Sentiment Analysis of the earnings transcript to help figure out if there are any bullish or bearish sentiments that could be gathered from it. We're doing ML and AI based analysis on the earnings call to get some more insights.
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| Statement |
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| By doing this, we had a strong third quarter and successfully preserved the vast majority of our shareholders' equity, while others such as Agency REITs were considerably impacted by the spread widening |
| We will continue to manage our portfolio thoughtfully, while looking to shift our overall capital structure to further add value for shareholders through improved performance and earnings |
| And will remain hard at work improving our equity profile for the ultimate benefit of common shareholders while not sacrificing our strong liquidity and leverage |
| Thus far, in 2024, we've seen another pivot in the Fed's policy, partially stepping back from their aggressive language as the economic and inflation data further boost our thesis that our portfolio was appropriately positioned |
| That economic and inflation data continued to support, and we benefited in the third quarter as well as in the October from that positioning |
| We will continue to selectively deploy capital into additional Agency RMBS, which still presents a strong risk adjusted return profile compared to MSRs |
| We ended the quarter with $53 million of unrestricted cash on the balance sheet, maintaining a solid liquidity profile |
| So it is our strong desire to do that |
| This approach should benefit common shareholders as the repurchase of Series B preferred shares ultimately reduces the amount we pay for preferred dividends once the Series B transitions to a floating rate |
| The increase from the prior quarter was driven by lower repo costs due to lower repo balances and improved amortization expenses |
| Ultimately, lower coupon RMBS outperformed the higher coupon RMBS, where we were primarily invested |
| We've shared in the past that creating a more stable equity profile is a top priority in terms of our overall strategy |
| Moving forward, we continue to expect low recapture rates and stable net CPR for at least the near term |
| We believe it is the right step for the company to put us on a much firmer footing with respect to our capital structure |
| Lower coupon MBS outperformed higher coupon MBS and spreads tightened |
| As we move through 2024, we will continue focusing on similar measures to further enhance our equity profile, while remaining mindful of our balance sheet strength and our investment portfolio |
| I think the capital they got was a huge step towards stabilizing things |
| To that end, we proactively positioned our portfolio for flat to higher rates and to mitigate the spread widening we were seeing in the summer and early fall by hedging out a portion of our basis risk in our RMBS portfolio with TBAs |
| So, I imagine that others who have the ability to purchase something $10 billion or higher are probably going to get a better look at that than us |
| Have a good evening, everyone |
| For the quarter, the RMBS portfolio's weighted average three-month CPR was slightly higher at approximately 4.9% compared to approximately 4.4% in the third quarter |
| Prepayment speeds for our MSR and RMES portfolios continue to remain relatively steady compared to the prior quarter given the elevated mortgage rate environment |
| Thank you |
| And at some point, they will get to an easing bias once they feel that inflation has gotten to the level that they feel comfortable with |
| Statement |
|---|
| The RMBS portfolio's prepayment speeds remain low as expected, driven by a combination of new asset purchases as well as the fact that the current higher mortgage rate environment continues to compress CPRs for the existing portfolio |
| Our MSRs were impacted, and our portfolio's negative duration was not positioned for the rate rally, leading to our book value performance |
| On an NAV basis, which includes preferred stock in the calculation, NAV would have been down approximately 4.3% relative to September 30th, if we were to exclude the capital raised through the ATM |
| Inflation remains hot with the PCE still elevated, which has compelled the Fed to telegraph a more patient posture around future rate cuts |
| 2% from September 30, primarily driven by portfolio positioning combined with lower MSR marks as well as having a negative duration positioning, all of which was marginally offset by spread tightening |
| Book value per common share finished the year at $4.53 down 9 |
| In November, despite the data still supporting our position, we were surprised by the Fed's sudden shift in policy away from higher for longer and clearly intimating that they would be looking to cut interest rates multiple times in 2024 |
| Quarter-over-quarter, we reduced some of our TBA hedges in the portfolio as we shifted towards a more neutral posture given the Fed's pivot on their policy stance towards potential rate cuts |
| Through our positioning, we were aware that should mortgage spreads compress, we would also not participate as much in any upside |
| Our MSR portfolio's net CPR averaged approximately 4.2% for the fourth quarter, modestly down from 5.6% net CPR in the previous quarter |
| The portfolio's recapture rate remained consistent but low at approximately 1% as the incentive to refinance continues to be minimal |
| As a result, rates plummeted in the final two months of 2023 |
| Interest rates rallied, the yield curve flattened and mortgage spreads tightened over the next two months |
| Right now, we feel as if the market is still very volatile spreads in terms of RMBS are still attractive, but they're on the lower side of where they've been over the last year, like the average has been about 150 basis points and right now we're trading a little bit through that probably have some further downside to go, but could easily see given the headlines and what the Fed actually decides to do with the next couple of meetings to still see the markets be very volatile |
| Longer term, we do think that the Fed will ease later this year |
| But should the Fed pursue rate cuts, we'd expect both matrix to rise over time |
| We would expect prepayments to remain at low levels as long as the interest rates remain at these levels, but should there be rate cut later this year, prepayments will begin to rise |
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