Core Insights - LMR Partners experienced a significant drawdown of over 20% in March 2020, marking a pivotal moment in the firm's evolution and risk management practices [1][2][5] - The firm has since expanded its risk management team from three to 25 members and revamped its risk governance, now running over 350 stress test scenarios compared to about 50 before [3][5] - LMR's improved risk management has led to enhanced performance metrics, with its Sharpe ratio increasing to two and Sortino ratio climbing to 8.4 since 2020 [5] Risk Management Enhancements - The firm calculates over 2,000 scenario permutations and monitors more than 1,500 strategy-specific risk flags, a seven-fold increase from five years ago [7] - LMR's risk management approach views risk as a collaborative partner, focusing on both downside protection and upside capture [5][9] - Structural reforms post-2020 addressed concentration issues and insufficient oversight, leading to a more robust risk management framework [5][13] Performance and Strategy Adjustments - Since 2020, LMR has achieved annualized returns of 13.7%, with its flagship multi-strategy fund managing $7.5 billion and only experiencing a negative year in 2020 [16][15] - The firm has shifted its strategy in response to market conditions, reducing capital in areas with declining expected returns and reallocating to more promising trades [24][28] - LMR's governance structure now includes dedicated risk managers for each product line, enhancing diversification and oversight [13][14] Future Outlook - The firm is adopting a defensive stance due to tight credit spreads and low volatility levels, while also planning to enhance its scenario analysis capabilities through cloud computing [33] - LMR aims to run scenarios more frequently, with a goal of achieving updates every 15 minutes within six months [33]

Financial Data and Key Metrics Changes - The company reported earnings available for distribution per share of $0.72, consistent with the prior quarter, driven by lower average repo rates of 4.56% compared to 4.93% in the previous quarter [18] - The book value per share was $19.02, reflecting a modest decline of less than 1% quarter over quarter [18] - The economic return for Q1 was 3%, with individual business segments contributing positively despite a challenging macro environment [18] Business Line Data and Key Metrics Changes - The Agency portfolio saw a notional growth of $3.5 billion, driven by purchases of intermediate coupon TBAs [9] - The Residential Credit portfolio ended the quarter at $6.6 billion in market value, with a decrease of $340 million quarter over quarter due to opportunistic sales and increased securitizations [11] - The Mortgage Servicing Rights (MSR) portfolio remained relatively unchanged at $3.3 billion in market value, with $28 billion in principal balance settled during Q1 [14] Market Data and Key Metrics Changes - Economic leverage increased modestly to 5.7 turns, remaining at the low end of the historical range [6] - The housing market is showing signs of increased regional disparity, with some areas experiencing a modest reversal in home price appreciation trends [12] - Inventory levels have increased, with a year-over-year rise of 18%, impacting the spring selling season [58] Company Strategy and Development Direction - The company aims to maintain a conservative leverage approach amidst market volatility, balancing the opportunity to increase leverage with the risks associated with high volatility [38] - The focus remains on agency investments as spreads have cheapened, while also continuing to grow the OBX platform for loan acquisition and securitization [76] - The company is strategically aligned with industry-leading sub-servicing partners to enhance efficiency and technological investment in the mortgage industry [15] Management's Comments on Operating Environment and Future Outlook - Management expressed concerns about the impact of U.S. trade policy on consumer and business confidence, which may affect economic growth [7] - Despite the uncertain outlook, the company believes its diversified and actively managed portfolio positions it well to perform across various economic scenarios [17] - The management remains optimistic about the housing market's long-term stability due to low delinquencies and tight underwriting standards, despite short-term pullbacks in certain regions [62] Other Important Information - The company increased its common stock dividend to $0.70 per share, underscoring earnings momentum [6] - The total assets available for financing increased to approximately $7.5 billion, reflecting enhanced liquidity [22] Q&A Session Summary Question: Update on book value quarter to date - The book value was off roughly 3.5% as of Tuesday evening, improving from a 4.5% decline post-Easter [26] Question: Outlook for spreads and regulatory impacts - Swap spreads have tightened due to volatility, and regulatory reforms are anticipated to positively impact market conditions in the future [27][33] Question: Thoughts on leverage given current market conditions - The company is maintaining a conservative leverage approach due to high volatility, despite wider spreads suggesting a potential increase in risk [37][39] Question: Supply-demand dynamics in the agency portfolio - There was strong demand from fixed income funds and banks, but foreign demand, particularly from Asian accounts, remains limited [87][88] Question: Impact of housing price moderation on the market - Housing prices have increased significantly since 2019, but recent inventory increases may lead to short-term pullbacks in certain regions [58][62]

以下文章来源于GTJAI宏观研究 ，作者张潇子骄、詹春立 GTJAI宏观研究 . 国泰君安国际首席经济学家 来源 | 张潇子骄 詹春立 来源 | GTJAI宏观研究 编辑 | 杨兰 审核 | 浦电路交易员 美债市场4月初遭遇显著抛售，基差交易（Basis Trade）平仓成为关键推动因素。该策略通过做多美债现货同时做空利率互换（IRS） 或国债期货的衍生品，利用两者收益率价差的历史收敛性获利。在"现券-互换"基差交易中，交易者构建久期中性组合，依托回购市场 20倍以上杠杆，以接近SOFR的成本获取融资，通过国债与互换固定利率间的价差实现较高年化收益。但该策略高度依赖市场流动性并 需押注掉期利差正向扩大预期，在宏观冲击下利差反向走阔可能引发本金大幅亏损，凸显其系统性脆弱特征。 高杠杆基差交易出现非线性溃败，引发美债市场抛售危机。在特朗普政府升级关税、主权减持预期、通胀担忧及拍卖疲软等多重利空 下，长端国债收益率快速攀升，而利率互换市场因银行资本约束反应滞后，导致Swap Spread反向扩大，与基差交易方向形成致命背 离。在20倍以上杠杆下，对冲基金面临保证金追缴被迫抛售国债并平仓互换空头，致10年期收益率两日 ...