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CEO Laurence Penn described the new HELOC for Seniors as a unique product without a fixed maturity date or negative amortization. He noted that Longbridge's ADE contribution has been exceeding the previously guided $0.09 per quarter, and he is cautiously optimistic this outperformance will continue, which supports the current dividend level. He refrained from giving specific projections for the new product.

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Co-CIO Mark Tecotzky explained that the firm dynamically shifts between buying securities and originating loans based on relative value. Initially in April, securities looked cheaper amid wide spreads, but as execution stabilized, loans became more attractive. CEO Laurence Penn added that EFC's increased frequency of securitizations and use of credit hedges helps mitigate the 'gestation risk' of acquiring and holding loans before securitizing them.

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CEO Laurence Penn acknowledged the uncertainty, stating it's a 'wait and see' situation regarding regulatory changes. He stressed that the proprietary reverse mortgage business has been the primary earnings driver for Longbridge, providing a buffer against potential HECM market disruptions. CFO JR Herlihy added that any interruption on the government-insured side could potentially increase demand for their proprietary products.

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Co-Chief Investment Officer Mark Tecotzky explained that the reduction in the agency portfolio is a long-term strategic capital rotation into non-agency origination businesses, not a reaction to short-term relative value. CEO Laurence Penn addressed the Longbridge segment, confirming that $0.09 per share in Adjusted Distributable Earnings (ADE) is an achievable and stable target that would ensure dividend coverage, though results can be volatile with interest rates. He noted that the proprietary reverse mortgage securitizations provide a significant boost to these earnings.

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CIO Jack Macdowell explained that the future portfolio mix will be dynamic, aiming for a diversified and stable portfolio. He noted the legacy portfolio will naturally run off over time. He projected that MSRs could eventually represent 15-25% of capital allocation, while Agency MBS will maintain a permanent role for liquidity and relative value, with the company remaining opportunistic across all residential credit sectors.

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CEO Phillip Kardis stated that the company is bullish on the growth potential of its third-party business, driven by both new and existing clients. CIO Jack Macdowell explained that the stable book value performance was a result of wider credit spreads on loan assets being offset by favorable valuation changes in the company's securitized debt liabilities.

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An executive explained that while a specific capital allocation for MSRs is not yet defined, they are a key focus for portfolio construction and duration hedging. The company will evaluate MSRs across the coupon stack based on relative value and strategic objectives. Regarding GSE reform, the executive noted that while the path is uncertain, potential opportunities could emerge from market volatility in agency MBS and a potential shift of non-core products to the private market.

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President and CEO Phillip Kardis confirmed that Chimera is actively looking at the home equity space, an area where their acquisition target, Palisades, has experience, but they have not yet found a compelling opportunity. Chief Investment Officer Dan Thakkar addressed the book value, stating that as of that morning, the company's book value was roughly flat compared to the end of the second quarter, indicating that the gains from the third quarter had been offset by recent rate movements.

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William Greenberg, President & CEO, responded that the decision to hold or sell second liens will depend on the risk-reward profile at the time, viewing it as another tool to use based on whether holding, selling in bulk, or securitizing offers the most value. Nicholas Letica, VP & CIO, elaborated on derivatives, stating the focus has been on growing inverse IO exposure, which now constitutes under 5% of securities capital, and is a sector where they can leverage their prepayment expertise.

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President and CEO Bill Greenberg stated that the merger's impact is likely more muted than headlines suggest, anticipating that combined MSR demand will remain similar, though potentially making bids slightly more competitive. On the CFO transition, Greenberg expressed that the company is 'thrilled' to have William Dellal appointed as the permanent Chief Financial Officer, highlighting his value to the firm, and did not provide further comment.

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Chief Investment Officer Nicholas Letica stated that while there's no hard limit on how tight swap spreads can go, the company believes much of the treasury supply concern is already priced in. He noted that TWO uses a combination of swaps and treasury futures, currently favoring swaps as they offer better carry and could potentially widen if the Fed halts quantitative tightening. The decision is heavily influenced by future U.S. budgetary policy and supply dynamics.

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Co-Chief Investment Officer Sergey Losyev clarified that the reduction in higher coupons was a tactical response to April's volatility and that the firm continues to favor 5.5% and 6% coupons for their high ROE. He explained the five-year treasury position is used to manage overall duration risk and serves as a tactical hedge for their Agency CMBS holdings.

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Desmond Macauley, an executive, stated that the firm's bias is toward production coupons, particularly 5% and 5.5% coupons, and 5-year Agency CMBS for their positive convexity. He confirmed that some assets were sold after the April 2nd risk event to manage risk, while still maintaining significant spread exposure. Scott Ulm, an executive, added that while there is capacity for more share repurchases, it is balanced against the attractive returns available in the portfolio and the overarching need for liquidity.

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Executive Desmond Macauley stated that ARMOUR is biased towards production coupons, specifically 5% and 5.5%, and also finds value in 5-year Agency CMBS for their positive convexity. He explained that some assets were sold after a significant risk event on April 2 to manage risk. Scott Ulm added that while there is capacity for more share buybacks, the company balances this against the attractive returns available in the portfolio and the need to maintain substantial liquidity.

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CEO David Finkelstein stated that while tariff-related inflation will pass through, it should be offset by declining services inflation, allowing the Fed to proceed with its planned cuts. He added that if the cuts do not materialize, the portfolio is well-hedged for a flatter yield curve, and Agency MBS should perform adequately as long as volatility remains contained.

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CEO & Co-CIO David Finkelstein stated that Annaly's base case is that declining services inflation will offset rising goods inflation, allowing the Fed to deliver two rate cuts as projected. However, if inflation runs higher and the Fed does not cut, he explained that the portfolio is well-hedged for a flattening yield curve. As long as volatility is contained, he expects Agency MBS to perform fine in such a scenario.

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V.S. Srinivasan, Head of Agency, noted that while demand from domestic funds and banks was solid, significant demand from Asian accounts has not yet materialized and likely awaits Fed rate cuts. Co-CIO Michael Fania confirmed that volatility has led to a more defensive posture in loan acquisitions, with the firm building in higher gross margins to buffer against execution risk, resulting in slightly lower lock volumes.

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V.S. Srinivasan, Head of Agency, noted that while overall demand was strong pre-volatility, significant demand from Asian accounts has not yet materialized and likely awaits Fed rate cuts. Co-CIO Michael Fania explained that in response to volatility, they have become more defensive in loan acquisitions by increasing their gross margin, which has slightly slowed lock volume.

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Head of MSR Ken Adler explained that the vast majority of bulk packages consist of lower note rate MSR, as lenders sell these less refinance-sensitive assets to raise liquidity. Higher note rate MSR typically comes in smaller, 'mini-bulk' packages. CEO David Finkelstein added that the overall MSR universe still has a low average note rate, which will continue to dominate the bulk supply.

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Ken Adler, Head of Mortgage Servicing Rights, explained that the vast majority of bulk packages feature lower note rates, as lenders prefer to sell MSR from customers unlikely to refinance. Higher note rate packages tend to be much smaller. CEO David Finkelstein added that the overall MSR universe still has a low average note rate, which is what is most likely to come to market.

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CFO Daniel Perotti confirmed the Q2 expense increase was largely due to adding capacity in direct lending to support the new hedging approach. He noted a small incremental increase of $1-3 million might occur in Q3. CEO David Spector emphasized that this capacity cost is a fraction of previous hedge costs and should lead to more consistent ROEs.

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Daniel Perotti (executive) confirmed that there is still significant room for further reductions in servicing operating expenses. He stated that while the pace of improvement may slow, the company believes it can achieve at least a one-third further reduction in the expense metric over time, driven by continued scale and technology enhancements.

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Peter Federico, President, CEO & CIO, responded that growth is driven by the ability to raise accretive capital that supports the dividend, not for growth's sake. He highlighted the benefits of scale, such as low operating costs and high stock liquidity. However, he also acknowledged market capacity constraints as a limiting factor, stating that AGNC is focused on finding the 'perfect efficient frontier' between growth benefits and market limitations.

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Peter Federico, President, CEO, and CIO, suggested swap spreads are narrow due to intermediary balance sheet constraints and negative sentiment on USD assets, but he expects eventual widening from regulatory relief on the supplemental leverage ratio (SLR). On the ATM program, he confirmed AGNC will continue to use it opportunistically to raise accretive capital when valuations are attractive for deployment.

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Peter Federico, Director, President and CEO, noted that leverage has been very consistent and that any increase would depend on attractive and stable spreads and declining volatility. Christopher Kuehl, EVP and CIO, added that recent capital deployment has focused on higher coupon MBS, which offer the best risk-adjusted returns. He also mentioned that while some specified pools are attractive, they remain patient and are carrying their TBA position due to favorable roll financing.

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Peter Federico, President and CEO, explained that the increased demand is expected to come primarily from unlevered investors, such as bond funds, as capital rotates out of the $6+ trillion in money market funds seeking higher yields. He also cited potential future demand from banks, pending clarity on Basel III regulations, and foreign investors. He noted this would be a gradual process as the Federal Reserve continues its easing cycle.

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Co-CEO Smriti Popenoe highlighted Agency CMBS as a stable, call-protected asset that offers a solid return profile, especially when hedged with negative-spread swaps. CIO T.J. Connelly added that they are focused on the five-year part of the curve, where returns are compelling, and noted a strong technical backdrop with growing interest from banks and insurance companies, making the total return profile competitive with RMBS.

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Co-CEO and President Smriti Popenoe stated that while logic suggests cautious GSE policy changes, Dynex prepares for outlier scenarios and market shocks. She noted a large-scale, long-term reallocation away from dollar assets is difficult for foreign investors. Chief Investment Officer Terrence Connelly added that their forecasts do not assume significant foreign demand and that foreign holders can let securities mature rather than actively sell.

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CIO Terrence Connelly responded that the hedge portfolio is positioned appropriately for the current environment. He provided an updated, more balanced rate sensitivity profile, clarifying they are not taking a directional view but are preparing for more volatility at the long end of the curve. Co-CEO Smriti Popenoe added that the steeper yield curve now provides a positive carry, which helps absorb volatility.

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Co-CEO Smriti Popenoe stated the portfolio is positioned for a less restrictive Fed and a terminal funds rate of 3-4%, with a focus on the shape of the yield curve rather than absolute rate levels. SVP Terrence Connelly added that the swaptions market is pricing in significant post-election volatility, and Dynex is prepared with ample liquidity and capacity to add leverage to capitalize on potential market dislocations.

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Chairman & CEO David Spector confirmed that with recent credit spread widening, the return targets on retained subordinate bonds from new securitizations have increased to the mid-teens, or approximately 15%. He noted this attractive return profile is a key driver of their securitization strategy and that PMT's ability to organically create these securities is a unique competitive advantage in a market with limited secondary flows.

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Executive David Spector confirmed the company is on pace for consistent investor loan securitizations and plans at least one jumbo loan securitization in the first half of 2025. He noted that while they have evaluated securitizing closed-end seconds, the returns do not currently meet their targets. Spector also mentioned that they are in the early stages of exploring the prime non-QM market.

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CEO Terry Schmidt explained that Guild has traditionally relied on its retail purchase production as a natural hedge, noting that Q3 origination growth outpaced servicing runoff. CFO Amber Kramer added that financial hedges carry a direct cost, and the company believes reinvesting that capital into growing the origination business is a better use of cash and aligns with their long-term strategy.

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CIO Nicholas Smith responded that the "vast majority" of the portfolio is currently out of the money for prepayment. On securitization structure, he explained that due to the up-in-credit nature of home equity loans, the financing can be more efficient than even non-QM, with leverage levels comparable to other asset classes.

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Chief Investment Officer Nicholas Smith identified opportunities in agency-eligible positions and co-issue deals, noting that selling non-QM loans to real money buyers is currently more prudent. He also mentioned the home equity space is being monitored. CEO and President T.J. Durkin declined to comment on the specific net duration, stating the company does not publish that metric.

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Newrez President Baron Silverstein acknowledged the competitive landscape but stated there is room for Newrez to grow. He outlined a strategy focused on leveraging their non-agency product expertise, making significant technology upgrades to support broker partners, and maintaining strict capital discipline. He emphasized that they will pursue market share where it is attractive but will not chase unprofitable volume.

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Newrez President Baron Silverstein stated that while the channel is concentrated, Newrez can compete effectively, especially in its traditional strength of non-agency products. He emphasized that growth will be driven by technology upgrades and a disciplined capital deployment strategy, focusing on taking market share when margins are attractive.

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