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President & CIO Bryan Wulfsohn explained that Lima One originations would remain highly accretive in a steeper curve environment due to high coupons and lower funding costs. He confirmed the agency MBS portfolio is an opportunistic investment and that capital would be redeployed into credit assets if agency spreads tighten. CFO Michael Roper clarified the remaining discount on transitional loans, noting progress had been made but there was 'still some wood to chop.'

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President and CIO Bryan Wulfsohn reported that demand from loan buyers like insurance companies remains strong for Lima One products and the competitive environment is stable. Regarding the agency portfolio, he explained they hedge with SOFR swaps and could see the portfolio grow to $2 billion before reassessing market conditions.

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Jerome Baglien, CFO & COO, noted that a specific ROE breakdown for NewPoint's businesses has not been disclosed. Michael Comparato, President, estimated the marginal ROE on new originations is in the low teens and highlighted that FBRT is uniquely positioned to benefit from a potential decline in SOFR due to high floors on recent loans. He could not provide a specific renewal rate for the multifamily book.

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Jerome Baglien, CFO & COO, stated that a specific ROE breakdown for NewPoint's business lines is not disclosed. Michael Comparato, President, estimated the marginal ROE on new originations is in the low teens, describing returns as "outstanding on a risk-adjusted basis." He also noted FBRT's unique position to benefit from a decline in SOFR due to high floors on recent originations. Comparato could not provide a specific renewal rate figure for the portfolio.

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CFO Jerome Baglien stated that financial projections for the NewPoint business would be provided in future releases. Regarding the dividend, he explained that management monitors distributable earnings coverage (ex-losses), which was around 90%, and that the key variable is the timing of resolving the REO portfolio to restore earnings. President Michael Comparato added that the REO portfolio holds $0.25 to $0.30 of earnings potential once liquidated and redeployed.

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Vice President Jared Lewis confirmed that taxable income and distributable earnings (DE) track closely. President & CIO Thomas Lorenzini stated that recent origination spreads, averaging around SOFR plus 345 basis points, were consistent with their expectations when re-evaluating the dividend. Regarding the through-cycle ROE, Lorenzini responded that he did not have a specific figure to share at the time but was open to an offline discussion.

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Vice President Jared Lewis confirmed that taxable income and distributable earnings (DE) track closely. President & CIO Thomas Lorenzini affirmed that recent origination spreads of around 3.45% were consistent with their expectations. Regarding the through-cycle ROE, Mr. Lorenzini stated he did not have a specific figure available but offered to discuss it offline.

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Thomas Lorenzini, President and CIO, explained the Downers Grove loan is being extended with a paydown, and that up to $145 million in loans could repay in Q2 or early Q3. Jared Lewis, Vice President, indicated new investments are targeting low-teens ROEs. Matthew Brown, CFO and Treasurer, stated the board evaluates the dividend quarterly, considering headwinds from lower spreads on new loans replacing higher-spread maturing loans.

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Thomas Lorenzini, President and Chief Investment Officer, explained that treasury volatility has made floating-rate loans more attractive to borrowers, which benefits their business. He suggested the office market has likely bottomed and needs time, cap rate compression, and the return of institutional equity to see improvement. Fernando Diaz, Chief Financial Officer, reiterated that the CECL reserve increase was driven by unfavorable CRE pricing forecasts and increased provisions for their office loans.

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William Greenberg, President & CEO, confirmed that retaining certain assets like POs is a possibility they are evaluating as they grow their origination products and outlets. He clarified that while they may add other asset classes for diversification, the portfolio would remain primarily focused on Agency RMBS and would not shift to be primarily non-agency or private label credit.

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Chief Investment Officer Nicholas Letica projected a short-term uptick in prepayments followed by a decline due to rate reversals and seasonality. President and CEO Bill Greenberg noted that MSR supply is normalizing and that multiples are being influenced by forward short-term rates, recapture value expectations, and a steepening yield curve, resulting in small overall changes. Letica added that TWO's MSR price sensitivity is more tied to float income than prepayments due to its low WACC.

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Robert Cauley, Chairman, President & CEO, explained that while Q2 issuance was at a slight discount, the net issuance for the first half of 2025 was approximately 99.5% of book value. He detailed that the dividend is driven by taxable income, which is affected by tax laws requiring gains from closed hedges to be amortized over the hedge's life. This creates a non-cash adjustment to interest expense. He noted this effect is diluting as the company grows and that taxable income projections for the year are aligned with the dividend distribution.

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Executive Robert Cauley and CIO/CFO George Haas responded. Cauley estimated the gross ROE versus swaps is very high, potentially in the low 20s. Regarding capital, they explained that while buybacks were accretive at lower stock prices, the current price near book value makes capital raises a consideration for liquidity. Cauley detailed how the dividend is based on taxable income, which includes amortized gains from prior closed hedges, making new investments economically attractive. They declined to forecast the 2025 dividend's taxability but noted the current taxable income is covering the distribution.

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Executive Robert Cauley and CIO George Haas explained that ROEs on new capital are in the mid-teens (~16%), driven by a ~200 basis point spread on higher-coupon assets with ~7x leverage. They stated the dividend was 96% covered by taxable income for the year, with the trend improving into Q4, making them comfortable with its sustainability. While not providing a specific ATM discount for Q4, they noted issuance was minimal and typically done near book value. They believe the stock is undervalued and should trade at a premium, which would support book value.

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Executive Robert Cauley clarified that the reported average repo cost was skewed high by portfolio growth timing and that actual funding costs have decreased. Executive George Haas noted marginal ROEs are in the high teens. Regarding capital allocation, Cauley explained the board has discussed retaining capital but believes the market doesn't typically reward it, though it remains a consideration, especially in a rising rate environment.

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Chief Investment Officer Brian Norris described it as a balancing act, as the widest spreads often coincide with heightened risk and volatility. CEO John Anzalone added that they can gain exposure to wide spreads, like in swaps, without increasing leverage. Norris confirmed the strategy is currently leaning more towards a carry trade, as significant spread tightening seems limited.

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CIO Brian Norris responded that there is significant uncertainty in the Fed's policy path, with economists split on future rate cuts. In this environment, IVR's strategy is to remain conservative with its hedge ratio and leverage, keeping the duration gap close to zero. He also confirmed that ATM issuance was executed at attractive levels relative to where capital could be deployed, making it accretive and beneficial for improving the REIT's economics and reducing expenses.

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Chief Investment Officer Brian Norris clarified the cautious outlook stems from monetary and fiscal policy uncertainty, not GSE reform risk, which he believes the market is not pricing in. CEO John M. Anzalone explained that the role of preferred stock has not fundamentally shifted, but the company aims to reduce its proportion of the capital structure to around 20%, down from levels set when the portfolio mix was more diverse.

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CEO John M. Anzalone clarified the 5.8% quarter-to-date book value decline estimate excludes the dividend. CIO Brian Norris added that while treasury yields may see near-term pressure, lower implied volatility is a positive for agency mortgages. He also noted the firm's view is for 5-6 rate cuts by the end of 2025 and that the steepness of the yield curve is more important than the absolute rate level.

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Michael Nierenberg, Chairman, President & CEO, detailed that the pipeline includes retail assets, multifamily properties, and office opportunities. He also mentioned potential large-scale M&A deals. Regarding "opportunistic" investments, Nierenberg explained that while the immediate focus is on commercial real estate, the company could explore other areas, citing a past consumer loan investment at Fortress as an example of a non-CRE opportunistic play.

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Michael Nierenberg, Chairman, CEO, and President, acknowledged that volatility has led to wider spreads but noted recent stability has created more opportunities. He emphasized that the company will remain cautious, citing challenges in the office market. Nierenberg clarified that the diversification strategy is consistent with their long-term plan and that they are still actively seeking transformative acquisitions of platforms or origination businesses.

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Co-CIOs Desmond Macauley and Sergey Losyev explained they are positioned for a bullish steepener and favor production coupons for their high ROE. They balance cheaper swap hedges with more effective treasury hedges. CFO Gordon Harper added that the quarter-to-date ATM issuance was only 'mildly dilutive' to book value.

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CEO Scott Ulm opined that very little GSE reform risk is currently priced into the market. He acknowledged that a full privatization could imply significant spread widening but considers it an unlikely scenario. Sergey Losyev added that Ginnie/Fannie swaps have not reacted to reform headlines, suggesting the market expects a gradual path to exit conservatorship rather than an abrupt change.

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CEO David Finkelstein reiterated that GSE reform is a near-term focus, which could create opportunities in non-core originations. Regarding MSRs, Finkelstein and Head of MSR Ken Adler cited technology-driven servicing cost reductions, strong float income growth, and longer customer retention as key factors supporting current valuations.

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CEO & Co-CIO David Finkelstein stated that he expects GSE reform to be a near-term focus, which could create opportunities to compete for non-core GSE originations. Co-CIO Mike Fania added that Annaly already capitalizes on this by including agency collateral in non-QM transactions. Regarding MSRs, Finkelstein and Head of MSR Ken Adler noted that technological advancements and consolidation are lowering servicing costs, which supports valuations, while growth in float income provides an additional tailwind.

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CEO David Finkelstein stated that significant GSE reform faces high hurdles but anticipates a reduced GSE footprint in non-core products, creating a key opportunity for private capital and Annaly's residential credit business. He then provided a book value update, noting it was up slightly over 2% quarter-to-date, inclusive of the dividend accrual.

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CEO David Finkelstein stated that significant GSE reform faces high hurdles but sees a potential silver lining in a reduced GSE footprint for non-core loans, creating opportunities for private capital. He also provided a book value update, noting it was up slightly over 2% quarter-to-date, inclusive of the dividend accrual.

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Peter Federico, President, CEO & CIO, responded that it is too early to position for a 'post steepener' trade, as he expects the yield curve to continue steepening. He noted the current portfolio is already positioned to benefit from this trend. He also reiterated the earlier update that tangible net book value was up approximately 1% for July as of the end of the previous week.

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Peter Federico, President, CEO, and CIO, confirmed no substantial portfolio changes occurred after quarter-end and that the book value update was from March 31. He explained his housing finance comments reflect a growing policymaker appreciation for the current GSE system's importance to affordability, suggesting major disruptive changes are less likely as key decision-makers want to preserve the system's positive attributes.

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Peter Federico, Director, President and CEO, and Bernice Bell, EVP and CFO, clarified that the imputed carry from treasury hedges contributed approximately $0.04 per share to earnings in the quarter. Regarding the ATM timing, Peter Federico explained that while not providing a precise number, raising capital at accretive levels early in the quarter and deploying it later at wider, more attractive mortgage spreads was a significant benefit to book value.

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Christopher Kuehl, CIO, explained that while the recent refinance response was sharper, it remained slower than during the COVID era, suggesting factors beyond servicer capacity are at play. Peter Federico, President and CEO, clarified that the spread sensitivity disclosure is a portfolio-wide shock analysis and cannot be replicated using a single benchmark. He advised that a more accurate view requires looking at the performance of individual coupons within the portfolio.

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CIO T.J. Connelly stated that hedges remain focused on the longer end of the curve to maintain a flat duration profile, and the current mix of roughly two-thirds swaps is a good baseline. CFO & COO Robert Colligan addressed G&A, explaining that expenses are typically higher in the first half of the year and are expected to trend down in Q3 and Q4.

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Co-CEO Smriti Popenoe emphasized that the primary defense against a GSE shock is maintaining liquidity, lower leverage, and a high bar for adding risk, confirming only minor hedge adjustments. Chief Investment Officer Terrence Connelly added that while they consider extending repo duration, they remain mindful of uncertainties like the debt ceiling and use a spectrum of SOFR and swap instruments to hedge.

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Co-CEO Smriti Popenoe noted that while ideological biases suggest a smaller GSE footprint, actual policy implementation is what matters. CIO Terrence Connelly added that any policy shift would be a long process with back-and-forth between markets and policymakers. Smriti Popenoe clarified the book value update was as of Friday's close, net of the dividend.

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The executive explained that their partner Vantage's business model includes developer fees, not just gain-on-sale, so their interests remain aligned. ROEs on the MRB and GIL business are expected to be stable due to their hedging program. For the Helotes transaction, they purchased about 15% of the senior bonds and 50% of the subordinate bonds, with gross coupons of 6.25% and 8% respectively. A final ROE could not be provided as leverage terms were not yet finalized.

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The executive stated that rate volatility has not significantly impacted demand for their core governmental issuer loans and mortgage revenue bonds, as sponsors still need to complete their projects. On the market-rate side, they are being more selective but believe that starting new projects now, while others are challenged, will create a favorable position for exits in 3 to 5 years when new supply may be limited.

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CEO Kenneth Rogozinski responded that rate volatility has not significantly impacted demand for their core governmental issuer loans and mortgage revenue bonds, as sponsors still need to execute on their allocations. He affirmed GHI's continued commitment to the market-rate merchant build strategy, stating that while they are being more selective, starting projects now should create a competitive advantage for exits in 3 to 5 years when new supply may be limited.

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Executive Michael Hutchby provided a book value update, noting NAV was down approximately 3.7% as of April-end, translating to a 7% decline in book value per share before dividends. He also confirmed a $250 million swap roll-off in Q1 with no significant maturities remaining in 2025. Executive Julian Evans added that while the company observes builder buydowns, it is not a strategic focus, preferring to maintain modest pay-ups and concentrate on traditional loan balance stories.

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Executive Jeffrey Lown noted the MSR portfolio has significant runway before speeds are impacted. Executive Julian Evans estimated that mortgage rates would need to fall to the 5.7%-5.8% range to trigger a significant refinancing wave. Executive Michael Hutchby detailed the strategy in specified pools, focusing on near-par securities and loan balance stories. Finally, Julian Evans estimated ROEs on new investments to be around 14-17% for RMBS and in the low teens for MSRs.

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Chief Financial Officer Brandon Filson reported no significant negative trends by vintage, aside from a slight, expected uptick in delinquencies for recent 2024 originations. He noted that performance had improved slightly quarter-to-date, with delinquency levels as of January having decreased by about 10 basis points from the 2.4% reported at year-end.

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CEO Jason Serrano and President Nicholas Mah responded. Serrano detailed the gross ROEs: 20-plus percent for BPL bridge loans, mid-teens for Agency RMBS, and mid-to-high teens for BPL rental loans. He added that capital allocation to agencies is market-driven, with activity increasing as spreads widen. Mah noted that rate volatility has slowed CRE deal activity, which he expects to remain muted for the rest of the year before potentially rebounding in early 2025.

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'Opportunistic' investments could include a wide range of opportunities, including M&A, and will be tied to raising new equity for accretive deals. The company is very willing to acquire distressed assets, as it's part of their DNA. Near-term, the focus is on liquid AAA CMBS, but they will consider any asset class or geography that offers good risk-adjusted returns.

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