Two Harbors Investment Corp (TWO) 2025 Q3 法說會逐字稿

Good morning. My name is Taryn, and I will be your conference facilitator. At this time, I would like to welcome everyone to the Two third quarter 2025 earnings call. (Operator Instructions)

早安.我叫塔琳，我將擔任本次會議的主持人。此時此刻，我謹代表Two公司歡迎各位參加2025年第三季財報電話會議。（操作說明）

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

現在我想把電話交給瑪姬·卡爾。

Good morning, everyone, and welcome to our call to discuss Two's third quarter 2025 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 William Dellal, our Chief Financial Officer.

各位早安，歡迎參加我們關於Two公司2025年第三季財務業績的電話會議。今天早上和我一起參加電話會議的有：我們的總裁兼首席執行官比爾·格林伯格；我們的首席投資官尼克·萊蒂卡；以及我們的首席財務官威廉·德拉爾。

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

與今天電話會議相關的獲利新聞稿和簡報已提交給美國證券交易委員會（SEC），您可以在SEC網站以及我們網站twoinv.com的投資者關係頁面查閱。我們在獲利新聞稿和簡報中提供了GAAP與非GAAP財務指標的調節表，我們建議您結合今天的電話會議內容來仔細閱讀這些資訊。再次提醒各位，我們今天的評論將包含前瞻性陳述，這些陳述存在風險和不確定性，可能導致我們的實際結果與預期有重大差異。

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 does not update forward-looking statements and disclaims any obligation to do so.

這些內容在簡報第 2 頁以及我們向美國證券交易委員會提交的 10-K 表格和後續報告中均有描述。除法律可能要求的情況外，Two 不會更新前瞻性聲明，並且不承擔任何更新前瞻性聲明的義務。

I will now turn the call over to Bill.

現在我將把通話轉給比爾。

Thank you, Maggie. Good morning, everyone, and welcome to our third quarter earnings call. In August, we reached a settlement in the litigation with our former external manager arising from our internalization in 2020. In particular, we agreed to make a onetime payment of $375 million in exchange for a release of all claims, including ownership claims related to our intellectual property. The settlement payment was funded through a combination of portfolio sales, cash on hand, and available borrowing capacity.

謝謝你，瑪吉。各位早安，歡迎參加我們第三季財報電話會議。8 月，我們與前外部經理就 2020 年內部化過程中產生的訴訟達成和解。具體而言，我們同意一次性支付 3.75 億美元，以換取對方放棄所有索賠，包括與我們的智慧財產權相關的所有權索賠。和解款項的資金來源包括資產組合出售、自有現金和可用借款能力。

Importantly, we continue to have ample liquidity following the payments, and our risk metrics are in line with how we have managed the portfolio historically. With this matter now fully behind us, we are glad to move forward with clarity and certainty of purpose. During the quarter, we took a number of steps to adjust our portfolio, largely on a pro rata basis, to address our lower capital base and higher structural leverage. We sold some agency securities, bringing the RMBS portfolio to $10.9 billion from $11.4 billion. We also sold $19.1 billion UPB of MSR and another approximately $10 billion of UPB that will settle at the end of this month, in both cases slightly above our marks.

重要的是，支付款項後我們仍然擁有充足的流動性，我們的風險指標與我們以往管理投資組合的方式一致。既然這件事已經徹底過去，我們很高興能夠以清晰的目標和確定的決心繼續前進。本季度，我們採取了一系列措施來調整我們的投資組合，主要按比例進行調整，以應對我們較低的資本基礎和較高的結構性槓桿。我們出售了一些機構證券，使RMBS投資組合從114億美元降至109億美元。我們還出售了價值 191 億美元的未償付餘額 (UPB) 的 MSR，以及價值約 100 億美元的未償付餘額 (UPB)，這兩筆交易將於本月底結算，兩筆交易的價格都略高於我們的預期。

Furthermore, these sales were done on a servicing-retained basis with a new subservicing client, establishing a significant and important relationship. These transactions validate our efforts to meaningfully grow our third-party subservicing business and confirm the thesis that we envisioned when we first acquired RoundPoint, specifically that given our history as MSR investors, we are an ideal subservicing partner for other MSR owners.

此外，這些銷售是以服務保留為基礎，與新的二級服務客戶建立的，從而建立了重要而深遠的關係。這些交易驗證了我們為切實發展第三方分包業務所做的努力，並證實了我們最初收購 RoundPoint 時所設想的理念，即鑑於我們作為 MSR 投資者的歷史，我們是其他 MSR 所有者的理想分包合作夥伴。

With those additions, we will have roughly $40 billion of true third-party clients using RoundPoint as a subservicer. In addition, RoundPoint will soon be set up to service Ginnie Mae loans, too, allowing further growth in our subservicing business. Additionally, we intend to redeem the full $262 million UPB of our outstanding convertible notes when they mature in January 2026, which will reduce our structural leverage to be in line with historical levels.

加上這些新增客戶，我們將擁有約 400 億美元的真正第三方客戶，他們將使用 RoundPoint 作為子服務提供者。此外，RoundPoint 也將很快開始為 Ginnie Mae 貸款提供服務，這將使我們的二級服務業務進一步成長。此外，我們計劃在 2026 年 1 月到期時贖回全部 2.62 億美元的未償付可轉換票據，這將使我們的結構性槓桿率降低到與歷史水平一致。

We plan to fund this redemption with cash on hand and by drawing down our MSR facilities. If we were to pay down the convertible note today, we would still have in excess of $500 million of cash on our balance sheet. Lastly, the reduction in our capital base has also had the effect of increasing our expense ratio. While we are always intently focused on improving efficiencies and lowering costs, we are acutely aware of the impact today. We have already undertaken efforts to reduce our cost structure in light of the settlement payment, and we have line of sight into significant amounts of savings already.

我們計劃用自有現金和動用抵押貸款服務權來支付此次贖回款項。如果我們今天償還可轉換債券，我們的資產負債表上仍將有超過 5 億美元的現金。最後，資本基礎的減少也導致了費用率的上升。雖然我們始終致力於提高效率和降低成本，但我們也深入意識到當今的影響。鑑於和解款項，我們已經採取措施降低成本結構，並且已經看到了節省大量資金的希望。

We will have more to say about this in coming quarters. We are confident that after all of our portfolio adjustments, we will continue to be well positioned to execute on our MSR-focused investment strategy to enhance and grow our servicing and origination activities and to deliver long-term value for our stockholders.

我們將在未來幾季就此發表更多評論。我們相信，經過所有投資組合調整後，我們將繼續保持良好的狀態，執行以抵押貸款服務權 (MSR) 為中心的投資策略，以加強和發展我們的服務和業務拓展活動，並為我們的股東創造長期價值。

Please turn to slide 3. For the third quarter, including the litigation settlement expense of $1.68 per share, we experienced a total economic return of negative 6.3% and a positive 7.6% without the expense. For the first nine months of the year, this results in a total economic return on book value of negative 15.6% and positive 9.3%, excluding the expense.

請翻到第3張投影片。第三季度，包括每股 1.68 美元的訴訟和解費用在內，我們的總經濟回報率為負 6.3%；若不計入該費用，則為正 7.6%。前九個月，帳面價值的總經濟報酬率為負 15.6%，不包括費用則為正 9.3%。

Please turn to slide 4. Performance across the fixed income market was positive in the third quarter. Though inflation readings continued to run above the Fed's target and the full impact of recent increases to tariffs on forward inflation were still unclear, the Fed cut rates by 25 basis points in September, the first cut since November 2024, as Chair Powell cited emerging downside risks in the labor market. The Fed's own guidance of another 50 basis points of cuts by year end aligned with the market consensus, as you can see in the blue line in figure 1.

請翻到第4張投影片。第三季固定收益市場整體表現良好。儘管通膨數據持續高於聯準會的目標，且近期關稅上調對未來通膨的全面影響仍不明朗，但聯準會在9月份仍將利率下調了25個基點，這是自2024年11月以來的首次降息，主席鮑威爾指出勞動力市場出現了新的下行風險。聯準會自己給出的年底前再降息 50 個基點的指導意見與市場共識一致，如圖 1 的藍線所示。

Net changes across the yield curve were small over the quarter, as you can see in figure 2, with two year yields lower by 11 basis points to 3.61%, and 10-year yields down by 8 basis points to 4.15%. Equity markets were also buoyed by Fed cuts, with the S&P 500 up almost 8% by quarter end after setting all-time record highs early in the quarter.

如圖 2 所示，本季殖利率曲線的淨變化很小，兩年期殖利率下降 11 個基點至 3.61%，十年期殖利率下降 8 個基點至 4.15%。聯準會降息也提振了股市，標普500指數在本季新創下歷史新高後，到季末上漲了近8%。

Please turn to slide 5. As I mentioned earlier, in the third quarter we signed a term sheet with a new subservicing client which will bring our combined subservicing UPB to approximately $40 billion and will bring the total of our own servicing down to approximately $165 billion. We are particularly encouraged by the robust growth in our direct-to-consumer originations platform, especially since most of our portfolio is not economically incentivized to move or refinance. Our originations team recorded the most-ever locks for the month of September and in the third quarter we funded $49 million of UPB in first and second liens, and which gives us increasing confidence that our DTC efforts are working as intended and can provide a meaningful pickup in portfolio recapture and economic returns.

請翻到第5張投影片。正如我之前提到的，在第三季度，我們與一家新的二級服務客戶簽署了一份條款清單，這將使我們合併後的二級服務未償付餘額達到約 400 億美元，並將我們自己的服務總額降至約 1650 億美元。我們對直接面向消費者的貸款發放平台的強勁成長感到特別鼓舞，尤其是考慮到我們的大部分投資組合在經濟上沒有動力進行轉移或再融資。我們的貸款發起團隊在 9 月創下了有史以來最高的鎖定記錄，第三季度我們為 4900 萬美元的未償付本金提供了第一和第二留置權貸款，這讓我們越來越有信心，我們的 DTC 工作正在按預期發揮作用，並能顯著提高投資組合回收率和經濟回報。

Indeed, at quarter end, we had an additional $52 million UPB in our origination pipeline. Additionally, we brokered $60 million UPB in second liens in the quarter, a significant pickup from the $44 million we did in Q2 and also a record high for us at RoundPoint. As interest rates have trended lower post quarter end, we are very optimistic about the additional value that RoundPoint can bring to shareholders. Lastly, I want to mention again the improvements that we are making in the technology platform at RoundPoint. AI and other applications continue to allow us to improve customer and borrower experiences and quality.

事實上，截至季末，我們的新增貸款儲備金為 5,200 萬美元。此外，本季我們促成了 6,000 萬美元的未償還本金第二留置權交易，比第二季的 4,400 萬美元大幅成長，也創下了 RoundPoint 的歷史新高。由於季末利率呈下降趨勢，我們對 RoundPoint 能為股東帶來的額外價值感到非常樂觀。最後，我想再次提及我們在 RoundPoint 技術平台所做的改進。人工智慧和其他應用將繼續幫助我們改善客戶和借款人的體驗和品質。

These efforts allow us to achieve more economies of scale and to recognize the benefits of our investments immediately, which are important components of our drive to reduce servicing and corporate costs. Looking ahead, we now have a clean slate to capitalize on opportunities in our MSR and MBS portfolio and to drive growth in servicing and originations. We believe that with our stock trading at a discount to book, it is significantly undervalued. With the uncertainty created by the litigation behind us, with the quality of assets that we hold, and with several of our peers trading at premiums to book, we see no reason why we should trade at an 11% discount to book as we were at quarter end. We still see mortgage spreads as being very attractive despite the recent tightening.

這些努力使我們能夠實現更大的規模經濟效益，並立即獲得投資收益，這是我們降低服務成本和公司成本的重要組成部分。展望未來，我們現在擁有了一張白紙，可以充分利用我們在抵押貸款服務權 (MSR) 和抵押貸款支持證券 (MBS) 組合中的機會，並推動服務和貸款發放業務的成長。我們認為，由於我們的股票交易價格低於帳面價值，因此被嚴重低估。訴訟帶來的不確定性已經過去，我們持有的資產品質良好，而且我們的一些同業也以高於帳面價值的價格交易，因此我們認為沒有理由像季度末那樣以低於帳面價值 11% 的價格交易。儘管近期利率有所收緊，但我們仍然認為抵押貸款利差非常有吸引力。

However, we view the risks to MBS performance as being symmetrical and therefore very supportive of our strategy, in particular with its large allocation to hedged MSR, which is designed to have less sensitivity to fluctuations in the mortgage spreads than portfolios without MSR. We're very optimistic about the attractive investment opportunities available in the market for our strategy.

然而，我們認為 MBS 表現面臨的風險是對稱的，因此非常有利於我們的策略，特別是其對沖 MSR 的大量配置，旨在降低對抵押貸款利差波動的敏感度，使其低於沒有 MSR 的投資組合。我們對市場上符合我們策略的極具吸引力的投資機會非常樂觀。

And with that, I'd like to hand the call over to William to discuss our financial results.

接下來，我想把電話交給威廉，讓他來討論我們的財務表現。

Thank you, Bill. Please turn to slide 6. This quarter, in connection with the settlement agreement with our former external manager, we recorded $175.1 million litigation settlement expense, or $1.68 per weighted average common share. This expense is the difference between the $375 million cash payment made to our former external manager, less the related loss contingency accrual recorded in the second quarter of $199.9 million. You can see this reflected on this slide in the callout boxes. Including this expense, our return on book value is a negative 0.63%. Excluding this expense, our return on book value would have been a positive 7.6%.

謝謝你，比爾。請翻到第6張投影片。本季度，由於與前外部管理人達成的和解協議，我們提列了 1.751 億美元的訴訟和解費用，即每股加權平均普通股 1.68 美元。這筆費用是支付給前外部經理的 3.75 億美元現金與第二季記錄的相關損失準備金 1.999 億美元之間的差額。您可以在這張投影片的標註框中看到這一點。計入這筆費用後，我們的帳面價值回報率為負 0.63%。如果排除這筆費用，我們的帳面價值回報率將為正7.6%。

Please turn to slide 7. Including the litigation settlement expense, the company incurred a comprehensive loss of $80.2 million, or $0.77 per share. Excluding the expense, we would have generated comprehensive income of $94.9 million, or $0.91 per share. Net interest and servicing income, which is the sum of GAAP net interest expense and net servicing income before operating costs, was slightly higher in the third quarter by $2.8 million, driven by higher float and servicing fee income and lower financing costs. This was partially offset by lower interest income on agency RMBS. Mark-to-market gains and losses were higher in the quarter by $111.3 million.

請翻到第7頁投影片。計入訴訟和解費用，該公司綜合虧損 8,020 萬美元，即每股虧損 0.77 美元。不計入該支出，我們將產生9,490萬美元的綜合收益，即每股0.91美元。淨利息和服務收入（即扣除營運成本前的 GAAP 淨利息支出和淨服務收入總和）在第三季略微增加了 280 萬美元，這主要得益於更高的浮動利率和服務費收入以及更低的融資成本。機構RMBS利息收入的下降部分抵銷了這一影響。本季以市值計價的收益和損失增加了 1.113 億美元。

As a reminder, this column represents the sum of investment securities net gains and losses and changes in OCI, net swap and other derivative gains and losses, and net servicing asset gains and losses. In the third quarter, we experienced mark-to-market gains on agency RMBS, TBAs, and swaps partially offset by mark-to-market losses on MSR and futures. You can see the individual components of net interest and servicing income and mark-to-market gains and losses on Appendix slide 21.

提醒一下，本欄表示投資證券淨收益和損失以及其他綜合收益變動、淨互換和其他衍生性商品收益和損失以及淨服務資產收益和損失的總和。第三季度，機構RMBS、TBA和互換的按市值計價收益部分被MSR和期貨的按市值計價損失所抵消。您可以在附錄投影片 21 中看到淨利息和服務收入以及按市值計價的損益的各個組成部分。

Please turn to slide 8. On the left-hand side of the slide, you can see a breakdown of our balance sheet at quarter end. After the litigation settlement payment of $375 million and after the sale of $19.1 billion UPB of MSR, we ended the quarter with cash on balance sheet of $770.5 million. As Bill mentioned, we plan to redeem the full $261.9 million of our outstanding convertible notes when they mature on January 15, 2026.

請翻到第8張幻燈片。在投影片的左側，您可以看到我們季度末的資產負債顯示細。在支付了 3.75 億美元的訴訟和解金以及出售了價值 191 億美元的 MSR 未償付餘額後，我們本季末的資產負債表現金餘額為 7.705 億美元。正如比爾所提到的，我們計劃在 2026 年 1 月 15 日到期時贖回全部 2.619 億美元的未償可轉換票據。

As a reminder, in the second quarter we defeased part of this maturing debt with the issuance of a baby bond for net proceeds of $110.6 million. Until the maturity of the convertible debt, we will use the cash on balance sheet to lower our MSR borrowings. Our MBS funding markets remained stable and available throughout the quarter with repurchase spreads at around SOFR plus 20 basis points.

提醒一下，在第二季度，我們透過發行小型債券償還了部分到期債務，淨收益為 1.106 億美元。在可轉換債券到期之前，我們將利用資產負債表上的現金來降低我們的抵押貸款服務權借款。本季我們的抵押貸款支援證券融資市場保持穩定且供應充足，回購價差約為 SOFR 加 20 個基點。

At quarter end, our weighted average days to maturity for agency RMBS repo was 88 days. We financed our MSR, including the MSR asset and related servicing advance obligations across 6 lenders with $1.7 billion of outstanding borrowings under bilateral facilities. We ended the quarter with a total of $939 million in unused MSR asset financing capacity. Our servicing advances are fully financed, and we have an additional $78 million in available capacity.

截至季末，我們機構RMBS回購的加權平均到期天數為88天。我們為抵押貸款服務權 (MSR) 提供了融資，包括 MSR 資產和相關的服務預付款義務，涉及 6 家貸款機構，雙邊融資項下未償還借款達 17 億美元。本季末，我們共有 9.39 億美元的未使用 MSR 資產融資能力。我們的服務預付款已全部到位，我們還有額外的 7,800 萬美元可用額度。

I will now turn the call over to Nick.

現在我將把通話交給尼克。

Thank you, William. Please turn to slide 9. Our portfolio at September 30, was $13.5 billion, including $9.1 billion in settled positions and $4.4 billion in TBAs. After adjusting the portfolio for our lower capital base, we slightly increased our economic debt to equity to 7.2 times. We are comfortable at this current leverage level.

謝謝你，威廉。請翻到第9頁投影片。截至 9 月 30 日，我們的投資組合價值 135 億美元，其中包括 91 億美元的已結算部位和 44 億美元的待結算部位。在調整投資組合以適應較低的資本基礎後，我們將經濟債務與權益比率略微提高至 7.2 倍。我們對目前的槓桿水平感到滿意。

Though spreads have contracted, they still look attractive on a levered basis versus swaps, especially in the context of diminished interest rate and spread volatility. Furthermore, positive demand technicals such as robust flows into bond funds and buying by REITs are likely to persist as the Fed continues to cut interest rates. That said, spreads have normalized quite a bit, and while they are less volatile, we see spread changes to be more two sided.

儘管利差有所收窄，但與互換相比，它們在槓桿基礎上仍然具有吸引力，尤其是在利率和利差波動性降低的情況下。此外，隨著聯準會繼續降息，債券基金資金強勁流入和房地產投資信託基金（REITs）的購買等積極的需求技術因素可能會持續存在。也就是說，價差已經趨於正常化，雖然波動性降低，但我們看到價差的變化更加呈現兩極化的趨勢。

Consequently, by quarter end, we reduced the portfolio's sensitivity to spread changes from 4.2% to 2.3% of common book value if spreads were to tighten by 25 basis points, which you can see in Chart 3. This quarter, despite leverage increasing, we actually reduced our risk exposure. You can see more details on our risk exposures on Appendix slide 18.

因此，到季末，如果利差收窄 25 個基點，我們將投資組合對利差變化的敏感度從普通股帳面價值的 4.2% 降低到 2.3%，如圖表 3 所示。本季度，儘管槓桿率有所上升，但我們實際上降低了風險敞口。您可以在附錄投影片 18 查看有關我們風險敞口的更多詳細資訊。

Please turn to slide 10. Given the stability of rates and broad consensus that the Fed is on a gradual path toward lowering rates further, implied volatility declined to its lowest level since mid-2022. As you can see in figure 1, our preferred volatility gauge of two year options on 10 year swap rates, shown by the green line, closed the quarter at 84 basis points, down 10 basis points and back to just above its average level over the past 10 years. If you look back to 2022 when volatility was last here, spreads versus swaps were tighter.

請翻到第10張投影片。鑑於利率穩定，且市場普遍認為聯準會正在逐步進一步降低利率，隱含波動率降至 2022 年年中以來的最低水準。如圖 1 所示，我們首選的 10 年期互換利率兩年期選擇權波動率指標（綠線所示）本季末為 84 個基點，下降了 10 個基點，回到了過去 10 年的平均水準之上。回顧 2022 年，當時市場波動性上次達到如此水平，而互換利差則更為集中。

We see attractive static returns with volatility at this level between 15% and 19% for the securities portion of our portfolio, which you will see in the return potential slide shortly. RMBS performance was positive across the 30-year coupon stack, with the best performance concentrated in the belly coupons such as 4.5s and 5s. The excess return of the Bloomberg US Mortgage Backed Securities Index was positive. 82 basis points, the best performance since Q4 2023.

我們看到，對於我們投資組合中的證券部分而言，在波動性為 15% 至 19% 的水平下，靜態收益具有吸引力，您很快就會在收益潛力幻燈片中看到這一點。30 年期 RMBS 的表現整體良好，其中表現最佳的是期限較長的債券，例如 4.5 年和 5 年的債券。彭博美國抵押貸款支持證券指數的超額收益為正，達到82個基點，為2023年第四季以來的最佳表現。

You can see spreads across the curve, both nominally and on an option-adjusted basis, in figure 2. During the quarter, the nominal spread for current coupon RMBs tightened by 26 basis points to 145 basis points to the swap curve, while option-adjusted spreads finished 14 basis points tighter at 67 basis points.

如圖 2 所示，您可以看到曲線上的價差，包括名目價差和選擇權調整價差。本季度，當期息人民幣名目利差收窄 26 個基點至 145 個基點，與互換曲線相比，而經選擇權調整後的利差收窄 14 個基點至 67 個基點。

Please turn to slide 11 to review our agency RMBS portfolio. Figure 1 shows the performance of TBAs and specified pools we owned throughout this quarter. Specified pools outperformed TBAs led by 4.5s and 5s. We rotated the portfolio down in coupon, reducing our 6% to 6.5% position in TBAs and specified pools by approximately $1.8 billion, and increased our 5% to 5.5% position by approximately $1.6 billion.

請翻到第 11 頁查看我們機構的 RMBS 投資組合。圖 1 顯示了我們在本季擁有的 TBA 和指定資金池的表現。指定池的表現優於 TBA，其中 4.5 和 5 的池表現最佳。我們調整了投資組合的票息比例，將我們在 TBA 和特定資金池中的 6% 至 6.5% 的持倉減少了約 18 億美元，並將我們在 5% 至 5.5% 的持倉增加了約 16 億美元。

We also opportunistically sold approximately $1.3 billion of specified pools versus TBAs across several coupons. You can see this detail on Appendix Slide 17. We have continued this downward rotation into this quarter as the rally in rates continues. In September, primary mortgage rates dropped to their lowest levels of 2025, finishing the quarter for a sustained period around 6.25%, aided by the drop in US treasury rates as well as the strong performance of current coupon RMBS spreads and firm primary-secondary mortgage spreads.

我們也抓住機會，在多個票息中出售了約 13 億美元的指定債券池，而不是待定債券池。您可以在附錄投影片 17 中看到此詳細資訊。隨著利率持續上漲，我們本季也延續了這種下行趨勢。9 月份，主要抵押貸款利率降至 2025 年以來的最低水平，並在美國國債利率下降、當前票息 RMBS 利差表現強勁以及一級和二級抵押貸款利差堅挺的推動下，本季度末利率持續維持在 6.25% 左右。

We are seeing the effects of the rate drop on refinancing activity with large month over month increases for refinanceable coupons' prepayment speeds as reported in early October. Thus far the pickup in speeds has followed the pattern seen in recent prepayment episodes such as when rates dropped about a year ago. With rates remaining about here, we expect to see further pickups and speeds as borrower refinance activity fully works its way through closings. Figure 2 on the bottom right shows our specified pool prepayment speeds by coupon, which despite the drop in primary rates decreased to 8.3% from 8.6% CPR. This is a result of having the majority of our pool holdings in lower coupons as well as in call-protected securities that did not experience the large increases seen for generic collateral.

我們看到利率下降對再融資活動的影響，10 月初的數據顯示，可再融資債券提前還款的速度出現了大幅環比成長。到目前為止，這種加速成長的趨勢與最近幾次提前還款的情況類似，例如大約一年前利率下降的時候。鑑於利率仍維持在當前水平，我們預計隨著借款人再融資活動全面完成交割，利率將進一步上升並加快。右下角的圖 2 顯示了我們按票息劃分的指定資金池預付款速度，儘管主要利率下降，但 CPR 仍從 8.6% 降至 8.3%。這是因為我們的大部分資金池持有的是低利率證券以及受贖回保護的證券，這些證券並沒有像普通抵押品那樣經歷大幅上漲。

Please turn to slide 12. You can see that the volume of MSR in the bulk market has remained lower than in prior years. The market continues to be well subscribed, with bank and nonbank portfolios continuing to compete for greater scale in MSRs. Figure 2 is a chart we periodically update, which shows that with mortgage rates at their current level, still only about 3% of our MSR portfolio is considered in the money.

請翻到第12頁投影片。可以看出，散裝市場的MSR交易量一直低於往年。市場需求仍然旺盛，銀行和非銀行投資組合繼續競相擴大抵押貸款服務權 (MSR) 的規模。圖 2 是我們定期更新的圖表，它顯示，在目前的抵押貸款利率水準下，我們的 MSR 投資組合中只有大約 3% 被認為是盈利的。

If mortgage rates were to drop to 5%, the portion of our portfolio in the money would rise to about 9%. As Bill highlighted, RoundPoint's direct-to-consumer originations platform has been growing consistent with the market opportunity to recapture loans in our portfolio that may refinance. When interest rates dropped in September, we saw the benefits of these efforts and our platform is poised and ready to do more.

如果抵押貸款利率降至 5%，我們投資組合中處於獲利狀態的資產比例將上升至約 9%。正如比爾所強調的那樣，RoundPoint 的直接面向消費者的貸款發起平台一直在成長，這與市場機會一致，可以收回我們投資組合中可能進行再融資的貸款。9 月利率下降時，我們看到了這些努力的好處，我們的平台已經做好準備，可以做得更多。

Please turn to slide 13 where we will discuss our MSR portfolio. Figure 1 is an overview of our portfolio at quarter end, further details of which can be found on Appendix slide 24. In the second quarter we settled about $700 million from flow acquisitions. As Bill said, we also committed to sell approximately $30 billion UPB of low gross WACC MSR on a servicing-retained basis as part of our portfolio reallocation. Being able to sell it retained with a large, new subservicing client benefits us not only by being able to leave those loans at RoundPoint and retain the economies of scale, but also gives us an important lever in efficiently managing our assets.

請翻到第 13 頁，我們將討論我們的 MSR 投資組合。圖 1 是我們季度末投資組合的概覽，更多詳情請參考附錄投影片 24。第二季度，我們結算了約 7 億美元的資金，用於收購流動資產。正如比爾所說，作為我們投資組合重新配置的一部分，我們也承諾以保留服務為基礎，出售約 300 億美元的低總 WACC MSR 未償付餘額。能夠將這些貸款連同其在一家大型新二級服務客戶處保留下來，不僅使我們能夠將這些貸款留在 RoundPoint 並保持規模經濟效益，而且還為我們有效管理資產提供了重要的槓桿。

Though we like our MSR portfolio, should we want to redeploy capital away from low gross WACC MSR into, say, high gross WAC MSR, selling it to a subservicing client is ideal. The price multiple of our MSR was down slightly quarter over quarter to 5.8 times, in line with the drop in mortgage rates, and 60-plus day delinquencies remained low at under 1%. Figure 2 compares CPRs across implied security coupons in our portfolio of MSR versus TBAs. Quarter over quarter, our MSR portfolio experienced a de minimis pickup in prepayment rates to 6%. Importantly, prepays have remained below our projections for the majority of our portfolio, which is a positive tailwind for returns.

雖然我們喜歡我們的 MSR 投資組合，但如果我們想將資金從低總 WACC MSR 重新部署到高總 WAC MSR，那麼將其出售給二級服務客戶是理想的選擇。與抵押貸款利率下降的趨勢一致，我們的 MSR 價格倍數較上季略微下降至 5.8 倍，60 天以上的拖欠率仍然很低，低於 1%。圖 2 比較了我們投資組合中 MSR 與 TBA 的隱含證券票息的 CPR。與上一季相比，我們的抵押貸款服務權 (MSR) 投資組合的提前還款率略有上升，達到 6%。重要的是，我們投資組合中大部分的提前還款額仍低於我們的預期，這對收益來說是一個積極的利好因素。

Finally, please turn to slide 14, our return potential and outlook slide. This is a forward-looking projection of our expected portfolio returns, which incorporates all of our recent portfolio adjustments. Please note While the $262 million convertible note is shown in the table, the projections assume that it is redeemed at its maturity in January. As you can see on this slide, the top half of the table is meant to show what returns we believe are available on the assets in our portfolio.

最後，請翻到第 14 頁，即我們的回報潛力和前景展望頁。這是對我們預期投資組合收益的前瞻性預測，其中包含了我們最近所有的投資組合調整。請注意，雖然表格中顯示了 2.62 億美元的可轉換票據，但預測假設該票據將在 1 月到期時贖回。正如您在這張投影片上看到的，表格的上半部旨在顯示我們認為投資組合中的資產可以獲得的收益。

We estimate that about 68% of our capital is allocated to servicing, with a static return projection of 11% to 14%. The remaining capital is allocated to securities with a static return estimate of 15% to 19%. With our portfolio allocation shown in the top half of the table and after expenses, the static return estimate for our portfolio would be between 9.1% to 12.6% before applying any capital structure leverage to the portfolio.

我們估計，我們約 68% 的資本用於服務，靜態回報預期為 11% 至 14%。剩餘資金分配給預期固定收益率為 15% 至 19% 的證券。根據表格上半部所示的投資組合配置，扣除費用後，在未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收益估計在 9.1% 到 12.6% 之間。

After giving effect to our unsecured notes and preferred stock, we believe that the potential static return on common equity falls in the range of 9.5% to 15.2%, or a prospective quarterly static return per share of $0.26 to $0.42. With agency securities showing a higher range of prospective static returns in MSR, astute investors might ask the question as to why we don't sell more MSR and rotate into MBS. One reason is that the marginal cost of owning MSR is lower than its average cost and so lowering our exposure there would have the effect of increasing costs.

在計入我們的無擔保票據和優先股後，我們認為普通股的潛在靜態收益率在9.5%至15.2%之間，或每股季度預期靜態收益為0.26美元至0.42美元。鑑於機構證券在抵押貸款支持證券（MSR）方面顯示出更高的預期靜態收益率，精明的投資者可能會問，為什麼我們不出售更多MSR並轉向抵押貸款支持證券（MBS）。其中一個原因是，持有 MSR 的邊際成本低於其平均成本，因此降低我們在該領域的投資將導致成本增加。

Another reason is that we believe that the quality of the returns on the MSR side is higher, mostly consisting of very low rate, easy-to-hedge cash flows, with lower convexity risk than MBS. While we do think there is a lot of opportunity in MBS, especially given the level of implied volatility, we think our capital allocation is just where we want it to be.

另一個原因是，我們認為 MSR 方面的收益品質更高，主要由利率非常低、易於對沖的現金流量組成，凸性風險低於 MBS。雖然我們認為抵押貸款支援證券 (MBS) 領域有很多機會，特別是考慮到其隱含波動率水平，但我們認為我們目前的資本配置正是我們想要的。

To conclude, returns remain attractive in support of our core strategy of low mortgage rate MSR paired with agency RMBS. The MSR market continues to benefit from historically high levels of interest and participation from bank and nonbank originators and investors. Though mortgage rates have dropped and prepayment rates for refinanceable coupons are on the rise, our low mortgage rate MSR portfolio remains hundreds of basis points out of the money.

總之，收益依然可觀，這支持了我們以低抵押貸款利率MSR與機構RMBS結合的核心策略。抵押貸款服務權 (MSR) 市場繼續受益於銀行和非銀行貸款機構及投資者的歷史性高關注度和參與度。儘管抵押貸款利率下降，可再融資債券的提前還款率上升，但我們的低抵押貸款利率 MSR 投資組合仍虧損數百個基點。

Thus far the exposure the portfolio has to higher rate, newer production servicing has grown very modestly. Given RoundPoint's capability to refinance and recapture these loans, we look forward to continued growth in this part of our MSR portfolio. We continue to be optimistic that our portfolio construction of MSR, paired with agency RMBS, should generate attractive risk-adjusted returns over a wide range of market scenarios.

到目前為止，該投資組合對較高利率、較新的生產服務的投資曝險成長非常緩慢。鑑於 RoundPoint 有能力對這些貸款進行再融資和收回，我們期待我們的 MSR 投資組合的這一部分能夠繼續成長。我們仍然樂觀地認為，我們建構的 MSR 與機構 RMBS 結合的投資組合，應該能夠在各種市場情況下產生具有吸引力的風險調整後收益。

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

非常感謝您今天蒞臨，現在我們很樂意回答您可能提出的任何問題。

(Operator Instructions)

（操作說明）

Bose George, KBW.

博斯·喬治，KBW。

Actually, first, what are the key drivers of the increase in the EAD in the third quarter relative to the second quarter? And then can you just remind us what are the drivers that take you from the low end to the high end of your guided range?

首先，第三季 EAD 相對於第二季成長的主要驅動因素是什麼？那麼，您能否提醒我們一下，是什麼因素使您的指導射程從低端提升到高端？

On the EAD, I think it's the -- if we look at the cost of our financing securities, that's what has come down to allow the EAD to go up. The asset yields on EAD are roughly constant, but the financing rates have come down. Of course, there's no mark-to-market. So this is just as a result of rejiggering the portfolio.

關於 EAD，我認為——如果我們看一下融資證券的成本，就會發現正是成本下降才使得 EAD 能夠上漲。EAD 的資產收益率大致保持不變，但融資利率已經下降。當然，這裡沒有按市值計價。所以這只是重新調整投資組合的結果。

And actually just as a follow up to that. With short rates coming down as the Fed cuts, does that trend continue or just in terms of what happens to the EAD over the next, say, quarter or two?

實際上，這只是那件事的後續補充。隨著聯準會降息，短期利率也隨之下降，這種趨勢會持續下去嗎？還是說，這種趨勢只會持續到下個季度或兩季EAD（出口附加費）的走勢？

I don't think it's a trend that will continue. It's largely as a result of the change in the mix of the liabilities between TBAs and -- the financing on TBAs and spec pools.

我不認為這種趨勢會持續下去。這主要是由於待定資產負債表與待定資產負債表及投機性資產池的融資之間的負債組合發生了變化。

And then can you give us an update on your book value quarter to date?

那麼，您能否提供截至目前為止的帳面價值季度最新情況？

Bose, as of last Friday, our book value was up about 1%.

截至上週五，Bose 的帳面價值上漲了約 1%。

Doug Harter, UBS.

道格·哈特，瑞銀集團。

I know leverage is just one metric you look at, but can you talk about the various risk metrics as you think about the size of the portfolio following the settlement?

我知道槓桿率只是你需要考慮的指標之一，但是你能否談談在結算後考慮投資組合規模時，各種風險指標是什麼？

Doug, this is Nick. Thank you for the question. Yeah, as you know, we look at a lot of risk metrics in managing the portfolio. And as I said in my prepared remarks, this quarter our economic debt-to-equity did go up while we, by quarter end, had taken down our overall spread risk. It's a slew of things that we look at when we manage a portfolio.

道格，我是尼克。謝謝你的提問。是的，如您所知，我們在管理投資組合時會考慮許多風險指標。正如我在準備好的演講稿中所說，本季我們的經濟債務權益比確實上升了，但到季末，我們已經降低了整體利差風險。我們在管理投資組合時需要考慮許多因素。

It's clearly first and foremost the returns that are available on the asset classes that we have in the portfolio and what seems to be the ideal mix in the context of the market that we are in. All of those things come into play, whether it's the amount of leverage that's available in the market, the financing rates clearly, but just most importantly, the asset yields versus the risk that each security sector has. And each quarter and each and every day we look to maximize the return that we can generate from the portfolio versus the amount of risk that each asset has.

首先，我們最關心的是投資組合中各類資產的回報，以及在當前市場環境下，哪種組合最為理想。所有這些因素都會發揮作用，無論是市場上可用的槓桿量、融資利率，但最重要的是，每個證券行業的資產收益率與風險之間的關係。每個季度，每一天，我們都力求最大限度地提高投資組合的收益，同時控制每項資產的風險。

I might just add here, Doug. Nick made a comment in his prepared remarks about the difference between leverage ticking up a little bit while our mortgage spread risk went down. And that's a good example of not being too focused on one metric versus another. Both of those things are important as we look at the overall leverage, the overall liquidity, overall what I will call drawdown risk, different scenario analyses that we look at depending on volatility of interest rates, the volatility of spreads, and so forth. So all those things get mixed into our decisions about how we manage the risk of the portfolio, especially in the context of the returns available, as Nick said.

我還要補充一點，道格。尼克在事先準備好的演講稿中提到，槓桿率略有上升，而我們的房貸利差風險卻下降了。這是一個很好的例子，說明不應該過度專注於某項指標而忽略其他指標。這兩件事都很重要，因為我們要檢視整體槓桿率、整體流動性、整體我稱之為回撤風險的水平，以及根據利率波動性、利差波動性等因素進行的不同情境分析。正如尼克所說，所有這些因素都會影響我們對如何管理投資組合風險的決策，尤其是在可獲得的回報方面。

And Bill, you mentioned that you were looking at -- to try to implement some cost saves on the corporate expense side. On your return potential slide, does that factor in potential cost saves, or is that where your costs are today or there's potential up?

比爾，你提到你正在考慮——嘗試在公司支出方面實施一些成本節約措施。在您的回報潛力圖表中，是否考慮了潛在的成本節約，還是僅僅反映了您目前的成本水平，或者還有提升的空間？

No, that's where they are today.

不，他們現在就是這種情況。

So there would be potential upside to that number as those cost saves are realized?

隨著成本節約的實現，這個數字可能會有上升空間？

Yes, I think so.

是的，我也這麼認為。

Rick Shane, JP Morgan.

Rick Shane，摩根大通。

In looking at slide 17, what stands out to me is that for the third quarter in a row at least, you are tactically net short the coupon 50 basis points below the coupon where you are you have the highest concentration. Can you help us understand -- again, as an equity guy, I'm just trying to understand what's going on there, what drives that strategy.

看第 17 張投影片，最讓我印象深刻的是，至少連續第三個季度，你們在策略上淨做空了票息低於票息 50 個基點的債券，而你們的持倉集中度最高。您能否幫我們理解一下——再說一遍，作為一名股權投資者，我只是想了解那裡發生了什麼，是什麼驅動了這種策略。

Rick, thank you for that question. A lot of what drives that coupon exposure, and we do manage it, of course, but it is how rates move and where the current coupon sits relative to our risk exposures and our MSR and the rest of our portfolio. So as rates rally, you can see in that table we do show what we believe is the effective offset to our mortgage longs by the current coupon exposure of the MSR and other negatively derated assets in our portfolio.

里克，謝謝你的提問。許多因素都會影響票息敞口，當然，我們也會對其進行管理，但關鍵在於利率的變動以及當前票息相對於我們的風險敞口、MSR 以及我們投資組合其他部分的位置。因此，隨著利率上升，您可以在該表中看到，我們確實顯示了我們認為透過 MSR 和我們投資組合中其他負利率資產的當前票息敞口，對我們的抵押貸款多頭頭寸進行有效抵消的情況。

And as rates rally, that negative number migrates down in coupon, and we manage that through time. And as I said in my prepared remarks, we had gone down in coupon in terms of our mortgage holdings and a lot of that was just in response to the fact that rates are rallying, and we need to offset the current coupon risk in our MSR portfolio as that happens. So I will say that we don't get overly -- I think the word I typically use is -- fussed with 50 basis points coupon swap. There are times when there can be an extreme value difference in 50 basis points. But the truth of the matter is that we look at these risks a little bit on a bucketed basis, and there's not really a -- I wouldn't say that there's a strong strategic reason why that 50 basis point exposure is the way it is.

隨著利率上升，負數會向下轉移到票息中，我們會隨著時間的推移來應對這種情況。正如我在準備好的演講稿中所說，我們降低了抵押貸款持有量的票息，這很大程度上是為了應對利率上漲的局面，我們需要抵消抵押貸款服務權組合中當前的票息風險。所以我想說，我們不會過分——我想我通常用的詞是——對 50 個基點的優惠​​券交換過於在意。有時，50個基點的差異可能會造成巨大的價值差異。但事實是，我們以分類的方式看待這些風險，而且我並不認為這 50 個基點的風險敞口有什麼強有力的戰略原因。

It's just looking at the overall context of where spreads are and where spec pools are for those respective coupons and managing that risk on an overall basis. But we try to keep the exposure relatively tight around those current coupons because if tomorrow we walked in and rates were up 25 basis points, that exposure in our MSR would shift up in coupon and that chart would change to a reasonable degree. So we look at it in that sense of nearby coupons rather than just looking at a specific coupon, if that makes sense.

關鍵在於從整體上看清利差和相應票息的投機池的位置，並從整體上管理風險。但我們盡量將風險敞口控制在當前票息範圍內，因為如果明天利率上漲 25 個基點，我們 MSR 中的風險敞口就會向上轉移，票息也會相應變化，圖表也會發生相當大的變化。所以，我們會從附近優惠券的角度來考慮，而不是只關注某個特定的優惠券，這樣說你能理解嗎？

It totally does. And I have learned two new words to add to my mortgage glossary, derated and fuss.

確實如此。我又學到了兩個新詞，可以添加到我的抵押貸款詞彙表中：降級和麻煩。

Trevor Cranston, Citizens JMP.

Trevor Cranston，Citizens JMP。

Can you guys give us a little bit of color in terms of what you're seeing on growth opportunities of the subservicing business? And in particular, I guess I'm curious if you think further growth in subservicing is likely to be in combination with MSR sales like we saw this quarter, or if you're seeing other opportunities beyond that.

各位能否簡單介紹一下你們對分包業務成長機會的看法？特別是，我很好奇您是否認為子服務業務的進一步成長可能會像本季一樣與 MSR 銷售相結合，或者您是否看到了除此之外的其他機會。

Yeah, thanks very much for the question. I think growing a subservicing business typically takes a long time. These are pretty sticky relationships that people have with their subservicers. And so we've been doing the hard work of maintaining and developing relationships and explaining to the world why we are an ideal partner for this sort of thing. So I think as other consolidation has occurred in the subservicing market, there are opportunities for us to pick up either some clients that are dissatisfied with their current subservicer or people who might feel that they have too much concentration risk as the number of subservicers in the world has decreased.

是的，非常感謝你的提問。我認為發展轉包服務企業通常需要很長時間。人們與他們的分包商之間存在著相當牢固的關係。因此，我們一直在努力維護和發展關係，並向世界解釋為什麼我們是這類事情的理想夥伴。因此，我認為隨著分包服務市場其他方面的整合，我們有機會獲得一些對現有分包服務商不滿意的客戶，或者一些由於全球分包服務商數量減少而感到集中風險過高的客戶。

And so we're out there trying to attract those customers with the value proposition that as investors ourselves, as MSR owners, as someone who can be more nimble with the portfolio and who knows where the money is contained in subservicing and can extract that for the benefit of owners, I think that's a story that's resonating and starting to resonate with other subservicing clients. We sold $30 billion of MSR to a client to seed a relationship like this. That was good. We sold the amount of servicing that we wanted to sell at this time. That's not to say that we wouldn't be open in the future for other sorts of opportunities to seed other subservicing relationships.

因此，我們正在努力吸引這些客戶，我們的價值主張是：作為投資者，作為MSR所有者，我們可以更靈活地管理投資組合，了解次級服務中的資金所在，並能將其提取出來為所有者謀利。我認為這個故事正在引起共鳴，並開始引起其他次級服務客戶的共鳴。我們向客戶出售了價值 300 億美元的抵押貸款服務權，以此來建立像這樣的合作關係。那很好。我們此次售出了我們想售出的服務數量。但這並不意味著我們未來不會對其他類型的合作機會持開放態度，以建立其他二級服務關係。

One way that we can effectuate being able to modify our servicing portfolio, say, if we wanted to move up in coupon from low gross WACC to high gross WACC, one very good way to do that would be to see another subservicing relationship and then recycle that capital into new servicing that's higher WACC, that gives us different opportunities, or might be cheaper in some ways. So it's another tool in our toolbelt in order to be able to manage the portfolio and to grow the business together.

例如，如果我們想將票息從低總加權平均資本成本 (WACC) 提高到高總加權平均資本成本 (WACC)，那麼我們可以調整服務組合的一個好方法是尋找另一個二級服務關係，然後將該資本重新投入到 WACC 更高的新服務中，這將給我們帶來不同的機會，或者在某些方面可能更便宜。所以，這是我們管理投資組合和共同發展業務的另一個工具。

And then looking at the return estimates on slide 14, I was just curious specifically on the securities portfolio. Looks like it went up a couple hundred basis points from last quarter, even though spreads are tighter. I was wondering if you just walk us through the math on why that went up.

然後，在查看第 14 頁投影片上的收益估計時，我特別對證券投資組合感到好奇。儘管利差收窄，但看起來比上一季上漲了幾百個基點。我想請您用數學方法解釋為什麼這個數字會上升。

Trevor, I'd be happy to do that, and that's a very good question. I just want to remind everyone that the spreads that we use in that calculation are actually on our -- it's on our actual portfolio at quarter end, as opposed to a stylized version of a levered spread that you see elsewhere in the market. And as you know, there's a wide variation of mortgage spreads available. And for mortgage-backed securities, it depends where you are on the coupon stack. Obviously, lower coupons have tighter static returns.

特雷弗，我很樂意這麼做，這是一個很好的問題。我只想提醒大家，我們在計算中使用的價差實際上是我們季度末的實際投資組合中的價差，而不是你在市場上其他地方看到的槓桿價差的簡化版本。如您所知，市面上有各種各樣的抵押貸款利差可供選擇。而對於抵押貸款支持證券來說，這取決於你在票息層級中的位置。顯然，較低的票息會導致更穩定的收益率。

Higher coupons have higher static returns, generally. So from quarter to quarter as the portfolio shifts around and spreads shift around, even if spreads move in one direction or another those numbers can go in opposite directions. And of course, it does include, as I said, everything we have in our portfolio. Our portfolio is predominantly mortgage-backed security pools, TBAs, things of that nature. But we do have other things in our portfolio like DUS bonds.

一般來說，較高的票息會帶來較高的靜態收益。因此，隨著投資組合和利差逐季度變化，即使利差朝一個方向變動，這些數字也可能朝相反的方向變動。當然，正如我所說，它也包括我們投資組合中的所有資產。我們的投資組合主要由抵押貸款支持證券池、待定資產等組成。但我們的投資組合中還有其他投資，例如DUS債券。

We have derivatives like IOs or inverse IOs, for example. And that's a sector that we have added to in the last six months. Still a small portion of the portfolio, but have added to that. All those things mix in to generate those yields from quarter to quarter. And of course, we also have assumptions that we apply to generate those ranges.

例如，我們有像 IO 或逆 IO 這樣的導數。而這正是我們在過去六個月新增投資的領域。雖然目前僅佔投資組合的一小部分，但我們已經增加了投資。所有這些因素綜合起來，就形成了每個季度的收益率。當然，我們也應用了一些假設來產生這些範圍。

As we've said before, we have some financing assumptions up and down, we have some leverage assumptions up and down, and some prepay assumptions up and down. And all of those things go into that mix to generate that return estimate that you see on that page.

正如我們之前所說，我們的融資假設有上下波動，槓桿假設有上下波動，提前還款假設也有上下波動。所有這些因素都會綜合起來，最終得出你在頁面上看到的收益估算值。

Harsh Hemnani, Green Street.

哈什·赫姆納尼，格林街。

Maybe on the direct-to-consumer origination platform, originations have been growing, and I think the strategic story there is, as prepayment speeds rise, the origination business could be a good hedge to MSRs. Given the cost saving strategies you've highlighted, does that impede the ability at all of the origination business to ramp up at the right time to be able to provide that hedge?

或許在直接面向消費者的貸款發放平台上，貸款發放量一直在增長，我認為其中的戰略意義在於，隨著預付款速度的提高，貸款發放業務可以很好地對沖抵押貸款服務權（MSR）的風險。鑑於您強調的成本節約策略，這是否會阻礙整個貸款業務在適當的時候擴大規模，從而提供對沖能力？

Harsh, thanks for the question. I have two thoughts about your question. The first is that we've always said that the DTC platform isn't meant to hedge the entire interest rate risk of the MSR portfolio, but only to hedge that part of it which is faster than expected speeds. And so we all know that when rates go lower, prepayments are going to go up and originations are going to go up and MSR values are going to go down. And we hedge that with financial instruments.

Harsh，謝謝你的提問。關於你的問題，我有兩點想法。首先，我們一直強調，DTC 平台並非旨在對沖 MSR 投資組合的全部利率風險，而只是對沖利率波動速度超過預期的那部分風險。因此我們都知道，當利率下降時，提前還款額會增加，貸款發放量會增加，而抵押貸款服務權 (MSR) 值會下降。我們會用金融工具來避險這種風險。

It's only the part where speeds are faster than expected that we are expecting the DTC origination business in order to be able to add materially. Look, certainly I'm well aware that you can't cut cost -- you can't cut your way to growth. And we have to be very smart about how we're going to invest in technology and our ability to scale as mortgage rates go lower. And so that's why it's not a simple exercise of just cutting a certain amount across the board. Technology investments and improvements are going to be key to be able to maintain or retain that ability in order to get those benefits as rates fall.

只有在速度超出預期的情況下，我們才期望 DTC 發起業務能夠實現實質成長。當然，我很清楚削減成本是無法成長的。隨著抵押貸款利率的下降，我們必須非常明智地考慮如何投資技術以及提高我們的規模化能力。所以，這並不是簡單地全面削減一定金額就能解決的問題。隨著利率下降，為了保持或保留這種能力並從中獲益，技術投資和改進將是關鍵。

And so we're going to be careful about that and continue to make the investments that we need to make as well. One thing I will say about the DTC platform and the recapture rates that we've seen so far, while it is small, Nick said in his prepared remarks that only 3% of our portfolio is refinanceable from a rate and term perspective with mortgage rates here. But we've already seen recapture rates, not just record amounts in absolute levels, as I said in my prepared remarks, but also the recapture rates are higher than we have been modeling into our cash flows for these level of rates and for the portfolio composition that we have. So we're real excited and optimistic about the benefits that program is already producing.

因此，我們會謹慎行事，並繼續進行必要的投資。關於 DTC 平台和我們目前看到的回收率，我想說一點，雖然比例很小，但正如 Nick 在事先準備好的發言稿中所說，從利率和期限的角度來看，以目前的抵押貸款利率，我們投資組合中只有 3% 的資產可以進行再融資。但我們已經看到回收率不僅在絕對水平上創下紀錄，正如我在準備好的發言稿中所說，而且回收率也高於我們針對這些利率水平和我們現有的投資組合構成在現金流模型中預測的回收率。因此，我們對該項目目前已產生的效益感到非常興奮和樂觀。

And then maybe as I look at the coupon positioning, it seems like the higher coupons, you mentioned this in the prepared remarks, there seems to be a spread trade there where your long-specified pools and short TBAs to be able to capitalize on differences in prepay speeds there. But it seems like it's not necessarily the opposite but somewhat flipped in the intermediate coupons at the 5s and the 5.5s where exposure to TBA is higher. Can I maybe read into that, assuming that where current mortgage rates are, you feel like for the next quarter or so they hang out around here.

然後，當我觀察票息定位時，似乎較高的票息（您在準備好的發言中提到過這一點）似乎存在價差交易，即您的多頭指定資金池和空頭TBA，以便能夠利用預付速度的差異。但似乎並非完全相反，而是在 5 倍和 5.5 倍的中間票息中出現了某種程度的反轉，因為這些票息對 TBA 的敞口更高。我是否可以這樣理解：假設目前的抵押貸款利率處於這個水平，您認為在接下來的一個季度左右，利率會維持在這個水平附近？

Harsh, no, I don't think you should read into that that conclusion. The TBAs, as I mentioned, rates have moved a reasonable amount, and we did rehedge -- with rates going down, we did migrate our exposure down along with our MSR and current coupon exposure. As far as the TBA concentration in those 5s, 5.5s, it's a mix of the fact of adjusting the portfolio a moment in time and also just how we see where specified pools are relative to TBAs at that juncture. We do employ a lot of TBAs to hedge our current coupon risk because it's easy to transact, easy and fast, and just allows us maximum flexibility with that stuff. But it's not necessarily a long-term commitment or a statement to how we feel about the specific -- the tradeoffs between spec pools and TBAs and those coupons.

太苛刻了，不，我不認為你應該得出那樣的結論。正如我之前提到的，TBA 利率已經發生了相當大的變化，我們也進行了重新對沖——隨著利率下降，我們降低了風險敞口，同時降低了 MSR 和當前票息風險敞口。至於 5 年期、5.5 年期 TBA 的集中度，這既取決於我們調整投資組合的時間點，也取決於我們如何看待特定資金池在那個時間點相對於 TBA 的位置。我們確實大量使用 TBA 來對沖我們當前的票息風險，因為它交易方便快捷，讓我們能夠最大限度地靈活應對這些情況。但這並不一定代表長期的承諾，也不代表我們對具體情況的看法——投機池和待定債券以及這些票息之間的權衡。

It's a moment in time, and as we see value in specified pools and depending on how rolls are trading, we'll make the determination as to whether we want that exposure in one or the other. But we do typically leave a fair amount of TBA exposure in those current coupon-esque type securities, so we have that flexibility.

這是一個時間節點，當我們看到特定資金池的價值，並且根據資金流動情況，我們將決定是否要將這種敞口投入到其中一個或另一個資金池中。但我們通常會在這些目前類似票息的證券中保留相當數量的 TBA 敞口，以便我們擁有這種靈活性。

Merrill Ross, Compass Points Research.

Merrill Ross，指南針研究公司。

I wanted to talk about the MSR sales first. It seems like that was broken into $19 billion in the third quarter and there's a balance that will be transacted or has been transacted in the fourth quarter here. Is that right?

我想先談談MSR的銷售狀況。看起來這筆款項在第三季被拆分成了 190 億美元，還有一部分將在第四季進行交易或已經進行交易。是這樣嗎？

That other $10 billion is scheduling the end of this month.

其餘100億美元的款項預計將於本月底到位。

Okay. And then what were the characteristics of those MSRs? As I look at it, it seems like this is a financial investor, right? That makes sense. And they're looking for a very low coupon. Is that correct?

好的。那麼，這些MSR有哪些特色呢？依我看，這似乎是一位金融投資者，對吧？這很有道理。他們正在尋找非常划算的優惠券。是這樣嗎？

These were low-coupon sales, yes. Look, our entire portfolio is really centered around the low coupon. This was in that part of the portfolio for sure, yes.

是的，這些都是低額優惠券促銷活動。你看，我們整個投資組合其實都是圍繞著低票息展開的。是的，這肯定屬於投資組合的那部分。

It just seems that the ones that you added on a flow basis can't be that low because mortgage rates are not that low anymore. So you've got a little bit of a rotation from these sales into slightly higher coupons. But it seems from what you said, you're willing to do that because the DTC is a better hedge against that decline in MSR value that you spoke about. Is that right?

看起來，你按流量添加的那些利率不可能那麼低，因為抵押貸款利率現在已經不低了。所以，這些促銷活動會逐漸過渡到折扣力道稍大的優惠券。但從你剛才說的來看，你似乎願意這麼做，因為DTC可以更好地對沖你所說的MSR價值下降的問題。是這樣嗎？

That's correct. In fact, if you look at slide 13, you can see the gross coupon rate of our portfolio increased from 3.53% to 3.59%. So this is a small change given that the additions that we've added weren't that big. But it also speaks a little bit to the fact that we sold generally stuff that was on average lower than the average -- at lower rate. And so that was the impact was the 6 basis points rise in the gross coupon.

沒錯。事實上，如果你看第 13 張投影片，你會發現我們投資組合的總票面利率從 3.53% 增加到 3.59%。考慮到我們新增的內容並不算多，這只是很小的改變。但這同時也說明，我們銷售的商品平均價格低於平均水準──而且價格也較低。因此，其影響是票息總額上漲了 6 個基點。

But given what I said about the DTC thing, this is something that we are totally comfortable with and desirous of because we think that higher coupon part of the MSR curve can be attractive to us given the recapture rates that we're seeing on the portfolio that we have.

但鑑於我之前對 DTC 的看法，我們對此完全感到滿意並樂於接受，因為我們認為，考慮到我們目前投資組合的回收率，MSR 曲線中較高的票息部分對我們來說很有吸引力。

And so the sales that are going to settle will be pretty similar and have a smaller but directionally correct impact on the gross coupon, right?

因此，最終的銷售額將非常相似，對毛利的影響較小，但方向正確，對嗎？

Yeah.

是的。

Eric Hagen, BTIG.

Eric Hagen，BTIG。

Maybe following up a little bit there. How do you see MSR valuations responding to a further drop in interest rates? MSR valuations seem to be really strong right now. Do you see the same sources of demand holding up in a refi event? And how would you guys potentially respond to even higher MSR valuations at lower interest rates?

或許可以再補充一點。您認為利率進一步下降將如何影響抵押貸款服務權（MSR）的估值？目前MSR估值似乎非常強勁。您認為在再融資事件中，同樣的需求來源是否依然存在？如果利率下降，而MSR估值進一步提高，你們會如何應對？

Yeah. So, first of all, I would say that with our gross WACC of our portfolio at 3.60%, that is still almost 300 basis points out of the money. So at these level of mortgage rates, even 50 bps lower, 100 bps lower, this is still not going to have large impacts on the refinanceability of that portfolio. Certainly the way the MSR market and the mortgage market works is that when rates decline, prepayment expectations do go up, even albeit slightly given the gross WACC of the portfolio, but the MSR prices will go down. And we all know that.

是的。首先，我想說，我們投資組合的總加權平均資本成本 (WACC) 為 3.60%，這仍然意味著我們投資組合處於價外狀態近 300 個基點。因此，在目前的抵押貸款利率水準下，即使再降低 50 個基點、100 個基點，也不會對該投資組合的再融資能力產生重大影響。當然，MSR 市場和抵押貸款市場的運作方式是，當利率下降時，提前還款預期確實會上升，即使考慮到投資組合的總 WACC，上升幅度也不大，但 MSR 價格會下降。我們都知道這一點。

And it's in our models, in our estimates, it's in the way that we hedge the asset. And so, that seems to be something that I'm not worried about at the moment. If you're asking about how I think supply or demand will function in a 50 bps lower, 100 bps lower, I don't see it particularly changing given, what I said, the low gross WACC nature of it, the cash flows are still slow and stable and easy to hedge. Typically, what you see in refinance environments is that originators are able to hold their MSR as they're originating it. And the supply-demand switch really only reverses once rates start to rise after refi waves. So I think we're a long way from that. There continues to be very strong demand from various market participants for the low gross WACC MSR that we hold.

這一點體現在我們的模型中，我們的估算中，以及我們對沖資產的方式。所以，目前我似乎不擔心這件事。如果你問的是我認為利率下降 50 個基點、100 個基點時，供需關係會如何變化，鑑於我之前說過的，由於其總加權平均資本成本較低，現金流仍然緩慢而穩定，並且易於對沖，我認為情況不會有太大變化。通常情況下，在再融資環境中，貸款發起機構能夠像發起貸款一樣持有其抵押貸款服務權 (MSR)。只有在再融資浪潮過後利率開始上升時，供需關係才會真正逆轉。所以我覺得我們離那一步還很遠。市場各參與者對我們持有的低總WACC MSR的需求依然非常強勁。

Yeah, and I'll follow up with what Bill said, Eric, and that's just that if you look at the progression of technology and the ability to reach mortgage holders and be able to recapture, I think that there has been substantial improvements in that, I think, across the industry. So I think there's a greater ability by holders of servicing to recapture and retain the value of MSR compared to other points in the last 20 years of refi events. Not that it's perfect, but it is definitely better. So I completely agree with everything Bill said. I think that the hands that the MSR are in are very solid.

是的，艾瑞克，我接著比爾剛才說的補充一點，那就是，如果你看看技術的進步以及接觸抵押貸款持有人並收回貸款的能力，我認為整個行業在這方面都取得了實質性的進步。所以我認為，與過去 20 年的再融資事件中的其他時期相比，現在持有服務權的債權人更有能力收回和保留 MSR 的價值。雖然它並不完美，但肯定比以前好多了。所以我完全同意比爾所說的一切。我認為MSR的管理階層非常穩固。

On that point about market evolution, a question about the MSR repo financing. It feels like the MSR market has matured a lot. The size and the scale for you guys has improved considerably. Can you remind us the maturity on that MSR repo and the revolving credit facility. And do you think there's going to be any opportunities to maybe optimize the financing there next year?

關於市場演變這一點，我想問關於MSR回購融資的問題。感覺抵押貸款服務權（MSR）市場已經成熟了很多。你們這邊的規模和體積已經有了很大的提升。能否提醒我們MSR回購協議和循環信貸額度的到期日？你認為明年會不會有機會優化那裡的融資方式？

Our maturities are roughly in the range from one to two years. They do roll. When they roll closer, we do renew them. We will look for opportunities to see if we can improve the yield on the MSR, but basically it seems to be static right now.

我們的債券期限大致在一到兩年之間。它們確實會滾動。當它們靠近時，我們會更新它們。我們將尋找機會，看看能否提高 MSR 的收益率，但目前看來，收益率基本上保持不變。

Yeah. To follow up on that, we continue to field incoming calls from people wanting to enter this space and provide financing on the asset. So I agree with your comment there, Eric, that the market has matured a lot since the financing on the asset really opened up in 2018-2019, and there continues to be more and more participants wanting to participate. And spreads are well supported. I wouldn't say that they're really going down a lot here, but they're well supported and stable at the levels that we're at.

是的。為了跟進此事，我們不斷接到希望進入該領域並為資產提供融資的人們的來電。所以我同意你的觀點，艾瑞克，自從2018-2019年資產融資真正開放以來，市場已經成熟了很多，而且越來越多的參與者想要參與其中。而且價差得到了很好的支撐。我不會說它們在這裡真的大幅下跌，但它們在目前的水平上得到了很好的支撐，並且穩定。

(Operator Instructions)

（操作說明）

Bose George, KBW.

博斯·喬治，KBW。

Just wanted to follow up on the MSR discussion. What's the valuation of the flow MSRs that you are originating versus your existing portfolio? And also can you remind us, can you reflect the value of recapture in the value of the originated MSR? And how does that differ for originated versus bulk MSR that you purchase?

想就MSR的討論做個後續跟進。您新推出的流動性抵押貸款服務權 (MSR) 的估值與您現有投資組合的估值相比如何？另外，您能否提醒我們一下，能否將回收價值反映在原始MSR的價值上？那麼，對於您購買的自有品牌MSR和批量MSR來說，這方面有何不同？

Well, so I'm not sure I understood the second part of the question about whether we include recapture in our valuations. We mark our portfolio to the market price to where we think the thing would transact in the market. And so whether the cash flows include recapture cash flows or not is something that impacts the yield or the prospective return of the thing. It doesn't impact the price or the mark, if that makes sense.

嗯，我不確定我是否了解問題的第二部分，即我們是否將回收成本納入估值。我們根據市場價格來評估投資組合，也就是我們認為該資產在市場上會成交的價格。因此，現金流是否包含回收現金流會影響收益率或預期回報。如果這麼說你能理解的話，這不會影響價格或品牌。

Yeah, it does. But I guess there's not a specific recapture assumption that goes in there. There's just a broader cash flow assumption that has an embedded recapture feature. Is that a way to think about it?

是的，確實如此。但我認為其中並沒有具體的回收假設。這裡有一個更廣泛的現金流假設，其中包含一個嵌入式回收功能。這樣想是否可行？

Yeah, I guess. But again, I would just reiterate that that doesn't impact the mark that we value the asset at. Because if we had a different assumption, we would have other different assumptions, typically in discount rates, which would get us to the same market price estimates.

嗯，大概是吧。但我再次重申，這不會影響我們對該資產的估值。因為如果我們有不同的假設，我們就會有不同的假設，通常是折現率方面的假設，這些假設最終會得到相同的市場價格估計值。

And then just in terms of the valuation, where is the originated MSR valued at now versus the lower coupon stuff?

那麼就估值而言，最初的MSR目前的估值與低息債券相比如何呢？

Yeah. If you look at the price multiple that we have on the whole portfolio, it's 5.8 times on a weighted average basis for the whole portfolio. And there's a whole curve of price multiples as coupons change. So certainly, as the WACC -- as the note rate increases, that mult on those servicing levels will go down. So high WACC stuff over long periods of time, you can look at-the-money servicing typically trades on average between 4.5 times and 5 times mult depending on lots of things. But as a base rule of thumb, that's something where at-the-money servicing always trades, and this market is not inconsistent with that level.

是的。如果看看我們整個投資組合的價格倍數，整個投資組合的加權平均倍數為 5.8 倍。隨著優惠券的變化，價格倍數也會呈現完整的曲線變化。因此，隨著 WACC（即票據利率）的上升，這些服務水準的倍數肯定會下降。因此，在較長時間內，高 WACC 的情況時，您可以查看平值債券的償付能力，通常情況下，平均交易倍數在 4.5 倍到 5 倍之間，具體取決於許多因素。但作為一條基本經驗法則，平值債券總是會進行交易，而目前的市場狀況與此水準並不矛盾。

There are no further questions at this time. I'd like to turn the conference back over to Bill for any additional or closing remarks.

目前沒有其他問題了。我想把會議交還給比爾，讓他作補充或總結發言。

I'd like to thank everyone for joining us today and thank you as always for your interest in Two Harbors.

感謝各位今天蒞臨現場，也一如既往地感謝大家對雙港市的關注。

This concludes today's call. Thank you again for your participation. You may now disconnect and have a great day.

今天的電話會議到此結束。再次感謝您的參與。現在您可以斷開連接，祝您度過美好的一天。