AGNC Investment Corp (AGNCL) 2024 Q4 法說會逐字稿

Good morning, and welcome to the AGNC Investment Corp fourth quarter 2024 shareholder call.

早安，歡迎參加 AGNC Investment Corp 2024 年第四季股東電話會議。

(Operator Instructions) Please note today's event is being recorded.

（操作員指示）請注意，今天的活動正在被記錄。

I would now like to turn the conference over to Katie Turlington in Investor Relations.

現在，我想將會議交給投資者關係部的凱蒂·特靈頓 (Katie Turlington)。

Thank you all for joining AGNC Investment Corp's fourth-quarter 2024 earnings call.

感謝大家參加 AGNC Investment Corp 2024 年第四季財報電話會議。

Before we begin, I'd like to review the safe harbor statement.

在我們開始之前，我想回顧一下安全港聲明。

This conference call and corresponding slide presentation contains statements that, to the extent they are not recitations of historical facts, constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995.

本次電話會議及相應的幻燈片簡報中所包含的陳述，只要不是對歷史事實的複述，則構成《1995 年私人證券訴訟改革法》所定義的前瞻性陳述。

All such forward-looking statements are intended to be subject to the safe harbor protection provided by their format.

所有此類前瞻性陳述應受到其格式所提供的安全港保護。

Actual outcomes and results could differ materially from those forecast due to the impact of many factors beyond the control of AGNC.

由於許多 AGNC 無法控制的因素的影響，實際結果可能與預測結果有重大差異。

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.

本簡報中包含的所有前瞻性陳述均僅在本簡報發布之日有效，如有更改，恕不另行通知。

Certain factors that could cause actual results to differ materially thus contained in the forward-looking statements are included in AGNC's periodic reports filed with the Securities and Exchange Commission.

前瞻性陳述中包含的某些可能導致實際結果大不相同的因素已包含在 AGNC 向美國證券交易委員會提交的定期報告中。

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.

副本可在美國證券交易委員會 (SEC) 網站 sec.gov 上取得。除非法律要求，我們不承擔更新前瞻性聲明的任何義務。

Participants on this 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.

參加本次電話會議的人員包括董事、總裁兼執行長 Peter Federico；伯妮貝爾 (Bernie Bell)，執行副總裁兼財務長； Chris Kuehl，執行副總裁兼首席投資長； Aaron Pas，非機構投資組合管理資深副總裁；以及策略與企業發展執行副總裁 Sean Reid。

With that, I turn the call over to Peter Federico?

這樣，我將電話轉給 Peter Federico 好嗎？

Good morning, everyone, and thank you for joining our call.

大家早安，感謝大家參加我們的電話會議。

The favorable investment themes that emerged in 2024 continue to support our positive outlook for agency mortgage-backed securities.

2024 年出現的有利投資主題繼續支持我們對機構抵押貸款支持證券的積極展望。

Last year, the Fed shifted its restrictive monetary policy stance and began the process of returning term rates to a neutral level.

去年，聯準會改變了限制性貨幣政策立場，並開始將長期利率恢復至中性水準。

Declining inflationary pressures and accommodative monetary policy caused interest rate volatility to ease and the yield curve to steepen after being inverted for more than two years.

通膨壓力下降和寬鬆的貨幣政策導致利率波動性緩解，殖利率曲線在倒掛兩年多後趨陡。

We begin 2025, the supply and demand outlook for agency MBS appears to be well balanced.

展望2025年，機構MBS的供需前景似乎十分平衡。

In addition, and most important to our business, we expect agency spreads to benchmark rates to run in the same well-defined trading range, thus providing levered and unlevered investors very attractive return opportunities.

此外，對我們的業務最重要的是，我們預計代理利差與基準利率將在相同的明確的交易區間內運行，從而為槓桿和非槓桿投資者提供極具吸引力的回報機會。

Against this improved investment backdrop, AGNC generated a positive economic return of 13.2% in 2024, driven by our compelling monthly dividend.

在這種投資背景改善的推動下，AGNC 在 2024 年實現了 13.2% 的正經濟回報，這得益於我們令人信服的月度股息。

Our performance last year demonstrates AGNC's ability to generate strong investment returns in environments where spreads are wide and stable.

我們去年的表現證明了 AGNC 有能力在利差較大且穩定的環境中產生強勁的投資回報。

Since September, the Fed lowered short-term rates by 100 basis points as it recalibrated monetary policy.

自9月以來，聯準會透過調整貨幣政策將短期利率下調了100個基點。

While the path of monetary policy continues to move toward a neutral level, strong economic data late in the quarter ended the timeline as evidenced by the Fed's December summer economic projections, which showed fewer rate cuts in 2025 and 2026 relative to the September release.

儘管貨幣政策路徑繼續走向中性水平，但本季末強勁的經濟數據結束了這一時間表，聯準會12 月夏季經濟預測顯示，與9 月發布的預測相比，2025 年和2026 年的降息次數有所減少。

The US presidential election also raised concerns about fiscal policy, deficit spending and the magnitude of future treasury issuance.

美國總統大選也引發了人們對財政政策、赤字支出和未來國債發行規模的擔憂。

This elevated monetary and fiscal policy uncertainty overshadowed investment sentiment that characterized the first three quarters of the year.

貨幣和財政政策不確定性的上升掩蓋了今年前三個季度的投資情緒。

Together, the sharp increase in interest rates and modestly wider agency spreads drove our slightly negative economic return for the fourth quarter.

綜合考慮利率的大幅上升和代理利差的適度擴大，導致我們第四季的經濟回報略為負值。

As we begin 2025, our outlook for Agency mortgage-backed securities continues to be very favorable.

隨著 2025 年的到來，我們對機構抵押貸款支持證券的前景仍然非常樂觀。

Despite significant monetary policy easing, longer-term interest rates have increased meaningfully, and the 30-year primary mortgage rate is once again close to 7%.

儘管貨幣政策大幅放寬，但長期利率卻大幅上升，30年一級抵押貸款利率再次接近7%。

At this rate level, the supply of Agency MBS this year should be similar to what we experienced last year and reasonably well aligned with investor demand.

在此利率水準下，今年機構 MBS 的供應量應與去年類似，並且與投資者需求基本一致。

Greater bank demand is also possible, given the like of less onerous regulation.

由於監管不那麼嚴格，銀行需求也有可能增加。

Lastly, Agency mortgage-backed securities for investors unique diversification benefits and an attractive return profile, but are difficult for many investors.

最後，機構抵押貸款擔保證券為投資者提供了獨特的多元化優勢和誘人的回報狀況，但對許多投資者來說卻很難。

AGNC's common stock provides investors an easy way to invest in this unique fixed income asset class on a levered and hedged basis, which is otherwise only available to investors with sophisticated trading desks.

AGNC 的普通股為投資者提供了一種以槓桿和對沖方式投資這一獨特固定收益資產類別的簡單方法，而這種方式只有擁有成熟交易櫃檯的投資者才能實現。

So in summary, the current monetary policy stance of the Fed provides a positive underlying investment foundation for high-quality fixed income instruments, like agency mortgage-backed securities, particularly at current valuation levels.

總而言之，聯準會目前的貨幣政策立場為高品質固定收益工具（如機構抵押貸款支持證券）提供了積極的潛在投資基礎，尤其是在當前估值水準上。

The supply and demand outlook for Agency MBS appears to be well balanced with upside demand possible.

機構 MBS 的供需前景似乎非常平衡，並且可能有上行需求。

And finally, we expect agency spreads to remain in their current attractive range.

最後，我們預計代理利差將保持在當前有吸引力的範圍內。

Collectively, these positive dynamics create a favorable investment backdrop for AGNC in 2025.

總的來說，這些積極的勢頭為 AGNC 在 2025 年創造了有利的投資背景。

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

說完這些，我現在將電話轉給 Bernie Bell，更詳細地討論我們的財務表現。

Thank you, Peter.

謝謝你，彼得。

For the fourth quarter, AGNC had a comprehensive loss of $0.11 per common share.

第四季，AGNC 每股普通股綜合虧損 0.11 美元。

Economic return on tangible common equity was negative 0.6% for the quarter, comprised of $0.36 of dividends declared per common share and a $0.41 decline in our tangible net book value per share resulting from higher interest rates and modestly wider spreads for the year.

本季有形普通股的經濟回報率為負 0.6%，其中包括每股普通股宣布的股息 0.36 美元以及每股有形淨帳面價值下降 0.41 美元，原因是今年利率上升且利差略有擴大。

As Peter mentioned, our full year economic return was a positive 13.2% and driven by our monthly dividend totaling $1.44 per common share and a $0.29 decline in tangible net book value per share.

正如彼得所提到的，我們的全年經濟回報率為正 13.2%，這得益於我們每月每股 1.44 美元的股息以及每股有形淨帳面價值下降 0.29 美元。

As of late last week, our tangible net book value per common share was up about 1% for January are largely unchanged after deducting our monthly dividend accrual.

截至上週晚些時候，我們 1 月份每股普通股有形淨帳面價值上漲約 1%，扣除每月股利後基本維持不變。

In the fourth quarter, we opportunistically raised $511 million of common stock through our at-the-market offering program at a considerable premium to tangible net book value.

第四季度，我們透過市場發行計劃，以遠高於有形帳面淨值的溢價，趁機籌集了 5.11 億美元的普通股。

This brought our total issuance of accretive common equity for the year to approximately $2 billion, delivering meaningful book value accretion to our common stockholders.

這使得我們今年增值普通股的總發行額達到約 20 億美元，為我們的普通股股東帶來了有意義的帳面價值增值。

Our average and ending leverage for the fourth quarter was unchanged at 7.2 times tangible equity compared to the third quarter.

與第三季相比，我們第四季的平均期末槓桿率保持不變，為有形權益的 7.2 倍。

Additionally, we concluded the quarter with unencumbered cash and Agency MBS of $6.1 billion or 66% of our tangible equity.

此外，本季結束時，我們擁有 61 億美元的未支配現金和機構 MBS，占我們有形權益的 66%。

The average projected life CPR for our portfolio at quarter end decreased 7.7% from 13.2% at the end of the third quarter, consistent with higher interest rates.

本季末，我們投資組合的平均預期壽命 CPR 從第三季末的 13.2% 下降了 7.7%，與較高的利率一致。

Actual CPRs for the quarter averaged 9.6%, up from 7.3% in the third quarter.

本季實際 CPR 平均為 9.6%，高於第三季的 7.3%。

Lastly, net spread and dollar roll income declined by $0.06 to $0.37 per common share in the fourth quarter due to a 30-basis point narrowing of our net interest rate spread to just above 190 basis points.

最後，由於我們的淨利率利差縮小了 30 個基點至略高於 190 個基點，第四季度淨利差和美元展期收入下降了 0.06 美元至每股 0.37 美元。

The decline in our net spread income and net interest margin was driven by a slightly higher pay rate on our interest rate swap portfolio.

我們的淨利差收入和淨利差的下降是由於我們的利率互換組合的支付率略有上升。

Timing differences between the receive rate on our interest rate swaps and our repo cost, and lastly, our shift towards a greater proportion of treasury-based hedges, which are not included in our reported net interest spread or net spread income.

我們的利率互換收到的利率與回購成本之間的時間差異，以及最後我們轉向更大比例的基於國債的對沖，這些均未包含在我們報告的淨利差或淨利差收入中。

To enhance transparency, we have additional details on our treasury position and associated carry component in our investor presentation and earnings release.

為了提高透明度，我們在投資者介紹和收益報告中提供了有關財務狀況和相關利差部分的更多詳細資訊。

We estimate that the carry on our treasury hedges was $0.04 per share for the fourth quarter.

我們估計第四季國債對沖的利差為每股 0.04 美元。

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

現在，我將把電話轉給克里斯·庫爾 (Chris Kuehl)，討論代理抵押貸款市場。

Thanks, Bernie.

謝謝，伯尼。

The fixed income investment landscape in 2024 was shaped by economic data and evolving Fed policy expectations leading to significant interest rate volatility.

2024 年的固定收益投資格局受到經濟數據和不斷變化的聯準會政策預期的影響，導致利率大幅波動。

The fourth quarter was no exception, with strong economic data leading to renewed hawkish rhetoric from the Fed and the paring back of future rate cuts for market pricing.

第四季也不例外，強勁的經濟數據促使聯準會再度發表鷹派言論，並削減未來降息幅度以供市場定價。

This evolving monetary policy outlook, combined with the general risk off sentiment ahead of the presidential election caused Agency MBS to underperform swap and treasury hedges, particularly in the month of October.

不斷變化的貨幣政策前景，加上總統大選前的普遍避險情緒，導致機構 MBS 的表現不如掉期和國債對沖，尤其是在 10 月。

Following the election, however, MBS spread recovered somewhat, with a 30-year par coupon spread to a blend of 5- and 10-year treasury hedges, ending the quarter 6 basis points wider.

然而，在大選之後，MBS 利差有所回升，30 年期票面息票與 5 年期和 10 年期國債對沖的利差在本季度末擴大了 6 個基點。

Performance across the coupon stack was mixed with higher coupon MBS performing the best, while 4.5s and lower coupons generally experienced the greatest underperformance.

各類息票組合的表現好壞參半，息票較高的 MBS 表現最佳，而 4.5 秒及以下息票一般表現最差。

During the fourth quarter, we added approximately $2 billion in Agency MBS.

在第四季度，我們增加了約 20 億美元的機構 MBS。

And as a result, our investment portfolio totaled $73.3 billion as of December 31.

因此，截至 12 月 31 日，我們的投資組合總額已達 733 億美元。

Our asset growth was concentrated later in the quarter at attractive spreads, and we've continued to add to the investment portfolio in the month of January.

我們的資產成長集中在本季後期，利差頗具吸引力，我們在一月份繼續增加投資組合。

In terms of portfolio composition, we continued to move up in coupon, reducing holdings in 4.5s and lower coupons by roughly $6 billion while adding approximately $8 billion and 5% and higher coupons.

在投資組合組成方面，我們繼續提高息票比例，減少 4.5% 及以下息票的持有量約 60 億美元，同時增加約 80 億美元及 5% 及以上息票的持有量。

As has been the case for several quarters now, our TBA position consisted primarily of Ginnie Mae TBAs as valuations and roll implied financing less remained attractive.

正如最近幾季的情況一樣，我們的 TBA 部位主要由 Ginnie Mae TBA 組成，因為估值和展期意味著融資吸引力降低。

Our non-agency securities portfolio ended the quarter at $884 million, down slightly from the previous quarter, with the composition of our holdings mostly unchanged.

我們的非機構證券投資組合在本季末為 8.84 億美元，較上一季略有下降，持股結構基本上沒有變化。

Given the meaningful backup in interest rates, associated asset duration extension and portfolio growth, we added close to $12 billion in longer term, mostly treasury-based hedges during the quarter.

鑑於利率的大幅回升、相關資產期限的延長以及投資組合的成長，我們在本季增加了近 120 億美元的長期對沖，其中大部分是基於國債的對沖。

As a result, our hedge ratio to funding liabilities increased materially to 91%, and treasury-based hedges as a percentage of our hedge portfolio represented 53% on a dollar duration basis as of quarter end.

結果，我們的對沖與融資負債比率大幅上升至 91%，截至季度末，以美元久期計算，國債對沖占我們的對沖投資組合的百分比為 53%。

However, with longer-term treasury rates and swap spreads beginning to show signs of stabilization, our allocation to swap-based hedges will likely increase over the coming quarters.

然而，隨著長期國債利率和掉期利差開始出現穩定跡象，我們對基於掉期的對沖的配置在未來幾季可能會增加。

I'll now turn the call back over to Peter.

我現在將電話轉回給彼得。

Thanks, Chris.

謝謝，克里斯。

Before opening the call up to your questions, I want to take a moment to discuss the US housing finance system and status of the GSEs.

在開始回答你們的問題之前，我想花點時間討論一下美國住房融資體系和政府支持企業的現狀。

The outcome of the presidential election has clearly reignited the market's interest in the GSE conservatorships and the nature of the government's involvement in the housing finance system.

總統選舉的結果顯然重新點燃了市場對政府支持企業託管以及政府參與住房金融體系性質的興趣。

A number of proposals and opinion pieces recently have advocated for various outcomes ranging from ending the GSE conservatorships to maintaining status quo.

最近，許多提案和意見文章主張各種結果，從終止 GSE 託管到維持現狀。

Importantly, there also appears to be a growing consensus that any change should be done in a way that preserves the current functionality of the conventional mortgage market, avoids disrupting the stick real estate market and ensures housing affordability does not decline further.

重要的是，人們似乎也越來越一致地認為，任何變革都應以保留傳統抵押貸款市場的現有功能的方式進行，避免擾亂傳統房地產市場，並確保住房負擔能力不會進一步下降。

To that end, some key policymakers have already signaled the desire to pursue any change in a careful, deliberate and transparent way.

為此，一些關鍵政策制定者已表示希望以謹慎、深思熟慮和透明的方式尋求任何變革。

The $7.5 trillion agency mortgage-backed security market is the cornerstone of this country's $14 trillion housing finance system, a system that is the envy of the world by providing the uninterrupted availability of the 30-year prepayable mortgage at uniform rates across the nation and throughout market cycles.

7.5 兆美元的機構抵押貸款擔保證券市場是美國14 兆美元住房金融體系的基石，該體係以統一利率在全國和整個地區提供不間斷的30 年期可提前償還的抵押貸款，令世界羨慕不已。

The size of the agency market, the liquidity and financeability of these instruments, their use as a monetary policy tool and the existent EVA market and the important role it plays for mortgage originators and servicers all exist today because of the government's ongoing involvement, and because of the action of the government and the Fed have taken during times of stress.

代理市場規模、這些工具的流動性和融資能力、它們作為貨幣政策工具的使用、以及現存的EVA 市場及其對抵押貸款發起人和服務商發揮的重要作用，都得益於政府的持續參與，也因為政府和聯準會在壓力時期所採取的行動。

Moreover, the agency mortgage-backed securities market is critical to facilitating homeownership, achieving the many societal benefits that accompany it and doing so in a manner that is fair and equitable.

此外，機構抵押貸款支持證券市場對於促進房屋所有權、實現隨之而來的許多社會效益以及以公平公正的方式實現這些目標至關重要。

Preserving these attributes and avoiding a disruptive outcome for the housing finance system, we believe, requires the ongoing involvement of the US government.

我們認為，要保留這些屬性並避免住房金融系統出現混亂，就需要美國政府的持續參與。

[Checking] the structure of the GSEs hastily and without thoughtful consideration of the many complexities and interconnectedness of the current system would be unnecessarily disruptive and very harmful to housing affordability.

在沒有認真考慮當前系統的諸多複雜性和相互關聯性的情況下草率地檢查政府支持企業的結構，會造成不必要的破壞，並對住房負擔能力造成極大損害。

That said, change done in a way that preserves the many highly desirable aspects of the currency provides clarity regarding the form of the government's ongoing involvement, and which is done in a way that protects taxpayer interest, could be a very positive development for the agency mortgage-backed security market.

儘管如此，以保留貨幣許多非常可取的方面的方式進行的改革，可以明確政府持續參與的形式，並以保護納稅人利益的方式進行，這對該機構來說可能是一個非常積極的發展抵押貸款支持證券市場。

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

現在，我們將開始回答大家的提問。

(Operator Instructions)

（操作員指令）

Bose George, KBW.

博斯喬治，KBW。

Hey, everyone.

嘿，大家好。

Good morning.

早安.

Actually, I wanted to just ask first about equity issuance.

實際上，我首先想問的是有關股票發行的問題。

Can you just talk about the potential magnitude of equity issuance this year?

您能談談今年股票發行的潛在規模嗎？

If spreads are similar, your book value premium remains the way it is.

如果利差相似，您的帳面價值溢價將保持不變。

And just thoughts on is there a level of balance sheet where it gets too big or just conceptually.

我只是在想，資產負債表是否存在一個太大的水平，或者只是概念上的。

How you're thinking about that?

您對此有何看法？

Sure.

當然。

I appreciate the question, Bose.

我很感謝你提出這個問題，Bose。

As you know, we were active using our ATM this last quarter, and I'll start with talking about the approach this last quarter and how it was a little bit different than some of our previous quarters because I think it's informative to your question.

如您所知，我們在上個季度積極使用 ATM，我將首先談談上個季度的方法以及它與前幾季有何不同，因為我認為這對您的問題很有幫助。

In this last quarter, for example, the opportunity, the attractiveness of the equity issuance was more pronounced early in the quarter, whereas mortgages were more attractive later in the quarter.

例如，在最近一個季度中，股票發行的機會和吸引力在本季初期更為明顯，而抵押貸款在本季後期則更具吸引力。

I point that out because it differs a little bit from the previous quarters where we were very active in raising capital and deploying those proceeds almost simultaneously.

我指出這一點，是因為它與前幾季略有不同，當時我們非常積極地籌集資金，並且幾乎同時部署這些收益。

This quarter, we took a more opportunistic approach in that the capital raises were done early in the quarter.

本季度，我們採取了更投機的方式，即在本季度初完成資本籌集。

And as Chris mentioned, some of our capital deployment was a more gradual pace later in the quarter.

正如克里斯所提到的，我們的部分資本配置在本季後期變得更加漸進。

It was one of the reasons why there was a little bit of a negative impact from a net spread and dollar roll income.

這是淨利差和美元展期收入產生一些負面影響的原因之一。

But we'll continue to approach the capital issuance and our capital management from that perspective and opportunistically.

但我們將繼續從這個角度和機會主義的角度來處理資本發行和資本管理。

Obviously, we look at the accretion benefit and book value benefit.

顯然，我們看的是增值效益和帳面價值效益。

If you look back over the course of the year, it was -- all of our capital raises really were significant contributors to book value for our existing shareholders.

如果回顧這一年，我們所有的資本籌集確實為我們現有股東的帳面價值做出了重大貢獻。

And deploying those proceeds as you say, in this market is really attractive.

正如您所說，將這些收益投入到這個市場確實很有吸引力。

You look at where mortgage spreads are today, ranging from 150 to 170 basis points depending on hedge mix and so forth, you're talking about attractive ROEs, particularly now that we've gone through some of the uncertainty of the fourth quarter.

你看看今天的抵押貸款利差，根據對沖組合等的不同，從150 到170 個基點不等，你說的是有吸引力的ROE，特別是現在我們已經經歷了第四季度的一些不確定性。

The last point I'll make is that obviously from -- if you look at AGNC's scale today, we are really comfortable with our scale and operating efficiency, really happy with that.

我要說的最後一點是，顯然從——如果你看看 AGNC 今天的規模，我們對我們的規模和營運效率感到非常滿意，對此感到非常高興。

Our operating costs are, I think, the lowest in the industry.

我認為我們的營運成本是業界最低的。

I expect them to remain in that 1% to 1.25% range.

我預計它們將保持在 1% 到 1.25% 的範圍內。

The liquidity of our stock is outstanding and gives shareholders great opportunity to enter our space in a very liquid, easy way.

我們的股票流動性極佳，為股東提供了以非常便捷的方式進入我們領域的絕佳機會。

So there's no need to grow the sake of growing, I guess, that's my final point.

所以我覺得沒有必要為了成長而成長，這是我的最後一點。

We'll do so when we believe that it is in the benefit of our existing shareholders and approach that activities throughout the remain -- throughout this year, just like we do every other year and do so very opportunistically.

當我們相信這符合我們現有股東的利益時，我們就會這樣做，並且我們的態度是，今年全年的活動都會保持不變，就像我們其他每一年所做的那樣，並且非常投機取巧。

And I'll pause there.

我就在這裡暫停一下。

Great.

偉大的。

That's helpful.

這很有幫助。

Thank you.

謝謝。

And just could you help walk through the ROE map when you fund with treasury futures versus swaps, because they obviously nominal spreads are lower, so kind of the variables that go through one versus the other.

您能否幫助您介紹一下使用國債期貨與掉期融資時的 ROE 圖，因為它們的名義利差顯然較低，因此這是一種透過一個變數而不是另一個變數來衡量的。

Yeah.

是的。

And that's a good point, and I'll touch on a lot of points.

這個觀點非常好，我接下來會談及很多觀點。

In fact, one of the issues that I think our earnings measures have just generally, our net spread and dollar roll income, one of the reasons why we don't want investors to look at that as a driver of our dividend policy because it is not -- we look at the economics of our portfolio from a dividend perspective.

事實上，我認為我們的獲利指標普遍存在的一個問題是，我們的淨利差和美元滾動收入，這也是我們不希望投資者將其視為股息政策驅動因素的原因之一，因為它不是——我們從股利的角度來看我們投資組合的經濟狀況。

It's a reflection of current period earnings, not the long-run earnings of our portfolio.

它反映的是當期收益，而不是我們投資組合的長期收益。

So we look at the alignment of the mark-to-market, if you will, of our portfolio versus that.

因此，如果你願意的話，我們會研究我們的投資組合與市價的一致性。

And then, of course, net spread and dollar roll income, as we define it, and I think most define it, it only includes your swap-based hedges.

然後，當然，正如我們所定義的，淨利差和美元展期收入，我認為大多數人都這樣定義，它只包括基於掉期的對沖。

We tried to add some disclosure to our presentation this quarter to give investors a little bit of a better understanding of the same sort of similar carry characteristics that occur with treasuries that occur with swaps.

我們試圖在本季的報告中增加一些揭露內容，以便讓投資人更能理解掉期交易中與國債類似的套利特徵。

In the treasury market when you use a treasury has your short in the treasury, and then there's a receive, if you will, on your repo transaction.

在國債市場中，當您使用國債時，您會在國債中出現空頭，然後，如果您願意的話，在您的回購交易中就會出現收款。

So it has the same concept as a pay and a receive.

所以它與支付和接收具有相同的概念。

We added some disclosure to give investors a better understanding of carry.

我們增加了一些披露內容，以便投資者更好地理解套利。

So that's one point.

這是其中一點。

Point number two is that to the extent that we use more treasury-based hedges, there is less carry, less spread, if you will, between treasury-based hedges and mortgages because of where swap spreads are today.

第二點是，隨著我們更多地使用基於國債的對沖，由於當今掉期利差的現狀，基於國債的對沖和抵押貸款之間的套利或利差會減少。

And Chris talked about the fact, our treasury-based hedges are at really a high point.

克里斯談到了事實，我們的基於國債的對沖確實處於高點。

I think that 55% of our hedges were treasury-based hedges in the fourth quarter.

我認為，第四季我們的對沖中有 55% 是基於國債的對沖。

That is not typical, but we did that because treasury-based hedges gave us a better market value offset to our asset portfolio because swap spreads have tightened so dramatically over the last year. 10-year swap spreads, for example, in the fourth quarter, got to more than negative 50 basis points.

這並不常見，但我們這樣做是因為國債對沖為我們的資產組合提供了更好的市場價值抵消，因為掉期利差在過去一年中大幅縮小。例如，第四季度，10 年期掉期利差達到負 50 個基點以上。

So at a historical low.

因此處於歷史低點。

So treasury-based hedges were better from a market value perspective.

因此，從市場價值的角度來看，基於國債的避險是更好的選擇。

To the extent that swap spreads begin to stabilize, and Chris mentioned that word that we've started to see stabilization, it will make sense for us to rotate into swap-based hedges back to maybe toward our normal level, which might be in the 70% to 80% range.

如果掉期利差開始穩定，克里斯提到我們已經開始看到穩定，那麼我們有必要將基於掉期的對沖轉向正常水平，這可能在70% 至 80% 的範圍。

And in doing that, we'll end up picking up additional carry as long as swap spreads stay stable.

透過這樣做，只要掉期利差保持穩定，我們最終就會獲得額外的收益。

So I think that's the way to think about it.

所以我認為這就是思考這個問題的方式。

When I talk about spreads today on average, and I look at treasury -- for coupon, for example, to treasury hedges, I would say they're likely in the $130 million to $150 million range.

當我談論今天的平均利差時，我會看國債——例如，對於息票，對於國債對沖，我會說它們可能在 1.3 億美元到 1.5 億美元的範圍內。

And current coupon or to swap-based hedges, I would likely say that they will remain in the sort of the $160 million, $180 million range.

對於目前的息票或基於掉期的對沖，我可能會說它們將保持在 1.6 億美元至 1.8 億美元的範圍內。

So as we shift that will change that weight between those two and drive what our effective ROE is on a go-forward basis.

因此，當我們轉變時，這兩者之間的權重也會發生變化，並推動我們未來的有效 ROE。

So I gave you a long-winded answer there, but I thought those points were important.

所以我給了你一個冗長的答案，但我認為這些觀點很重要。

Thank you.

謝謝。

Doug Harter, UBS.

瑞銀的道格·哈特（Doug Harter）。

Good morning, Peter.

早安，彼得。

I was hoping you could talk about your dividend outlook.

我希望您能談談您的股息前景。

I know you just mentioned that you don't view EAD as representative, but kind of how you're seeing the economics of the mark-to-market returns and how that compares to kind of the current dividend level.

我知道您剛才提到，您不認為 EAD 具有代表性，但是您如何看待按市價計算的回報的經濟學以及將其與當前股息水平進行比較。

Sure.

當然。

Well, the first thing we look at from a dividend perspective is what is the total cost of capital hurdle rate, if you will, versus our expected return at current valuation levels of the portfolio.

好吧，從股利的角度來看，我們首先要看的是總資本成本障礙率與投資組合當前估值水準下的預期報酬率相比是多少。

When you think about the total cost of capital, I think that's really critical as you think about what is the cost to run our business to pay our common dividends, to pay our preferred stock dividends and our operating expenses as the numerator in that equation, the denominator is our total capital base, which is about $9.2 billion.

當你考慮總資本成本時，我認為這真的很關鍵，因為你要考慮經營我們的業務以支付普通股股息、支付優先股股息和我們的運營費用的成本是多少，作為這個等式中的分子，分母是我們的總資本基礎，約 92 億美元。

If you look at our actual expenses in the fourth quarter and annualize those versus our capital base, it would tell you that our hurdle rate is around 16.5%, maybe 16.7% to be precise, and the question is what do we compare that to.

如果您查看我們第四季度的實際支出，並將其與我們的資本基礎進行年化，您會發現我們的最低收益率約為16.5%，準確地說是16.7%，問題是我們要將其與什麼進行比較。

And the relevant comparison is what is our expected, if you will, gross ROE at current valuation levels.

相關的比較是，如果你願意的話，我們預期在當前估值水準上的總 ROE 是多少。

Using a combination of spreads because they obviously always changing a single point instead, but I use a blended -- a spread that is a blend between treasury-based hedges and swap-based hedges.

使用利差組合，因為它們顯然總是改變一個點，但我使用混合利差——即基於國債的對沖和基於掉期的對沖的混合利差。

I'll give you 3 points in time, 150 basis points, 160 basis points and 170 basis points.

我會給你3個時間點，150個基點，160個基點和170個基點。

They have the range -- those are spreads that I think are indicative of today's valuations.

它們有範圍 - 我認為這些價差可以表明今天的估值。

And those would translate to gross ROEs of somewhere between 17% and 18.5%.

這些將轉化為 17% 至 18.5% 之間的總 ROE。

So said another way, if we were to deploy capital today, we would expect to earn spreads in that range or ROEs on a go-forward basis of somewhere between 17% and 18.5%.

換句話說，如果我們今天部署資本，我們預計將獲得該範圍內的利差或未來 ROE 在 17% 至 18.5% 之間。

And that aligns very well with our total cost of capital, and that's one of the reasons why -- in it that way, we've been able to maintain our current dividend.

這與我們的總資本成本非常吻合，這也是我們能夠維持目前股利的原因之一。

So I think we're going on about 58 months.

所以我認為我們需要大約 58 個月的時間。

So that's the way we look at it, and I think it's still well aligned at today's valuations.

這就是我們的看法，我認為它與今天的估值仍然一致。

Appreciate that.

非常感謝。

And just curious how you think about volatility and the cost of volatility in kind of in that equation that you just walked through?

我很好奇在剛才講到的那個等式中，您是如何看待波動性和波動性成本的？

Yeah. there's no doubt that's a point, that's for sure.

是的。毫無疑問這是事實，這是肯定的。

That obviously, interest rate volatility is a big driver of how your ex-ante returns will convert to ex-post returns.

顯然，利率波動是決定事前報酬如何轉化為事後報酬的重要因素。

So will we have to spend a lot of money rebalancing or will we have to spend less money.

那麼我們是否需要花費大量資金來重新平衡，還是需要花更少的錢。

It's one of the key drivers of, for example, our outlook for this year.

例如，它是我們今年展望的關鍵驅動因素之一。

I think interest rate volatility now that the tenure has backed up, and this is important that the tenure has gotten back into a new trading range of, let's say, between 4.25% and 5%, it appears that interest rate volatility should remain relatively low going forward given we've gotten through all of the quantitative tightening and the dramatic shifts from the Fed.

我認為，現在利率波動已經回升，重要的是，利率已經回到了一個新的交易區間，比如說，在 4.25% 到 5% 之間，看來利率波動應該會保持相對較低鑑於我們已經經歷了聯準會的所有量化緊縮政策和重大轉變，展望未來。

We have stabilization.

我們已趨於穩定。

We have a more accommodative Fed.

我們有一個更寬鬆的美聯儲。

We have a path for short-term rates that seems to be fairly well telegraphed.

我們對短期利率的走向似乎已經有了相當清晰的了解。

Those things should contribute to lower volatility going forward.

這些因素應有助於降低未來的波動性。

At least that's our outlook right now, which should then translate to lower hedge costs on a go forward.

至少這是我們目前的展望，這將意味著未來的避險成本將會降低。

They -- market conditions obviously change.

他們——市場條件顯然改變了。

One other point that I would make there is that our ability to raise capital -- this is kind of a good tie back to the first question, our ability to raise capital at accretive level is also a potential driver of ex post returns, which could offset some of that incremental hedge costs that we would occur over time with hedging.

我想說的另一點是，我們籌集資金的能力——這和第一個問題有很好的聯繫，我們在增值水平上籌集資金的能力也是事後回報的潛在驅動因素，這可能透過對沖來抵消我們隨著時間推移而產生的部分增量對沖成本。

But you're 100% right.

但你100％正確。

It would be -- it's going to be a drag.

這會—會是一個拖累。

It's just an order of magnitude.

這只是一個數量級。

And right now, the outlook is, I think, pretty favorable for that.

我認為，目前前景非常樂觀。

Great.

偉大的。

I appreciate all those answers, Peter.

我很感謝所有這些回答，彼得。

Thank you.

謝謝。

Crispin Love, Piper Sandler.

克里斯賓·洛夫，派珀·桑德勒。

Thank you.

謝謝。

Good morning, everyone.

大家早安。

Just first on the hedge ratio and hedges continuing the recent conversation, but you decreased the hedge ratio meaningfully in the third quarter but increased it to 91% in the fourth quarter.

首先關於對沖比率和對沖的討論還在繼續，但你在第三季大幅降低了對沖比率，但在第四季將其提高到了 91％。

So one, just curious, when you added more hedges in the quarter was it leading up to the election?

所以，首先，我很好奇，當您在本季增加更多對沖時，是否是為了選舉？

And then just thoughts and views on the hedge ratio today and outlook going into -- kind of continuing through 2025, also with your view of lower volatility expected.

然後只是對今天的對沖比率以及持續到 2025 年的前景的想法和觀點，同時也考慮到您預期波動性會降低的觀點。

Thanks.

謝謝。

Yeah.

是的。

Thank you for the question.

感謝您的提問。

We did increase it obviously fairly significantly back to 91% from 72%.

我們確實將其從 72% 顯著提高到了 91%。

But it goes back to the question that I just answered as a starting point, which is that we obviously expected more interest rate volatility as we went into the presidential election.

但這又回到我剛剛作為起點回答的問題，那就是在總統大選臨近之際，我們顯然預計利率波動會加劇。

And clearly, there was a lot of uncertainty, and still is, about fiscal policy and tariffs and what that might mean for monetary policy and what that might mean for treasury issuance.

顯然，關於財政政策和關稅以及這對貨幣政策和國債發行意味著什麼，存在著許多不確定性，現在仍然存在。

But we had an 80-basis point move higher in the 10-year treasury in the fourth quarter.

但我們第四季的十年期公債殖利率上升了 80 個基點。

And the reason why we were so active in rebalancing and kept our duration gap essentially unchanged quarter-over-quarter, 0.2 to 0.3, and that's not always the case with respect to our delta hedging and our rebalancing.

我們之所以如此積極地進行再平衡，並使久期缺口基本上保持環比變化，即 0.2 到 0.3，而對於我們的 delta 對沖和再平衡而言，情況並非總是如此。

But we were so active in doing so this quarter.

但本季我們非常積極地這麼做。

It's because we didn't expect rates to whipsaw back the other way.

這是因為我們沒有預料到利率會大幅波動。

From our perspective right now, the backup in rates and particularly in the 10 year, moving up to the 4.5% to 4.75% range, appears to be sort of a better valuation for that part of the curve given all of the uncertainty about the strength of the economy and potential sources of inflation or deflation, as it may be.

從我們目前的角度來看，利率回升，特別是10 年期利率回升至4.5% 至4.75% 的區間，似乎對曲線的這一部分來說是一種更好的估值，因為對利率強度存在不確定性。

But we felt like being active in delta hedging was really important because we don't expect rates to drop materially from here.

但我們認為積極進行 Delta 對沖確實非常重要，因為我們預計利率不會從現在開始大幅下降。

We expect long-term rates to remain stable.

我們預計長期利率將保持穩定。

So therefore, we did add a lot of hedges.

因此，我們確實增加了很多對沖。

And we did so particularly by adding mostly, in fact exclusively, treasury-based hedges because of our uncertainty about what swap spreads would do during the quarter.

我們這樣做主要是透過增加基於國債的對沖，事實上只增加基於國債的對沖，因為我們不確定掉期利差在本季會如何變化。

So over time, we may rotate out of those.

因此，隨著時間的推移，我們可能會逐漸淘汰這些產品。

As Chris indicated, that likely will be the case.

正如克里斯指出的那樣，情況很可能是如此。

But that's why we were so active in rebalancing and keeping our duration gap low because we didn't want to -- we didn't expect rates to whipsaw back.

但這就是我們如此積極地重新平衡並保持較低久期差距的原因，因為我們不想——我們不希望利率大幅波動。

Great.

偉大的。

Thank you.

謝謝。

I appreciate that.

我很感激。

And just one last question for me.

我還想問最後一個問題。

Just an update on Agency MBS demand as you see it today.

這只是今天您看到的機構 MBS 需求的更新。

Banks, money managers, and just thoughts on demand in this environment.

銀行、資金經理以及對這種環境下的需求的想法。

Thank you.

謝謝。

Yeah.

是的。

I mentioned in my prepared remarks the outlook for supply, and I think this is really a positive for the mortgage market.

我在準備好的發言中提到了供應的前景，我認為這對抵押貸款市場來說確實是一個利好。

I mean about the outlook and why we’re so positive.

我指的是前景以及我們為何如此樂觀。

It starts with the technicals for mortgages.

首先介紹抵押貸款的技術細節。

And the technical is that the supply of mortgages in 2025 should be very similar, I'd expect, to 2024.

從技術角度來看，我預計 2025 年的抵押貸款供應量應該與 2024 年非常相似。

In 2024, the total supply was just a touch over $210 billion, which came in lower or certainly at the low end of everybody's expectations.

2024 年，總供應量僅略高於 2,100 億美元，低於或肯定處於所有人預期的低端。

And with -- and this goes back to the point about the tenure being at 4.5% or higher.

而且——這又回到了任期為 4.5% 或更高這一點。

The tenure being at 4.5% or higher is pushed to 30-year primary mortgage rate back up close to 7%, which means the supply of mortgages as we start this year is likely going to remain on the low end of people's expectations.

4.5%或更高的期限將使30年主要抵押貸款利率回升至接近7%，這意味著今年年初的抵押貸款供應量可能仍將處於人們預期的低端。

So I expect the supply of mortgages, and I think if you look at most dealers, it's in the $200 billion to $250 billion range, which is positive development.

因此，我預計抵押貸款的供應量，如果你看看大多數經銷商，我認為它在 2000 億美元到 2500 億美元的範圍內，這是一個積極的發展。

And then you look at what are the sources of demand.

然後再看看需求的來源是什麼。

Last year, I think money managers -- I think there was total inflows in the bond fund of around $450 billion, of which, maybe 20% of the or so, goes into the mortgage market.

我認為，去年基金經理人——債券基金的總流入量約為 4,500 億美元，其中大概 20% 流入抵押貸款市場。

It appears that, that could be again the case in 2025.

看來，2025 年的情況可能仍是如此。

So I would expect money managers -- if bond fund flows stay high and certainly, yesterday, you saw rotation into bonds with equity weakness that could clearly be the case.

因此，我預計基金經理人——如果債券基金流量保持高位，並且昨天你看到資金輪換到債券市場而股票市場疲軟，那麼情況顯然如此。

Money managers command $50 billion to $80 billion worth of mortgages again.

基金經理人再次掌控價值 500 億至 800 億美元的抵押貸款。

And then, of course, the uncertainty or the unknown equation is bank demand.

當然，不確定性或未知方程式就是銀行需求。

And bank demand has been stable and slowly growing.

銀行需求一直穩定且緩慢成長。

Certainly, bank -- total bank holdings of mortgages have increased steadily off the low point of September '23, and now have sort of grown steadily in 2024.

當然，銀行持有的抵押貸款總額從 23 年 9 月的低點穩定增加，到 2024 年則呈現穩定成長。

There is a possibility with bank regulation being perhaps less onerous that they may come in and be a bigger buyer in 2025 versus 2024.

有可能，隨著銀行監管不再那麼繁重，銀行可能會在 2025 年而非 2024 年進入該市場並成為更大的買家。

We don't obviously know that yet, but that's something we'll keep an eye on.

我們顯然還不知道這一點，但我們會密切注意。

So I think in the end, when you put that together, I think the supply and demand seems to be fairly well balanced, and that's an important driver of our outlook.

因此，我認為最終當你把這些放在一起時，供給和需求似乎相當平衡，這是我們前景的重要驅動因素。

Any follow-up there?

還有後續嗎？

Trevor Cranston, Citizens JMP.

特雷弗·克蘭斯頓 (Trevor Cranston)，公民 JMP。

Great.

偉大的。

Thanks.

謝謝。

Good morning.

早安.

You guys mentioned that you've been adding towards the end of the quarter and have continued into January.

你們提到你們在本季末一直在增加，並且一直持續到 1 月。

Assuming that the portfolio additions are increasing leverage, can you talk a little bit about kind of what your current leverage target would be, what the investment opportunities, where they are today?

假設投資組合的增加會增加槓桿率，您能否談談您目前的槓桿目標是什麼，投資機會是什麼，以及它們現在在哪裡？

And part of that, also as you're adding, if you can maybe talk a little bit about if you've seen any sort of changes in your relative value views of TBAs versus spec pools?

還有，正如您所補充的，您是否可以稍微談談您對 TBA 與規格池的相對價值看法是否發生了任何變化？

Thanks.

謝謝。

Sure.

當然。

I'll start with the first part and then Chris can talk about TBAs versus pools and other relative value.

我將從第一部分開始，然後克里斯可以談談 TBA 與資金池以及其他相對價值。

So look at our leverage, it's been fairly consistent, in fact very consistent, over the last 12 months in 7.2%, 7.3% range.

所以看看我們的槓桿率，它一直相當穩定，事實上非常穩定，在過去 12 個月中一直在 7.2% 到 7.3% 的範圍內。

And the good news there is we were able to generate really attractive returns with that sort of leverage level.

好消息是，我們能夠利用這種槓桿水平獲得真正可觀的回報。

And with leverage at that level, we obviously still have a huge amount of our capital unencumbered.

在這樣的槓桿水平下，我們顯然仍然擁有大量不受阻礙的資本。

As Bernie mentioned, 66% of our capital is unencumbered.

正如伯尼所提到的，我們的 66% 的資本是不受限制的。

So we have a really strong position from a risk management perspective.

因此，從風險管理的角度來看，我們擁有非常強勢的地位。

And when we think about leverage, obviously, there's a lot of drivers.

當我們考慮槓桿時，顯然有許多驅動因素。

One, we obviously want mortgage spreads to be attractive, which they are.

首先，我們顯然希望抵押貸款利差具有吸引力，事實也確實如此。

We want interest rate volatility to be stable or declining, which we think it may be, which is a positive.

我們希望利率波動保持穩定或下降，我們認為這可能是事實，這是積極的。

And then we'll just make that decision sort of on a case-by-case basis.

然後我們會根據具體情況做出決定。

But I think one of the key points is, when you think about spreads, not only do they need to be attractive, we want them to be stable.

但我認為關鍵點之一是，當你考慮利差時，它們不僅需要具有吸引力，我們還希望它們是穩定的。

And one of the things that I think materialized in 2024 is the fact that mortgage spreads stayed very traded in really a relatively tight range, particularly if you look at like current coupon to 5- and 10-year treasuries, they traded in an exceedingly tight range. 80% of the year last year, mortgages traded in a 20-basis point range between 135 and 155 basis points.

我認為 2024 年實現的一件事是，抵押貸款利差保持在一個相對狹窄的範圍內，特別是如果你看看目前的 5 年期和 10 年期國債的票面利率，它們的交易價格非常緊張範圍。去年有 80% 的時間，抵押貸款交易價格在 135 至 155 個基點之間，上下浮動 20 個基點。

That's great for our business.

這對我們的業務非常有利。

We want spread volatility to be low.

我們希望價差波動性較低。

We want spreads to be attractive.

我們希望利差具有吸引力。

If those conditions continue, it would make us positively inclined about the market and our risk position.

如果這些情況持續下去，我們將對市場和我們的風險狀況產生積極影響。

So again, I'm not going to give a forecast on that, but those are the conditions that we look at for taking risk a little higher.

所以，我不會對此做出預測，但這些是我們考慮承擔更高風險的條件。

And Chris can talk about where we've been deploying proceeds.

克里斯可以談談我們將收益部署到哪裡。

As he mentioned, we started to add some mortgages in January.

正如他所提到的，我們從一月份開始增加一些抵押貸款。

Sure.

當然。

So during the quarter, we continued to shift our holdings to higher coupons.

因此，在本季度，我們繼續將持有的股票轉向票面利率較高的股票。

As I mentioned, we reduced holdings in 4.5s and lower coupons by about $6 billion, added just under $8 billion in 5% and higher coupons.

正如我所提到的，我們減少了 4.5 倍利率及較低息票的持有量約 60 億美元，增加了近 80 億美元的 5% 及更高息票的持有量。

Production coupon valuation still offer some of the best longer and risk-adjusted returns.

生產息票估值仍然提供一些最好的長期和風險調整回報。

And while higher coupons performed very well last year, the vast majority of that return was carry not spread tightening.

儘管去年高票表現非常好，但絕大部分回報都是利差收緊，而不是息差縮窄。

And so spreads are still very attractive, and so that's where we've been allocating marginal capital.

因此利差仍然非常有吸引力，這也是我們一直分配邊際資本的地方。

The relative value picture across the coupon stack could certainly help us this year.

今年，優惠券堆的相對價值情況肯定能對我們有所幫助。

Banks are more involved and issuance remains light given where rates currently are.

銀行參與度較高，但考慮到當前利率水平，發行量仍然較少。

But again, given current spread relationships with respect to the coupon stack, marginal capital mostly be deployed in higher coupons.

但考慮到目前與票息堆疊的利差關係，邊際資本大多將部署在更高的票面利率。

With respect to TBAs versus specified pools specs, generally they have performed very well.

相對於 TBA 與指定池規格而言，它們通常表現得非常出色。

They did in the fourth quarter.

他們在第四節做到了。

And while we did have some opportunities to add higher quality pools at good levels, there are some newer production categories trading at relatively full valuations.

雖然我們確實有機會在良好的水平上增加更高品質的資源池，但也有一些較新的生產類別以相對充分的估值進行交易。

And so we're content to be patient there and carry our TBA position with prepayment risk low and rolls starting to trade better.

因此，我們樂意保持耐心，保持我們的 TBA 頭寸，預付款風險較低，卷交易開始更好。

Got it.

知道了。

Okay, that's helpful.

好的，這很有幫助。

Thank you.

謝謝。

Eric Hagen, BTIG.

BTIG 的 Eric Hagen。

Hey, thanks.

嘿，謝謝。

Good morning, guys.

大家早安。

If we tease apart the projection for prepayment speeds, can you maybe share roughly what mortgage rate you are assuming in that projection and how you might -- and how it's maybe changed in the start of the year?

如果我們將預付款速度的預測分開，您能否大致分享您在該預測中假設的抵押貸款利率以及它可能如何變化——以及它在年初可能會如何變化？

And then how you might compare or characterize the reinvestment risk that you face with prepays and spreads at these levels versus when speeds have been faster.

然後，您如何比較或描述在這些水平上與速度更快時相比，您在預付款和利差方面面臨的再投資風險。

Yeah.

是的。

So the -- our CPR projections are simply based off of the spot -- the forward curve as of the end of the year.

所以，我們的 CPR 預測只是基於截至年底的遠期曲線。

Just more generally speaking, with respect to prepayment risk, I'd say the fourth quarter was probably the most interesting set of reports that we've had since COVID, October and November in particular.

更一般地說，就預付款風險而言，我想說第四季度可能是自 COVID 以來我們收到的最有趣的一組報告，尤其是 10 月和 11 月。

Mortgage rates approached -- basically hit 6% in September.

9 月抵押貸款利率基本接近 6%。

We had a pretty sizable portion of the float and higher coupons that had an incentive to refinance.

我們擁有相當可觀的浮動資金份額和更高的票面利率，這為再融資提供了動力。

And speeds were very fast in October and exceeded most model expectations.

10 月的速度非常快，超出了大多數車型的預期。

But with the sharp sell-off in rates, November speeds came in materially slower under most model expectations.

但隨著利率的大幅下跌，11月的貸款速度明顯低於多數模型預期。

And so it's likely October speeds were impacted by very high pull-through rates.

因此，十月的速度很可能受到了非常高的拉動率的影響。

But I'd say even still, net, when you look at the two months together, the response was the steepest we've had really since COVID.

但我想說，即便如此，當你把這兩個月放在一起看時，你會發現我們的反應是自新冠肺炎疫情以來最熱烈的。

And so into a sustained rally, we're certainly not betting on a benign prepayment response.

因此，在持續的反彈中，我們當然不會押注良性的提前還款反應。

It's clear lenders are going to be very aggressive soliciting easy to refi borrowers.

很明顯，貸款方將會非常積極地招攬易於再融資的借款人。

But again, prepayment risk is very manageable through asset selection and diversification.

但同樣，透過資產選擇和多樣化，提前還款風險是可以輕鬆管理的。

And asset selection doesn't mean just owning the highest quality pools with the most prepayment protection, in fact, it often doesn't depending on where pay-ups are valued.

資產選擇並不意味著僅僅擁有具有最多預付款保護的最高品質的資產池，事實上，它通常並不取決於付款的估價地點。

It's very impactful to just avoid the work pools or the fastest collateral.

避免工作池或最快的抵押品是非常有影響的。

And so again, active management is key across various rate scenarios.

因此，在各種利率情境下，主動管理都是關鍵。

Great color there.

那裡的色彩很美。

I appreciate that.

我很感激。

All right.

好的。

So maybe building off the outlook from the question around banks.

因此，也許可以從有關銀行的問題出發來探討前景。

I mean how do you see the impact of bank regulation is having on bank appetite as repo counterparties both to AGNC and into the market more broadly?

我的意思是，您如何看待銀行監管對銀行作為 AGNC 以及更廣泛市場的回購交易對手的興趣的影響？

I mean do you have any perspectives on the supply of repo going forward?

我的意思是，您對未來的回購供應有什麼看法？

And really just any impact that could transmit onto mortgage spreads at the same time?

真的會有什麼影響同時傳導至抵押貸款利差嗎？

Yeah.

是的。

So first on the bank side.

首先是銀行方面。

Again, bank balances have been growing, which is an important fact.

再次，銀行存款一直在增長，這是一個重要的事實。

Two, it appears that banks, when they do add, they appear to be adding in an available-for-sale capacity post and hedging more, and that's just anecdotal versus the healthy maturity.

二，看起來，當銀行確實增加產能時，他們似乎正在增加可供出售的產能並進行更多對沖，而這只是與健康成熟度相比的軼事。

So that's obviously, I think, a good sign for their ability to add mortgages and do so on a hedge basis and manage their interest rate risk.

因此，我認為這顯然是一個好兆頭，表明他們有能力增加抵押貸款，並以對沖的方式進行，並管理其利率風險。

And then clearly, from where we were, let's say, I guess, it's probably in the middle of the year when the Basel endgame was so uncertain and there was lots of unintended consequences in some of those earlier versions of that regulation to where we are now, it appears that bank regulation is going to be certainly less onerous and maybe even quiet for a period of time, which I think bodes well for bank demand.

然後很明顯，從我們當時的情況來看，我想，可能是在年中的時候，巴塞爾協議的最後階段還很不確定，而且該法規的一些早期版本中有很多意想不到的後果。看來，銀行監管肯定會不再那麼繁重，甚至可能在一段時間內保持平靜，我認為這對銀行需求來說是個好兆頭。

So obviously, we don't have any other insight into it than that, but it does seem from a directional perspective that it could be larger as opposed to smaller.

因此顯然，我們對此沒有任何其他見解，但從方向角度來看，它似乎可能更大而不是更小。

With respect to the repo market, as the Fed drains balances -- bank reserve balances out of the system, which they are doing now, over time -- and I expect it to be this year where they're going to stop.

就回購市場而言，隨著聯準會逐漸從系統中抽取餘額（銀行儲備餘額），我預計今年他們將停止這項做法。

Because I think when you look at where bank reserves are now at about $3.2 trillion, I think they're getting into the range of where bank reserves from a target perspective relative to GDP, somewhere in the 10% to 11% range is some of the guidance that the Fed has talked about, not that they are managing to that, but it's certainly an indication.

因為我認為，當你看到銀行儲備現在約為 3.2 兆美元時，我認為它們正進入銀行儲備相對於 GDP 的目標範圍，在 10% 到 11% 的範圍內。雖然他們沒有做到這一點，但這肯定是一個跡象。

It appears that bank reserves are getting into the target range where they've moved from abundant to ample.

看起來銀行儲備正進入目標範圍，從充裕變成充足。

And that's what the Fed is looking for.

這正是聯準會所期望的。

And the Feds are looking to the repo market for indications of that.

聯準會正在從回購市場尋找這方面的跡象。

And we are seeing indications of that, meaning that the repo market is now at period ends and reporting periods showing some of the volatility that you would see normally when bank reserves get to that less-abundant level.

我們已經看到了這樣的跡象，這意味著回購市場現在處於期末和報告期，顯示出當銀行儲備達到不那麼充裕的水平時通常會看到的一些波動。

We saw -- the repo spreads to SOFR over year-end be in the 50 to 100 basis point range.

我們看到，年底回購利率與 SOFR 的利差在 50 至 100 個基點之間。

We saw it in the third quarter.

我們在第三季度看到了這一點。

We saw it prior to that.

我們之前就看過它。

So reporting periods will have some volatility.

因此報告期會有一些波動。

It will be a little bit higher cost.

成本會稍微高一點。

It's one of the things that contributed to our higher cost relative to our swap book going forward.

這是導致我們未來掉期帳簿成本上升的因素之一。

The Fed is clearly watching this very closely, willing to and has already made changes, which is important, changes to the way they run their programs to manage this carefully.

聯準會顯然在密切關注這個問題，願意並且已經做出了改變，這些改變非常重要，他們改變了程式的運作方式以謹慎地管理這個問題。

The Fed does not want the funding markets to be disrupted.

聯準會不希望融資市場受到干擾。

And I don't expect any limitation from a repo perspective to get to the specific answer that you're talking about.

並且我不希望從回購角度受到任何限制來獲得您所說的具體答案。

There's plenty of repo capacity for agency mortgage-backed securities.

機構抵押貸款支援證券的回購容量充足。

Yes, it may be a few basis points more costs, particularly over reporting periods, but it is a cost question not a capacity question.

是的，成本可能會增加幾個基點，特別是在報告期間內，但這是一個成本問題，而不是容量問題。

So I don't expect that to be a limiting factor for demand at all.

所以我根本不認為這會成為需求的限制因素。

Great stuff.

很棒的東西。

I appreciate the answer.

我很感激你的回答。

Thanks, guys.

謝謝大家。

Jason Stewart, Janney.

傑森斯圖爾特，詹妮。

Hey.

嘿。

Good morning to you.

早安.

Thanks for the color on earnings.

感謝您對收益的關注。

That's a good walkthrough.

這是一個很好的演練。

Bernie, just I missed the point on futures and what that would have added if it was in that spread and dollar roll income on a comparable basis for the quarter?

伯尼，我只是錯過了期貨的要點，如果該價差和美元滾動收入在該季度可比基礎上增加，那會增加什麼？

Yes.

是的。

Bernie mentioned that -- I think your question was about treasuries.

伯尼提到——我認為你的問題是關於國庫券的。

Is that correct?

那正確嗎？

Right.

正確的。

Yeah.

是的。

Bernie mentioned that this last quarter -- we added a page in some disclosure in our back of our presentation, I forget what page it is, exactly.

伯尼提到，上個季度，我們在簡報後面添加了一頁披露內容，我忘了具體是哪一頁。

It's on page 24.

在第24頁。

On page 24.

在第24頁。

That shows you the sort of the paid side of the equation, what we're paying and where our repo rates were.

這向您展示了等式的支付方，我們支付的金額以及我們的回購利率是多少。

And if you look at that, we concluded that it was probably around $0.04 of earnings that we had -- if net spend dollar roll income included that, it would be something like about $0.04.

如果你看一下，我們得出的結論是，我們的收益大概是 0.04 美元 - 如果將淨支出美元滾動收入包括進去，那就大概是 0.04 美元。

Obviously, because one of the challenges with that measure is because we use futures, that carry component has to be sort of imputed, if you will.

顯然，由於該措施的挑戰之一是我們使用期貨，因此必須對套利成分進行某種估算，如果你願意的話。

So we had to come up with a methodology.

所以我們必須想出一個方法。

That's one of the shortcomings of it.

這是它的缺點之一。

But nonetheless, gives you an order of magnitude, we think it's in that range of around $0.04 since last quarter.

但儘管如此，給出一個數量級，我們認為自上個季度以來它在 0.04 美元左右的範圍內。

Got it.

知道了。

Thank you for that.

謝謝你。

And then were you able to quantify the impact of the ATM timing, so issuing early and deploying later in the quarter?

然後，您是否能夠量化 ATM 時間的影響，提前發行並在本季稍後部署？

Well, what I would say is when you look at the impact of the issuance, I think you can do it in a number of different ways.

嗯，我想說的是，當你看待發行的影響時，我認為你可以用多種不同的方式來看待。

You can look at our average price, and the average price meaning $500 million worth of stock versus $53 million, would give you an average price of $960 million just on that calculation.

您可以看看我們的平均價格，平均價格意味著價值 5 億美元的股票對價值 5,300 萬美元的股票，根據這項計算，平均價格就是 9.6 億美元。

If you look at that relative to our beginning and ending book value, you could conclude that it was a substantial amount of accretion.

如果您將其與我們的期初和期末帳面價值進行比較，您可以得出結論，這是一筆可觀的增值。

You could also look at our comprehensive income and our dividend and conclude, based on our book value that it probably contributed something in the neighborhood of $0.06 or so of book value, maybe a little bit more.

您還可以查看我們的綜合收入和股息，並根據我們的帳面價值得出結論，它可能為帳面價值貢獻了約 0.06 美元左右，甚至更多。

And then as Chris mentioned, there was obviously a lot of volatility and uncertainty early in the quarter.

正如克里斯所提到的，本季初顯然存在著許多波動和不確定性。

So raising capital at an accretive level and then deploying it more gradually later in the quarter, we obviously saw mortgage spreads widen during the quarter.

因此，透過以增值水平籌集資本，然後在本季度後期更逐步地部署資本，我們顯然看到抵押貸款利差在本季度擴大。

They peaked around mid-quarter and now are still ended the quarter wider than they were at the beginning.

它們在本季中期達到頂峰，本季末的擴張幅度仍比本季初更大。

So by deploying those proceeds at a slower pace, gave us the capacity to invest, as Chris mentioned, at attractive levels late in the quarter and still at attractive levels this quarter.

因此，透過以較慢的速度部署這些收益，使我們有能力進行投資，正如克里斯所提到的那樣，在本季度末以有吸引力的水平進行投資，並且本季度仍保持有吸引力的水平。

Okay.

好的。

All right.

好的。

We'll make some assumptions on how that impacted earnings.

我們將對其對收益的影響做出一些假設。

I appreciate it, Peter.

我很感激，彼得。

Sure.

當然。

Harsh Hemnani, Green Street.

哈什‧赫姆納尼 (Harsh Hemnani)，綠街。

Thank you.

謝謝。

You've mentioned that your base case for spreads, that they remained within the trading range that they have been in for some time.

您曾提到，利差的基本情況是，它們在一段時間內仍保持在交易區間內。

What in your mind are the risks to that base case that could drive spreads either higher from your outside that trading range or lower?

您認為該基本情境下有哪些風險，可能導致價差超出交易區間範圍或降低？

Well, yeah, you're right.

嗯，是的，你是對的。

And they have been remarkably stable.

而且它們一直都非常穩定。

And I think we're going on about seven quarters maybe of this trading range, which I find to be really encouraging.

我認為我們可能會處於這個交易區間的七個季度左右，我認為這真的令人鼓舞。

I think mortgages are -- given a little bit of a backup, mortgages in the middle of the range, obviously, feels a little bit better to us than being at the tight end of the range.

我認為，如果給予一點支持，處於中間範圍的抵押貸款顯然比處於緊端的抵押貸款感覺要好一些。

But I would say that there's probably two primary risks.

但我想說可能有兩個主要風險。

One is -- relates to monetary policy in interest rates in general.

一是－與一般的利率貨幣政策有關。

If the interest rates become extremely volatile, meaning if interest rates were to move materially higher than we anticipate or materially lower than we anticipate.

如果利率變得極不穩定，也就是說如果利率大幅高於我們的預期或大幅低於我們的預期。

Chris mentioned it could trigger refinance activity if they were to rally for some unfortunate reason.

克里斯提到，如果它們因某些不幸的原因而反彈，則可能引發再融資活動。

Or we could have interest rates back up because of, for example, concerns about deficit spending and treasury issuance.

或者我們可能會因為對赤字支出和國債發行的擔憂而再次提高利率。

Those could put pressure on fixed income broadly, and they could put pressure on mortgage spreads.

這些可能會對固定收益造成廣泛壓力，也可能對抵押貸款利差造成壓力。

That would be one.

那將是一個。

And then obviously, all of the discussion -- it's why I included the -- in my prepared remarks, the extra discussion about housing policy, if you will.

然後顯然，所有的討論——這就是為什麼我在準備好的發言中加入了——關於住房政策的額外討論，如果你願意的話。

Obviously, there is more interest in the GSEs and the GSEs' conservatorship today than there was prior to the Trump administration.

顯然，如今人們對政府支持企業及其託管的興趣比川普政府上台之前更大。

And so there is some uncertainty about that outcome.

因此，這一結果存在一些不確定性。

We believe in the end that all of the great attributes of the current system, I think people will come together and agree that they need to be preserved.

我們相信，最終人們都會團結起來並同意需要保留現行體系的所有優秀屬性。

I don't think from a political perspective, from a home ownership perspective, from an economic perspective, from a Fed perspective, that anybody would conclude that they don't want all of these features that we have today.

我認為，從政治角度、從房屋所有權角度、從經濟角度、從聯準會角度來看，沒有人會得出「他們不想要我們今天所擁有的所有這些特徵」的結論。

And then that means also then, if you want to preserve those features, given the size of the market, it's likely that the government is going to have to remain involved.

那麼這也意味著，如果你想保留這些功能，考慮到市場的規模，政府很可能必須繼續參與。

How that's structured could be determined, what they get compensated for that, to be determined.

可以確定其結構如何，以及他們會得到什麼補償，還有待確定。

But there could be some uncertainty as people have opinions and ideological differences about that, that could create some spread volatility.

但由於人們對此存在意見和意識形態差異，因此可能會存在一些不確定性，造成一些利差波動。

So spreads may be a little higher than they would otherwise be.

因此利差可能會比原本的水平略高一些。

They may be a little wider than they otherwise would be.

它們可能會比原本要寬一些。

It could move us in that range, to your question.

它可以使我們進入那個範圍，回答你的問題。

But in the end, I think they will come back into the range.

但最終我認為他們會回到這個範圍。

And at this spread, I think mortgages offer a lot of value.

在這種利差下，我認為抵押貸款具有很大的價值。

They offer value if you're investing in treasury securities and they offer value if you're investing in investment-grade corporate debt, which is not always the case.

如果您投資於國庫證券，它們會提供價值；如果您投資於投資等級公司債務，它們也會提供價值，但情況並非總是如此。

So mortgages, to us, look like a great asset class and cheap at this valuation level.

因此，對我們來說，抵押貸款看起來是一種很好的資產類別，而且在這個估值水平上價格便宜。

Got it.

知道了。

Appreciate it.

非常感謝。

I'll just add.

我只是補充一下。

I think Peter covered the -- what could surprise to the wider side.

我認為彼得涵蓋了——可能讓更多人感到驚訝的事情。

The other side of the equation, I think, look, to the extent that bank securities growth is much stronger than anticipated, that's a possibility on looser regulatory outlook going forward.

另一方面，我認為，如果銀行證券的成長遠強於預期，那麼未來監管前景可能會更加寬鬆。

I mean overseas activity, it could also surprise, to the extent that the Fed and DOJ policy continues to move in opposite directions, that reduces FX hedging costs for banks in Japan.

我的意思是，海外活動也可能令人驚訝，如果聯準會和司法部的政策繼續朝相反的方向發展，日本銀行的外匯對沖成本就會降低。

And so look, there's a lot of things that are unknowns and could surprise to the tighter side as well.

所以看，有很多事情是未知的，也可能會讓更嚴格的人來說感到驚訝。

But again, our base case is pretty firmly rooted and made unchanged to maybe modestly tighter spreads for this year.

但是，我們的基本預測仍然非常堅定，今年的利差可能仍會略微收緊。

Got it.

知道了。

Thank you.

謝謝。

I'll leave it there.

我就把它留在那裡。

Thank you.

謝謝。

And this concludes our question-and-answer session.

我們的問答環節到此結束。

I'd like to turn the call back over to Peter Federico for closing remarks.

我想將電話轉回給 Peter Federico 來做最後發言。

Again, I appreciate everybody participating on the call today.

再次感謝今天參加電話會議的每個人。

And again, we're encouraged by the outlook for our underlying asset class and for our business in 2025, and we look forward to speaking to you again at the end of next quarter.

我們再次對我們的基礎資產類別和 2025 年業務的前景感到鼓舞，我們期待在下個季度末再次與您交談。

Thank you.

謝謝。

This concludes today's conference call.

今天的電話會議到此結束。

We thank you all for attending today's presentation.

我們感謝大家參加今天的演講。

You may now disconnect your lines and have a wonderful day.

現在您可以斷開連接並享受美好的一天。