AGNC Investment Corp (AGNCN) 2023 Q2 法說會逐字稿

Good morning, and welcome to the AGNC Investment Corp. Second Quarter 2023 Shareholder Call. (Operator Instructions) Please note this event is being recorded.

早安，歡迎參加 AGNC Investment Corp. 2023 年第二季股東電話會議。 （操作員說明）請注意此事件正在被記錄。

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

我現在想將會議交給投資者關係部門的凱蒂·特林頓。請繼續。

Thank you, all, for joining AGNC Investment Corp.'s Second Quarter 2023 Earnings Call. Before we begin, I'd like to review the safe harbor statement.

感謝大家參加 AGNC Investment Corp. 的 2023 年第二季財報電話會議。在我們開始之前，我想回顧一下安全港聲明。

This conference call and corresponding slide presentation contain 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.

本次電話會議和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，就構成 1995 年《私人證券訴訟改革法案》含義內的前瞻性陳述。

All such forward-looking 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.

所有此類前瞻性陳述應受到改革法案提供的安全港保護。由於 AGNC 無法控制的許多因素的影響，實際結果和結果可能與預測有重大差異。

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僅在本簡報發布之日作出，如有更改，恕不另行通知。

Certain factors that could cause actual results to differ materially from those contained in the forward-looking statements are included in AGNC'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.

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

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

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

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

這樣，我會將電話轉給 Peter Federico。

Thank you, Katie. Market conditions in the second quarter, on balance, provided further support for our favorable investment outlook for Agency MBS and made us increasingly confident that we're at the forefront of one of the most compelling investment environments that we have experienced in our 15-year history.

謝謝你，凱蒂。總體而言，第二季的市場狀況為我們對 Agency MBS 的良好投資前景提供了進一步支持，並使我們越來越有信心，我們處於 15 年來最引人注目的投資環境之一的最前沿歷史。

Historically, attractive asset valuations, strong funding markets and gradually improving hedging conditions as the Fed ends its monetary policy tightening campaign, underpin our favorable return expectations. Macroeconomic factors continue to be the primary driver of Agency MBS performance.

從歷史上看，有吸引力的資產估值、強勁的融資市場以及隨著聯準會結束貨幣政策緊縮行動而逐漸改善的對沖條件，支撐了我們良好的回報預期。宏觀經濟因素仍然是機構 MBS 績效的主要驅動力。

In the second quarter, debt ceiling uncertainty and the possibility of a government default weighed heavily on Agency MBS performance and pushed spreads to the widest level since the great financial crisis. Fixed income markets were also pressured by hawkish Fed minutes and continued strength in the labor market.

第二季度，債務上限的不確定性和政府違約的可能性嚴重影響了機構MBS的表現，並將利差推至金融危機以來的最寬水平。固定收益市場也受到聯準會鷹派會議紀要和勞動市場持續走強的壓力。

At current valuation levels, Agency MBS look extremely attractive on a stand-alone basis and provide investors a compelling alternative to U.S. Treasuries. At a spread to the 10-year treasury of about 175 basis points, new production Agency MBS give investors the ability to earn a 5.5% yield on a security that is backed by the explicit support of the U.S. government. This combination of yield and credit quality makes Agency MBS appealing to a wide range of investors on both a levered and unlevered basis. Agency MBS also look compelling relative to investment-grade corporate debt, particularly in light of a worsening credit outlook.

按照目前的估值水平，機構抵押貸款支持證券（MBS）單獨來看極具吸引力，並為投資者提供了美國國債之外令人信服的替代品。新生產的機構 MBS 與 10 年期公債的利差約為 175 個基點，使投資者能夠從美國政府明確支持的證券中獲得 5.5% 的收益率。收益率和信用品質的結合使機構 MBS 在槓桿和無槓桿的基礎上吸引了廣泛的投資者。相對於投資等級企業債務，機構MBS看起來也很有吸引力，特別是考慮到信貸前景不斷惡化。

To illustrate this point, on Slide 12 of the presentation, we show the treasury spread differential between current coupon Agency MBS and the Bloomberg Investment Grade Corporate Bond Index. From 2010 to 2022, the average spread differential between these 2 instruments was negative 75 basis points, which is to be expected given the superior credit quality of Agency MBS.

為了說明這一點，在簡報的幻燈片 12 上，我們展示了當前息票機構 MBS 與彭博投資等級企業債券指數之間的國債利差差異。從 2010 年到 2022 年，這兩種工具之間的平均利差為負 75 個基點，鑑於機構 MBS 的卓越信用質量，這是預料之中的。

Recently, however, this long-standing spread relationship has reversed, with current coupon Agency MBS now trading at a wider spread to treasuries than this investment-grade corporate bond index. At today's spread differential of positive 15 basis points, Agency MBS are about 90 basis points cheap to the historical average. Over time, this spread relationship will likely revert to the norm as investors take advantage of this opportunity and move up in credit quality.

然而，最近，這種長期存在的利差關係發生了逆轉，目前的息票機構 MBS 與國債的利差現在比該投資等級公司債指數的利差更大。以今天正 15 個基點的利差計算，機構 MBS 比歷史平均便宜約 90 個基點。隨著時間的推移，隨著投資者利用這一機會並提高信用質量，這種利差關係可能會恢復正常。

Also important, the short-term funding markets for Agency MBS and U.S. Treasuries remained strong in the second quarter despite debt ceiling concerns. The stability and resiliency of the repo market for these 2 government-backed securities is due to the actions of the Fed and the now well-established reverse repo and standing repo facilities, which together, provide a clear upper and lower bound for short-term repo rates.

同樣重要的是，儘管存在債務上限擔憂，但第二季度機構抵押貸款支持證券和美國國債的短期融資市場仍然強勁。這兩種政府支持證券的回購市場的穩定性和彈性歸功於聯準會的行動以及現已完善的逆回購和常備回購工具，它們共同為短期提供了明確的上限和下限回購利率。

Following the debt ceiling resolution, the treasury department issued a significant amount of short-term debt in an effort to replenish its general account at the Fed. This issuance was readily absorbed and largely offset by a decline in the Fed's reverse repo facility balance, leaving the funding market for Agency MBS largely unaffected.

債務上限決議通過後，美國財政部發行了大量短期債務，以補充其在聯準會的一般帳戶。此次發行很容易被吸收，並在很大程度上被聯準會逆回購工具餘額的下降所抵消，使得機構MBS的融資市場基本上不受影響。

Finally, the interest rate environment has begun to show signs of improvement. With the Fed nearing an inflection point and monetary policy and interest rates perhaps having already reached their cyclical high point, fixed income investments are an increasingly attractive asset class. Consistent with this more favorable interest rate outlook, bond funds have continued to experience substantial inflows.

最後，利率環境開始出現改善跡象。隨著聯準會接近轉折點，貨幣政策和利率可能已經達到週期性高點，固定收益投資成為越來越有吸引力的資產類別。與這種更有利的利率前景一致，債券基金繼續出現大量資金流入。

Interest rate volatility has also declined from the highs of last year and will undoubtedly decline further once the Fed reaches its desired short-term rate level. Declining interest rate volatility is beneficial to Agency MBS valuations and over time, lowers the cost of interest rate-related rebalancing.

利率波動性也較去年高點有所下降，一旦聯準會達到其期望的短期利率水平，利率波動無疑將進一步下降。利率波動性下降有利於機構MBS估值，並且隨著時間的推移，會降低與利率相關的再平衡成本。

Looking back over the last couple of years, the U.S. Treasury and Agency MBS markets have undergone a dramatic repricing as the Fed transitioned from an ultra-accommodative monetary policy stance to its current restrictive stance. We believe this transition is largely complete, and that one of AGNC's most favorable investment environments is now emerging.

回顧過去幾年，隨著聯準會從超寬鬆貨幣政策立場轉向目前的限制性立場，美國財政部和機構MBS市場經歷了戲劇性的重新定價。我們相信這項轉變已基本完成，AGNC 最有利的投資環境之一現已出現。

When an investor buys a share of AGNC stock, they buy into a levered portfolio of Agency MBS and hedges that is fully mark-to-market. At current spread levels, we believe our portfolio can generate mid- to upper-teen returns on a go-forward basis, either through strong earnings if mortgage spreads remain at these elevated levels or a combination of favorable earnings and net book value appreciation if mortgage spreads tightened somewhat over time. With the macroeconomic and interest rate environment still unsettled, short-term deviations from this promising path are possible.

當投資者購買 AGNC 股票時，他們購買的是機構 MBS 和完全按市值計價的對沖槓桿投資組合。在目前的利差水平上，我們相信，我們的投資組合可以在未來的基礎上產生中等到十幾歲的回報，如果抵押貸款利差保持在這些高水平，則通過強勁的收益，或者如果抵押貸款利差維持在這些高水平，則透過有利的收益和淨帳面價值升值相結合。由於宏觀經濟和利率環境仍不穩定，短期內可能會偏離這條有希望的道路。

Nevertheless, we remain confident that over the longer term, this investment environment will prove to be one of the best for Agency MBS investors.

儘管如此，我們仍然相信，從長遠來看，這種投資環境將被證明是最適合機構 MBS 投資者的投資環境之一。

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

現在，我將把電話轉給伯尼·貝爾，更詳細地討論我們的財務表現。

Thank you, Peter. For the second quarter, AGNC had comprehensive income of $0.32 per share. Economic return on tangible common equity was 3.6% for the quarter, comprised of a slight decrease in our tangible net book value of $0.02 per share and $0.36 of dividends declared per common share. As of last Friday, so far for July, tangible net book value is largely unchanged.

謝謝你，彼得。第二季度，AGNC 每股綜合收益為 0.32 美元。本季有形普通股的經濟報酬率為 3.6%，其中每股有形淨帳面價值略有下降 0.02 美元，每股普通股宣派股利 0.36 美元。截至上週五，七月迄今，有形帳面淨值基本上沒有變動。

In light of the continuing rate volatility, we maintained our disciplined risk management strategy throughout the second quarter. Leverage at the end of the quarter was unchanged at 7.2x tangible equity, while average leverage decreased from 7.7x for the first quarter to 7.2x. During the quarter, we opportunistically issued $106 million of common equity through our at-the-market offering program at a significant price-to-book premium. As of quarter end, we had cash and unencumbered Agency MBS totaling $4.3 billion or 58% of our tangible equity and $80 million of unencumbered credit securities.

鑑於利率持續波動，我們在整個第二季度維持了嚴格的風險管理策略。本季末的槓桿率維持在 7.2 倍有形權益不變，而平均槓桿率從第一季的 7.7 倍下降至 7.2 倍。本季度，我們透過市場發行計劃，以顯著的市淨率溢價發行了 1.06 億美元的普通股。截至季末，我們擁有總計 43 億美元的現金和未支配機構 MBS，佔有形股本的 58%，以及 8,000 萬美元的未支配信貸證券。

Net spread and dollar roll income, excluding catch-up amortization, was $0.67 per share for the quarter, a decline of $0.03 per share from the first quarter due to a somewhat smaller asset base. Our net interest spread increased to 3.26% for the second quarter compared to 2.88% for the prior quarter. The increase was largely due to a higher ratio of our legacy low fixed pay rate, interest rate swap hedges to our funding liabilities for the quarter. Lastly, the average projected life CPR on our portfolio at the end of the quarter was largely unchanged at 9.8%. Actual CPRs for the quarter averaged 6.6% compared to 5.2% for the prior quarter.

由於資產基礎縮小，本季淨利差和美元展期收入（不包括追繳攤銷）為每股 0.67 美元，較第一季下降 0.03 美元。第二季我們的淨利差增至 3.26%，而上一季為 2.88%。這一增長主要是由於我們傳統的低固定工資率、利率掉期對沖與本季融資負債的比率較高。最後，截至本季末，我們投資組合的平均預期壽命 CPR 基本保持不變，為 9.8%。本季的實際 CPR 平均為 6.6%，而上一季為 5.2%。

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

現在，我將電話轉給 Chris Kuehl，討論代理抵押貸款市場。

Thanks, Bernie. The Agency MBS market faced several major headwinds in the second quarter, including the supply shock following the second largest bank failure in U.S. history, a debt ceiling stand off that risked triggering a U.S. debt default, and a further repricing of market expectations for tighter Fed monetary policy.

謝謝，伯尼。機構MBS市場在第二季面臨幾項重大阻力，包括美國史上第二大銀行倒閉後的供應衝擊、債務上限僵局可能引發美國債務違約，以及市場對聯準會收緊政策的預期進一步重新定價貨幣政策。

Agency MBS underperformed treasury and swap-based hedges in April and May with par coupon spreads reaching post-GFC wides in late May when the debt ceiling uncertainty was at its peak. Spreads recovered somewhat in June following the debt ceiling resolution and a subsequent decline in interest rate volatility.

4 月和 5 月，機構 MBS 的表現遜於國庫券和基於掉期的對沖工具，票面息差在 5 月底達到全球金融危機後的寬幅，當時債務上限的不確定性達到頂峰。在債務上限解決以及隨後利率波動性下降之後，利差在 6 月有所回升。

The price performance of Agency MBS varied considerably across the coupon stack, with lower coupons meaningfully outperforming higher coupons due to strong index-based investor demand throughout the quarter, stemming from fixed income fund inflows. From a total return perspective, however, the performance differences across the coupon stack were much more muted given the significantly higher yield associated with higher coupon MBS.

機構MBS的價格表現在整個息票堆疊中差異很大，由於固定收益基金流入導致整個季度基於指數的投資者需求強勁，較低的息票明顯優於較高的息票。然而，從總回報的角度來看，鑑於與較高息票 MBS 相關的收益率顯著提高，整個息票堆疊的績效差異要小得多。

Hedge position was also an important driver of Agency MBS performance during the second quarter, as the yield curve flattened 50 basis points, with the yield on 2-year treasuries increasing 87 basis points and the yield on 10-year treasuries increasing 37 basis points. For AGNC, having a significant amount of short and intermediate hedges was beneficial to our overall performance.

對沖部位也是第二季機構MBS表現的重要驅動力，殖利率曲線趨平50個基點，其中2年期公債殖利率上升87個基點，10年期公債殖利率上升37個基點。對於 AGNC 來說，擁有大量的短期和中期對沖有利於我們的整體表現。

Despite the volatility early in the quarter, as Peter mentioned, there are a number of reasons for optimism. First, interest rate volatility is likely to decline, which is a positive for Agency MBS. Second, the stresses in the regional banking system have largely abated and further forced bank liquidations are unlikely. Third, the SVB liquidation has gone better than most market participants expected. And as of today, more than 70% of the combined agency pass-through and CMO holdings have been sold. At the current pace, we expect this FDIC liquidation process to be largely complete within the next 2 months.

正如彼得所提到的，儘管本季初出現波動，但仍有許多樂觀的理由。首先，利率波動性可能會下降，這對機構MBS來說是一個利好。其次，地區銀行體系的壓力大幅減輕，銀行進一步被迫清算的可能性不大。第三，SVB清算進展優於多數市場參與者的預期。截至目前，代理機構傳遞和 CMO 持有的股份合計超過 70% 已售出。按照目前的速度，我們預計 FDIC 清算流程將在未來 2 個月內基本完成。

And lastly, as Aaron will describe further, with primary mortgage rates near 7% and relatively muted housing activity and slowing seasonals, we expect the supply of Agency MBS over the remainder of the year to be very manageable. Given this improving outlook, we added approximately $2 billion in Agency MBS during the quarter, bringing our portfolio to $58 billion as of June 30.

最後，正如亞倫將進一步描述的那樣，由於初級抵押貸款利率接近 7%，住房活動相對溫和，季節性放緩，我們預計今年剩餘時間內機構 MBS 的供應將非常可控。鑑於前景不斷改善，我們在本季增加了約 20 億美元的 Agency MBS，截至 6 月 30 日，我們的投資組合達到 580 億美元。

With respect to portfolio positioning, we continued to move up in coupon, increasing our higher coupon holdings by approximately $5 billion versus reducing lower coupon positions. As a result, the weighted average coupon of the portfolio increased approximately 19 basis points during the quarter.

在投資組合定位方面，我們繼續增加息票，將較高的息票持有量增加了約 50 億美元，而減少了較低的息票頭寸。因此，本季投資組合的加權平均票息增加了約 19 個基點。

Since quarter end, we've continued to take advantage of attractive valuations, adding MBS and bringing our at-risk leverage to 7.5x as of the end of last week. Our hedge portfolio totaled $61.2 billion as of June 30, and our duration gap was 0.4 years. Our hedging activity was relatively minimal during the quarter as we modestly increased our hedge position given the move higher in rates and the increase in our MBS holdings.

自季度末以來，我們繼續利用有吸引力的估值，增加了 MBS，並將我們的風險槓桿率截至上週末提高至 7.5 倍。截至 6 月 30 日，我們的對沖投資組合總額為 612 億美元，久期差距為 0.4 年。本季我們的對沖活動相對較少，因為鑑於利率上升和 MBS 持有量增加，我們適度增加了對沖部位。

With the debt ceiling standoff behind us, clarity with respect to the supply outlook for Agency MBS and greater confidence that we're near the inflection point of this Fed policy cycle, we expect the second half of the year to be an attractive earnings environment for Agency MBS.

隨著債務上限僵局的過去、機構 MBS 供應前景的明確以及我們對聯準會政策週期拐點的信心增強，我們預計今年下半年將是一個有吸引力的盈利環境機構MBS。

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

我現在將電話轉給亞倫，討論非代理市場。

Thanks, Chris. During the second quarter, both AAA and credit spreads generally performed well, tightening modestly by quarter end. Technical factors continue to be very impactful in the residential mortgage credit space. Limited housing supply, driven by elevated primary mortgage rates, have caused both purchase and refinance origination volumes to remain low. Existing borrowers with deep out-of-the-money mortgages are effectively locked into their current mortgages, reducing housing inventory. This can be seen in the depressed existing home sales data, which have been running well below levels seen over the last decade.

謝謝，克里斯。第二季度，AAA 級信用利差整體表現良好，到季末小幅收緊。技術因素仍然對住宅抵押貸款信貸領域產生很大影響。由於初級抵押貸款利率上升，住房供應有限，導致購買和再融資的發起量仍然很低。擁有嚴重虛值抵押貸款的現有借款人實際上被鎖定在當前抵押貸款中，從而減少了房屋庫存。這可以從低迷的現有房屋銷售數據中看出，該數據一直遠低於過去十年的水平。

Lower overall levels of housing activity drive lower mortgage issuance volume and are also supportive of house prices given limited supply, which, together, provide a favorable technical backdrop for mortgage credit. Additionally, the fundamental picture has improved modestly as well. The downside risk associated with the significant credit event has declined as expectations increase for a soft landing in light of encouraging signs seen in recent inflation ratings. In addition, firming house prices and a resilient employment landscape provide further reason for optimism.

房屋活動整體水準下降導致抵押貸款發行量下降，並且由於供應有限也支撐了房價，這些因素共同為抵押貸款信貸提供了有利的技術背景。此外，基本面也略有改善。鑑於近期通膨評級出現令人鼓舞的跡象，隨著對軟著陸的預期增加，與重大信貸事件相關的下行風險已經下降。此外，堅挺的房價和有彈性的就業情勢也為樂觀情緒提供了進一步的理由。

The technical backdrop within the credit risk transfer market has driven strong outperformance in this sector. First, due to a decline in MBS issuance, there are significantly lower credit protection needs from the GSEs as compared to last year. Second, tender offers and paydowns have further reduced CRT float. Taken together, the impact on CRT securities outstanding has been a decline of approximately 8% over the last year.

信用風險轉移市場的技術背景推動了該產業的強勁表現。首先，由於MBS發行量下降，政府支持企業的信用保護需求較去年大幅下降。其次，要約收購和付款進一步減少了 CRT 浮動資金。總的來說，對已發行 CRT 證券的影響比去年下降了約 8%。

Turning to our holdings. Our Non-Agency portfolio ended the quarter at just over $1 billion, a decline of approximately $250 million from March 31. We continue to reduce our CMBS position over the quarter, while also opportunistically selling some CRT securities and rotating further down the capital structure. The notional amount of our CRT holdings declined over the quarter as we rotated into deeper, but seasoned credit. Lastly, just to note on the repo market for non-agency securities, spreads were largely unchanged on the quarter with the bias towards being slightly wider.

轉向我們的持股。本季末，我們的非機構投資組合略高於10 億美元，較3 月31 日減少了約2.5 億美元。 。隨著我們轉向更深但經驗豐富的信貸，我們的 CRT 持股在本季有所下降。最後，需要注意的是，在非機構證券的回購市場上，本季利差基本上沒有變化，但有略微擴大的傾向。

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

這樣，我會將電話轉回給彼得。

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

謝謝你，亞倫。現在，我們將開始電話會議，回答您的問題。

(Operator Instructions) Our first question comes from Douglas Harter with Credit Suisse.

（操作員說明）我們的第一個問題來自瑞士信貸銀行的 Douglas Harter。

Hoping you could talk about how you're viewing the dividend in light of the comments around where you see current returns? And then whether you view the coming maturity of a lot of your legacy shorter-dated swaps as having any impact on that dividend level?

希望您能根據您對當前回報的評論來談談您如何看待股息？然後，您是否認為許多遺留的短期掉期即將到期會對股息水準產生任何影響？

Sure. Thank you for the question, Doug. And I know that's a question on a lot of investors' minds. I think there's a couple of things to point out in that answer. First, I'll start with -- if you look at the net interest margin on our portfolio, this quarter, it actually increased to 326 basis points. I think it's probably the all-time high from a net interest margin perspective, which demonstrates the fact that we had such a significant portion of our short-term debt fully hedged out for this rate increasing environment.

當然。謝謝你的提問，道格。我知道這是很多投資人心中的問題。我認為這個答案中有幾件事需要指出。首先，如果你看看我們投資組合的淨利差，本季它實際上增加到了 326 個基點。我認為從淨息差的角度來看，這可能是歷史最高水平，這表明我們有很大一部分短期債務在這種升息環境下得到了充分對沖。

But that spread is not indicative of the true economic earnings of the portfolio going forward. And similarly, if you look at our net spread and dollar roll income at $0.67, that's also not reflective of the economics. I think you're getting to the correct question is, if you look at the portfolio on a mark-to-market basis fully from an asset liability and hedge perspective, the net interest margin is clearly not 326 basis points. It's much more in today's environment, probably in the neighborhood of 175 to 180 basis points.

但這種利差並不代表投資組合未來的真實經濟利益。同樣，如果你看看我們的淨利差和美元滾動收入為 0.67 美元，這也不能反映經濟狀況。我認為你回答的問題是正確的，如果你完全從資產負債和對沖的角度來看按市值計價的投資組合，那麼淨息差顯然不是 326 個基點。在今天的環境下，這個數字要高得多，可能在 175 到 180 個基點附近。

If you look at new current coupon mortgages, for example, hedged with a mix of 5- and 10-year swap and treasury hedges, you're probably in the neighborhood of 180 basis points, which is historically very attractive. That's why we're so excited about this environment.

例如，如果您查看新的當前息票抵押貸款，並結合 5 年期和 10 年期互換以及國債對沖，您的利率可能在 180 個基點附近，這在歷史上非常有吸引力。這就是為什麼我們對這個環境如此興奮。

If you lever that something like 7.5x, given the current coupon spread and given our operating expense of a 1%, you should come out in the high teens in terms of an economic return on the portfolio on a go-forward basis. That's what we look at when we think about the payability and durability of -- and sustainability of our dividend. Our dividend yield today on our book value is right in the 15% range.

如果你利用類似 7.5 倍的槓桿，考慮到當前的息差和我們 1% 的營運費用，那麼你的投資組合的未來經濟回報率應該會達到十幾歲。當我們考慮股息的支付性、持久性和可持續性時，我們會考慮這一點。今天我們的帳面價值股息收益率正好在 15% 的範圍內。

The economic earnings on the portfolio -- true economic earnings on the portfolio on a go-forward basis is, as I said, probably in the high to mid-teen. So I think those 2 things align very well. And that's one of the reasons why we've been so disciplined in keeping our dividend where we have kept it over the last couple of years despite our net spread and dollar roll income being more than 2x our dividend at times. So that's the way we think about it going forward. We're very comfortable with where our dividend is right now versus the economics of the business.

投資組合的經濟利益——正如我所說，投資組合的未來真實經濟收益可能在十幾歲到十幾歲之間。所以我認為這兩件事非常吻合。這就是為什麼我們在過去幾年裡一直如此嚴格地保持股息的原因之一，儘管我們的淨利差和美元滾動收入有時會超過股息的兩倍。這就是我們未來的思考方式。我們對目前的股利相對於企業經濟狀況感到非常滿意。

The other thing that I would also point out is that you talked about the fact that we will have short-term swaps rolling off over the next year, and that will lead to some compression. But again, it should bring that net interest margin down more in line with the economics in our net spread and dollar roll income more in line with our dividend. So we're comfortable with where it is, and we think they align well from an economics perspective right now.

我還要指出的另一件事是，您談到了我們將在明年推出短期掉期的事實，這將導致一些壓縮。但同樣，它應該使淨利差下降，更符合我們的淨利差的經濟學原理，並使美元展期收入更符合我們的股息。因此，我們對目前的情況感到滿意，我們認為從經濟學角度來看，它們現在非常吻合。

Our next question comes from Trevor Cranston with JMP Securities.

我們的下一個問題來自 JMP 證券公司的 Trevor Cranston。

You guys laid out pretty well, I think, the favorable case for MBS. I was wondering if you could talk a little bit more about how impactful you think the end of the FDIC portfolio sales would be on the MBS market and sort of spread volatility in general?

我認為，你們已經很好地闡述了對 MBS 有利的情況。我想知道您是否可以多談談您認為 FDIC 投資組合銷售結束對 MBS 市場以及整體利差波動的影響有多大？

Yes. Thank you for the question. We're very optimistic about the outlook, and we think we're at an important turning point somewhere in the next several months. If you think about it, the market has really struggled, and it's been multiple quarters now of just an environment where the reasons for concern and uncertainty have clearly outweighed the reasons for optimism.

是的。謝謝你的提問。我們對前景非常樂觀，我們認為未來幾個月我們正處於一個重要的轉折點。如果你仔細想想，市場真的很艱難，而且已經有多個季度了，擔憂和不確定性的原因顯然超過了樂觀的原因。

But what's happened and particularly now, as we got through the second quarter, is a lot of those sources of uncertainty have now fallen away. You think about it, the Fed is clearly close to being done, whether they're done tomorrow and even former Chairman, Bernanke thinks that tomorrow is their -- the last move. But if it's not tomorrow, it may be one more move.

但所發生的情況，特別是現在，隨著我們進入第二季度，許多不確定性來源現在已經消失。你想一想，聯準會顯然已經接近完成任務，無論他們明天是否完成任務，甚至前主席伯南克也認為明天是他們的最後一步。但如果不是明天，可能又是一招。

We do have to get through some economic data, but the Fed is near the end, and that's certainly positive. The Fed's balance sheet runoff is sort of on autopilot. There's no issues there. The regional banking crisis seems to now be well in the rearview mirror, which is very positive, and the big movement in deposits has been put in the past.

我們確實需要了解一些經濟數據，但聯準會即將結束，這當然是正面的。聯準會的資產負債表縮減有點處於自動駕駛狀態。那裡沒有問題。區域銀行危機現在似乎已經成為過去，這是非常積極的，存款的大幅波動已經成為過去。

As Chris pointed out, there doesn't seem to be another balance sheet-related banking crisis. And the Silicon Valley Bank is largely done. I don't expect that to have really any impact on the market, that has been absolutely easily absorbed without any disruption. So there's lots of reasons to be optimistic about the direction of mortgage performance. I think that's one of the reasons why we're encouraged by the outlook is that we still have some uncertainty to contend with the Fed and the way that they talk about the economy and inflation.

正如克里斯指出的那樣，似乎不會再出現另一場與資產負債表相關的銀行業危機。矽谷銀行基本上已經完成了。我預計這不會對市場產生任何影響，因為市場完全可以輕鬆吸收，不會受到任何干擾。因此，有許多理由對抵押貸款表現的方向感到樂觀。我認為，我們對前景感到鼓舞的原因之一是，我們仍然面臨一些不確定性，需要應對聯準會以及他們談論經濟和通膨的方式。

But over the next couple of months, really the key to stability is going to be the inflation data. And if the inflation data continues to be in line with expectations or even lower, that is going to lead to an important decline in interest rate volatility, which is an important positive for Agency MBS.

但在接下來的幾個月裡，穩定的真正關鍵將是通膨數據。如果通膨數據繼續符合預期甚至更低，這將導致利率波動性大幅下降，這對機構MBS來說是一個重要的利多。

Chris, do you want to add to that?

克里斯，你想補充嗎？

I would just say, look, the FDIC, the failure of Signature Bank and SVB was clearly a supply shock that the market had to deal with and spreads widened into that.

我只想說，FDIC、Signature Bank 和 SVB 的倒閉顯然是市場必須應對的供應衝擊，利差擴大到這一點。

More specifically to your question, when this process ends -- the liquidation by the FDIC, market technicals should improve materially. The timing will also likely coincide with slower housing seasonals, which means less organic issuance.

更具體地說，對於你的問題，當這個過程結束時——FDIC 的清算，市場技術面應該會得到實質改善。這一時間也可能與房地產季節性放緩相一致，這意味著有機發行量減少。

And so that should be a tailwind for performance in the second half. Of the $82 billion, $83 billion of Agency MBS that had to be liquidated, there's $13 billion pass-throughs left, $10 billion in CMOs. And as Peter said, the process has gone very well, much better than some had feared. And we can credit yield levels and strong inflows into index-based fixed income managed funds as the reason the liquidation has been so easily absorbed.

因此，這應該會成為下半年表現的有利因素。在必須清算的 820 億美元、830 億美元的機構 MBS 中，還剩下 130 億美元的轉手資金，以及 100 億美元的 CMO。正如彼得所說，這個過程進展順利，比一些人擔心的要好得多。我們可以將收益率水準和基於指數的固定收益管理基金的大量資金流入歸功於清算如此容易被吸收的原因。

Got it. Okay. And then you guys mentioned adding to the portfolio since the end of the quarter, can you talk, in general, sort of where you're adding in the coupon stack? I mean a lot of the comments are focused on current coupon spreads. So I was curious if you guys are generally looking at 6s and higher at this point or where you're at it?

知道了。好的。然後你們提到自本季度末以來添加到投資組合中，您能大致談談您在優惠券堆疊中添加的位置嗎？我的意思是很多評論都集中在當前的優惠券利差上。所以我很好奇你們現在是否普遍關注 6 及以上，或者你們現在處於什麼階段？

Sure. So relative value across the stack is still very much upward sloping given current valuations. And our marginal purchases are concentrated in production coupons. And importantly, this -- our view on relative value is not unique to us or unique to our models.

當然。因此，考慮到當前的估值，整個堆疊的相對價值仍然在很大程度上向上傾斜。而我們的邊際採購則集中在生產券上。重要的是，我們對相對價值的看法並不是我們獨有的，也不是我們的模型獨有的。

The steep upward slope in spread curve across the stack exists because the dominant bid for mortgages is coming from index-based investors, driven by fixed income fund inflows that need to buy low coupons or index coupons that aren't being produced outside of the FDIC liquidation. The low coupon float is locked up outside of what's been sold through the FDIC. It's locked up at the Fed and banks that don't want to sell because they don't want to take a hit to capital. And so there are very few true arbiters of value currently and all the supply, by definition, is in production coupons.

整個堆疊中利差曲線存在陡峭的向上斜率，因為抵押貸款的主導投標來自基於指數的投資者，受到固定收益基金流入的推動，這些投資者需要購買低息票或指數息票，這些息票不是在FDIC 之外生產的清算。低息票浮動被鎖定在透過 FDIC 出售的債券之外。它被鎖定在聯準會和銀行手中，他們不想出售，因為他們不想遭受資本打擊。因此，目前真正的價值仲裁者很少，而且根據定義，所有供應都是生產優惠券。

Our next question comes from Bose George with KBW.

我們的下一個問題來自 KBW 的 Bose George。

I wanted to ask about leverage. Can you just remind us how you view kind of normalized longer-term leverage?

我想問一下槓桿。您能否提醒我們您如何看待正常化的長期槓桿？

Sure. First, I would say, Bose, that our leverage outlook is dependent on the environment. It's situational. And it always is. It depends on the interest rate environment, our expectations about the interest rate volatility. As we look ahead, it a lot -- depends a lot on where mortgage spreads are, whether they're at historically wide or historically tight levels. So it obviously changes over time. We've obviously been operating with a very defensive position really for 8 quarters.

當然。首先，Bose，我想說的是，我們的槓桿前景取決於環境。這是視情況而定的。事實總是如此。這取決於利率環境，以及我們對利率波動的預期。當我們展望未來時，這在很大程度上取決於抵押貸款利差的水平，無論它們是處於歷史上較寬的水平還是歷史上較緊的水平。所以它顯然會隨著時間的推移而改變。顯然，我們在過去的 8 個季度裡一直處於非常防守的位置。

If you look back at our asset balances, for example, they've been declining or stable for 8 quarters in a row. It was actually in the second quarter that marked the first change in that trajectory, where our asset balance actually increased. And that is consistent with our changing view on the investment outlook being more positive, as Chris said, we added to our portfolio.

例如，如果你回顧我們的資產餘額，你會發現它們已經連續 8 個季度下降或穩定。實際上，第二季度標誌著這一軌蹟的首次變化，我們的資產餘額實際上有所增加。正如克里斯所說，這與我們對投資前景更加積極的看法不斷變化是一致的，我們增加了我們的投資組合。

And importantly, as Chris mentioned in his prepared remarks, our current leverage is now higher than it was at the end of last quarter. We were currently operating at around 7.5x. So we have a lot of capacity to take leverage higher as the market conditions continue to unfold. And as we get increasingly confident in the outlook, we're operating, as you know well, with a significant amount of unencumbered cash and mortgage-backed securities at $4.3 billion or 58% of our unencumbered of our equity. So we have a lot of capacity to be opportunistic. And as Chris mentioned, we're continuing to add mortgages in this environment, and we'll likely do so over time.

重要的是，正如克里斯在他準備好的演講中提到的那樣，我們目前的槓桿率現在高於上季末。我們目前的營運速度約為 7.5 倍。因此，隨著市場狀況的持續發展，我們有很大的能力提高槓桿。如您所知，隨著我們對前景越來越有信心，我們正在運營大量未支配現金和抵押貸款支持證券，價值 43 億美元，占我們未支配股權的 58%。所以我們有很大的機會主義能力。正如克里斯所提到的，我們將在這種環境下繼續增加抵押貸款，而且隨著時間的推移，我們可能會這樣做。

Okay. Great. Makes sense. And then just from a capital raising standpoint, just given the efficiency of your ATM issuances, is that likely to be the way you issue capital going forward?

好的。偉大的。有道理。然後，從融資的角度來看，考慮到 ATM 發行的效率，這可能是您未來發行資本的方式嗎？

Well, it's a highly efficient way of raising capital. From a cost perspective, it's extremely low cost. It gives you a lot of flexibility to do those capital raises at a time when you really believe that they're accretive to your existing shareholders and at a time when you can deploy that capital very quickly. We did opportunistically raise about another $100 million. We did so at levels that were very accretive to our book value for existing shareholders.

嗯，這是一種高效的籌集資金方式。從成本角度來看，成本極低。當您真正相信這些資本可以為現有股東帶來增值並且您可以非常快速地部署這些資本時，它為您提供了很大的靈活性來進行這些資本籌集。我們確實趁機又籌集了約 1 億美元。我們這樣做的水平非常增加了我們現有股東的帳面價值。

But again, we're going to continue to be opportunistic with that. And we also importantly, believe that we're operating at a very desirable scale and size. And so as I mentioned before, that is something that we consider with respect to our capital raising. So I think you can expect us to continue to be very disciplined and very opportunistic with those capital raises, always looking at it from the perspective of our existing shareholders, making sure that we're operating with the desired leverage level for our existing shareholders first, then looking at the capital markets, can we raise capital accretive from an earnings and from a book value perspective, can we deploy those proceeds in a way that is beneficial to our existing shareholders. So we'll continue to take that approach. And the ATM program really gives you a lot of flexibility because it is so low cost.

但同樣，我們將繼續抓住機會。同樣重要的是，我們相信我們正在以非常理想的規模和規模運作。正如我之前提到的，這是我們在融資時考慮的事情。因此，我認為您可以期望我們在這些融資中繼續保持嚴格的紀律和機會主義，始終從現有股東的角度來看待它，確保我們首先以現有股東所需的槓桿水平進行運營然後看看資本市場，我們能否從收益和帳面價值的角度籌集資本增值，我們能否以有利於現有股東的方式部署這些收益。所以我們將繼續採取這種方法。 ATM 程式確實為您提供了很大的靈活性，因為它的成本非常低。

Our next question comes from Rick Shane with JPMorgan.

我們的下一個問題來自摩根大通的 Rick Shane。

I really wanted to -- first of all, when we look at Page 25, the interest rate sensitivity, I think one of the things that is worth mentioning is, over the last couple of quarters, ordinarily when we look at rate sensitivity, it is both symmetric and linear.

我真的很想——首先，當我們看第 25 頁的利率敏感性時，我認為值得一提的事情是，在過去的幾個季度中，通常當我們看利率敏感性時，它既是對稱的又是線性的。

And when we look right now, it's pretty linear at a rising rate environment, but you have nonlinearity and it is not as asymmetrically favorable as rates fall. Is that a function of the swaptions and also potentially some amortization of premium of higher coupon securities in a falling rate environment? What drives that?

當我們現在看時，在利率上升的環境下它是相當線性的，但你有非線性，並且它不像利率下降那樣不對稱地有利。這是掉期選擇權的函數，也是利率下降環境下高息票證券溢價的潛在攤提嗎？是什麼推動了這一點？

Now what's happening -- that's a good question. And you actually can see that on Page 11 of the investor presentation, but what it just shows you the duration gap sensitivity. And what it's showing is that from a rate perspective, overall, we're above the peak convexity point in the mortgage universe. The mortgage universe is far out of the money right now.

現在發生了什麼事——這是一個很好的問題。實際上，您可以在投資者簡報的第 11 頁上看到這一點，但它只是向您展示了久期缺口敏感度。它表明，從利率的角度來看，總體而言，我們高於抵押貸款領域的凸性高峰點。抵押貸款領域目前還遠遠沒有錢。

In fact, it would take a 200 basis point rally in order for the -- in order for there to only be about 20% of the universe to be refinancable. But what it shows is that we have more down rate risk. In fact said in another way, our duration will move quicker in a down rate scenario than it will in an uprate scenario. That is one of the reasons why we continue to operate with a small positive duration gap.

事實上，需要上漲 200 個基點才能讓全球只有約 20% 的資產可再融資。但它顯示我們面臨更大的降息風險。事實上，換句話說，我們的久期在利率下調的情況下會比在利率上調的情況下移動得更快。這就是我們繼續以較小的正久期差距運作的原因之一。

Our duration gap actually hurt our performance in the second quarter because we did have a small positive duration gap and rates were rising. But in the current environment, where we stand right now, there's clearly more 2-way rate risk in the market. And as you point out, there's a little bit more sensitivity to our portfolio to a falling rate scenario. So we'll likely continue to operate with a small positive duration gap, and you can see that in the sensitivity table that you point out.

我們的久期差距實際上損害了我們第二季度的業績，因為我們確實有一個小的正久期差距，而且利率正在上升。但在當前環境下，我們目前所處的位置，市場上顯然有更多雙向利率的風險。正如您所指出的，我們的投資組合對利率下降的情況更加敏感。因此，我們可能會繼續以較小的正久期差距進行操作，您可以在您指出的敏感性表中看到這一點。

Peter, that's a great answer. And it actually leads me to my next question, which is that, look, you guys -- this is not an easy business, but there are 3 or 4 basic decisions that you guys make, where you play in the stack, how much leverage you run, what your hedge ratio is. So those are the big levers within the model.

彼得，這是一個很好的答案。這實際上引出了我的下一個問題，那就是，你們看，這不是一件容易的事，但是你們要做出 3 或 4 個基本決定，你們在籌碼堆中玩什麼，有多少槓桿你跑步，你的對沖比率是多少。這些都是模型中的重要槓桿。

And you've indicated that you see an opportunity, at this point, to modestly increase leverage. I don't think anybody expects you're going to double leverage or increase leverage 30% overnight. But I'm curious, as you do that, given where we are, is the intention to let the -- as we saw the duration extend modestly from the first quarter to the second, should we expect the duration to modestly increase as well given where we are in the rate cycle?

您已經表示，您此時看到了適度增加槓桿的機會。我認為沒有人會期望您會在一夜之間將槓桿加倍或增加 30%。但我很好奇，鑑於我們所處的位置，您這樣做的目的是讓——正如我們看到的持續時間從第一季適度延長到第二季度一樣，我們是否應該預期持續時間也會適度增加我們處於利率週期的哪個階段？

Are you referring to the duration gap?

您指的是持續時間差距嗎？

Yes, I'm sorry. Yes, I apologize.

是的，對不起。是的，我道歉。

Yes. So you know, as I appreciate your summary, and you point out the 3 key variables. I'll actually address 2 of the variables.

是的。所以你知道，我很欣賞你的總結，並且你指出了 3 個關鍵變數。我實際上會解決其中的兩個變數。

We already talked about leverage. And from a duration gap perspective, I would say, generally speaking, no. In the current environment, because of the shape of the yield curve, the inverted yield curve, having a positive duration gap actually is negative carry on the portfolio.

我們已經討論過槓桿。從持續時間差距的角度來看，我想說，一般來說，不會。在當前環境下，由於殖利率曲線的形狀，具有正久期缺口的反向殖利率曲線實際上會對投資組合產生負利差。

In today's market, a 1-year duration gap is something equivalent to about a 1% drag in ROE. So we're cognizant in an inverted yield curve environment that there is a cost of doing that. So we'll keep our duration gap likely low.

在當今市場中，1 年久期差距相當於 ROE 下降約 1%。因此，我們認識到，在殖利率曲線倒掛的環境中，這樣做是有成本的。因此，我們將把久期差距保持在較低水準。

There will come a time in the future, to your point, once the yield curve is positively sloped again, which it inevitably will be, operating with a positive duration gap and maybe even a larger positive duration gap may be very profitable, if you will, from an ROE perspective, both in terms of the level of rates and the carry that we'll generate on that position. But for the foreseeable future, I don't expect that to change very much.

就你的觀點而言，將來有一天，一旦殖利率曲線再次呈正斜率（這是不可避免的），以正久期缺口進行操作，甚至更大的正久期缺口可能會非常有利可圖，如果你願意的話，從淨資產收益率的角度來看，無論是在利率水準還是我們在該頭寸上產生的利差方面。但在可預見的未來，我預計這種情況不會有太大改變。

The other variable that you point out, I want to also address, which is the hedge ratio. So that is, obviously, a key driver of performance. We've operated with a very high hedge ratio, meaning all of our short-term debt was essentially termed out into synthetically longer-term debt. Our hedge ratio was still at 119%.

我還想談談你指出的另一個變量，即對沖比率。顯然，這是性能的關鍵驅動因素。我們以非常高的對沖比率進行操作，這意味著我們所有的短期債務基本上都被轉化為全面長期債務。我們的對沖比率仍為119%。

As you look forward in our portfolio, we will have swaps rolling off in our portfolio. We actually provide the 1-year component of our swap portfolio, which is about $12 billion. Those swaps are not all rolling off in this calendar year. In fact, only about $5 billion of those $12.5 billion are rolling off in the next 6 months.

當您展望我們的投資組合時，我們將在我們的投資組合中推出掉期交易。實際上，我們提供掉期投資組合的 1 年期部分，約 120 億美元。這些掉期並沒有在今年全部完成。事實上，這 125 億美元中只有約 50 億美元會在未來 6 個月內發放。

I'd point that out because as it sits right now, you could see a scenario where as our short-term swaps roll off over the next 12 months and then particularly throughout 2024, that could also coincide quite nicely with the scenario where the Fed is actually lowering short-term rates.

我要指出這一點，因為就目前情況而言，您可能會看到這樣一種情況：隨著我們的短期掉期在未來12 個月內滾動，特別是在2024 年期間，這也可能與美聯儲的情況非常吻合。

So in a scenario where the Fed is lowering short-term rates, monetary policy and shifting toward an easing policy, we will likely operate with a lower hedge ratio, perhaps well under 100% at some point, which would be another source potentially of earnings potential on our portfolio.

因此，在聯準會降低短期利率、貨幣政策並轉向寬鬆政策的情況下，我們可能會以較低的對沖比率進行操作，也許在某個時候遠低於 100%，這將是另一個潛在的收益來源我們投資組合的潛力。

So we'll look at our hedge ratio. We'll look at our duration gap. We'll look at our overall leverage as key drivers. It's also important to point out since we're talking about the hedge ratio and the fact that there will be compression coming from short-term hedges rolling off, which have been very beneficial to us. It's also important to point out that the average yield on our portfolio today is still only 390 versus a mark-to-market yield of well over 5%. It's probably something like 5.1% or 5.2%. So said in another way, our assets are still 100 to 120 basis points below market yields. That, too, will change over time as we roll out of old assets into new assets. Hedges roll off, that will be a source of compression. As we roll into new assets, that will be a source of benefit. So I just wanted to point that out, but thank you for that question.

所以我們將看看我們的對沖比率。我們將看看我們的持續時間差距。我們將把我們的整體槓桿視為關鍵驅動因素。同樣重要的是要指出，因為我們正在談論對沖比率，以及短期對沖的結束將帶來壓縮的事實，這對我們非常有利。同樣重要的是要指出，我們投資組合今天的平均收益率仍然僅為 390，而按市值計算的收益率遠高於 5%。大概是 5.1% 或 5.2% 左右。換句話說，我們的資產收益率仍然比市場收益率低100到120個基點。隨著我們將舊資產轉為新資產，這種情況也會隨著時間而改變。樹籬滾落，這將成為壓縮來源。當我們投入新資產時，這將成為收益的來源。所以我只是想指出這一點，但謝謝你提出這個問題。

No, it's a great answer, and I think I'm going to have to go over the transcript about 15 times in order to really get everything out of it, but I appreciate it.

不，這是一個很好的答案，我想我必須將文字記錄閱讀大約 15 次才能真正了解其中的所有內容，但我很感激。

Yes. I appreciate your question.

是的。我很欣賞你的問題。

Our next question comes from Vilas Abraham with UBS.

我們的下一個問題來自瑞銀集團的維拉斯·亞伯拉罕。

Some of my questions have been asked and answered. Maybe some commentary, Peter, just on the net supply expectations and the kind of puts and takes around that, that you think could impact spreads over the next couple of quarters?

我的一些問題已被提出並得到解答。也許有一些評論，彼得，只是關於淨供應預期以及圍繞這一點的看跌期權和期權，您認為這可能會影響未來幾季的利差？

Sure, as Chris pointed this out in his prepared remarks, from a net supply perspective, I think everybody still expects there to be something in the neighborhood of about $200 billion worth of organic supply, which is very manageable. Add to it, what the Fed's runoff is pointing at -- actually the Fed's portfolio is running off a little bit faster than it was a quarter ago, but that's still about another $200 billion.

當然，正如克里斯在他準備好的演講中指出的那樣，從淨供應的角度來看，我認為每個人仍然預計有機供應量約為 2000 億美元左右，這是非常易於管理的。除此之外，聯準會決選所顯示的——實際上，聯準會投資組合的流失速度比一個季度前要快一些，但這仍然大約是另外 2,000 億美元。

So for the year, I still think the private sector has to absorb about $400 billion worth of mortgages, but I think the private sector can easily absorb that amount of mortgages.

因此，就今年而言，我仍然認為私營部門必須吸收價值約4000億美元的抵押貸款，但我認為私營部門可以輕鬆吸收這筆金額的抵押貸款。

And as Chris pointed out, we've gone through sort of the -- perhaps the peak cyclical or point for the seasonals for the mortgage -- for the housing market. And we expect the second half of the year to be some slowing where mortgage rates are, affordability, all those things should keep mortgage supply well contained in the second half of the year, which would be a positive for mortgage performance, particularly as the demand from fixed income remains as robust as it currently is with the inflows.

正如克里斯指出的那樣，我們已經經歷了房屋市場的某種程度——也許是抵押貸款的周期性高峰或季節性點。我們預計下半年抵押貸款利率、負擔能力將有所放緩，所有這些因素都應該使下半年抵押貸款供應得到良好控制，這對抵押貸款表現將是積極的，特別是在需求增加的情況下來自固定收益的資金流入仍與目前一樣強勁。

I suspect that, that equation is going to work out well for Agency MBS. And when you look at Agency MBS, not only from -- just from a supply perspective, but when you look at Agency MBS in particular, relative to other fixed income investments, we pointed out the performance of Agency MBS versus corporates, I think that rotation is a significant source of demand that takes time to occur, but I think it will occur.

我懷疑，這個等式對於 MBS 機構來說會很有效。當你看機構MBS時，不僅從供應的角度來看，而且當你特別看機構MBS相對於其他固定收益投資時，我們指出了機構MBS與企業的表現，我認為輪換是一個重要的需求來源，需要時間才能發生，但我認為它會發生。

So even though banks may be not quite the buyers of mortgages in the second half of the year that we thought they may be because of the capital issues that they face, the flow of money into fixed income and in particular, the flow of money that should ultimately make its way to the Agency MBS market because it is so cheap relative to treasuries, for essentially the same credit quality. I know it's not exactly the same credit quality, but from a government guarantee perspective, they are exceedingly cheap to treasuries and they are exceedingly cheap to investment-grade debt. And I think that's going to draw dollars into the Agency MBS market. That takes time. But that, coupled with the positive seasonals, I think, makes for a better second half of the year.

因此，儘管銀行在今年下半年可能不像我們認為的那樣成為抵押貸款的買家，因為它們面臨資本問題，資金流向固定收益，特別是資金流向固定收益。在信用品質基本上相同的情況下，它相對於國債來說非常便宜。我知道這不是完全相同的信用質量，但從政府擔保的角度來看，它們對於國債來說非常便宜，對於投資等級債務來說也非常便宜。我認為這將吸引資金進入代理 MBS 市場。這需要時間。但我認為，再加上正面的季節性因素，下半年會更好。

Okay. And then just across the coupon stack. You touched on this earlier. So does that kind of imply that lower coupons continue to outperform a little bit as bond funds keep on, keep on buying? Or just how do you think about the dispersion and performance across the stack?

好的。然後就穿過優惠券堆。您之前談過這一點。那麼，這是否意味著隨著債券基金繼續購買，較低的票面繼續跑贏大盤呢？或者您如何看待整個堆疊的分散性和效能？

Yes, I'll start with that, and then Chris might add to that. But that's exactly right. That's what happened in the second quarter, is that there was steady, very steady. Every week, we saw bond fund inflows. Those bond funds, as Chris pointed out, are buying the index. The index is more than 50%, 2 and 2.5. So they are buying those coupons.

是的，我將從這一點開始，然後克里斯可能會補充這一點。但這是完全正確的。這就是第二季發生的情況，穩定、非常穩定。每週我們都會看到債券基金流入。正如克里斯指出的那樣，這些債券基金正在購買該指數。該指數超過50%、2和2.5。所以他們正在購買這些優惠券。

So from a price perspective, those coupons performed very well. When you think about the performance of the coupon stack, though, adding in carry, the performance differences were much more muted because the higher coupons offer so much better carry. But there was still outperformance of the lower coupons in the quarter because of the fixed income demand and the lack of supply.

所以從價格角度來看，這些優惠券的表現非常好。然而，當你考慮優惠券堆疊的性能時，加上利差，性能差異要小得多，因為更高的優惠券提供更好的利差。但由於固定收益需求和供應不足，本季較低息票的表現仍然出色。

Okay. Great. And did you guys give a quarter-to-date book value update? I don't know if I missed that.

好的。偉大的。你們有提供季度至今的帳面價值更新嗎？我不知道我是否錯過了這一點。

Yes. Bernie mentioned that it was roughly unchanged on the quarter so far.

是的。伯尼提到，到目前為止，本季基本上沒有變化。

Our next question comes from Eric Hagen with BTIG.

我們的下一個問題來自 BTIG 的 Eric Hagen。

I got a couple here. Lots of divergence between swap performance versus treasuries last quarter. Do you have any views on what may have driven that divergence? And does it have any bearing on how you hedge going forward?

我這裡有一對。上季掉期表現與國債表現有很大差異。您對造成這種差異的原因有何看法？這對你未來如何對沖有什麼影響嗎？

And then second question here, I mean, I imagine that you guys have seen -- have been following the expectation for new bank regulations, which expand the scope of Basel. We could maybe even see some of that later on this week. Do you see that being a source of volatility for MBS? Do you see any like broader connectivity between banks, lightening their footprint in mortgage finance and the performance of MBS in the secondary market, maybe more generally?

第二個問題，我的意思是，我想你們已經看到了——一直在遵循對新銀行法規的期望，這擴大了巴塞爾協議的範圍。我們甚至可能在本週晚些時候看到其中的一些內容。您認為這是MBS波動的一個根源嗎？您是否認為銀行之間有更廣泛的聯繫，減輕它們在抵押貸款融資中的足跡以及MBS在二級市場上的表現，也許更普遍？

Sure. I appreciate all those questions. First, with respect to hedge, you're absolutely right. There's been some performance differences between using swap hedges and treasury hedges.

當然。我很感激所有這些問題。首先，關於對沖，你是絕對正確的。使用掉期對沖和國債對沖之間存在一些績效差異。

It's a very volatile market, and that does make hedging very challenging. We see that in the shape of the yield curve and the fact that the 2- and 5-year parts of the curve outperformed so much. The 5-year part of the curve, in particular, outperformed. 5-year treasuries outperformed. So from a hedging perspective, last quarter, so that would have been one of the -- sort of the ideal hedge position.

這是一個非常不穩定的市場，這確實使對沖變得非常具有挑戰性。我們從殖利率曲線的形狀以及曲線的 2 年期和 5 年期部分錶現出色這一事實中看到了這一點。曲線的 5 年期部分錶現尤其出色。 5年期公債表現優於大盤。因此，從對沖的角度來看，上個季度，這將是一種理想的對沖部位。

But we'll continue to use a mix of hedges, with swap spreads being as negative as they are. We'll likely bias toward a little bit more swap hedges in our mix going forward. But I think it's important, from an overall performance perspective, over the long run, to have a mix.

但我們將繼續使用多種對沖組合，掉期利差保持為負值。未來我們可能會在我們的組合中偏向更多的掉期對沖。但我認為，從整體性能的角度來看，從長遠來看，進行混合是很重要的。

We're going to have quarter-to-quarter volatility and performance because of the hedge mix, we saw that this quarter and also because of the coupon mix. But over the longer run, we think the right mix from an asset perspective is in the middle to high coupons, where we're concentrated right now. They give us the best carry, the best return profile.

由於對沖組合，我們將出現季度與季度之間的波動性和業績，我們在本季度看到了這一點，也因為息票組合。但從長遠來看，我們認為從資產角度來看，正確的組合是中高票，這是我們目前關注的重點。他們為我們提供了最佳的運載能力和最佳的回報率。

And from an overall hedge mix, again, using a blend of hedges, 5 and 10 years, in particular, we have increased the weight of those hedges that hurt us in our performance last quarter. About 65% of our portfolio, close to 70% of our hedges now, are 5 years and out, in particular, in the 7- to 10-year part of the curve.

從整體對沖組合來看，再次使用混合對沖，特別是 5 年和 10 年期的對沖，我們增加了那些損害我們上季度業績的對沖的權重。我們大約 65% 的投資組合（目前接近 70% 的對沖）的期限為 5 年及以後，特別是在曲線的 7 至 10 年部分。

With the yield curve being as inverted as it is, I suspect that, that is going to be a beneficial trait for us to have over time. The yield curve will ultimately invert. So we want less short-term hedges, more long-term hedges. And we've positioned for the resteepening of the yield curve and our hedge position. So I think that's going to be the biggest driver of hedge-related performance as opposed to the mix between swaps and treasuries.

由於殖利率曲線如此倒掛，我懷疑，隨著時間的推移，這將成為我們的有益特徵。殖利率曲線最終將倒掛。因此，我們希望減少短期對沖，增加長期對沖。我們已經為殖利率曲線和對沖頭寸的重新收窄做好了準備。因此，我認為這將成為對沖相關業績的最大驅動力，而不是掉期和國債之間的組合。

With respect to bank capital, there's no doubt that the banks face increasing capital requirements. We do not expect this to be a short-term issue in the Agency MBS market. This is much more of a longer-term, probably multiyear issue that banks will face. But I also do believe that ultimately, when the banks face higher capital requirements or increased capital requirements related to interest rate risk, that ultimately, on its face, it sounds like that would be negative from a demand perspective for Agency MBS, but I think you could also look at a scenario where there actually may be benefits to owning Agency MBS over treasuries because of the significant yield and carry differential.

就銀行資本而言，毫無疑問，銀行面臨著不斷增長的資本要求。我們預計這不會成為代理 MBS 市場的短期問題。這更像是銀行將面臨的一個長期的、可能是多年的問題。但我也確實相信，最終，當銀行面臨更高的資本要求或與利率風險相關的資本要求增加時，最終從表面上看，從機構MBS 的需求角度來看，這聽起來像是負面的，但我認為您也可以考慮這樣一種情況，即由於收益率和套利差異顯著，持有機構MBS實際上可能比國債更有利。

So there could be a substitution effect also over time for banks out of treasuries into the much higher yielding Agency MBS. I think that's something that's going to play out over the long run. I don't expect that to be a 2023 issue.

因此，隨著時間的推移，銀行也可能從國債轉向收益率更高的機構MBS，從而產生替代效應。我認為從長遠來看，這將會發揮作用。我預計這不會成為 2023 年的問題。

Our next question comes from Crispin Love with Piper Sandler.

我們的下一個問題來自 Crispin Love 和 Piper Sandler。

Just looking at Slide 12 in your presentation, which I think is a new one. You highlight the Agency MBS spread relative to investment-grade corporates, which definitely shows the relative opportunity there, which you've hit on a little bit. But what do you think are the key drivers in the kind of the spread relative to corporates? Is it all based on agency technicals? Or just kind of curious other factors that might be at risk?

看看您簡報中的投影片 12，我認為這是一張新投影片。您強調了機構 MBS 相對於投資級企業的利差，這無疑表明了那裡的相對機會，您已經注意到了這一點。但您認為相對於企業而言，這種利差的關鍵驅動因素是什麼？這一切都是基於代理技術嗎？或只是一些好奇的其他可能面臨風險的因素？

Yes. It's a great question and it's a complicated question. And -- but I think it's really, really important because the point that we're trying to make here is that the environment that we're currently in is actually one that is very rare in terms of agencies being this cheap relative to investment-grade corporates, given the fact that post-Great Financial Crisis, the agency mortgage-backed security essentially has the backing -- the explicit -- does have the explicit backing of the U.S. government in terms of the support for the GSEs.

是的。這是一個很好的問題，也是一個複雜的問題。而且 - 但我認為這真的非常非常重要，因為我們在這裡試圖指出的一點是，我們目前所處的環境實際上是非常罕見的，因為機構相對於投資來說如此便宜 -考慮到大金融危機後的事實，機構抵押貸款支持證券基本上得到了美國政府在對GSE 的支持方面的明確支持。

So you can really make a very clear credit differentiation between these 2 instruments as to why we chose it. Interest rate volatility is a big driver of it. With the amount of interest rate volatility that we've had, interest rate volatility is always negative for Agency MBS, and you can see that. So to some extent, that makes sense that agencies have underperformed.

因此，您確實可以在這兩種工具之間做出非常清晰的信用區分，從而了解我們選擇它的原因。利率波動是其重要驅動因素。鑑於我們所經歷的利率波動幅度，利率波動對機構MBS 始終是負面的，您可以看到這一點。因此，在某種程度上，機構表現不佳是合理的。

The other point is that when you have rapidly moving markets, particularly in the downturns, we make this point all the time. Agency MBS tend to underperform other asset classes. They lead in the downturn, if you will. And they lead in the downturn because they are a unique security and that they're shortable, they're liquid and they're spread products.

另一點是，當市場快速變化時，尤其是在經濟低迷時期，我們一直強調這一點。機構MBS的表現往往遜於其他資產類別。如果你願意的話，他們會引領經濟衰退。它們在經濟低迷時期處於領先地位，因為它們是一種獨特的證券，可以做空，具有流動性，而且是價差產品。

So from a -- when investors have to liquidate, particularly in bond funds, when you have to liquidate, you liquidate what you can sell, what is liquid, and Agency MBS is that security of choice. So as interest rates were going up and the market was worried about the Fed and the balance sheet runoff, Agency MBS were uniquely negatively impacted.

因此，當投資者必須清算時，特別是債券基金，當你必須清算時，你清算你可以出售的東西，什麼是流動性的，而機構 MBS 就是首選的證券。因此，隨著利率上升，市場擔心聯準會和資產負債表縮減，機構MBS受到了獨特的負面影響。

So when you look at this equation, I think the thing that's most mispriced in it is probably not corporates, they may actually be sort of neutral, maybe a little bit rich. But it's Agency MBS that I think are exceedingly cheap in this comparison.

因此，當你看這個等式時，我認為其中定價最錯誤的可能不是企業，它們實際上可能是中性的，也許有點富有。但我認為在這次比較中，Agency MBS 的價格極為便宜。

The other sort of interesting point is that despite the Agency MBS market being the second most liquid market in the world, relative only to U.S. Treasuries, and being $8.5 trillion, it's a very difficult asset class for investors to access if you're not an institutional investor.

另一個有趣的點是，儘管機構MBS 市場是全球第二大流動性市場（僅相對於美國國債），並且規模達8.5 兆美元，但如果您不是投資者，那麼對於投資者來說，這是一個非常難以進入的資產類別。

If you want to put money to work, you can go to Fidelity and you can buy a corporate bond. Corporate bonds are much more liquid from that perspective in terms of retail's ability to access that market and to understand that market. Agency MBS is a fixed income asset class that's dominated by institutional access, makes it more difficult. And so that's why you could have environments like we have right now where Agency MBS despite being AAA-rated, are trading at a wider spread to treasuries than single A-rated corporate bonds.

如果你想把錢投入工作，你可以去富達，你可以購買公司債。從這個角度來看，就零售進入該市場和了解該市場的能力而言，公司債的流動性要高得多。機構MBS是一種由機構准入主導的固定收益資產類別，這使得它變得更加困難。因此，這就是為什麼您可能會遇到像我們現在這樣的環境，儘管機構 MBS 的評級為 AAA，但與國債的交易利差比單一 A 級公司債的利差更大。

We have now completed the question-and-answer session. I'd like to turn the call back over to Peter Federico for concluding remarks.

我們現在已經完成了問答環節。我想將電話轉回給 Peter Federico 進行總結演講。

Thank you, everybody, for participating on the call today. Just want to sort of recap that we think that we've obviously gone through a long period, a couple of year period where Agency MBS have been challenged by the repricing that has occurred in the fixed income markets, but I do believe that we're getting close to the end of that process.

謝謝大家參加今天的電話會議。只是想回顧一下，我們認為我們顯然已經經歷了很長一段時間，幾年的時間，機構 MBS 受到固定收益市場重新定價的挑戰，但我確實相信我們'該過程即將結束。

And as I mentioned, we believe a very favorable investment environment is now starting to emerge. So we look forward to talking to you again at the end of the third quarter. Thank you for listening today.

正如我所提到的，我們相信一個非常有利的投資環境現在正在開始出現。因此，我們期待在第三季末再次與您交談。感謝您今天的收聽。

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

感謝您加入通話。您現在可以斷開連線。