks, but can you talk a bit more about RoundPoint's ability to recapture given what we may be moving into as a lower rate environment?

好的。謝謝。然後我注意到您在準備好的發言中談到了這一點，但考慮到我們可能正在進入較低的利率環境，您能否多談談 RoundPoint 重新奪回市場的能力？

Sure. Well, as we've said publicly, we made the decision to start up our own platform last year. We began that effort in December. And at the time, we set for ourselves a target of being able to make our first loans by June, which we did. We continue to make locks, and we funded some loans. As Nick said in our prepared remarks, though, only 1% of our portfolio is in the money and something like only, I want to say like 5% or thereabouts of our portfolio has mortgage rates above 6% or something like that.

當然。嗯，正如我們公開表示的那樣，我們去年決定啟動自己的平台。我們在 12 月開始了這項工作。當時，我們為自己設定了一個目標，就是能夠在六月之前發放第一筆貸款，而我們做到了。我們繼續製造鎖，並提供了一些貸款。不過，正如尼克在我們準備好的發言中所說，我們的投資組合中只有1% 是實值的，我想說的是，我們的投資組合中只有5% 左右的抵押貸款利率高於6%或類似的水平。

And so it's still a long way away from being able to be in a refinance environment. My own view is that even if the Fed cuts rates, right, that doesn't necessarily mean that long-term rates are going to go down very much at all. The natural state of things is typically a positively slow yield curve, right? And we've been in this flat to negatively shaped yield curve for a long time. So I think there's lots of room for the Fed to cut mortgage rates to stay where they are.

因此，距離能夠進入再融資環境還有很長的路要走。我個人的觀點是，即使聯準會降息，也不一定意味著長期利率會大幅下降。事物的自然狀態通常是一條緩慢的殖利率曲線，對嗎？很長一段時間以來，我們一直處於平坦甚至負向的殖利率曲線。因此，我認為聯準會有很大的空間降低抵押貸款利率以維持現狀。

But nevertheless, if mortgage rates go down, we are building up capacity and the ability to be able to recapture more of our loans should they come in the refinance window and we're gearing that up as we speak.

但儘管如此，如果抵押貸款利率下降，我們正在增強能力和能力，以便在再融資窗口出現更多貸款時能夠收回更多貸款，正如我們所說，我們正在為此做好準備。

All right. Thank you very much for the color.

好的。非常感謝你的顏色。

Eric Hagen, BTIG.

艾瑞克‧哈根，BTIG。

Hey, good morning. I hope you guys are well. How do you think that the yield or the total return outlook looks for TBAs versus pools right now? Do you feel like you're getting a pickup in yield? And what does that you'll pick up kind of look like? Or how would you kind of describe the value proposition for being overweight TBAs right now?

嘿，早安。我希望你們一切都好。您認為目前 TBA 與資金池的收益率或總回報前景如何？你覺得你的收益率有上升嗎？你會看到什麼樣的東西？或者您會如何描述目前超重 TBA 的價值主張？

Hey, Eric, it's Nick. Thanks for that question. We don't -- there isn't -- don't see a tremendous variation honestly, between TBAs and pools. And the increase in our pools is, to some degree, driven by the movement of our -- of how MSR moves through time and how it needs to be hedged with current coupon.

嘿，艾瑞克，我是尼克。謝謝你提出這個問題。老實說，我們並沒有看到 TBA 和池之間存在巨大差異。在某種程度上，我們資金池的增加是由我們的 MSR 如何隨著時間的推移而變化以及它需要如何用當前息票進行對沖的變化所驅動的。

We did - pools do generally have wider spreads than specified pools because you pay up for the specified pools for some better convexity characteristics, which is in the form -- usually in the form of a tighter yield or tighter spread in exchange for better qualities in terms of hedging and return in other return scenarios.

我們確實這樣做了- 池子通常比指定池子有更寬的價差，因為您為指定池子支付了一些更好的凸性特徵，其形式是- 通常以更緊的收益率或更緊的價差的形式來換取更好的品質其他收益場景下的對沖和收益條款。

But if you look at the pickup in our pool -- or in TBAs versus pools it was primarily really in those production coupons, which we migrated up into. And certainly, I would say in 5.5, we don't really see any great -- we don't see any great pool opportunities right now. I'd say the only place where we -- as we noted in our prepared remarks that where we did some migration from TBAs to specified pools was in 6.5 where we did buy some generally lower pay-up pools to provide for better convexity in those kind of -- for that kind of coupon.

但如果你看看我們的池中的拾取率——或者在 TBA 與池中的拾取率，它主要是在那些我們遷移到的生產優惠券中。當然，我想說在 5.5 中，我們並沒有真正看到任何偉大的東西——我們現在沒有看到任何偉大的池機會。我想說的是，正如我們在準備好的評論中指出的，我們從TBA 遷移到指定池的唯一地方是在6.5 中，我們確實購買了一些普遍較低的付費池，以在這些池中提供更好的凸度。

But there isn't -- it's a combination as we always look at things of liquidity, where it is on the stack and our ability to efficiently and quickly move around should we need to as the market moves.

但事實並非如此——這是一個組合，因為我們總是關注流動性的問題，它在堆疊中的位置，以及我們在市場變化時需要時高效、快速移動的能力。

Okay. That's helpful. Thank you. How do you guys expect conditions in the bulk MSR market to potentially respond to prepayments pick up more materially? Like do you expect the typical list of sellers to show up if rates are lower? And do you feel like the concentration risk and the market share concentration among originators is it like as a risk for buyers of servicing?

好的。這很有幫助。謝謝。你們認為散裝 MSR 市場的狀況如何可能對預付款的大幅回升做出反應？例如，如果費率較低，您是否期望出現典型的賣家名單？您是否認為發起者之間的集中度風險和市佔率集中度對服務購買者來說是一個風險？

Thanks, Eric. That's a good question. The supply dynamics in the MSR market have been unique and interesting as in this market period where rates have risen so far so fast and we've had the large banks taking both sides of buying and selling. I think a lot of the -- and your question about forward supply and what that looks like compared to what it's looked like in the recent past, it's certainly going to look different. I think that, to a large degree, most of the low WACC servicing has probably changed hands already. There doesn't seem to be -- while we continue to see packages of that stuff out there in the world. Certainly, I think we're in the later innings on seeing that stuff trade.

謝謝，埃里克。這是個好問題。MSR 市場的供應動態是獨特且有趣的，因為在這個市場時期，利率到目前為止上漲得如此之快，而且我們讓大型銀行佔據了買賣雙方的地位。我認為很多——以及你關於遠期供應的問題以及與最近的情況相比，它看起來肯定會有所不同。我認為，在很大程度上，大部分低 WACC 服務可能已經易手。似乎沒有——儘管我們繼續在世界上看到這些東西的包裝。當然，我認為我們正處於後期階段才能看到這些東西的交易。

So your question is if rates fall and there's a lot more origination of at-the-money servicing, there are many market participants originators who are not equipped to hold MSR as it's being produced. It depends on the kind of rally in a gentle grinding rally mortgage spreads and primary secondary will probably stay constant rather than gapping out. And so originators who don't have a lot of capital will be forced to sell that as they go.

所以你的問題是，如果利率下降並且平價服務的起源會增加，那麼許多市場參與者的發起者就沒有能力在 MSR 產生時持有它。這取決於抵押貸款利差和初級次級抵押貸款利差的溫和反彈的類型，可能會保持穩定而不是出現缺口。因此，沒有大量資本的發起者將被迫邊走邊賣。

Also in a rally as in a trending market, MSR malts will be declining, and so many people who don't have the ability to hedge are going to want to get rid of that stuff as soon as they can, right, else they risk a lower mark-to-market on the stuff, right? And so I think you will see a pickup in supply of at-the-money stuff to some degree, it won't be one for one with the origination pipelines in the market as a whole, right? But you will see some of that stuff come out.

同樣，在趨勢市場的反彈中，MSR 麥芽威士忌將會下跌，許多沒有對沖能力的人會希望盡快擺脫這些東西，對吧，否則他們就會面臨風險這些東西的市場定價較低，對嗎？因此，我認為您會在某種程度上看到平價產品的供應量增加，這不會與整個市場的原始管道一對一，對吧？但你會看到其中一些東西出來了。

There's often a lag between when rates start to fall and mortgages are made that in itself is a 60-day to 90-day time period as well. And then there's usually a little bit of lag further for the MSR stuff to come to market as well. So I do think you would see that. But the MSR market is often laggy and slow moving and that sort of thing. But I think you would expect to see some increase in that and at the money stuff.

利率開始下降和抵押貸款發放之間通常存在 60 天到 90 天的時間間隔。而且，MSR 產品上市通常還會有一點延遲。所以我認為你會看到這一點。但 MSR 市場往往落後且發展緩慢，諸如此類。但我認為你會期望看到這方面和金錢方面的一些成長。

That's really helpful. Thanks, Bill. Appreciate you guys.

這真的很有幫助。謝謝，比爾。感謝你們。

Thank you. This concludes today's question-and-answer session. At this time, I will turn the conference back to Mr. Greenberg for any additional or closing remarks.

謝謝。今天的問答環節到此結束。此時，我將把會議轉回格林伯格先生進行補充或結束演講。

Well thank you, everyone, for joining us today, and thank you as always for your interest in Two Harbors.

謝謝大家今天加入我們，並一如既往地感謝大家對兩港的興趣。

This concludes today's call. Thank you for your participation. You may now disconnect.

今天的電話會議到此結束。感謝您的參與。您現在可以斷開連線。