AGNC Investment Corp (AGNCL) 2024 Q3 法說會逐字稿

Good morning, everyone, and welcome to the AGNC Investment Corp third quarter, 2024 shareholder call. (Operator Instructions) Please note today's event is being recorded. At this time, I'd like to turn the comments call over to Katie Turlington of Investor relations. Please go ahead.

大家早安，歡迎參加 AGNC Investment Corp 2024 年第三季股東電話會議。 （操作員說明）請注意今天的活動正在錄製中。現在，我想將評論電話轉給投資者關係部的凱蒂·特林頓(Katie Turlington)。請繼續。

Thank you all for joining AGNC Investment Corp's third quarter 2024 earnings call. Before we begin, I'd like to review the safe harbor statement. This conference call and corresponding slide presentation contains statements that, to the extent they are not recitations of historical fact, constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995.

感謝大家參加 AGNC Investment Corp 的 2024 年第三季財報電話會議。在我們開始之前，我想回顧一下安全港聲明。本次電話會議和相應的幻燈片演示中包含的陳述，如果不是對歷史事實的複述，則構成 1995 年《私人證券訴訟改革法案》含義內的前瞻性陳述。

All such forward-looking statement are intended to be subject to the safe harbour protection provided by the Reform Act. Actual outcomes and results could differ materially from those forecasts due to the impact of many factors beyond the control of AGNC. All forward-looking statements included in this presentation are made only as of the date of this presentation and are subject to change without notice.

所有此類前瞻性陳述應受到改革法案規定的安全港保護。由於 AGNC 無法控制的許多因素的影響，實際結果和結果可能與預測有重大差異。本簡報中包含的所有前瞻性陳述僅在本簡報發布之日作出，如有更改，恕不另行通知。

Certain factors that could cause actual results to differ materially from those contained in the forward-looking statements are included in AGNC periodic reports filed with the Securities and Exchange Commission. Copies are available on the SEC's website at sec.gov. We disclaim any obligation to update our forward-looking statements unless required by law.

AGNC 向美國證券交易委員會提交的定期報告中包含了某些可能導致實際結果與前瞻性陳述中包含的結果有重大差異的因素。副本可在 SEC 網站 sec.gov 上取得。除非法律要求，否則我們不承擔更新前瞻性聲明的義務。

Participants on the call include Peter Federico, Director, President and Chief Executive Officer; Bernie Bell, Executive Vice President and Chief Financial Officer; Chris Kuehl, Executive Vice President and Chief Investment Officer; Aaron Pas, Senior Vice President, Non-Agency Portfolio Management; and Sean Reid, Executive Vice President, Strategy and Corporate Development.

參加電話會議的包括董事、總裁兼執行長 Peter Federico；伯尼·貝爾，執行副總裁兼財務長； Chris Kuehl，執行副總裁兼首席投資長； Aaron Pas，非代理投資組合管理資深副總裁；肖恩‧里德 (Sean Reid)，策略與企業發展執行副總裁。

With that, I will turn the call over to Peter Federico.

這樣，我會將電話轉給 Peter Federico。

Good morning, and thank you for joining our third quarter earnings call.

早安，感謝您參加我們的第三季財報電話會議。

For the last several quarters, we have spoken about a promising and durable investment environment that we believe was unfolding for AGNC, an environment characterized by mortgage spreads that were materially wider than historical norms, declining interest rate volatility and the emerging accommodative monetary policy stance by the Federal Reserve.

在過去的幾個季度中，我們一直在談論AGNC 正在呈現的充滿希望和持久的投資環境，這種環境的特點是抵押貸款利差大幅超出歷史正常水平、利率波動性下降以及新興的寬鬆貨幣政策立場。

In the third quarter, these positive trends became increasingly apparent, and as a result, investor optimism grew.

第三季度，這些正面趨勢變得越來越明顯，投資人的樂觀情緒也隨之增強。

Against this favorable fixed income investment backdrop, AGNC generated a very strong economic return of 9.3% in the third quarter, driven by solid book value growth and our compelling monthly dividend, which has now remained stable at $0.12 per common share for 55 consecutive months.

在這種有利的固定收益投資背景下，AGNC 在第三季度實現了9.3% 的強勁經濟回報，這得益於穩健的賬面價值增長和令人矚目的月度股息，目前股息已連續55 個月穩定在每股普通股0.12 美元。

At its September meeting, the Fed began the process of recalibrating monetary policy with an initial rate cut that was larger than many expected.

在 9 月的會議上，聯準會開始重新調整貨幣政策，首次降息幅度超出了許多人的預期。

More important than the magnitude of the rate cut itself, the move marked the end of a very challenging 3 year period of unprecedented monetary policy restraint.

比降息幅度本身更重要的是，此舉標誌著長達三年的史無前例的貨幣政策緊縮時期的結束。

In addition, the Fed also communicated its intention to lower short-term rates to a neutral level over time.

此外，聯準會也表達了隨著時間的推移將短期利率降低至中性水準的意圖。

Consistent with this view, the September summary of economic projections showed the median federal funds rate declining by 250 basis points by the end of 2026.

與此觀點一致的是，9 月的經濟預測摘要顯示，到 2026 年底，聯邦基金利率中位數將下降 250 個基點。

While the path to this neutral policy stance will undoubtedly depend on economic data, as Chairman Powell explicitly stated, the direction of travel is now clear.

儘管正如鮑威爾主席明確指出的那樣，這種中性政策立場的路徑無疑將取決於經濟數據，但目前的方向已經明確。

This significant transition and monetary policy marked a positive development for AGNC and for fixed income markets broadly speaking.

從廣義上講，這一重大轉變和貨幣政策標誌著 AGNC 和固定收益市場的積極發展。

In response to this improved monetary policy outlook, treasury rates rallied across the yield curve with short-term rates declining significantly more than long-term rates.

為了因應貨幣政策前景的改善，國債利率在殖利率曲線上上漲，短期利率的降幅明顯大於長期利率。

To put the rate moves in perspective, the yield curve ended the quarter with a positive slope for the first time in two years.

從利率變動的角度來看，殖利率曲線在本季結束時兩年來首次出現正斜率。

Agency MBS performance during the third quarter varied considerably by coupon and hedge composition.

第三季機構MBS的表現因息票和避險構成的不同而有很大差異。

Our performance benefited from having a diversified mix of assets as well as a meaningful share of longer-term Treasury-based hedges.

我們的業績得益於多元化的資產組合以及長期國債對沖的重要份額。

From a macro perspective, there were a couple of important takeaways from the third quarter.

從宏觀角度來看，第三季有一些重要的收穫。

First, the long-awaited Fed pivot occurred and consistent with historical experience, the Fed is expected to return the federal funds rate to a neutral level over the next 12 months to 24 months.

首先，期待已久的聯準會轉向出現，與歷史經驗一致，預計聯準會將在未來12個月至24個月內將聯邦基金利率恢復至中性水準。

Typically, in such periods of monetary policy accommodation, the yield curve steepens and the demand for high-quality fixed income instruments like Agency MBS grows.

通常，在貨幣政策寬鬆時期，殖利率曲線會變得陡峭，對機構MBS等高品質固定收益工具的需求也會成長。

The other important takeaway from the quarter is that Agency MBS spreads remain in the same relatively narrow trading range that has now been in place for close to a year.

本季的另一個重要結論是，機構 MBS 利差仍維持在近一年來相對狹窄的交易區間內。

This trading range compares very favorably to the highly volatile spread environment that existed while the Fed was aggressively tightening monetary policy.

與聯準會大幅收緊貨幣政策時存在的高度波動的利差環境相比，這項交易區間非常有利。

As a levered and hedged investor in Agency MBS, AGNC's return opportunities are most favorable when Agency MBS spreads to swap and treasury rates are wide and stable and when interest rates and monetary policy are less volatile.

作為機構 MBS 的槓桿和對沖投資者，當機構 MBS 利差與互換、國債利率廣泛且穩定且利率和貨幣政策波動較小時，AGNC 的回報機會最為有利。

We anticipated that this type of environment would eventually emerge once the Fed transitioned to an accommodative monetary policy stance which it did at the September meeting.

我們預計，一旦聯準會在 9 月的會議上轉向寬鬆的貨幣政策立場，這種環境最終就會出現。

With Agency MBS spreads trading in a relatively narrow range this year, it follows that our common stock net asset value would also be relatively stable.

由於今年代理MBS利差交易在相對較窄的範圍內，因此我們的普通股淨值也將相對穩定。

That has been the case with our net asset value per common share increasing a modest 1.4% over the first nine months of the year.

今年前 9 個月，我們的每股普通股淨值小幅成長了 1.4%。

Much more significantly, however, our economic return per common share, which includes the dividends we paid as well as the change in our net asset value was 13.8% through the first nine months of the year.

然而，更重要的是，今年前 9 個月，我們的每股普通股經濟回報率為 13.8%，其中包括我們支付的股息以及淨資產值的變化。

Similarly, our total stock return with dividends reinvested was 17.5% over the same period.

同樣，同期我們的股利再投資總股票報酬率為 17.5%。

This performance exemplifies AGN feasibility to generate very attractive returns in environments where spreads are wide and stable.

這一表現證明了 AGN 在價差廣泛且穩定的環境中產生非常有吸引力的回報的可行性。

Looking ahead, we believe the most likely scenario for agency MBS spreads is that they remain in the current trading range.

展望未來，我們認為機構MBS利差最有可能的情況是維持在目前的交易區間。

This view is predicated in part on our belief that the supply and demand dynamics for Agency MBS remain in reasonable balance.

這一觀點部分基於我們的信念，即機構 MBS 的供需動態保持合理平衡。

Given the recent modest decline in mortgage rates, it is possible that the supply of Agency MBS will increase somewhat over the intermediate term.

鑑於近期抵押貸款利率小幅下降，機構 MBS 的供應量可能在中期內增加。

On the demand side, however, accommodative monetary policy a steeper yield historically large money market mutual fund balances and less onerous bank regulation indicate to us that the demand for high-quality fixed income assets is biased to increase as the Fed reduces short-term interest rates.

然而，在需求方面，寬鬆的貨幣政策、更高的收益率、歷史上最大的貨幣市場共同基金餘額以及寬鬆的銀行監管向我們表明，隨著聯準會降低短期利率，對優質固定收益資產的需求可能會增加費率。

While the path of financial markets is never perfectly smooth and periods of volatility are inevitable, the outlook for Agency MBS is decidedly better today than it was in 2022 and 2023.

儘管金融市場的道路永遠不會完全平坦，波動時期也不可避免，但機構 MBS 的前景如今明顯優於 2022 年和 2023 年。

Given the current economic outlook, the stance of the Fed and our expectation that long-term interest rates and Agency MBS spreads will remain relatively stable.

考慮到當前的經濟前景、聯準會的立場以及我們對長期利率和機構MBS利差將保持相對穩定的預期。

With that, I'll now turn the call over to Bernie Bell to discuss our financial results in greater detail.

現在，我將把電話轉給伯尼·貝爾，更詳細地討論我們的財務表現。

Thank you, Peter.

謝謝你，彼得。

For the third quarter, AGNC had total comprehensive income of $0.63 per share.

第三季度，AGNC 每股綜合收益總額為 0.63 美元。

Economic return on tangible common equity was 9.3% for the quarter comprised of $0.36 of dividend declared per common share and an increase in our tangible net book value of $0.42 per share or 5%.

本季有形普通股的經濟報酬率為 9.3%，其中包括每股普通股宣派的股利 0.36 美元，以及每股有形淨帳面價值增加 0.42 美元或 5%。

As of late last week, our tangible net book value per common share was down about 3% for October, or about 3.5% after deducting our monthly dividend accrual.

截至上週晚些時候，我們 10 月份的每股普通股有形淨帳面價值下降了約 3%，扣除每月應計股息後下降了約 3.5%。

Leverage decreased modestly for the quarter to 7.2 times tangible equity as of quarter end from 7.4 times as of Q2.

本季槓桿率小幅下降，從第二季的 7.4 倍降至截至季末的有形權益的 7.2 倍。

Additionally, we concluded the quarter with unencumbered cash and Agency MBS of $6.2 billion or 68% of our tangible equity, which was up from $5.3 billion or 65% of tangible equity as of June 30.

此外，本季結束時，我們的未支配現金和機構 MBS 為 62 億美元，佔有形股本的 68%，高於截至 6 月 30 日的 53 億美元，佔有形股本的 65%。

The average projected life CPR for our portfolio at quarter end increased 4% to 13.2%, consistent with the decline in interest rates while the average coupon in our portfolio was largely unchanged at just over 5% as of

截至季末，我們投資組合的平均預期壽命 CPR 成長了 4%，達到 13.2%，與利率下降一致，而我們投資組合的平均息票基本上保持不變，截至 5% 多一點。

[9.30].

[9.30]。

Actual CPRs for the quarter averaged 7.3%, up slightly from 7.1% for Q2.

本季實際 CPR 平均為 7.3%，略高於第二季的 7.1%。

Net spread and dollar roll income declined by $0.10 to $0.43 per common share for the quarter, driven by a reduction in our net interest rate spread, which narrowed by approximately 50 basis points to just above 220 basis points for the quarter.

由於我們的淨利差縮小，本季淨利差縮小約 50 個基點，略高於 220 個基點，本季每股普通股淨利差和美元展期收入下降 0.10 美元，至 0.43 美元。

About half of the decline in our net interest spread was a result of $6.5 billion of very low-cost pay-fixed swaps that matured during the quarter.

我們淨利差下降的大約一半是由於本季到期的 65 億美元成本極低的固定支付掉期交易所致。

We have no additional swaps scheduled to mature until the second quarter of next year.

我們沒有計劃在明年第二季之前到期的額外掉期。

The other half of the decline was due to our decision to further reduce our swap-based hedges and increase our use of treasury-based hedges, which are not captured in our reported net interest spread.

下降的另一半是由於我們決定進一步減少基於掉期的對沖並增加對基於國債的對沖的使用，這些對沖並未反映在我們報告的淨利差中。

Lastly, in the third quarter, we issued $781 million of common equity through our at-the-market offering program.

最後，在第三季度，我們透過市場發行計畫發行了 7.81 億美元的普通股。

The significant increase in ATM was consistent with the substantial price-to-book premium of our common stock throughout the quarter and drove material book value accretion for the benefit of our common stockholders.

ATM 的顯著成長與整個季度我們普通股的大幅市淨率溢價一致，並推動了帳面價值的實質成長，造福了我們普通股股東的利益。

In addition, the positive investment environment provided a favorable backdrop for the deployment of this new capital.

此外，良好的投資環境也為新資本的部署提供了有利的背景。

And with that, I'll now turn the call over to Chris Kuehl to discuss the agency mortgage market.

現在，我將電話轉給 Chris Kuehl，討論代理抵押貸款市場。

Thanks, Bernie.

謝謝，伯尼。

Weaker economic data and increasingly dovish Fed rhetoric provided a constructive backdrop for risk assets duration throughout the third quarter.

疲軟的經濟數據和日益鴿派的聯準會言論為整個第三季風險資產的久期提供了建設性的背景。

The yield curve steepened dramatically with 2 year and 10 year treasury yields, declining 112 basis points and 62 basis points, respectively.

殖利率曲線急劇陡峭，2年期和10年期公債殖利率分別下降112個基點和62個基點。

Both MBS and corporate credit indices outperformed the Treasury benchmarks during the quarter.

本季MBS 和企業信貸指數的表現均優於財政部基準。

However, within MBS, performance was heavily influenced by coupon, hedge type and center.

然而，在MBS中，其表現很大程度上受到息票、對沖類型和中心的影響。

Lower coupon MBS, which comprise the vast majority of the Bloomberg MBS index outperformed higher coupons in the third quarter with 4.5% and lower coupons tightening 10 basis points to 15 basis points, while 5% in higher coupons range from slightly tighter to modestly wider.

構成彭博MBS指數絕大多數的低息MBS在第三季的表現優於高息票，利率為4.5%，較低息票收緊10個基點至15個基點，而5%高息票則範圍從稍微收緊到適度擴大。

The outperformance of lower coupon MBS was driven by favorable technical as fixed income bond fund inflows continue to increase at an average weekly pace year-to-date of $8.5 billion, roughly double the pace of last year.

較低票面MBS的優異表現是由有利的技術面推動的，因為今年迄今固定收益債券基金流入量繼續以平均每週85億美元的速度增長，大約是去年增速的兩倍。

These funds are largely index-based and as such, drove demand for lower coupon MBS.

這些基金主要以指數為基礎，因此推動了對低利率MBS 的需求。

In contrast, the decline in primary mortgage rates combined with the tail end of elevated seasonal housing activity led to an increased supply and relative underperformance of production coupon MBS.

相比之下，初級抵押貸款利率的下降加上季節性住房活動的結束導致了生產息票MBS的供應增加和相對錶現不佳。

Notably, Agency MBS spread volatility has been considerably lower in 2024 with par coupon spreads to a blend of 5 year and 10 year treasury yields trading in a range of 40 basis points.

值得注意的是，機構 MBS 利差波動性在 2024 年大幅降低，5 年期和 10 年期公債殖利率的票面利差在 40 個基點範圍內交易。

This compares favorably to 2023 and 2022 when Par coupon spreads traded in a range of 75 basis points and 108 basis points, respectively.

與 2023 年和 2022 年相比，票面息差分別為 75 個基點和 108 個基點。

During the third quarter, we added about $5 billion in Agency MBS.

第三季度，我們增加了約 50 億美元的 Agency MBS。

And as a result, our investment portfolio increased to $72.1 billion as of September 30.

截至 9 月 30 日，我們的投資組合增至 721 億美元。

In terms of portfolio composition, we added approximately $6 billion in pools during the quarter, most of which were in low pay-up categories, while our TBA position declined consistent with conventional roles trading at relatively weak implied funding levels.

就投資組合組成而言，我們在本季度增加了約 60 億美元的資金池，其中大部分屬於低支付類別，而我們的 TBA 頭寸下降與隱含融資水平相對較弱的傳統角色交易一致。

Our Ginnie Mae TBA position in aggregate was largely unchanged as of September 30 as valuations remained attractive and roll implied financing continued to offer an advantage versus repo funding.

截至 9 月 30 日，我們的吉利美 TBA 頭寸總體上基本沒有變化，因為估值仍然具有吸引力，而且展期隱含融資相對於回購融資繼續具有優勢。

Hedge positioning was also a material driver of performance during the third quarter, given a combination of yield curve steepening and swap spread tightening.

鑑於殖利率曲線陡峭和掉期利差收緊，對沖頭寸也是第三季業績的重要推動因素。

As a result, MBS hedged with longer tenor US treasury-based instruments generated significantly better total returns.

因此，MBS 使用期限較長的美國國債工具進行對沖，產生了明顯更好的總回報。

During the third quarter, we decreased our swap based hedge and increased our allocation to Treasury-based hedges.

第三季度，我們減少了基於掉期的對沖，並增加了對基於國債的對沖的配置。

Importantly, we also continue to increase our use of longer-term hedges, given the shift in monetary policy and our expectations for further yield curve steepening.

重要的是，鑑於貨幣政策的轉變以及我們對殖利率曲線進一步陡峭的預期，我們也持續增加對長期避險的使用。

Consistent with the shift towards longer-term hedges, our overall hedge ratio declined to 72%.

與向長期對沖的轉變一致，我們的整體對沖比率下降至 72%。

We believe longer-term treasury hedges give us additional protection against the challenges posed by the growing US government debt and ongoing budget deficits.

我們相信，長期國債對沖可以為我們提供額外的保護，以應對美國政府債務不斷增長和持續預算赤字帶來的挑戰。

I'll now turn the call over to Aaron to discuss the non-agency markets.

我現在將電話轉給亞倫討論非代理市場。

Thank you, Chris.

謝謝你，克里斯。

In early August as market expectations shifted toward faster rate cuts, credit spreads initially widened by the end of the quarter, however, broad based risk on sentiment pushed macro markets higher.

8月初，隨著市場預期轉向更快的降息，信貸利差最初在季度末擴大，然而，普遍的風險情緒推動宏觀市場走高。

As a result, credit spreads generally ended the quarter unchanged to somewhat tighter.

因此，本季末信貸利差整體上保持不變，甚至有所收窄。

In Q3, the synthetic investment grade index was close to unchanged while the high-yield index tightened by about 15 basis points.

第三季度，綜合投資等級指數接近持平，而高收益指數則收緊約15個基點。

On the cash bond side, the Bloomberg IG index narrowed by 5 basis points and subsequent to quarter end, has tightened about 8 basis points.

在現金債券方面，彭博 IG 指數收窄 5 個基點，季末後收窄約 8 個基點。

Last week, this index closed through the tightest levels seen during the [COVA] QE period and reaching the tightest valuations in the post-great financial crisis era.

上週，該指數收盤突破[COVA]量化寬鬆期間的最嚴格水平，並達到後金融危機時代最嚴格的估值。

As we have mentioned before, credit fundamentals continue to show a divided consumer base, lower income households continue to face pressure, but we've yet to see significant signs of distress.

正如我們之前提到的，信貸基本面繼續顯示消費者基礎分化，低收入家庭繼續面臨壓力，但我們尚未看到明顯的困境跡象。

Our non-agency securities portfolio ended the quarter at $890 million, down roughly 5% from the previous quarter, with the composition of our holdings mostly unchanged.

本季末，我們的非機構證券投資組合為 8.9 億美元，比上一季下降約 5%，但持股組成基本上沒有變化。

The reduction in the portfolio was due to our participation in GSE tender offers for credit risk transfer securities.

投資組合的減少是由於我們參與了 GSE 信用風險轉移證券的要約收購。

Lastly, the funding environment for non-agency securities remained stable and historically attractive.

最後，非機構證券的融資環境保持穩定且具歷史吸引力。

With that, I'll hand the call back over to Peter.

這樣，我會將電話轉回給彼得。

Thank you, Aaron.

謝謝你，亞倫。

With that, we'll now open the call up to your questions.

現在，我們將開始電話會議，回答您的問題。

(Operator Instructions) Bose George, KBW.

（操作員說明）Bose George，KBW。

Hey, everyone, good morning.

嘿，大家早安。

Just wanted to follow up first on the comments you made on the changes to your hedges.

只是想先跟進您對對沖變更的評論。

So does this position you better for curve steepening?

那麼這個位置是否更適合曲線陡峭化呢？

Is that the sort of the driver?

司機就是這樣的人嗎？

Yeah, Bose, that's exactly right.

是的，Bose，完全正確。

It's a great question.

這是一個很好的問題。

Chris mentioned this in his prepared remarks and we've talked about this now for several quarters.

克里斯在他準備好的演講中提到了這一點，我們已經討論了幾個季度了。

And -- but you really see the impact of it this quarter with our hedge ratio coming down to 72% from 98% the last quarter.

而且，本季您確實看到了它的影響，我們的對沖比率從上個季度的 98% 降至 72%。

And as Chris mentioned, we've systematically shifted our hedges more toward the longer part of the yield curve.

正如克里斯所提到的，我們已經有系統地將我們的對沖轉向殖利率曲線較長的部分。

In fact, if you think about it from a duration perspective, almost 80% of our hedges come from hedges that are 7 years and longer.

事實上，如果從久期的角度考慮，我們幾乎 80% 的對沖都來自 7 年及以上的對沖。

So we're concentrating our hedge book to have longer-dated instruments with the expectation that the yield curve will steepen over time, and that's consistent with the monetary policy environment.

因此，我們將對沖帳本集中在較長期的工具，預期殖利率曲線將隨著時間的推移而變得陡峭，這與貨幣政策環境是一致的。

And we are -- and then also from our perspective, makes sense for us now to operate with a hedge ratio less than 100%, so that we, over time, will gain some benefit of having some of our debt repricing to the new Fed funds rate.

從我們的角度來看，我們現在以低於 100% 的對沖比率進行操作是有意義的，這樣隨著時間的推移，我們將透過新聯準會對部分債務重新定價而獲得一些好處資金利率。

Okay.

好的。

Great.

偉大的。

Thanks.

謝謝。

And then actually on the core earnings, obviously makes sense with the swaps roll off the direction of that.

實際上，就核心收益而言，隨著掉期利率的下降，顯然是有意義的。

Just over time, I mean, is the way to think about it is your core earnings should sort of essentially converge with your economic returns.

我的意思是，隨著時間的推移，你的核心收入基本上應該與你的經濟回報趨同。

So if we think you can generate a 17% ROE that's kind of where core earnings end up.

因此，如果我們認為您可以產生 17% 的 ROE，這就是核心收益的最終結果。

That's exactly right.

完全正確。

There's a lot of factors that went into the decline in our net spread and dollar roll income this last quarter.

上個季度我們的淨利差和美元滾動收入下降有很多因素。

Bernie mentioned we had $6.5 billion worth of swaps mature this quarter.

伯尼提到，本季我們有價值 65 億美元的互換到期。

We actually don't have any swaps maturing over the next two quarters.

事實上，我們沒有任何掉期在接下來的兩季到期。

But more than that, we took some actions to actually reduce our swap book further because we did favor treasury-based hedges, they actually were a better performing hedge really for the last several quarters given the tightening in swap spreads.

但更重要的是，我們採取了一些行動，實際上進一步減少了我們的掉期賬簿，因為我們確實傾向於基於國債的對沖，考慮到掉期利差收緊，它們實際上是過去幾個季度表現更好的對沖。

So we wanted to have more treasury-based hedges, and that has a direct impact on our net spread and dollar roll income because it doesn't include those hedges.

因此，我們希望有更多基於國債的對沖，這對我們的淨利差和美元滾動收入有直接影響，因為它不包括這些對沖。

It only includes our treasury-based hedges.

它僅包括我們基於國庫的對沖。

In fact, for example, if you included the carry on our treasury position, it would probably somewhere in the neighbourhood of about $0.08 of carry on our treasury position right now that is not captured in that net spread and dollar roll income.

事實上，例如，如果您將我們的國債頭寸的利差計算在內，那麼我們目前的國債頭寸的利差可能約為 0.08 美元，而這並未包含在淨利差和美元滾動收入中。

So from that perspective, it's not a significant driver.

因此從這個角度來看，它並不是一個重要的驅動因素。

In fact, it's not a driver at all of our dividend policy.

事實上，它根本不是我們股利政策的驅動因素。

If you think about our net spread and dollar roll income has been well over our dividend now for a couple of years, and it hasn't impacted our dividend policy.

如果你考慮我們的淨利差和美元滾動收入已經遠遠超過我們的股息，這已經好幾年了，而且它並沒有影響我們的股息政策。

It's a reflection of the current period earnings when you take that net spread and dollar roll income and even express that on our equity, it translates to a return on equity of somewhere between 19% and 20%.

它反映了當期收益，當你考慮淨利差和美元滾動收入，甚至用我們的股本表示時，它會轉化為 19% 到 20% 之間的股本回報率。

That's still above the long run economics, as you point out.

正如您所指出的，這仍然高於長期經濟學。

Today, the economics of new mortgages are in the 16% to really 18% range right now.

如今，新抵押貸款的經濟性目前處於 16% 到 18% 的範圍內。

I would expect our net spread and dollar roll income on our margin to compress consistent with that in the speed and pace of growth of our portfolio also has an impact on that compression.

我預計我們的利潤率淨利差和美元滾動收入將與我們投資組合成長的速度和步伐一致地壓縮，也會對這種壓縮產生影響。

For example, we have raised a lot of capital in the last two quarters.

例如，我們在過去兩個季度籌集了大量資金。

And as Chris has mentioned, we've purchased over the last two quarters about $8 billion worth of mortgages.

正如克里斯所提到的，我們在過去兩個季度購買了價值約 80 億美元的抵押貸款。

So we've grown our mortgage portfolio at a pace of around 12.5% and we're bringing those on at those current spreads, call it, between 150 basis points and 200 basis points.

因此，我們的抵押貸款投資組合以 12.5% 左右的速度成長，並且我們將這些投資組合按目前的利差（即 150 個基點到 200 個基點）進行調整。

So that in and of itself is driving some of that compression.

因此，這本身就推動了一些壓縮。

So it's not a number -- net interest margin nor our net spread and dollar roll income, those are current period numbers.

所以這不是一個數字——淨利差也不是我們的淨利差和美元滾動收入，這些都是當期數字。

They're not numbers that affect our dividend policy.

它們不是影響我們股利政策的數字。

We're looking at the long-run economics of our portfolio.

我們正在研究我們投資組合的長期經濟效益。

We think it still remains very well aligned.

我們認為它仍然保持良好的一致性。

That's helpful.

這很有幫助。

Thanks.

謝謝。

Sure.

當然。

Thank you, Bose.

謝謝你，博斯。

Crispin Love, Piper Sandler.

克里斯平·洛夫，派珀·桑德勒。

Thanks, and good morning, everyone.

謝謝，大家早安。

Peter, just following up on that last question.

彼得，我正在跟進最後一個問題。

Just based on your comments on expectations of agency spreads remaining in the current trading range, can you discuss the return expectations in Agency MBS and then how that compares to your book value yield right now, which is around the mid-teens, about 17% or so.

僅根據您對機構利差保持在當前交易範圍內的預期的評論，您能否討論一下機構 MBS 的回報預期，以及與您現在的賬面價值收益率（大約在 17% 左右）相比如何左右。

I think you mentioned a normalized level of 16%, 18%.

我想你提到了16%、18%的標準化水準。

So do you feel good about the current dividend level here as you do have some near-term benefits with the hedges before getting to that 16% to 18% level?

那麼，您對目前的股息水平感覺良好嗎，因為在達到 16% 至 18% 的水平之前，您確實通過對沖獲得了一些短期收益？

Yeah.

是的。

We do feel good about our alignment with our dividend policy and the economics of our portfolio.

我們確實對我們與股利政策和投資組合經濟學的一致性感到滿意。

And there's a couple of really important takeaways.

還有一些非常重要的要點。

I mentioned this in my prepared remarks, but the fact that mortgages continue to stay in this same narrower range is a really positive development just overall.

我在準備好的發言中提到了這一點，但事實上，抵押貸款繼續保持在同樣狹窄的範圍內，總體而言是一個非常積極的發展。

That's from our perspective, mortgages being at wide levels and stable levels allow us to generate really attractive earnings like we've experienced so far for the first three quarters.

從我們的角度來看，抵押貸款處於廣泛且穩定的水平使我們能夠產生真正有吸引力的收益，就像我們迄今為止在前三個季度所經歷的那樣。

And importantly, the spread volatility has come down.

重要的是，利差波動性已經下降。

Chris mentioned this, you think about that spread range this year, for example, mortgages have only traded in a 40 basis points range.

Chris提到這一點，你想想今年的利差範圍，例如，房貸的交易範圍只有40個基點。

Compare that to two years ago, it was over 100 basis points range.

與兩年前相比，漲幅超過100個基點。

So that obviously has a lot of impact on our risk management position and how we position the portfolio.

因此，這顯然對我們的風險管理狀況以及我們如何定位投資組合產生了很大影響。

It does appear to us that mortgages are comfortable in this range.

在我們看來，抵押貸款在這個範圍內確實是舒適的。

And if you look back to the end of the quarter to now, mortgages have actually moved back toward the middle of the range.

如果你回顧本季末到現在，抵押貸款實際上已經回到了區間的中間位置。

I often refer to the current coupon spread to the 5 years and 10 years as just a benchmark.

我經常將目前的息差與5年期和10年期的息差作為基準。

That now is back around close to 150 basis points, which is sort of right in the middle of the 140 basis points to 160 basis point range.

現在已經回到接近 150 個基點左右，正好處於 140 基點到 160 基點範圍的中間。

And importantly, mortgages current coupon anyhow to a blend of swap hedges is somewhere in the 185 basis point range now.

重要的是，目前抵押貸款利率與掉期對沖的組合目前在 185 個基點範圍內。

So if we're going to use -- like we always do, even though we have about 40% of our hedges in treasuries.

因此，如果我們要像往常一樣使用，即使我們有大約 40% 的對沖資產是國債。

Now we're always going to use a mix of swaps and treasuries as hedges.

現在我們總是會混合使用互換和國債作為對沖。

You can think about that spread as being somewhere average about 170 basis points, 175 basis points, that translates to really attractive ROEs.

您可以認為該利差平均約為 170 個基點、175 個基點，這意味著 ROE 非常有吸引力。

That's our base case expectation as they stay in this range.

這是我們的基本情況預期，因為它們保持在這個範圍內。

Great.

偉大的。

Thanks, Peter.

謝謝，彼得。

And then just on your expectations, the level of 30 year mortgage rates over the near to intermediate term mortgage rates rallied in the third quarter, backed up a bit in recent weeks.

然後，正如您的預期，30 年期抵押貸款利率相對於近期和中期抵押貸款利率的水平在第三季度有所回升，最近幾週略有回升。

So curious on your thoughts here.

很好奇你在這裡的想法。

I know you said publicly that you didn't necessarily expect them to break below 6%, but just curious on what your expectations are right now?

我知道您公開說過，您不一定期望它們會跌破 6%，但只是好奇您現在的期望是什麼？

Yeah.

是的。

No, I think it's a really important point about the outlook for the mortgage market.

不，我認為這是關於抵押貸款市場前景的非常重要的一點。

If we had this call, for example, right at the end of the quarter when the 10-year was at 3.60% or so, and the risk was that it was going lower, we would have had a lot of conversations about prepayment risk in the mortgage market because it was clearly starting to pick up, certainly with some of the more recent vintages.

例如，如果我們在季度末接到這個電話，當時 10 年期利率為 3.60% 左右，並且風險是利率會下降，那麼我們就會就提前還款風險進行很多討論。回暖，尤其是一些最近的年份。

But now the mortgage rate, given the backup of treasury rates to 10-year treasury close to 4.25% as of yesterday.

但截至昨天，考慮到10年期公債利率的支持，抵押貸款利率已接近4.25%。

Primary mortgage rates are now above 6.50% approaching, 6.75% depending on where you look -- that's a really significant shift.

初級抵押貸款利率現在已接近 6.50% 以上，具體取決於您的觀察結果為 6.75%，這是一個非常重大的轉變。

Again, it's going to slow the supply of mortgages down, which really improves the technicals against the backdrop of a more accommodative Fed growing demand for fixed income in general.

再次，這將減緩抵押貸款的供應，在聯準會更加寬鬆、對固定收益整體需求不斷增長的背景下，這確實改善了技術面。

And now given the backup in mortgage rates, and it appears that the 10 year really is sort of well positioned at this 4% to 4.25% range.

現在考慮到抵押貸款利率的支撐，看來 10 年期公債在 4% 至 4.25% 的範圍內確實處於有利位置。

It seems to us that the likely scenario is that the primary mortgage rate stays above 6.5% for an extended period of time.

我們認為，最可能的情況是初級抵押貸款利率長期維持在 6.5% 以上。

So that's part of why we're so optimistic about the outlook for the mortgage market.

這就是我們對抵押貸款市場前景如此樂觀的部分原因。

Great.

偉大的。

Thanks, Peter.

謝謝，彼得。

That's all super helpful.

這一切都非常有幫助。

Sure.

當然。

Thanks, Crispin.

謝謝，克里斯平。

Rick Shane, JPMorgan.

里克·肖恩，摩根大通。

Thanks, everybody for taking my question.

謝謝大家回答我的問題。

Good morning.

早安.

Look, you've laid out sort of strategically what the opportunity is, but we're basically 22 days into the quarter, 10 years backed up 40 basis points, spreads on the 510 spread has widened 20 basis points.

你看，你已經從戰略上列出了機會是什麼，但我們基本上已經進入本季度 22 天，10 年回升了 40 個基點，510 利差擴大了 20 個基點。

The move index has gone from 95 to like 128, it's a pretty challenging -- a pretty volatile 3 weeks.

移動指數已從 95 升至 128 左右，這是一個相當具有挑戰性的時間——相當不穩定的 3 週。

How do you -- what are the -- first of all, how does that impact book value on an updated basis?

首先，這對最新的帳面價值有何影響？

But what opportunities and what risks should we be thinking about in the short term given pretty dramatic moves?

但考慮到相當戲劇性的走勢，我們在短期內應該考慮哪些機會和哪些風險？

And again, I realize we're within the sort of norms, but it's a 20 day move that drives that.

再說一次，我意識到我們處於正常範圍內，但這是由 20 天的變化推動的。

Yeah.

是的。

Bernie mentioned in the prepared remarks, thanks for the question.

伯尼在準備好的發言中提到，謝謝你的提問。

Bernie mentioned in the prepared remarks that our book value as of the end of last week was down around 3.5% given the backup in treasury rates.

伯尼在準備好的發言中提到，鑑於國債利率的支持，截至上週末我們的帳面價值下降了約 3.5%。

We ended last quarter with a slightly positive duration gap of 0.2 years.

上季結束時，我們的久期差距為 0.2 年，略有正值。

So the backup in rates had a little bit of a negative impact on our book value.

因此，利率的回升對我們的帳面價值產生了一些負面影響。

But as I mentioned, mortgage spreads moving back toward the middle of the range has been the other driver of that.

但正如我所提到的，抵押貸款利差回到區間中間是另一個推動因素。

What I think it shows is that we are in a higher volatility environment right now over the near term, and it's simply because of the election.

我認為這表明我們在短期內正處於波動性更大的環境中，而這僅僅是因為選舉。

One of the reasons why we ended the quarter last quarter with our leverage still very low at 7.2% was essentially retaining some capacity for the environment, from a risk management perspective and from an opportunity perspective, our unencumbered position -- cash position at the end of last quarter was $6.2 billion or 68% of our equity.

上個季度結束時，我們的槓桿率仍然很低，為7.2%，原因之一本質上是為環境保留了一定的容量，從風險管理的角度和機會的角度來看，我們的未支配頭寸— —期末的現金部位上一季的淨資產為 62 億美元，占我們股本的 68%。

That's one of the highest prints we've had.

這是我們所擁有的最高印刷品之一。

But we did anticipate that as we went into the election the interest rate environment would become much more volatile and that clearly has been the case given the outlook of how close the election is.

但我們確實預計，隨著選舉的進行，利率環境將變得更加不穩定，考慮到選舉結果的臨近，情況顯然就是如此。

This backup in interest rates is related to that.

利率的支持與此相關。

I expect that it's going to remain volatile for the next several weeks or maybe even a month or so.

我預計未來幾週甚至一個月左右的時間將保持波動。

But in the end, once you get through the election, I think the fundamental outlook for the mortgage market takes over and for fixed income in general, and that's why we're so optimistic.

但最終，一旦選舉結束，我認為抵押貸款市場和固定收益的基本前景就會佔據主導地位，這就是我們如此樂觀的原因。

But you're right, we have to be a little defensive here for the next couple of weeks until we get through the election.

但你是對的，在接下來的幾週內，我們必須採取一點防禦措施，直到我們通過選舉。

Got it.

知道了。

Sorry for missing the comments, I was clearly making another cup of coffee, I apologize.

抱歉錯過了評論，我顯然是在煮另一杯咖啡，我很抱歉。

That's okay.

沒關係。

No problem.

沒問題。

That's it for me.

對我來說就是這樣。

Thanks, guys.

謝謝，夥計們。

Doug Harter, UBS.

道格·哈特，瑞銀集團。

Hi, Doug.

嗨，道格。

Thanks.

謝謝。

Hi, Peter, just on the last comment about kind of being defensive.

嗨，彼得，剛才關於防禦性的最後評論。

I guess how are you thinking about kind of delta hedging, kind of reducing portfolio size or leverage kind of in the run up to the election or in this kind of current volatility versus kind of having the flexibility of kind of letting leverage rise?

我想你如何看待德爾塔對沖、在選舉前或在當前的波動中減少投資組合規模或槓桿，而不是保持槓桿上升的靈活性？

Yeah.

是的。

I think we were well positioned from a leverage perspective.

我認為從槓桿角度來看我們處於有利位置。

So I don't anticipate us having to do anything on the leverage side.

因此，我預計我們不必在槓桿方面做任何事情。

But I do anticipate -- and we typically would do this in such an environment is delta hedge some of the rate move.

但我確實預計 - 我們通常會在這樣的環境中這樣做，以對沖一些利率變動。

Our duration gap, for example, today is probably about 0.4 years or something in that neighbourhood, about a half a year.

例如，我們今天的持續時間差距可能約為 0.4 年，或在該地區約為半年。

I don't expect it to be much larger than that and may even come down over time.

我預計它不會比這個大很多，甚至可能會隨著時間的推移而下降。

So we'll be a little bit more active on the delta hedging side.

因此，我們將在 Delta 對沖方面更加積極一些。

I don't anticipate us having to do anything on the leverage side.

我預計我們不需要在槓桿方面做任何事情。

I expect this again to be a fairly short-lived period of volatility.

我預計這將再次成為一個相當短暫的波動期。

Great.

偉大的。

And then on the treasury hedges, clearly, swap spreads have moved and widened and being in treasuries was the better place to be.

然後，在國債對沖方面，顯然，掉期利差已經改變並擴大，而國債是更好的選擇。

How do you think about kind of where those -- where that spread can go?

您如何看待這些傳播可以去往何處？

And does, at some point, it make sense to try to capture that difference and move into more SOFR-based hedges?

在某些時候，嘗試抓住這種差異並轉向更多基於 SOFR 的對沖是否有意義？

I'll start with the latter part.

我將從後一部分開始。

It definitely does.

確實如此。

And if you recall, over the last several quarters, we've actually talked more about increasing our swap-based hedges.

如果您還記得的話，在過去的幾個季度中，我們實際上更多地談論了增加基於掉期的對沖。

But we did the opposite last quarter because of the way the market was trading.

但由於市場的交易方式，上個季度我們做了相反的事。

But you're right, over the long run or longer run, I do expect us to shift back more towards swap-based hedges.

但你是對的，從長遠來看，我確實希望我們更多地轉向基於掉期的對沖。

But as Chris mentioned, right now, given the focus on the deficit, given the sort of response in the treasury market to the to the election and how that may play out and what that may mean under either administration for the supply of treasuries, we've sort of delayed that transition back toward more of our swap-based hedges.

但正如克里斯所提到的，目前，考慮到人們對赤字的關注，考慮到國債市場對選舉的反應，以及這可能會如何發展，以及這在任何一屆政府的領導下對國債供應可能意味著什麼，我們我們已經推遲了向更多基於掉期的對沖的轉變。

If you think like historically, we probably have on average, operate with somewhere between 70% to 80% of our hedges in swap-based hedges.

如果你像歷史一樣思考，我們平均可能有 70% 到 80% 的對沖是基於掉期的對沖。

Today, it's 60%.

今天，這個數字是 60%。

So there could be 10% or 20% shift in our hedge portfolio over time once we get stability in the rate market and stability in the swap spreads.

因此，一旦利率市場和掉期利差穩定，我們的對沖投資組合可能會隨著時間的推移而發生 10% 或 20% 的變化。

But swap spreads, as you pointed out, they're very technical, very difficult to read.

但正如您所指出的，掉期利差技術性很強，很難閱讀。

A lot goes into them.

他們涉及很多內容。

But over the long run, you're right, we will shift back more towards spot-based hedges at some point.

但從長遠來看，你是對的，我們將在某個時候更多地轉向基於現貨的對沖。

Great.

偉大的。

Appreciate it, Peter.

很欣賞它，彼得。

Trevor Cranston, JMP Securities.

特雷弗克蘭斯頓，JMP 證券。

Hi, thanks.

你好，謝謝。

Good, morning, Trevor.

早上好，特雷弗。

Good morning.

早安.

I think you mentioned in the prepared comments that as the yield curve starts to steepen with the Fed easing, you'd expect to see some increased demand for MBS.

我想您在準備好的評論中提到，隨著聯準會寬鬆政策，殖利率曲線開始變得陡峭，您預計對 MBS 的需求將會增加。

Can you elaborate on that a little bit in terms of like how much curve steepness you typically need to see for some of that demand to come in and kind of who the investor base that comes in as the yield curve becomes super?

您能否詳細說明這一點，例如您通常需要看到多少曲線陡度才能進入某些需求，以及隨著殖利率曲線變得超級而進入的投資者基礎是誰？

Thanks.

謝謝。

Yeah, it's an unknown, but I do expect the demand to increase, and I expect the demand to really come from unlevered investors, not levered investors that while there are some levered investors, they're not the significant share of the market as we see it going forward.

是的，這是一個未知數，但我確實預計需求會增加，而且我預計需求真正來自無槓桿投資者，而不是槓桿投資者，雖然有一些槓桿投資者，但他們並沒有像我們一樣佔據市場的重要份額。

Chris mentioned the bond fund inflows.

克里斯提到了債券基金的流入。

And that's really one of the key drivers of that will be the shape of the yield curve.

這實際上是殖利率曲線形狀的關鍵驅動因素之一。

There's $6 trillion-plus in money market mutual funds that have been enjoying returns of over 5%.

超過 6 兆美元的貨幣市場共同基金一直享有超過 5% 的回報。

Those are obviously going away.

這些顯然正在消失。

And over time, fixed income like a high-quality agency current coupon with the yield today of 5.5 or so percent will look really attractive.

隨著時間的推移，固定收益（例如目前收益率為 5.5% 左右的高品質機構活期息票）將看起來非常有吸引力。

And I think that ultimately, money will flow out of those funds and out of equity into fixed income given the attractive yield opportunity.

我認為，鑑於有吸引力的收益率機會，資金最終將從這些基金中流出，並從股票中流出，流入固定收益。

So it's something that's just going to occur over time.

所以隨著時間的推移，這種情況將會發生。

But the shape of the yield curve, obviously, will be important from a bank perspective in terms of the carry on mortgages, foreign demand, perhaps, we do expect -- and we thought we were going to get some resolution on the Basel end game.

但顯然，從銀行的角度來看，殖利率曲線的形狀對於抵押貸款的延續和外國需求來說很重要，也許，我們確實預計——而且我們認為我們將在巴塞爾最終遊戲中得到一些解決方案。

Certainly, the Fed indicated that they were moving toward resolution on that late in the third quarter.

當然，聯準會表示他們將在第三季末解決這個問題。

That seems to have been delayed but that was heading in a very positive direction.

這似乎被推遲了，但正在朝著非常積極的方向發展。

So there will be some clarity over that, over the next quarter or so.

因此，在下個季度左右，這一點將會變得更加清晰。

And so I think that will be a positive for the bond market as well.

因此，我認為這對債券市場也將是正面的。

So those are the sources that we see occurring over time.

這些就是我們看到隨著時間的推移而發生的來源。

Got it.

知道了。

Okay.

好的。

Appreciate the comment.

感謝您的評論。

Thank you.

謝謝。

Sure.

當然。

Eric Hagen, BTIG.

艾瑞克‧哈根，BTIG。

Hey, thanks.

嘿，謝謝。

Good morning.

早安.

Following up on the leverage questions -- hold on.

跟進槓桿問題—等等。

You guys are running less than 8 times leverage, but like you said, mortgage spreads are still relatively wide.

你們的槓桿率還不到8倍，但正如你所說，抵押貸款利差仍然相對較大。

I mean, how much room do you feel like you have to raise leverage?

我的意思是，你覺得你還有多少槓桿空間可以提升？

And what's the right way to benchmark your leverage and maybe the upper bound that you could target versus periods historically where the shape of the curve has maybe been a little different in your valuation also supports the ability to raise accretive capital right now?

衡量槓桿率的正確方法是什麼？ 也許您可以針對歷史時期（您的估值中曲線形狀可能略有不同）設定的上限也支持現在籌集增值資本的能力？

Yeah.

是的。

There's a lot there.

那裡有很多東西。

It's difficult to give you any sort of hard quantification of the upper bound or lower bound because it's really driven by the specific environment that you're in.

很難對上限或下限進行任何形式的硬量化，因為它實際上是由您所處的特定環境所驅動的。

So the variables that matter a lot when you're thinking about setting your leverage.

因此，當您考慮設定槓桿時，變數非常重要。

Really, it comes down to volatility and it comes down the volatility of interest rates and the volatility of spreads.

實際上，這取決於波動性，取決於利率的波動性和利差的波動性。

And when you're in a highly volatile spread environment, we are a spread business, and that is the biggest driver of our book value.

當你處於高度波動的價差環境中時，我們是價差業務，這是我們帳面價值的最大驅動力。

So for an environment like we were, and this is why we specifically brought this up on this call, back a year or two ago when mortgage spread range was really wide, you had to really be defensive in terms of your leverage position to give yourself sufficient capacity to absorb these very wide spread moves.

因此，對於像我們這樣的環境，這就是為什麼我們在一兩年前的電話會議上特別提出這個問題，當時抵押貸款利差範圍非常大，你必須在槓桿頭寸方面真正採取防禦措施，才能給自己帶來好處。

As that range narrows, that obviously gives you more confidence to operate with higher leverage.

隨著該範圍縮小，這顯然會讓您更有信心以更高的槓桿進行操作。

That as I've been trying to communicate, has been materializing over the last several quarters.

正如我一直試圖傳達的那樣，這一點在過去幾個季度已經實現。

The more we stay in the range, the more confidence you get in the range gives you greater ability to operate with higher leverage to the extent that mortgages are on the upper end of that range, and you're confident that range holds.

我們留在該範圍內的時間越多，您對該範圍的信心就越大，使您能夠以更高的槓桿率進行操作，直至抵押貸款處於該範圍的上限，並且您有信心維持該範圍。

That's more of an ideal time to employ more leverage.

這是運用更多槓桿的理想時機。

When you get to the lower end of the range, we obviously are a little more hesitant to deploy capital at those levels.

當達到該範圍的下限時，我們顯然會更加猶豫是否要在這些水準上部署資本。

For example, in the third quarter when we raised capital, at times, mortgages were in that range, in the middle of the range, and that was really attractive when they got to the lower end of the range, we actually paused and didn't deploy capital as quickly.

例如，在第三季度，當我們籌集資金時，抵押貸款有時會處於該範圍內，處於該範圍的中間，當它們達到該範圍的下限時，這確實很有吸引力，我們實際上暫停了，並沒有這樣做。

So it's an opportunistic sort of decision.

所以這是一個機會主義的決定。

But the point is, today, as we ended the quarter with 68% of our capital unencumbered.

但今天的重點是，截至本季末，我們有 68% 的資本處於未支配狀態。

It does give us capacity to operate with higher leverage.

它確實使我們有能力以更高的槓桿率進行運作。

Once we get confidence in the mortgage spread range, which is -- we're becoming increasingly confident in.

一旦我們對抵押貸款利差範圍有了信心，我們就會變得越來越有信心。

And then once we get through this interest rate environment, obviously, we've had experiences with elections where interest rates have become very volatile.

一旦我們度過了這種利率環境，顯然，我們已經經歷過利率變得非常不穩定的選舉。

That's something that we're going to have to be disciplined with over the short run.

這是我們在短期內必須遵守的事情。

That's really helpful.

這真的很有幫助。

Do you guys see a material difference in yield or carry within the coupon stack?

你們是否發現優惠券堆疊中的收益率或持有量有重大差異？

And as you guys raise additional capital, where do you expect to potentially deploy that within the stack?

當你們籌集更多資金時，你們預計會將其部署在堆疊中的什麼地方？

Thank you.

謝謝。

Yeah.

是的。

I'll have Chris talk a little bit about where we see the opportunities.

我會讓克里斯談談我們在哪裡看到的機會。

Yes.

是的。

So generally speaking, production coupons offer the best long-run risk-adjusted returns.

因此一般來說，生產優惠券提供最佳的長期風險調整回報。

Of course, they have more prepayment risk, but we think that's more than in the price.

當然，他們有更多的提前還款風險，但我們認為這不僅僅是價格的風險。

Higher coupon spreads are wide because they have to contend with much worse technicals, right?

較高的息差之所以廣泛，是因為它們必須應對更糟糕的技術，對嗎？

If banks were more involved in growing their securities holdings, the spread curve would likely be less upward sloping.

如果銀行更參與增加其證券持有量，利差曲線可能不會向上傾斜。

Instead, the market dynamic that's been in place for over a year now as fixed income sentiment has improved, bond fund inflows are generally directed to index coupons, which aren't being produced, whereas all the organic supplies and higher coupons.

相反，隨著固定收益情緒的改善，市場動態已經存在一年多了，債券基金的流入通常流向尚未生產的指數息票，而所有有機供應和更高的息票。

I think over time, as banks rotate out of lower-yielding securities and into higher coupons and ultimately, start growing the securities holdings relative value relationships will likely shift, but it will take time.

我認為，隨著時間的推移，隨著銀行從低收益證券轉向更高息票證券，並最終開始增加所持證券的相對價值關係可能會發生變化，但這需要時間。

It likely require Basel III clarity, as Peter mentioned, maybe a couple more Fed rate cuts.

正如彼得所提到的，這可能需要巴塞爾協議 III 的明確性，也許聯準會還要降息幾次。

In the meantime, we're likely to maintain and add higher coupons relative to the index, which we think offer the best long run returns.

同時，我們可能會維持並增加相對於指數的更高息票，我們認為這提供了最佳的長期回報。

That said, there are sectors within lower coupons that can be compelling from a total return perspective and also provide diversification and liquidity benefits in certain environments.

也就是說，從總回報的角度來看，某些息票較低的產業可能具有吸引力，在某些環境下還可以提供多元化和流動性優勢。

But generally speaking, we see the best opportunities in production coupons.

但總的來說，我們在生產優惠券中看到了最好的機會。

That's very helpful.

這非常有幫助。

Thank you, guys.

謝謝你們，夥計們。

Thank you.

謝謝。

Jason Stewart, Janney Montgomery.

傑森·斯圖爾特，珍妮·蒙哥馬利。

Hi, thanks.

你好，謝謝。

Good morning.

早安.

Peter, maybe you could elaborate on your view of the current prepayment environment, and maybe specific to the servicing industry capacity and how that affects near-term prepayment outlooks on current coupons.

彼得，也許您可以詳細說明您對當前預付款環境的看法，也許具體到服務業的能力以及這如何影響當前優惠券的近期預付款前景。

Sure.

當然。

I'll let Chris address that.

我會讓克里斯解決這個問題。

Yes, sure.

是的，當然。

So the last two prepay reports were certainly the most interesting that we've had really in the post-COVID period.

因此，最後兩份預付款報告無疑是我們在後疫情時期收到的最有趣的報告。

Since we had a pretty sizable portion of the float and higher coupons at least exposed to a 50 basis points-plus incentive for refinance.

由於我們擁有相當大一部分的流通量和更高的息票，至少可以享受 50 個基點以上的再融資激勵。

In fairness, as a percentage of the outstanding float, it was still very small at around 10%.

公平地說，佔流通股的比例仍然很小，約為10%。

But as a percent of the flood originated since 2022, it was a little over 30% when mortgage rates got down to around 6% back in September.

但自 2022 年以來發生的洪水所佔的百分比略高於 30%，當抵押貸款利率早在 9 月降至 6% 左右時。

We've since obviously sold off 40 basis points-plus in October.

此後我們在 10 月顯然已經拋售了 40 個基點以上。

So the refi wave was again very short-lived.

因此，再融資浪潮再次非常短暫。

But what we observed is that the response for a given incentive to refinance was definitely sharper than what we observed during the last mini refi wave around the start of the year but still quite a bit slower than what we experienced during COVID.

但我們觀察到，對給定再融資激勵的反應肯定比我們在今年年初的最後一次小型再融資浪潮中觀察到的反應要強烈，但仍然比我們在新冠疫情期間經歷的要慢得多。

So in other words, for the same incentive for similar loans peak speeds were still quite a bit lower than what we experienced during COVID.

換句話說，對於類似貸款的相同激勵措施，峰值速度仍然比我們在新冠疫情期間經歷的要低得多。

So in fairness, these sample sizes are too short lived to draw any significant conclusions from.

因此，公平地說，這些樣本量的壽命太短，無法從中得出任何重要的結論。

But what we've observed so far is a less aggressive response than a couple of years ago.

但到目前為止，我們觀察到的反應不如幾年前那麼正面。

The only other thing I'd say, capacity clearly is not an issue in the system.

我唯一要說的是，容量顯然不是系統中的問題。

We're not certainly betting against efficiency in the refi process longer run, but they're possibly some differences today that explain the weaker response.

從長遠來看，我們並不肯定會押注再融資過程的效率，但今天可能存在一些差異，解釋了反應較弱的原因。

The lack of a media effect is one for sure.

缺乏媒體效果是肯定的。

And given the relatively flat curve refi products like arms or less compelling to borrowers.

鑑於武器等相對平坦的曲線再融資產品對借款人的吸引力較小。

And so there are explanations to the response.

因此對響應有解釋。

But again, it's hard to draw long-run conclusions from such a short event.

但同樣，很難從如此短暫的事件中得出長期結論。

Okay.

好的。

That's really helpful.

這真的很有幫助。

And then a high-level question.

然後是一個高級問題。

As we look at slide 24, we just look at the MBS spread sensitivity to a shock.

當我們查看幻燈片 24 時，我們只查看 MBS 利差對衝擊的敏感度。

Can you remind us first, how that's measured in terms of MBS spreads and maybe what the delta is between realizing that and that snapshot, I believe we're something like 12.6% appreciation for 25 basis points at 6.30%.

您能否先提醒我們，如何用MBS 利差來衡量這一點，以及實現這一點與快照之間的Delta 值是多少，我相信在6.30% 的情況下，25 個基點的升值幅度約為12.6% 。

So maybe if you could just help put a point in the primary drivers between actual and that snapshot, that would be helpful.

因此，也許如果您能幫助在實際和快照之間的主要驅動因素中指出一個點，那會很有幫助。

Thanks.

謝謝。

Yeah.

是的。

It's one of the issues that I think we made this quarter a little bit confusing because you really can't look at just a simple benchmark spread really, when we're doing that, we're running our entire portfolio and shocking each of our coupons and coming up with that sensitivity.

我認為這是我們使本季度有點令人困惑的問題之一，因為你真的不能只看一個簡單的基準利差，當我們這樣做時，我們正在運行我們的整個投資組合併震驚我們的每個人優惠券並提出這種敏感性。

The challenge for investors is to how do I replicate that in terms of estimating our book value performance.

投資者面臨的挑戰是如何在估計我們的帳面價值表現方面複製這一點。

If you look, for example, at the current coupon spread as a benchmark, which I often refer to in terms of given indications of richness or cheapness, it can lead to misleading results.

例如，如果您將當前的息票利差作為基準（我經常根據富裕或廉價的給定指標來引用它），它可能會導致誤導性的結果。

Like for example, this last quarter, current coupon looked like it tightened a lot.

例如，上個季度，目前的優惠券看起來收緊了很多。

And that's because we shifted down in coupon by almost a full coupon.

那是因為我們將優惠券向下移動了幾乎整張優惠券。

So we went from a 6% at the beginning of the quarter to a 5%, and so it's a big drop in yield, not consistent with the economics of spread tightening.

因此，我們從季度初的 6% 降至 5%，因此收益率大幅下降，與利差收緊的經濟學原理不符。

What you really have to do is you have to look at the performance of each coupon to a sort of hedged benchmark and come up with a weighted average approach, that will lead you to a more correct conclusion.

你真正要做的是，你必須根據某種對沖基準來觀察每張優惠券的表現，並提出加權平均方法，這將使你得出更正確的結論。

If you look at, for example, the performance of a 6 and the performance of a 5 last quarter, 6 is actually were wider on the quarter by close to 8 basis points and 5 were actually tighter on the quarter by a couple of basis points.

例如，如果您查看上個季度 6 的表現和 5 的表現，您會發現 6 實際上在本季度擴大了近 8 個基點，而 5 實際上在本季度縮小了幾個基點。

So that was really the way you have to look at the performance.

所以這確實是你看待表演的方式。

That's what we're doing when we do that sensitivity.

當我們保持敏感時，這就是我們正在做的事情。

You would have to look at our portfolio, look at it by coupon, look at the performance of each coupon to a benchmark hedge portfolio, whether it be swaps or treasuries and draw a conclusion from there.

您必須查看我們的投資組合，按息票查看，查看每個息票對基準對沖投資組合（無論是掉期還是國債）的表現，並從中得出結論。

Great.

偉大的。

Thanks.

謝謝。

No -- that's makes perfect sense to me.

不——這對我來說完全有道理。

I mean we were -- you beat us by $0.15. So that's the way we do it, but I didn't get the question a lot, so I thought it was helpful to draw a high-level takeaway.

我的意思是我們——你比我們領先了 0.15 美元。這就是我們這樣做的方式，但我沒有得到太多的問題，所以我認為得出一個高層次的結論是有幫助的。

Perfect.

完美的。

Harsh Hemnani, Green Street.

嚴酷的 Hemnani，格林街。

Thank you.

謝謝。

Maybe following up on that prepayment fee question, the expected lifetime CPR increased quite a bit.

也許在預付費問題之後，預期的終生心肺復甦率增加了很多。

Can you help explain that increase against the backdrop of what you're expecting, call it, mortgage rates to trade in the 6.5% range.

您能否幫助解釋一下您所期望的抵押貸款利率將在 6.5% 範圍內交易的背景下的增長情況。

Is it just the sensitivity to the same refi incentive increasing?

只是對同樣的再融資激勵的敏感度增加嗎？

Any color there would be helpful.

任何顏色都會有幫助。

Yeah.

是的。

The increase in our projected lifetime CPR was based on where interest -- per railing interest rates were at the end of the quarter.

我們預計的終身 CPR 的成長是基於季度末的利率——每欄利率。

So interest rates in the third quarter declined.

因此第三季利率有所下降。

Forward interest rates were also lower, that led to an acceleration in our expectation of prepayment speeds on our portfolio over the lifetime based on each particular coupon.

遠期利率也較低，這導致我們對基於每張特定息票的投資組合在整個生命週期內的提前還款速度的預期加快。

So it's consistent with where forward rates are -- and obviously, that will change every quarter with interest rates.

因此，它與遠期利率是一致的——顯然，這會隨著利率的變化而每季變化。

So I don't know if that answers your question

所以我不知道這是否回答了你的問題

--

--

Yeah.

是的。

That's helpful.

這很有幫助。

Maybe if I can also ask so the weighted average coupon on just the MBS portfolio ticked down slightly a bit during the quarter.

也許我也可以問一下，那麼本季 MBS 投資組合的加權平均票息略有下降。

At the end of the quarter, I think it was consistent with the current coupon.

季度末我覺得和現在的優惠券是一致的。

The current coupon, of course, has increased since then.

當然，自那時以來，目前的優惠券有所增加。

Can we expect the trend of sort of moving towards higher coupons to continue for the next couple of quarters?

我們能否預期在接下來的幾季中繼續提高優惠券的趨勢？

Yeah.

是的。

As Chris mentioned, a couple of things that Chris mentioned.

正如克里斯所提到的，克里斯提到了幾件事。

One is that in the last quarter, we actually moved down a little bit in coupon.

一是在上個季度，我們的優惠券實際上有所下降。

We actually increased our holdings, the most significant increase in our holding was a 4.5% coupon.

我們實際上增持了我們的持股，增持最顯著的是4.5%的票息。

So that was one of the drivers of the decline in our average coupon.

所以這是我們平均優惠券下降的驅動因素之一。

But as Chris mentioned, our inclination now is to move back up in coupon given this rate environment.

但正如克里斯所提到的，鑑於當前的利率環境，我們現在傾向於提高息票利率。

So I would expect some upward pressure on our average coupon to move up consistent with that portfolio reallocation.

因此，我預計我們的平均票面將受到一些上行壓力，從而與投資組合的重新分配保持一致。

Got it.

知道了。

Thank you.

謝謝。

Sure.

當然。

And ladies and gentlemen, with that, we'll complete today's question-and-answer session.

女士們先生們，我們今天的問答環節就到此結束。

I'd like to turn the floor back over to Peter Federico for concluding remarks.

我想請彼得‧費德里科 (Peter Federico) 作總結發言。

Well, again, I appreciate everybody joining our call today.

好吧，我再次感謝大家今天加入我們的電話會議。

We're really pleased with our third quarter results, very encouraged by the outlook for the mortgage market, and we look forward to speaking to you all again at the end of the year.

我們對第三季的業績感到非常滿意，抵押貸款市場的前景也讓我們深受鼓舞，我們期待在年底再次與大家交談。

And with that, ladies, and gentlemen, we'll conclude today's conference call and presentation.

女士們、先生們，我們今天的電話會議和演示就到此結束。

We do thank you for joining.

我們非常感謝您的加入。

You may now disconnect your lines.

現在您可以斷開線路。