(AGNCM) 2022 Q4 法說會逐字稿

Good morning, and welcome to the AGNC Investment Corp. Fourth Quarter 2022 Shareholder Call. (Operator Instructions) Please note this event is being recorded.

早上好，歡迎來到 AGNC Investment Corp. 2022 年第四季度股東電話會議。 （操作員說明）請注意正在記錄此事件。

I would now like to turn the conference over to Katie Wisecarver, Investor Relations. Please go ahead.

我現在想將會議轉交給投資者關係部的 Katie Wisecarver。請繼續。

Thank you all for joining AGNC Investment Corp.'s Fourth Quarter 2022 Earnings Call. Before I begin, I'd like to review the safe harbor statement.

感謝大家加入 AGNC Investment Corp. 的 2022 年第四季度財報電話會議。在開始之前，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 fact, constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. All such forward-looking statements are intended to be subject to the safe harbor protection provided by the Reform Act. Actual outcomes and results could differ materially from those forecast 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. Certain factors that could cause actual results to differ materially from those contained in the forward-looking statements are included in AGNC's 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.

本次電話會議和相應的幻燈片演示文稿包含的陳述，在一定程度上不是對歷史事實的敘述，構成 1995 年《私人證券訴訟改革法案》含義內的前瞻性陳述。所有此類前瞻性陳述旨在受《改革法》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存在重大差異。本演示文稿中包含的所有前瞻性陳述僅在本演示文稿發布之日作出，如有更改，恕不另行通知。 AGNC 向美國證券交易委員會提交的定期報告中包含某些可能導致實際結果與前瞻性陳述中包含的結果存在重大差異的因素。副本可在 SEC 網站 sec.gov 上獲取。除非法律要求，否則我們不承擔任何更新前瞻性陳述的義務。

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

電話會議的參與者包括董事、總裁兼首席執行官 Peter Federico； Bernice Bell，執行副總裁兼首席財務官； Chris Kuehl，執行副總裁兼首席投資官；非機構投資組合管理高級副總裁 Aaron Pas 和戰略與企業發展執行副總裁 Sean Reid。

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

有了這個，我會把電話轉給彼得費德里科。

Thank you, Katie. Throughout our 15-year history, we have noted that rapid and sizable interest rate changes are the most challenging environments for levered fixed income investors. Importantly, however, these transitions have generally preceded our most favorable investment environment. As I'll discuss in greater detail, the investment opportunity ahead could be one of the most favorable and durable in AGNC's history.

謝謝你，凱蒂。縱觀我們 15 年的歷史，我們注意到，對於槓桿固定收益投資者而言，快速且大幅的利率變化是最具挑戰性的環境。然而，重要的是，這些轉變通常發生在我們最有利的投資環境之前。正如我將更詳細地討論的那樣，未來的投資機會可能是 AGNC 歷史上最有利和最持久的投資機會之一。

For the fixed income markets, 2022 was among the worst years ever experienced. Interest rates across the yield curve moved materially higher as the Fed increased the federal funds rate 425 basis points in just 9 months. The yield on the 10-year treasury increased by close to 250 basis points. To put that move in historical context, the total return on the 10-year treasury in 2022 was the worst annual performance in over 100 years. The sharp increase in treasury rates pushed mortgage rates to their highest level in more than 2 decades.

對於固定收益市場，2022 年是有史以來最糟糕的年份之一。隨著美聯儲在短短 9 個月內將聯邦基金利率提高 425 個基點，整個收益率曲線的利率大幅走高。 10 年期國債收益率增加了近 250 個基點。將這一舉措置於歷史背景下，2022 年 10 年期國債的總回報率是 100 多年來最差的年度表現。國債利率的急劇上升將抵押貸款利率推至 20 多年來的最高水平。

Agency MBS often underperformed other fixed income asset classes during significant market downturns. This was indeed the case last year as spreads across the mortgage coupon stack widened to levels rarely seen before. Similar to the 10-year treasury, the total return on the Agency MBS index in 2022 at 12% was the worst year on record dating back to 1980. These challenging conditions peaked in September and October when monetary policy and macroeconomic uncertainty was at its highest point.

在市場大幅低迷期間，機構 MBS 的表現往往遜於其他固定收益資產類別。去年的情況確實如此，因為抵押貸款息票組合的利差擴大到前所未有的水平。與 10 年期國債類似，機構 MBS 指數在 2022 年的總回報率為 12%，是自 1980 年以來有記錄以來最糟糕的一年。這些具有挑戰性的條件在 9 月和 10 月達到頂峰，當時貨幣政策和宏觀經濟不確定性達到最高水平觀點。

On our third quarter earnings call, we highlighted the tension between extraordinarily attractive investment returns and highly uncertain financial market conditions. We also noted our expectation that a uniquely favorable investment environment would eventually emerge. Since that time, bond market sentiment has improved materially. This positive shift coincided with investors recognizing the unique investment opportunity available in Agency MBS on both a levered and unlevered basis. At the same time, weaker inflation data allowed the Fed to slow the pace of monetary policy tightening, which in turn led to a decline in interest rate volatility. These positive developments attracted investors back to the fixed income markets.

在我們的第三季度財報電話會議上，我們強調了極具吸引力的投資回報與高度不確定的金融市場狀況之間的緊張關係。我們還注意到我們期望最終會出現一個獨特的有利投資環境。自那時以來，債券市場情緒有了實質性改善。這一積極轉變恰逢投資者認識到 Agency MBS 在槓桿和非槓桿基礎上的獨特投資機會。同時，疲弱的通脹數據讓美聯儲放慢了貨幣政策收緊的步伐，進而導致利率波動性下降。這些積極的發展吸引了投資者重返固定收益市場。

The key question for investors today, of course, is not what happened, but rather where do we go from here? Will the Agency MBS market revert back to the challenging conditions to characterize 2022? Or is the outlook for 2023 more favorable? We strongly believe it is the latter. We believe the positive shift in bond market sentiment that occurred in November likely marks the beginning of the recovery for Agency MBS. Market shifts like this evolve over time and are not linear. But that said, we do believe the recovery is underway.

當然，今天投資者的關鍵問題不是發生了什麼，而是我們將何去何從？機構 MBS 市場是否會恢復到 2022 年的挑戰性條件？還是 2023 年的前景更有利？我們堅信是後者。我們認為 11 月發生的債券市場情緒的積極轉變可能標誌著機構 MBS 復甦的開始。像這樣的市場變化會隨著時間的推移而演變，並且不是線性的。但話雖如此，我們確實相信復甦正在進行中。

This favorable outlook for Agency MBS is supported by several positive dynamics. First, even though Agency MBS spreads tightened in the fourth quarter, they remain wide by historical standards and continue to represent a compelling investment opportunity. This is especially true for levered investors such as AGNC, given the significant improvement in funding that has occurred over the last several years. Moreover, while biased tighter, we believe spreads will remain wider than previous historical averages. This would be a welcome development for AGNC and supportive of our ability to generate attractive returns for shareholders over time.

幾個積極的動態支持了機構 MBS 的這種有利前景。首先，儘管機構 MBS 利差在第四季度收緊，但以歷史標準衡量仍然很寬，繼續代表著引人注目的投資機會。鑑於過去幾年資金的顯著改善，對於 AGNC 等槓桿投資者來說尤其如此。此外，雖然傾向於收緊，但我們認為利差仍將高於之前的歷史平均水平。這對 AGNC 來說是一個可喜的發展，並支持我們隨著時間的推移為股東創造有吸引力的回報的能力。

Second, the demand for Agency MBS will likely outpace the supply even without Fed purchases. Ongoing affordability challenges and a slower housing market will limit the organic supply of Agency MBS this year. In addition, runoff on the Fed's portfolio will be extremely slow given minimal refinance activity.

其次，即使沒有美聯儲購買，對機構 MBS 的需求也可能超過供應。持續的負擔能力挑戰和房地產市場放緩將限制今年機構 MBS 的有機供應。此外，鑑於再融資活動極少，美聯儲投資組合的縮減將極其緩慢。

Third, interest rate volatility is poised to decline. The Fed has already slowed the pace of rate increases and is nearing the inflection point in monetary policy. If inflation data continues to moderate and the Fed pauses, interest rate volatility should fall materially. Greater interest rate stability and a more stable economic outlook could reignite bank demand for Agency MBS and increase the demand for fixed income securities more broadly from a wider range of investors.

第三，利率波動有望下降。美聯儲已經放慢了加息步伐，並接近貨幣政策的拐點。如果通脹數據繼續放緩且美聯儲暫停，利率波動應該會大幅下降。更高的利率穩定性和更穩定的經濟前景可能會重新點燃銀行對機構 MBS 的需求，並增加更廣泛的投資者對固定收益證券的需求。

So to summarize, we believe strong investor demand, manageable supply and improving interest rate stability together, strengthen the outlook for Agency MBS. Importantly, with the Fed expected to gradually unwind its mortgage portfolio over the next several years, this environment could also prove to be more durable than previous episodes. With spreads above historical norms and funding conditions favorable, AGNC is well-positioned to generate attractive returns for shareholders without compromising our long-standing risk management discipline.

因此總而言之，我們認為強勁的投資者需求、可管理的供應和提高利率穩定性共同加強了機構 MBS 的前景。重要的是，隨著美聯儲預計將在未來幾年逐步解除其抵押貸款組合，這種環境也可能比以往更加持久。憑藉高於歷史標準的利差和有利的融資條件，AGNC 處於有利地位，可以在不損害我們長期風險管理紀律的情況下為股東創造有吸引力的回報。

With that, I'll now turn the call over to Bernice Bell to discuss our financial results.

有了這個，我現在將電話轉給 Bernice Bell 來討論我們的財務業績。

Thank you, Peter. For the fourth quarter, AGNC had total comprehensive income of $1.17 per share. Economic return on tangible common equity was 12.3% for the quarter, comprised of $0.36 of dividends declared per common share and an increase in our tangible net book value of $0.76 per share. The strong increase in our tangible net book value of 8.4% for the quarter was driven by a tightening of spreads between our mortgage assets in swap and Treasury-based hedges. As of last Friday, tangible net book value was up approximately 10% for January.

謝謝你，彼得。第四季度，AGNC 的綜合收益總額為每股 1.17 美元。本季度有形普通股的經濟回報率為 12.3%，包括每普通股宣布的 0.36 美元股息和每股有形賬面淨值增加 0.76 美元。本季度我們的有形賬面淨值強勁增長 8.4%，這是由於掉期抵押資產與基於國債的對沖資產之間的利差收緊。截至上週五，1 月份有形賬面淨值增長了約 10%。

Leverage at year-end was 7.4x tangible equity, down from 8.7x as of the third quarter, primarily due to the improvement in our tangible net book value and a lower asset balance. Average leverage for the quarter was 7.8x tangible equity compared to 8.1x for the third quarter.

年底的槓桿率為有形資產的 7.4 倍，低於第三季度的 8.7 倍，這主要是由於我們有形賬面淨值的改善和較低的資產餘額。本季度平均槓桿為有形資產的 7.8 倍，而第三季度為 8.1 倍。

During the fourth quarter, we also opportunistically issued approximately $187 million of common equity through our At-the-Market offering program. As of quarter end, we had cash and unencumbered Agency MBS totaling $4.3 billion or 59% of our tangible equity and $100 million of unencumbered credit securities. Net Spread and Dollar Roll Income, excluding catch-up amortization, was $0.74 per share for the quarter. The decline from $0.84 per share for the third quarter was primarily a function of our smaller asset base higher repo funding cost and lower dollar roll income, which offset higher asset yields and higher interest rate swap income for the quarter.

在第四季度，我們還通過我們的市場發售計劃機會性地發行了大約 1.87 億美元的普通股。截至季度末，我們擁有總計 43 億美元的現金和未支配的機構 MBS，占我們有形資產的 59%，以及 1 億美元的未支配信貸證券。本季度淨價差和美元滾動收入（不包括追加攤銷）為每股 0.74 美元。第三季度每股 0.84 美元的下降主要是由於我們較小的資產基礎、較高的回購融資成本和較低的美元滾動收入，這抵消了本季度較高的資產收益率和較高的利率掉期收入。

Lastly, our average projected life CPRs as of the end of the quarter increased modestly to 7.4%, while actual CPRs continue to slow meaningfully averaging 6.8% for the quarter.

最後，截至本季度末，我們的平均預期壽命 CPR 溫和增長至 7.4%，而實際 CPR 在本季度繼續顯著放緩，平均為 6.8%。

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

我現在將電話轉給 Chris Kuehl 來討論代理抵押貸款市場。

Thanks, Bernie. As Peter discussed, Q4 marked a decisive turn for fixed income markets. Interest rates peaked in October with 5-year treasury yields reaching nearly 4.5% before retracing the move as the outlook for Fed policy solidified on evidence that inflation is beginning to slow. The PAR coupon agency spread to a blend of 5-year and 10-year treasury hedges widened to 180 basis points in October before gapping titer as sentiment turned and investors took advantage of the highest yield levels and wider spreads on production coupon Agency MBS in more than 10 years.

謝謝，伯尼。正如彼得所討論的那樣，第四季度標誌著固定收益市場的決定性轉折。利率在 10 月達到頂峰，5 年期國債收益率達到近 4.5%，然後隨著美聯儲政策前景因通脹開始放緩的證據而鞏固而回落。 10 月，PAR 息票機構利差擴大至 5 年期和 10 年期國債對沖組合，擴大至 180 個基點，隨後隨著市場情緒轉變和投資者利用最高收益率水平和生產息票機構 MBS 的利差擴大而跳空。超過 10 年。

Early in the quarter, lower coupon MBS materially underperformed higher coupons. However, as index-based fixed income bond fund flows improved, lower coupons made up for much of the early underperformance to end the quarter only marginally behind production coupons with the entire coupon stack outperforming treasury and swap-based hedges.

本季度初，低息 MBS 的表現明顯落後於高息。然而，隨著基於指數的固定收益債券資金流量的改善，較低的息票彌補了早期表現不佳的大部分，在本季度結束時僅略低於生產息票，整個息票堆棧的表現優於國債和掉期對沖。

During the fourth quarter, we continued to optimize our holdings with a bias towards 30-year production coupon MBS. As of December 30, our asset portfolio totaled $59.5 billion. Our hedging activity during the quarter was relatively minimal, although we did opportunistically move a portion of our hedges to points further out the curve. At quarter end, the hedge portfolio totaled $67.6 billion, and our duration gap was 0.4 years.

第四季度，我們繼續優化持有量，偏向 30 年期生產息票 MBS。截至 12 月 30 日，我們的資產組合總計 595 億美元。我們在本季度的對沖活動相對較少，儘管我們確實機會主義地將我們的部分對沖轉移到更遠的曲線之外。季度末，對沖投資組合總計 676 億美元，我們的久期缺口為 0.4 年。

Over time, as the Fed reaches its desired short-term rate level, our hedge ratio will gradually decline and our hedge composition will likely shift towards a greater share of longer-term hedges.

隨著時間的推移，隨著美聯儲達到其理想的短期利率水平，我們的對沖比率將逐漸下降，我們的對沖構成可能會轉向更大份額的長期對沖。

As Peter mentioned, the outlook for returns this year is favorable, despite the outperformance in the fourth quarter, spreads on production coupon MBS are still materially wider than the average levels during 2018 and 2019 when the Fed was last reducing its balance sheet. From current levels, we are not expecting significant tightening, but we do expect to extract the economic value from wider spreads for strong earnings over time. The combination of wide spreads, low prepayment risk and robust funding markets for Agency MBS has created an attractive in what we believe will be a durable investment environment.

正如彼得所提到的，今年的回報前景良好，儘管第四季度表現出色，但生產息票 MBS 的利差仍大大高於 2018 年和 2019 年美聯儲上次縮表時的平均水平。從目前的水平來看，我們預計不會出現大幅收緊，但我們確實希望隨著時間的推移從擴大的利差中獲取經濟價值以獲得強勁的收益。 Agency MBS 的廣泛利差、低預付風險和強勁的融資市場相結合，在我們認為將是持久的投資環境中創造了一個有吸引力的環境。

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機構市場。

Thanks, Chris. Credit spreads in the fourth quarter tightened for most sectors and across the capital structure as inflation data eased and the economic outlook improved. In response to the strong performance, we opportunistically sold about $300 million in non-agency securities over the quarter, ending the year with a total portfolio of $1.4 billion. While we did reduce our portfolio allocation and credit, we remain very comfortable from a credit perspective with our current composition of our non-agency portfolio and our specific holdings. The majority of our residential credit holdings are backed by or reference seasoned loans and as such, now benefit from a significant amount of house price appreciation. On the commercial side, the vast majority of our securities are supported by significant levels of credit enhancement.

謝謝，克里斯。隨著通脹數據放緩和經濟前景改善，第四季度大多數行業和整個資本結構的信用利差收緊。為了應對強勁的業績，我們在本季度機會主義地出售了約 3 億美元的非機構證券，到年底，總投資組合達到 14 億美元。雖然我們確實減少了我們的投資組合分配和信貸，但從信貸的角度來看，我們對我們目前非機構投資組合的構成和我們的特定持股仍然非常滿意。我們持有的大部分住宅信貸均由經驗豐富的貸款支持或參考，因此，現在受益於房價的大幅上漲。在商業方面，我們的絕大多數證券都得到了顯著水平的信用增級的支持。

Looking forward, issuance in both residential and commercial mortgage factors is expected to remain relatively low. The supply dynamic has contributed to spread tightening year-to-date, particularly against the backdrop of inflows into fixed income. As a result, we expect most spread product to trade directionally with rates barring a material repricing associated with a more severe recession than currently anticipated. Should bond fund inflows accelerate, we expect this would be favorable for spreads against the lower supply backdrop.

展望未來，住宅和商業抵押貸款因素的發行量預計將保持相對較低水平。供應動態導致年初至今利差收緊，尤其是在資金流入固定收益的背景下。因此，我們預計大多數價差產品將與利率進行定向交易，除非與比目前預期更嚴重的衰退相關的重大重新定價。如果債券基金流入加速，我們預計這將在供應減少的背景下利差。

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

有了這個，我會把電話轉回給彼得。

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

謝謝你，亞倫。有了這個，我們現在將打開您的問題的電話。

(Operator Instructions) The first question comes from Vilas Abraham with UBS.

（操作員說明）第一個問題來自瑞銀的 Vilas Abraham。

Can you guys talk a little bit more about the hedge book at this stage in the tightening cycle? And what are the different scenarios you're thinking about there? And then just also, I know just the net duration did drop a bit quarter-over-quarter. So if you could touch on that, too.

在緊縮週期的這個階段，你們能多談談對沖賬簿嗎？您在那裡考慮的不同場景是什麼？然後，我知道淨持續時間確實比上一季度有所下降。所以，如果你也能談談這個。

Sure and again, we apologize for the technical difficulties this morning.

當然，我們再次為今天早上的技術困難道歉。

But with respect to the hedge portfolio, Vilas. I think you are sort of alluding to it correctly at a high level. What you've seen us do with our hedge portfolio is shift our hedge portfolio to the sort of monetary policy and economic environment that we're in. In an environment, for example, where the Fed is tightening aggressively like it has been, the yield curve tends to invert. And so what you saw us do is operate with a very high hedge ratio to give us a lot of protection against for our short-term debt repricing.

但關於對沖投資組合，Vilas。我認為您在高層次上正確地暗示了它。你看到我們對我們的對沖投資組合所做的是將我們的對沖投資組合轉移到我們所處的那種貨幣政策和經濟環境中。例如，在美聯儲像以往一樣積極緊縮的環境中，收益率曲線趨於倒掛。所以你看到我們所做的是以非常高的對沖比率運作，為我們的短期債務重新定價提供很多保護。

And then also front-end load our hedges more to the 1 to sort of 5-year part of the curve because that's the part of the curve that tends to underperform. And that has certainly been the case as the Fed has aggressively tightened monetary policy over time. In fact, Chris alluded a little bit to this.

然後前端也將我們的對沖更多地加載到曲線的 1 到 5 年部分，因為這是曲線中往往表現不佳的部分。隨著時間的推移，美聯儲積極收緊貨幣政策，情況確實如此。事實上，克里斯對此略有暗示。

As the monetary policy position from the Fed evolves and ultimately, they're getting close to the point where they're going to pause and then looking further down the road, there will eventually be a point where the market will repricing and even more aggressive easing than the market is currently pricing in. You could expect us to evolve our hedge position again to that environment. And in that scenario, if you look back in history, what we tend to do is operate with a less than 100% hedge ratio over time and fewer shorter-term hedges because obviously, the front end of the curve is going to be the part of the curve that will ultimately outperform. And ultimately, with the yield curve being as inverted as it's now, I think it's unsustainably obviously, inverted, there'll be a time when the yield curve will be more positively. So we would benefit from having a hedge position that has a greater share of longer-term hedges in a smaller portion of shorter-term hedges.

隨著美聯儲貨幣政策立場的演變，最終，他們越來越接近他們將要暫停的地步，然後進一步展望未來，最終會出現市場重新定價甚至更加激進的地步寬鬆程度高於市場目前的定價。您可以期望我們再次將對沖頭寸發展到那種環境。在那種情況下，如果你回顧歷史，我們傾向於做的是隨著時間的推移以低於 100% 的對沖比率和更少的短期對沖進行操作，因為很明顯，曲線的前端將成為一部分最終將跑贏大市的曲線。最終，隨著收益率曲線像現在這樣倒掛，我認為很明顯，倒掛是不可持續的，總有一天收益率曲線會變得更加積極。因此，我們將受益於在較小部分的短期對沖中擁有較大份額的長期對沖的對沖頭寸。

On the duration gap, Chris can talk a little bit about that. But you're right, we are operating with a slightly smaller duration gap in this environment.

關於持續時間差距，Chris 可以談一談。但你是對的，我們在這種環境下的持續時間差距略小。

I'll just add. I mean, our duration gap shortened about $0.08 of a year during the quarter, and the majority of that was driven by repositioning into higher coupons within the 30-year MBS portfolio. The PAR coupon mortgage rate also declined about 30 basis points during the quarter. And so that, too, had the effect of shortening the duration of our asset portfolio. And as Peter mentioned, we shifted a portion of our treasury based hedges to longer key rate buckets and our activity there shortened the duration of the aggregate hedge portfolio by about 0.2 of a year.

我補充一下。我的意思是，我們的久期差距在本季度縮短了一年約 0.08 美元，其中大部分是由於重新定位到 30 年期 MBS 投資組合中更高的息票。 PAR 息票抵押貸款利率在本季度也下降了約 30 個基點。因此，這也縮短了我們資產組合的久期。正如彼得所提到的，我們將一部分基於國債的對沖轉移到了更長的關鍵利率區間，我們在那裡的活動將總對沖投資組合的期限縮短了大約 0.2 年。

I just -- there is a great obvious curve rate or duration trade. The best trade is only mortgages without making a lot of bets on rates, which is why we don't have much of a duration gap. And just to echo Peter's comments, given the correlation between spreads, rates and Fed policy, we have maintained a relatively high hedge ratio on the front end of the curve as that's the biggest risk to spreads as aggressive Fed policy.

我只是 - 有一個非常明顯的曲線率或期限交易。最好的交易只是抵押貸款，而不是對利率進行大量押注，這就是為什麼我們沒有太多期限差距的原因。只是為了回應彼得的評論，考慮到利差、利率和美聯儲政策之間的相關性，我們在曲線的前端保持相對較高的對沖比率，因為這是利差作為積極的美聯儲政策的最大風險。

Yes. And just to add to that last point, Chris, is right, with the 10-year now at around 350. We're obviously a little less worried about the interest rate rally risk in the market. I think the 10-year, it seems to be probably closer to the lower end of the range than the higher end of the range. So we are more comfortable with a smaller duration gap for the time being, anyhow.

是的。最後要補充一點，克里斯是對的，10 年期國債現在約為 350 點。顯然，我們對市場利率上漲風險的擔憂有所減輕。我認為 10 年期似乎更接近範圍的下限而不是范圍的上限。因此，無論如何，我們暫時更願意接受更小的持續時間差距。

And can you also just briefly talk through demand dynamics, who the incremental buyers are that you are seeing just how you see that playing out this year?

你能不能也簡單地談談需求動態，你看到的增量買家是誰，以及你如何看待今年的情況？

Yes. Well, it's really -- you have to look at the demand dynamic versus the supply dynamic. And as I mentioned, I think the supply dynamic is still really going to be reasonably favorable given the fact that organic supply will be positive, a couple of hundred billion. But obviously, there's lots of headwinds from an organic supply perspective.

是的。好吧，這真的是——你必須看看需求動態與供應動態。正如我所提到的，我認為鑑於有機供應將是積極的，幾千億美元，供應動態仍然會相當有利。但顯然，從有機供應的角度來看，存在很多不利因素。

But what we have seen and this really was the shift in the momentum that I alluded to there came a point in the fourth quarter where fixed income became much more attractive, just broadly speaking, to a much wider group of investors. And so we saw significant bond fund inflows for the first time in 2022. In fact, if you look at bond fund flows for all of '22, I think the number is something like $250 billion of negative outflows in the year. But if you look at the flows in November and December, they were decidedly positive. And in fact, I think year-to-date, they're already probably close to $50 billion of inflows.

但我們所看到的，這確實是我提到的勢頭轉變，在第四季度出現了一個點，從廣義上講，固定收益對更廣泛的投資者群體更具吸引力。因此，我們在 2022 年首次看到大量債券基金流入。事實上，如果你看一下整個 22 年的債券基金流動，我認為這一數字大約是 2500 億美元的負流出。但如果你看一下 11 月和 12 月的流量，它們肯定是積極的。事實上，我認為今年迄今為止，他們可能已經有接近 500 億美元的資金流入。

So that rotation, out of other asset classes into fixed income and into Agency MBS, I think, is going to continue particularly against the outlook from the equity markets is obviously, from a portfolio perspective, I think, investors are favoring a much greater share of fixed income securities.

因此，我認為，從其他資產類別轉向固定收益和機構 MBS 的輪換將繼續進行，特別是與股票市場的前景相反，從投資組合的角度來看，我認為投資者顯然更青睞更大的份額固定收益證券。

So, I think that demand could continue. Obviously, as rates stabilize and the market gets more comfortable that we've seen the high end rates, which at some point, that will become clearer to the market. There's -- and the economic outlook improves or at least stabilizes, I think there's a chance that banks reemerge as a source of demand.

因此，我認為這種需求可能會持續下去。顯然，隨著利率穩定和市場變得更加舒適，我們已經看到了高端利率，在某個時候，市場將變得更加清晰。有 - 並且經濟前景改善或至少穩定，我認為銀行有可能重新成為需求來源。

So I think those two things together could lead to demand outpacing supply. And that's why over the short term, our view is that spreads are likely to buy a bias to be somewhat tighter not dramatically, but I think the trend could stay in place for some period of time, particularly because the seasonals from a supply perspective are also really good over the next several months.

所以我認為這兩件事加在一起可能會導致需求超過供應。這就是為什麼在短期內，我們認為利差可能會導致偏差收窄而不是顯著，但我認為這種趨勢可能會持續一段時間，特別是因為從供應的角度來看，季節性因素是在接下來的幾個月裡也非常好。

Next question comes from Doug Harter with Credit Suisse.

下一個問題來自瑞士信貸的 Doug Harter。

Can you talk about your appetite -- can you talk about your appetite to raise capital? It looks like you were active with the ATM kind of early in the fourth quarter but then less so, just kind of how you are thinking about that opportunity to put new money to work, given the return environment you highlighted?

你能談談你的胃口——你能談談你籌集資金的胃口嗎？看起來你在第四季度早些時候對自動取款機很活躍，但後來就不那麼活躍了，考慮到你強調的回報環境，你是如何考慮將新資金投入工作的機會？

Sure. I appreciate the question. We did raise a little bit of capital in the fourth quarter. Bernie alluded to it. It was about 3% of our common capital base. But I think the key message from an issuance perspective is that we will continue to look at our capital markets activities and stock issuance activities from the perspective of our existing shareholders. I think we've always done that. We will continue to do that.

當然。我很欣賞這個問題。我們確實在第四季度籌集了一些資金。伯尼暗示了這一點。這大約是我們共同資本基礎的 3%。但我認為，從發行角度來看，關鍵信息是我們將繼續從現有股東的角度審視我們的資本市場活動和股票發行活動。我想我們一直都是這樣做的。我們將繼續這樣做。

And what that means is that, for example, we're not going to issue capital for the sake of getting larger, given AGNC size and scale today, I don't think that is a relevant benefit, if you will, of issuing -- issuing capital. But we approach it from the perspective of our existing shareholders saying, is that capital transaction accretive to our existing shareholders.

這意味著，例如，鑑於 AGNC 今天的規模和規模，我們不會為了變大而發行資本，如果你願意的話，我認為這不是發行的相關好處 - - 發行資本。但我們從現有股東的角度來看，資本交易是否增加了我們現有股東的利益。

Obviously, one of the key inputs in that equation is where the book value is versus the stock price at the time that we do the issuance. I know it's difficult from the markets perspective to know what that is. We look at that on a sort of real-time contemporaneous basis. We did that in the fourth quarter. And when we issue stock from that perspective, we're issuing it when we believe it is accretive from a book value perspective to our existing shareholders.

顯然，該等式中的一個關鍵輸入是賬面價值與我們發行時的股票價格的關係。我知道從市場的角度很難知道那是什麼。我們在一種實時同步的基礎上看待這一點。我們在第四季度做到了這一點。當我們從這個角度發行股票時，當我們認為從賬面價值的角度來看它對我們現有股東有增值作用時，我們就會發行它。

But there are other considerations that also go into it, and we will continue to -- to emphasize these, for example, leverage is an important consideration from an existing shareholder perspective. From my perspective, we always try to prioritize our leverage decision in the context of our existing shareholders, meaning we want to be operating from an existing shareholder perspective at our desired leverage level. Once, we are at that desired leverage level, we can then think about adding more capital if it's accretive from a book value and then that leads us to the sort of second question is, can that capital be deployed quickly at the same desired leverage level such that it begins to generate earnings and accrue the same benefits as our existing shareholders' capital? So that's important from that perspective.

但是還有其他考慮因素，我們將繼續——強調這些，例如，從現有股東的角度來看，槓桿是一個重要的考慮因素。從我的角度來看，我們總是試圖在現有股東的背景下優先考慮我們的槓桿決策，這意味著我們希望從現有股東的角度在我們期望的槓桿水平上運營。一旦我們達到了理想的槓桿水平，我們就可以考慮增加更多的資本，如果它可以從賬面價值中增值的話，那麼這就會引出第二個問題，即能否在相同的理想槓桿水平上快速部署這些資本以便它開始產生收益並產生與我們現有股東資本相同的收益？所以從這個角度來看這很重要。

And then the last consideration that I think is really important is the cost of the capital transaction. Obviously, you have seen us over the course of 2022, used the ATM program as a source of capital, about, I think, about $500 million -- $475 million in total over the course of the year. That's a very cost-effective way. So when we're looking at that transaction from a price-to-book ratio and from a book value accretion that is very low-cost capital versus some of the other transactions that are possible.

然後我認為真正重要的最後一個考慮因素是資本交易的成本。顯然，你已經看到我們在 2022 年期間使用 ATM 計劃作為資金來源，我認為，在這一年中總計約 5 億美元 - 4.75 億美元。這是一種非常划算的方式。因此，當我們從市淨率和賬面價值增值來看該交易時，與其他一些可能的交易相比，這是非常低成本的資本。

So those are the considerations that we look at. We believe the capital transaction that we did in the fourth quarter was accretive from that perspective. We were able to put those proceeds to work during the fourth quarter. And you can tell from the price of the -- of the stock that we raised and if you went back and look at AGNs stock price, you can essentially tell that, that capital was raised around a 3- or 4-week period in October, also coincides with where I gave the book value update at the time late in October. So I think when you look at it from a temporaneous perspective, I think you can conclude that, that was accretive from a book value perspective.

所以這些就是我們要考慮的因素。我們認為，從這個角度來看，我們在第四季度進行的資本交易是增值的。我們能夠在第四季度將這些收益投入使用。你可以從我們籌集的股票的價格中看出，如果你回頭看看 AGN 的股票價格，你基本上可以看出，資本是在 10 月份的大約 3 週或 4 週內籌集的，也恰逢我在 10 月下旬更新賬面價值的時間。所以我認為，當你從一個臨時的角度來看它時，我認為你可以得出結論，從賬面價值的角度來看，這是增值的。

But we're always putting the existing shareholders first. We're not trying to raise capital for the sake of raising capital or the sake of getting larger. When we raise capital, it's because we think it's accretive to our existing shareholders, and we think we can put those proceeds to work quickly at the same desired leverage level -- desired leverage level as our existing shareholders. So I hope that helps you.

但我們始終將現有股東放在首位。我們不是為了籌集資金或為了擴大規模而試圖籌集資金。當我們籌集資金時，這是因為我們認為這對我們現有的股東來說是增值的，我們認為我們可以將這些收益以與我們現有股東相同的期望槓桿水平快速投入使用——期望的槓桿水平。所以我希望這對你有幫助。

Absolutely. And just on -- to clarify or to drill down on one of the points. I guess, how would you characterize your leverage today kind of in that versus what is kind of your target?

絕對地。只是 - 澄清或深入了解其中一個要點。我想，你會如何描述你今天的槓桿作用與你的目標是什麼？

Yes. Well, it's a moving target right now. And I guess that's a good problem to have because our book value, as, for example, as Bernie mentioned, up almost 10% or up 10% as of the end of last week. Obviously, as our book value is changing our leverage level is going down, consistent with the increase in our book value.

是的。好吧，它現在是一個移動的目標。我想這是一個很好的問題，因為我們的賬面價值，例如伯尼提到的，截至上週末上漲了近 10% 或 10%。顯然，隨著我們賬面價值的變化，我們的槓桿水平正在下降，這與我們賬面價值的增加是一致的。

But sort of broadly speaking, if you look back at our portfolio, and this is hard to do because we don't give you the interperiod numbers, but sort of the low point for our portfolio was right around the end of October in terms of our asset balance, and that's consistent with the environment that we're in because that was when the risk was at its highest point from a market perspective.

但從廣義上講，如果你回顧一下我們的投資組合，這很難做到，因為我們沒有給你跨期數字，但我們投資組合的低點大約在 10 月底左右我們的資產餘額，這與我們所處的環境一致，因為從市場的角度來看，那是風險處於最高點的時候。

But since that time, we have systematically added to our asset portfolio from the -- from the end of October to now, we've added about $8 billion worth of securities. We added about $4 billion in the fourth quarter. And quarter-to-date, we've added about another $4 billion. So -- what that's telling you is that we're sort of systematically increasing our leverage from the 7.4% where we were that we reported at the end of last year, but it's also consistent with our much more constructive outlook for Agency MBS.

但從那時起，我們已經系統地增加了我們的資產組合——從 10 月底到現在，我們已經增加了價值約 80 億美元的證券。我們在第四季度增加了約 40 億美元。本季度至今，我們又增加了大約 40 億美元。所以 - 這告訴你的是，我們在某種程度上系統地提高了我們在去年年底報告的 7.4% 的槓桿率，但這也與我們對機構 MBS 更具建設性的展望一致。

(Operator Instructions) The next question comes from Rick Shane with JPMorgan.

（操作員說明）下一個問題來自摩根大通的 Rick Shane。

An interesting observation, if we look at the Q4 '19 presentation and the market update there versus the Q4 '22 market update. In Q4 '19, you showed 4 coupons spreading 150 basis points, today in the agency market, you are showing 9 coupons and a 4-point spread. You are now -- you now have the opportunity, but the challenge of working off a much, much broader palette than you have probably at any point in your history. And sort of getting back to Vilas' question to start the conversation, how much of where you're playing within that spectrum is dictated by what is available and what's attractive in the hedging market? Are you choosing assets? Or are you finding financing that you think is attractive and then solving for what the right asset is based upon duration?

一個有趣的觀察，如果我們看一下 Q4 '19 的演示和那裡的市場更新與 Q4 '22 的市場更新。在 19 年第四季度，您展示了 4 張優惠券，差價為 150 個基點，今天在代理市場，您展示了 9 張優惠券和 4 個基點的差價。你現在 - 你現在有機會，但是挑戰比你歷史上任何時候都可能擁有的更廣泛的調色板。回到 Vilas 的問題開始對話，你在這個範圍內玩的地方有多少取決於對沖市場上可用的東西和有吸引力的東西？你在選擇資產嗎？還是您正在尋找您認為有吸引力的融資，然後根據期限解決合適的資產？

Sure. Let me make a couple of high-level statements and then -- and Chris can talk about it, and he'll talk specifically about the difference in the coupons STACK.

當然。讓我做一些高層次的陳述，然後 - Chris 可以談論它，他將具體談論優惠券 STACK 的不同之處。

But the answer, generally speaking, is no with respect to the funding. Now obviously, the exception to that is when TBA specialists is really high then obviously, we're going to shift a greater share of our assets to TBA. So in a sense, the funding advantage outweighs the difference in the convexity profile or the delivery option. And so in an environment where issuance is really high and the Fed is really active, that specialness tends to be very, very beneficial.

但一般來說，關於資金的答案是否定的。現在很明顯，例外情況是當 TBA 專家真的很高時，很明顯，我們將把更大份額的資產轉移到 TBA。因此，從某種意義上說，資金優勢超過了凸度曲線或交付選項的差異。因此，在發行量非常高且美聯儲非常活躍的環境中，這種特殊性往往非常非常有益。

We're obviously shifting out of that environment. So as that specialness goes away, it's been really just a question of where is the best value across the coupon stack. And Chris can talk about the fact that we now have essentially 10 active coupons. You might have to make a sort of a judgment as to where the return is going to come from, total return versus earnings. Chris can talk about how we think about that.

我們顯然正在擺脫那種環境。因此，隨著這種特殊性的消失，這實際上只是優惠券堆棧中最佳價值在哪裡的問題。克里斯可以談談我們現在基本上有 10 張有效優惠券這一事實。您可能必須對回報的來源做出某種判斷，總回報與收益。 Chris 可以談談我們對此的看法。

Yes. So I mean, just to reiterate Peter's point, roles are not a driving factor at this point. They're currently trading around flat to 10 basis points or so through repo depending on the coupon.

是的。所以我的意思是，重申 Peter 的觀點，在這一點上，角色不是驅動因素。他們目前通過回購交易持平至 10 個基點左右，具體取決於息票。

But relative value across the coupon stack is still very much upward sloping with higher coupons trading at the wider spreads. But we'll likely continue to maintain some exposure to the lowest coupons for diversification and liquidity and total return potential. To the extent that bond fund flows continue to accelerate, lower coupons, which are at tighter spreads can certainly gap much tighter from current levels as passive index-based funds need to add them. And most of the float is held by the Fed and tied up in bank HTM portfolios.

但整個優惠券堆棧的相對價值仍然非常向上傾斜，更高的優惠券交易價差更大。但我們可能會繼續保持對多元化和流動性和總回報潛力的最低息票的一些敞口。就債券基金流動繼續加速而言，利差較小的低票息肯定會與當前水平差距縮小得多，因為基於被動指數的基金需要增加它們。大部分流通量由美聯儲持有，並與銀行 HTM 投資組合捆綁在一起。

And moving up the stack, the belly coupons or the middle of the stack is also interesting. I mean, it trades at marginally tighter spreads than production coupons but it has a great convexity profile and very solid technical since they're out of the production window. And so we'll likely continue to have exposure across the coupon stack. But with a distinct bias towards higher coupons.

向上移動堆棧，腹部優惠券或堆棧的中間也很有趣。我的意思是，它的交易價差比生產優惠券略小，但它具有很大的凸度和非常可靠的技術，因為它們已經超出了生產窗口。因此，我們可能會繼續在優惠券堆棧中進行曝光。但明顯偏向於更高的優惠券。

Got it. And with that in mind, when you look at the distribution of the coupon stack, if we move from a hawkish environment to either neutral or at some point, a more dovish environment, you're going to see significant divergence in terms of prepayment speeds. And again, this might -- this isn't tomorrow, this isn't next month but you're building a portfolio that's got substantial duration, but how much are you thinking about the potential divergence and speeds as you look at some securities trading at significant discounts versus paying a premium up in the stack?

知道了。考慮到這一點，當你查看優惠券堆棧的分佈時，如果我們從鷹派環境轉向中性或在某個時候，更溫和的環境，你會看到預付速度方面的顯著差異.再一次，這可能——這不是明天，這不是下個月，但你正在建立一個有相當長期限的投資組合，但你在看一些證券交易時考慮了多少潛在的分歧和速度以大幅折扣還是在堆棧中支付溢價？

Yes. It's -- As of -- just for a perspective, as of year-end, the weighted average coupon on our 30-year holdings was 4.2%. So if you assume a no rate spread of, let's just say, 80 basis points for round numbers. That's a 5% note rate in a 6% primary rate market.

是的。這是 - 截至 - 只是從一個角度來看，截至年底，我們 30 年期持有的加權平均息票率為 4.2%。因此，如果您假設沒有利差，我們就說 80 個基點的整數。在 6% 的主要利率市場上，這是 5% 的票據利率。

And so from a prepaid risk perspective, it would take on our portfolio, on average, 150 basis point rally in primary rates from here for the portfolio to even have a 50 basis point incentive to refinance on average. Now we do have holdings in 5.5s and 6s and a few 6.5s as well. And those positions, obviously, are more exposed and cuspy, certainly to a 50 basis point rally from here, but they're priced for it. Higher coupons are trading at historically wide nominal spreads and we like that risk return trade-off.

因此，從預付風險的角度來看，我們的投資組合的主要利率從這里平均上漲 150 個基點，甚至平均有 50 個基點的再融資動機。現在我們確實持有 5.5s 和 6s 以及一些 6.5s 的股票。顯然，這些頭寸的風險更大，更不穩定，肯定會從這裡反彈 50 個基點，但它們已為此定價。更高的息票以歷史上廣泛的名義利差交易，我們喜歡這種風險回報權衡。

In terms of prepayments, I think, it is going to be interesting to see how some of these higher coupons perform over the next few months if we stay at these rate levels. I do think that it's likely that we'll see somewhat shifted refinancing response, flatter S curve than what we experienced in 2020, in 2021. If house prices are down even modestly, call it, 3% to 5% over the next 12 months, that will have the effect of shifting the required incentive further out the curve for loans that were originated with high 70s LTVs that now find themselves in the low 80s and in need of mortgage insurance and also fall into higher costing buckets on the GSE LPA grids and property inspection waivers are another factor that I think will be very different going forward into a more -- a weaker housing outlook. And then, of course, the media effect is very different today than it was in 2020 and 2021.

就預付款而言，我認為，如果我們保持在這些利率水平，那麼看看其中一些較高的息票在未來幾個月內的表現將會很有趣。我確實認為，我們很可能會看到再融資反應有所改變，S 曲線比我們在 2020 年和 2021 年經歷的更平坦。如果房價在未來 12 個月內小幅下跌，可以稱之為 3% 至 5% ，這將產生將所需激勵進一步轉移到 70 年代高 LTV 的貸款曲線之外的效果，這些貸款現在發現自己處於 80 年代的低水平並且需要抵押貸款保險並且也落入 GSE LPA 網格中更高的成本計算桶和財產檢查豁免是另一個因素，我認為這將非常不同地進入一個更弱的住房前景。然後，當然，今天的媒體效果與 2020 年和 2021 年截然不同。

So I think there are a number of factors that will likely mute the prepayment response to some degree or at least shifted a little bit further out going forward. But then on the other hand, there's a lot of capacity in the system and a desperate need to feed the origination machine. And so I do think that lenders will be aggressive and willing to work for better margins just to capture what little volume there is. So it's something that's going to be very interesting to see how it evolves over the next few months.

因此，我認為有許多因素可能會在某種程度上抑制預付款響應，或者至少在未來進一步轉移。但另一方面，系統中有很多容量，迫切需要滿足原始機器的需求。因此，我確實認為貸方會積極進取，並願意為獲得更高的利潤而努力，只是為了獲得少量的交易量。因此，看看它在接下來的幾個月裡是如何演變的，這將是一件非常有趣的事情。

And Rick, if I could just add to that, to build on Chris' point because I think it informs our outlook a lot when we think about the supply of mortgages this year and 2023 to the private sector, which is obviously a key in the Fed's portfolio as part of that. But when you think about -- Chris mentioned the refinanceability of our portfolio for a 50 basis point move, assuming a 6% mortgage rate today, only 15% of the universe would have a 50 basis point incentive for a 200 basis point rally in mortgage rates. Only 15%. It would take a 300 basis point rally in mortgage rates to have 45% of the mortgage universe refinanceable.

里克，如果我可以補充一點，以克里斯的觀點為基礎，因為我認為當我們考慮今年和 2023 年向私營部門提供抵押貸款時，它會為我們的前景提供很多信息，這顯然是美聯儲的投資組合是其中的一部分。但是當你想想——克里斯提到我們的投資組合的再融資能力提高 50 個基點時，假設今天的抵押貸款利率為 6%，只有 15% 的人會有 50 個基點的激勵來推動抵押貸款上漲 200 個基點費率。只有15%。抵押貸款利率需要上漲 300 個基點才能使 45% 的抵押貸款可再融資。

So I think that, that informs us a lot about the amount of refinance activity that we're going to see over the near term, which is one of the reasons why we're more optimistic about the supply of mortgages.

所以我認為，這告訴我們很多關於我們將在短期內看到的再融資活動的數量，這是我們對抵押貸款供應更加樂觀的原因之一。

Look, it's totally fair. And to circle back to actually where I started, if you compare the bottom of the stack in '19 and the top of the stack in 2022, as of December 31, the premium at the top and the bottom is exactly the same. So I mean, the market is behaving in a very different way. So the risks are even at the high end of the stack, a lot different than they were few years ago.

看，這完全公平。回到我開始的地方，如果你比較 19 年的堆棧底部和 2022 年的堆棧頂部，截至 12 月 31 日，頂部和底部的溢價完全相同。所以我的意思是，市場表現非常不同。因此，風險甚至處於堆棧的高端，與幾年前有很大不同。

And the point that Chris made about the lower coupons, obviously, because they are such a huge part of the universe and to the extent that we see bond fund inflows, they are going to be potentially a really good total return trade, not great carry, but could have some total return potential.

顯然，Chris 提出的關於低息票的觀點，因為它們佔宇宙的很大一部分，而且就我們看到債券基金流入的程度而言，它們可能是一個非常好的總回報交易，而不是很好的利差，但可能有一定的總回報潛力。

Next question comes from Bose George with KBW.

下一個問題來自 KBW 的 Bose George。

Given the spread tightening quarter-to-date. Can you just talk about current hedge spreads and levered ROEs?

鑑於本季度迄今利差收窄。您能談談當前的對沖利差和槓桿股本回報率嗎？

Sure. You can look at them in a bunch of different ways from a spread perspective, I think one of the sort of simplest ones that I keep coming back to. I always like to look at the 10-year just more for long-term guidance.

當然。你可以從傳播的角度以多種不同的方式來看待它們，我認為這是我不斷回顧的最簡單的一種。我總是喜歡更多地關注 10 年的長期指導。

But when you think about, for example, current coupon spreads, it's really probably better to look at it on a blended basis. It's easy to look at them, and I think very informative to look at like current coupon spreads to a blend of 5- and 10-year hedges, which is more consistent with the way we would hedge our portfolio. And further, you want to look at that as a blend between treasury-based hedges and for us, SOFR-based swap hedges.

但是，例如，當您考慮當前的息票利差時，最好在混合的基礎上查看它。看它們很容易，我認為將當前的票息差看成 5 年期和 10 年期對沖組合非常有用，這更符合我們對沖投資組合的方式。此外，您希望將其視為基於國債的對沖和對我們而言基於 SOFR 的掉期對沖之間的混合。

But if you look at current coupon to 5- and 10-year treasury spreads, that's probably around 130 basis points. If you look at the SOFR, it's probably around 150-ish basis points, a 50-50 blend, maybe something in the neighborhood of 140 basis points today, which is why those returns are still really compelling. 140 basis points with sort of average leverage position as a starting point for this analysis of around 8x, plus you add back the current coupon yield of close to 5%. And for us, we're only subtracting a 1% given our cost structure, I think you can reasonably get expected returns around 15% in the current environment, which we believe is very attractive.

但如果你看看目前 5 年期和 10 年期國債利差的息票，這可能約為 130 個基點。如果你看一下 SOFR，它可能在 150 個基點左右，50-50 的混合，今天可能在 140 個基點附近，這就是為什麼這些回報仍然非常有吸引力的原因。 140 個基點，平均槓桿頭寸作為此分析的起點，約為 8 倍，再加上當前接近 5% 的息票收益率。對我們來說，鑑於我們的成本結構，我們只減去 1%，我認為在當前環境下你可以合理地獲得 15% 左右的預期回報，我們認為這非常有吸引力。

So that's sort of what we're seeing now on a mark-to-market basis for our portfolio and for marginal return opportunities. Again, that's on higher coupons and the conversation we just had sort of informs you about different coupons, but that's a good starting point.

這就是我們現在在按市值計價的基礎上為我們的投資組合和邊際回報機會所看到的。同樣，這是在更高的優惠券上，我們剛剛進行的談話有點告訴你不同的優惠券，但這是一個很好的起點。

Okay. Great. And then just a broader macro question. Just the whole debt feeling debate. Just curious what your thoughts are and how that kind of informs your positioning?

好的。偉大的。然後只是一個更廣泛的宏觀問題。只是整個債務感覺辯論。只是好奇你的想法是什麼，以及它如何影響你的定位？

It's a really good question. And obviously, it's a big unknown that we're going to have to contend with as the year goes on. Unfortunately, it's probably coming in a time when we thought we would actually have a lot more rate stability in our outlook given the fact that I think the Fed is going to be pretty much done with what it needs to do in the next couple -- 2 or 3 meetings.

這是一個非常好的問題。顯然，隨著時間的推移，我們將不得不面對一個很大的未知數。不幸的是，鑑於我認為美聯儲將在接下來的幾年裡完成它需要做的事情，我們認為我們的前景實際上會有更多的利率穩定性—— 2 或 3 次會議。

So as we go later in the year, the line is -- it's clear at all, which direction that may drive interest rates if -- you can make a case that Tracy rates because of the outlook or from the other perspective. And I think the last episode led to a rare.

因此，當我們在今年晚些時候走的時候，這條線是——很清楚，如果——你可以證明特雷西的利率是因為前景或其他角度，那麼哪個方向可能會推動利率。而且我認為最後一集導致了罕見的情況。

So generally, what that means for us is when there's more interest rate uncertainty or just financial market uncertainly more broadly, you'll see us reduce our risk profile, particularly to our interest rate exposure. As we get closer to that, we might likely operate with very close to a zero duration gap, just a bit more protection against uncertainty of the environment.

所以一般來說，這對我們來說意味著當利率不確定性增加或金融市場更廣泛地不確定時，你會看到我們降低風險狀況，特別是我們的利率風險敞口。隨著我們越來越接近這一點，我們可能會以非常接近於零的持續時間差距運作，只是對環境的不確定性有更多的保護。

Ultimately, I think issue will be resolved, but it's unclear as to how long that's going to take to get solved and what conditions may occur first before it gets resolved, but we'll have to deal with that as we go through the year.

最終，我認為問題會得到解決，但尚不清楚需要多長時間才能解決，以及在解決之前可能首先發生什麼情況，但我們必須在這一年中處理這些問題。

The last question comes from the line of Eric Hagen with BTIG.

最後一個問題來自 BTIG 的 Eric Hagen。

Just -- just a couple of follow-ups on how you're managing the portfolio and the structure there. Just what kind of value do you think you're getting? And do you see at this point in the higher coupon specified pools? Are there any scenarios away from just the level of mortgage rates, which could maybe support premiums strengthening in that portfolio?

只是——只是一些關於你如何管理投資組合和那裡的結構的後續行動。你認為你得到了什麼樣的價值？您此時是否在更高的優惠券指定池中看到了？除了抵押貸款利率水平之外，是否還有其他情況可能會支持該投資組合的保費增加？

And then on the hedging side, what kind of value do you think you're getting for the short duration hedges at this point? I mean, are there anything -- are there any scenarios where you could add short duration hedges on top of what you're already carrying?

然後在對沖方面，您認為目前短期對沖的價值是多少？我的意思是，有沒有什麼 - 是否有任何情況可以在你已經攜帶的東西之上添加短期對沖？

Yes, sure. So with respect to specified pools, I'd say it's likely that over time, our weighting versus TBA will gradually increase. As Peter mentioned, we added about $4 billion so far this quarter, and the majority of that was in specified pools given some good opportunities that's after on a net basis, our spec pool position shrinking a bit during the fourth quarter.

是的，當然。因此，關於指定池，我想說隨著時間的推移，我們對 TBA 的權重可能會逐漸增加。正如彼得所提到的，本季度到目前為止，我們增加了大約 40 億美元，其中大部分是在特定池中，因為在淨基礎上有一些好的機會，我們的投機池頭寸在第四季度略有縮減。

I'd say, generally speaking, sourcing convexity through pools is cheaper than purchasing optional protection in the rates markets. But our convexity position is quite low across a pretty wide range of rate scenarios. And so we'll continue to be opportunistic and patient with adding pools.

我想說的是，一般來說，通過池採購凸性比在利率市場上購買可選保護更便宜。但在相當廣泛的利率情景中，我們的凸度位置非常低。因此，我們將繼續保持機會主義和耐心地添加礦池。

We've done a lot of repositioning over the last few quarters, and we think the portfolio is very well positioned today and provides a great combination of carry, total return potential and liquidity.

我們在過去幾個季度做了很多重新定位，我們認為今天的投資組合定位非常好，提供了利差、總回報潛力和流動性的完美結合。

And with respect to your question on the short-term hedges. I guess, I would say that our expectation is that we would likely not need to increase those hedges, although there's certainly a scenario where we may change that view. And I say initially, my gut is that we wouldn't need to is because I think the Fed is really close to being done. If it's not this meeting, my expectation, it's the next.

關於你關於短期對沖的問題。我想，我會說我們的預期是我們可能不需要增加這些對沖，儘管肯定存在我們可能會改變這種觀點的情況。我最初說，我的直覺是我們不需要這樣做，因為我認為美聯儲真的接近完成了。如果不是這次會議，我的期望是下一次。

But we could obviously prove to be wrong on that. Inflation could prove to be much more stubborn and the moderation that we've seen reverse. And in that scenario, there is a scenario that the Fed goes much more than we currently anticipate. And if that environment starts to evolve, then we would think about adding more short-term rate protection. But for right now, I think our position is fairly well placed.

但我們顯然可以證明在這一點上是錯誤的。通貨膨脹可能會更加頑固，而我們已經看到的溫和趨勢可能會逆轉。在這種情況下，美聯儲的行動可能比我們目前預期的要多得多。如果這種環境開始發生變化，那麼我們會考慮增加更多的短期利率保護。但就目前而言，我認為我們的立場相當合適。

Eric, I think you had also asked a question about what could expand coupon swaps and higher coupons or drive valuations tighter there? I think the short answer is lower rate volatility, lower implied volatility. Option costs on production coupon mortgages is still at record levels. And so decline in implied volatility certainly has the potential to bring option costs materially lower, which would likely result in nominal spreads coming in.

埃里克，我想你也問過一個問題，關於什麼可以擴大優惠券互換和更高的優惠券或推動估值收緊？我認為簡短的答案是較低的利率波動率，較低的隱含波動率。生產息票抵押貸款的期權成本仍處於創紀錄水平。因此，隱含波動率的下降肯定有可能使期權成本大幅降低，這可能會導致名義利差出現。

Yes. And just to add to that last point because that I think is a key part of, again, why our outlook is improving and the decline in volatility. If you look at sort of implied volatility back in September, at the end of September, at least this is -- if you look at where the options market was pricing volatility, it was pricing at around 9.5 basis points per day on the 10 year.

是的。還要補充最後一點，因為我認為這再次是我們前景改善和波動性下降的關鍵部分。如果你看一下 9 月份的隱含波動率，在 9 月底，至少這是——如果你看一下期權市場定價波動率的地方，10 年期國債定價為每天 9.5 個基點左右.

To put that in perspective. The 10-year average is more around 4.5 or 5 basis points a day. And it's been gradually coming down. Today, we're at probably an applied level of around 7.5 basis points a day. So to Chris' point, eventually, the market implied volatility is going to come back to the historical norm, and that's meaningfully lower, 25%, at least lower, and that could be easily 25 more basis points of tightening on production coupons.

正確看待這一點。 10 年平均水平約為每天 4.5 或 5 個基點。而且一直在逐漸下降。今天，我們可能處於每天 7.5 個基點左右的應用水平。因此，在 Chris 看來，市場隱含波動率最終將回到歷史常態，而且有意義地降低了 25%，至少降低了 25%，這很容易使生產優惠券收緊 25 個基點。

My apologies to everyone for the inconvenience. We have now completed the question-and-answer session. I would like to turn the call back over to Peter Federico, for concluding remarks.

對於給大家帶來的不便，我深表歉意。我們現在已經完成了問答環節。我想將電話轉回給 Peter Federico，以作總結髮言。

Well, again, we appreciate everybody's time today and interest in AGNC. And again, just to sort of reiterate, we believe the outlook for Agency MBS is improving. The recovery is underway. And ultimately, I think we're entering a period that could be a very durable and attractive environment for AGNC. So we look forward to speaking to you again next quarter, and thank you for participating today.

好吧，我們再次感謝大家今天的時間和對 AGNC 的興趣。再一次重申，我們認為機構 MBS 的前景正在改善。恢復正在進行中。最終，我認為我們正在進入一個對 AGNC 來說可能是一個非常持久和有吸引力的環境的時期。因此，我們期待下個季度再次與您交談，感謝您今天的參與。

Thank you for joining the call. You may now disconnect.

感謝您加入電話會議。您現在可以斷開連接。