AGNC Investment Corp (AGNCN) 2025 Q1 法說會逐字稿

Good morning, and welcome to the AGNC Investment Corp., first-quarter 2025 shareholder call. (Operator Instructions) Please note this event is being recorded.

早安，歡迎參加 AGNC Investment Corp. 2025 年第一季股東電話會議。（操作員指示）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.

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

Thank you all for joining the AGNC Investment Corp., first-quarter 2025 earnings call. Before we begin, I'd like to review the Safe Harbor statement. This conference call and corresponding slide presentation contains statements that, to the extent they are not recitations of historical fact, constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. All such forward-looking statements are intended to be subject to the Safe Harbor protection provided by the Reform Act.

感謝大家參加 AGNC Investment Corp. 2025 年第一季財報電話會議。在我們開始之前，我想回顧一下安全港聲明。本次電話會議和相應的幻燈片簡報中包含一些陳述，只要它們不是對歷史事實的複述，則構成《1995 年私人證券訴訟改革法案》所定義的前瞻性陳述。所有此類前瞻性陳述應受到《改革法案》提供的安全港保護。

Actual outcomes and results could differ materially from those forecasts due to the impact of many factors beyond the control of AGNC. All forward-looking statements 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.

由於受到 AGNC 無法控制的許多因素的影響，實際結果可能與這些預測有重大差異。本簡報中的所有前瞻性陳述僅截至本簡報發布之日有效，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了某些可能導致實際結果與前瞻性陳述中的結果大不相同的因素。副本可在美國證券交易委員會 (SEC) 網站 sec.gov 上取得。除非法律要求，我們不承擔更新前瞻性聲明的任何義務。

Participants on the call include Peter Federico, President, Chief Executive Officer and Chief Investment Officer; Bernie Bell, Executive Vice President and Chief Financial Officer; and Sean Reid, Executive Vice President, Strategy and Corporate Development.

參加電話會議的人員包括總裁、執行長兼首席投資長 Peter Federico；伯尼貝爾 (Bernie Bell)，執行副總裁兼財務長；以及策略和企業發展執行副總裁 Sean Reid。

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

說完這些，我會把電話轉給 Peter Federico。

Good morning and thank you all for joining our first quarter conference call. Government policy actions and their potentially adverse effects on economic growth and inflation caused investor sentiment to turn decidedly more cautious in the first quarter. This elevated macroeconomic and monetary policy uncertainty led investors to initially seek the safety of high-quality assets like US Treasuries, Agency mortgage-backed securities and cash over higher risk assets like equities and corporate debt.

早安，感謝大家參加我們的第一季電話會議。政府的政策行動及其對經濟成長和通膨的潛在負面影響，導致第一季投資者情緒明顯變得更加謹慎。宏觀經濟和貨幣政策不確定性的增加，導致投資者最初尋求美國國債、機構抵押貸款支持證券和現金等高品質資產的安全性，而不是股票和公司債務等高風險資產。

Driven by our attractive monthly dividend, AGNC generated an economic return of 2.4% in the first quarter. AGNC's total stock return with dividends reinvested for the quarter was positive 7.8%. The tariff policy announcement at the beginning of April, however, caused volatility to increase significantly across all financial markets. With the breadth and magnitude of the tariffs being greater than anticipated, recession fears increased materially. Equity prices in turn fell further from their February peak and into bear market territory.

在我們具有吸引力的月度股息的推動下，AGNC 在第一季實現了 2.4% 的經濟回報。AGNC 本季股利再投資後的總股票報酬率為正 7.8%。然而，4月初公佈的關稅政策導致所有金融市場的波動性大幅加劇。由於關稅的範圍和幅度超出預期，人們對經濟衰退的擔憂大幅增加。股價則從二月的高點進一步下跌，進入熊市區域。

Interest rate volatility also increased substantially. Over the first nine trading days of April, the yield on the 10-year treasury moved initially sharply lower and then sharply higher. In total, over the short period of time, the yield on the 10-year treasury fluctuated by more than 100 basis points. This interest rate volatility and broad macroeconomic uncertainty caused normal financial market correlations to break down, liquidity to become constrained, and investor sentiment to turn negative.

利率波動性也大幅增加。四月的前九個交易日，10年期公債殖利率先是大幅下跌，隨後又大幅上漲。整體而言，在短時間內，10年期公債殖利率波動超過100個基點。利率波動和宏觀經濟的普遍不確定性導致金融市場正常關聯性瓦解，流動性受到限制，投資者情緒轉為負面。

The Agency MBS market was not immune to these adverse conditions and also came under significant pressure in early April. In spread terms, the current coupon spread to a blend of five- and 10-year treasury rates widened to 160 basis points, the top of the trading range over the last five quarters. The performance of Agency MBS relative to swaps was substantially worse given the unprecedented narrowing of swap spreads that occurred during the height of the market turmoil.

機構MBS市場未能免受這些不利條件的影響，並且在4月初也承受了巨大壓力。從利差來看，目前五年期和十年期公債殖利率的息差擴大至 160 個基點，為過去五個季度交易區間的最高值。由於在市場動盪最嚴重時期掉期利差出現前所未有的縮小，機構 MBS 相對於掉期的表現明顯較差。

As a result, the current coupon spread to a blend of swap rates reached an intraday peak of 230 basis points. For comparison, the widest level reached during the height of the COVID pandemic was 235 basis points for this measure. As of yesterday, this spread was about 220 basis points still very elevated, but off the wides. AGNC was well prepared for the recent market volatility and navigated it without issue. While AGNC's net asset value was negatively impacted by the mortgage spread widening, the expected return on our portfolio is also now higher as it reflects these wider spread levels.

結果，目前票面利率與混合掉期利率的利差達到了盤中峰值 230 個基點。相較之下，在新冠疫情高峰期，此指標達到的最高水準為 235 個基點。截至昨日，該利差約為 220 個基點，仍然非常高，但已不再寬裕。AGNC 對最近的市場波動做好了充分準備並順利應對。雖然 AGNC 的淨資產價值受到抵押貸款利差擴大的負面影響，但我們投資組合的預期回報率現在也更高，因為它反映了這些更大的利差水平。

Moreover, at current valuation levels, we believe Agency MBS provide investors with a compelling return opportunity on both a levered and unlevered basis. Recent trading history is supportive of this value proposition as well as spreads historically have not remained at these levels for an extended period of time.

此外，在目前的估值水準下，我們認為機構 MBS 可以為投資者提供槓桿和非槓桿基礎上的誘人回報機會。最近的交易歷史支持這一價值主張，而且從歷史上看，利差並沒有長期維持在這些水準。

Agency MBS also offer investors an attractive fixed income alternative to corporate debt and other credit-sensitive instruments, especially in light of the deteriorating economic outlook. For these reasons, and despite the fact that the macroeconomic uncertainty is likely to remain elevated over the near term, our outlook for Agency MBS continues to be very favorable.

機構 MBS 也為投資者提供了一種有吸引力的固定收益替代品，可以取代公司債務和其他信貸敏感型工具，尤其是在經濟前景惡化的情況下。由於這些原因，儘管宏觀經濟不確定性在短期內可能仍會持續上升，但我們對機構 MBS 的前景仍然非常樂觀。

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 Bernie Bell，讓他更詳細地討論我們的財務表現。

Thank you, Peter. For the first quarter, AGNC reported total comprehensive income of $0.12 per common share. Our economic return on tangible common equity was 2.4% consisting of $0.36 in dividends declared per common share and a $0.16 decline in tangible net book value per share due to modest spread widening during the quarter. Quarter end leverage increased to 7.5 times tangible equity, up from 7.2 times at year-end, driven by the decline in tangible net book value per share and the deployment of recently issued equity capital.

謝謝你，彼得。第一季度，AGNC 報告每股普通股綜合收益總額為 0.12 美元。我們有形普通股的經濟回報率為 2.4%，其中包括每股普通股宣布的股息 0.36 美元，以及由於本季利差適度擴大導致每股有形淨帳面價值下降 0.16 美元。季度末槓桿率從年底的 7.2 倍增至有形權益的 7.5 倍，這主要是由於每股有形淨帳面價值下降以及近期發行的股本的部署所致。

Average leverage was 7.3 times for Q1, up slightly from 7.2 times in the fourth quarter. We ended the first quarter with a strong liquidity position consisting of $6 billion in cash and unencumbered Agency MBS, representing 63% of tangible equity. During the quarter, we raised $509 million of common equity through our at-the-market offering program at a material premium to tangible net book value, generating meaningful accretion for common stockholders.

第一季平均槓桿率為7.3倍，略高於第四季的7.2倍。我們在第一季結束時擁有強大的流動性狀況，包括 60 億美元現金和無抵押機構 MBS，佔有形權益的 63%。在本季度，我們透過市場發行計畫籌集了 5.09 億美元的普通股，其溢價遠高於有形淨帳面價值，為普通股股東帶來了有意義的增值。

Net spread and dollar roll income increased $0.07 to $0.44 per common share for the quarter, driven by a higher net interest rate spread and larger asset base. Our net interest rate spread rose 21 basis points to 2.12%. This improvement was driven by higher asset yields, a greater proportion of swap-based hedges, and lower funding costs as our repo positions fully reset to prevailing short-term rate levels during the first quarter. Our treasury-based hedges generated additional net spread income of approximately $0.02 per share for the first quarter which is not reflected in our reported net spread and dollar roll income.

受淨利差增加和資產基礎擴大的推動，本季淨利差和美元滾動收入增加 0.07 美元至每股普通股 0.44 美元。淨利差上升21個基點至2.12%。這一改善是由更高的資產收益率、更大比例的基於掉期的對沖以及更低的融資成本所推動的，因為我們的回購頭寸在第一季完全重置為現行的短期利率水準。我們基於國債的對沖在第一季產生了每股約 0.02 美元的額外淨利差收入，但這並未反映在我們報告的淨利差和美元展期收入中。

Lastly, the average projected life CPR in our portfolio increased to 8.3% at quarter end from 7.7% at year-end, consistent with lower rates. Actual CPRs averaged 7% for the quarter, down from 9.6% in the fourth quarter.

最後，我們投資組合中的平均預期人壽 CPR 從年底的 7.7% 上升至季度末的 8.3%，與較低的利率一致。本季實際 CPR 平均為 7%，低於第四季的 9.6%。

And with that, I'll now turn the call back over to Peter.

說完這些，我現在將電話轉回給彼得。

Thank you, Bernie. Before opening the call up to your questions, I want to provide a brief update on our portfolio as of quarter end and discuss in greater detail our outlook for Agency mortgage-backed securities. As I already mentioned, slower economic growth expectations pushed equity prices meaningfully lower during the quarter. In contrast, fixed income returns as reflected by the major Bloomberg indices were positive with Agency MBS being the best-performing fixed income asset class in the first quarter with a total return of 3.1% followed by US Treasuries at 2.9% and corporate debt at 2.3%.

謝謝你，伯尼。在開始回答您的問題之前，我想簡要介紹我們截至季度末的投資組合，並更詳細地討論我們對機構抵押貸款支持證券的展望。正如我已經提到的，經濟成長放緩的預期導致本季股價大幅下跌。相較之下，彭博主要指數反映的固定收益報酬率為正，其中機構MBS是第一季表現最好的固定收益資產類別，總報酬率為3.1%，其次是美國公債（2.9%）和公司債（2.3%）。

On a hedge basis, however, the performance of Agency MBS was more mixed with spreads to treasuries generally widening during the quarter, particularly in the low and middle coupon segments of the market. The current coupon spread to the blended five- and 10-year treasury rate widened 8 basis points during the quarter.

然而，從對沖的角度來看，機構 MBS 的表現比較複雜，與國債的利差在本季度普遍擴大，特別是在市場中的低息和中息部分。本季度，目前票面利率與五年期和十年期混合國債利率的利差擴大了 8 個基點。

Our asset portfolio totaled $79 billion at quarter end, up about $5 billion from the prior quarter. The mortgages that we added were largely high-quality specified pools and pools with other favorable prepayment characteristics. As a result, the percentage of our assets with favorable prepayment characteristics increased to 77%. The weighted average coupon of our portfolio, meanwhile, remained steady at just over 5%.

截至本季末，我們的資產組合總額為 790 億美元，比上一季增加了約 50 億美元。我們增加的抵押貸款主要是高品質的指定池和具有其他有利預付特徵的池。因此，我們具有良好預付特性的資產比例增加至77%。同時，我們投資組合的加權平均票面利率保持穩定，略高於 5%。

Our aggregate TBA position was relatively stable during the quarter, although the composition shifted to include a combination of Ginnie Mae and conventional UMBS in response to changing implied financing levels and delivery profile characteristics. Consistent with the growth in our asset portfolio, the notional balance of our hedge portfolio increased to $64 billion at quarter end.

本季度，我們的整體 TBA 部位相對穩定，儘管為了應對隱含融資水準和交付概況特徵的變化，我們的組成發生了變化，包括 Ginnie Mae 和傳統 UMBS 的組合。與我們的資產組合的成長一致，我們的對沖組合的名義餘額在季度末增加到 640 億美元。

In duration dollar terms, our hedge portfolio composition was about 40% treasury-based hedges and 60% swap-based hedges at quarter end. Despite the recent financial market volatility, our outlook for Agency MBS remains positive. On the demand side of the equation, we continue to believe that regulatory relief will eventually lead to greater demand for Agency MBS from banks. We also believe more favorable bank capital requirements are forthcoming which could benefit the treasury and swap markets.

以美元久期計算，季度末我們的對沖投資組合構成約為 40% 基於國債的對沖和 60% 基於掉期的對沖。儘管近期金融市場波動，我們對機構 MBS 的前景依然樂觀。從需求角度來看，我們仍然相信監管放鬆最終將導致銀行對機構 MBS 的需求增加。我們也認為，即將推出更優惠的銀行資本要求，可能有利於國債和掉期市場。

Another noteworthy development in the first quarter relates to the future of the GSEs. The rapid recapitalized and release narrative that garnered significant attention at the end of last year, and that was a source of uncertainty for investors seems to have quieted somewhat. Importantly, many key decision-makers have expressed the desire for lower mortgage rates, improved housing affordability, and for the preservation of the many positive attributes that characterize today's housing finance system.

第一季另一個值得注意的發展與政府支持企業的未來有關。去年年底引起廣泛關注、並給投資者帶來不確定性的快速資本重組和釋放敘事似乎已平息。重要的是，許多關鍵決策者都表達了降低抵押貸款利率、提高住房負擔能力以及保留當今住房金融體系的許多積極屬性的願望。

There also appears to be a greater appreciation for the very complex and interconnected nature of our $14 trillion housing finance system, the cornerstone of which is the GSE conventional mortgage market. This most recent episode of financial market volatility is a good reminder that uncertainty related to the housing finance system came quickly to meaningfully higher mortgage rates. In our opinion, the best way to improve housing affordability is to clarify and importantly, make permanent the role of the government in the housing finance system as it exists today.

人們似乎也更認識到我們 14 兆美元住房金融體系的複雜性和相互關聯性，其基石是政府支持企業 (GSE) 傳統抵押貸款市場。最近的金融市場波動很好地提醒我們，與房屋金融體系相關的不確定性迅速導致抵押貸款利率大幅上升。我們認為，提高住房負擔能力的最佳方法是明確政府在現有住房金融體系中的作用，更重要的是，使其永久化。

If the government were to do so, the demand for Agency mortgage-backed securities would increase, the capital requirement for these securities could be reduced to be consistent with Ginnie Mae securities and lastly, mortgage rates and housing affordability would improve. Also noteworthy, taking this action would not preclude the government from choosing a different capital structure for the GSEs at some point in the future.

如果政府這樣做，對機構抵押貸款支持證券的需求就會增加，這些證券的資本要求就會降低，與吉利美證券保持一致，最後，抵押貸款利率和住房負擔能力就會提高。同樣值得注意的是，採取這項行動並不妨礙政府在未來某個時候為政府支持企業選擇不同的資本結構。

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

現在，我們就可以開始回答你們的問題了。

(Operator Instructions) Bose George, KBW.

（操作員指示）Bose George，KBW。

Actually, I wanted an update on your book value. You gave the April 9 number with the pre-release, but how does it look since then?

實際上，我想了解一下你的帳面價值的最新情況。您在預發佈時給出了 4 月 9 日的數字，但從那時起情況如何？

Yes. Thank you for the question, Bose. Yes, Bernie did not include that in the prepared remarks. But mortgage spreads did widen further from our pre-release number. I would have put our book value down at the end of last week, somewhere in the range of 7.5% to 8% range.

是的。謝謝你的提問，Bose。是的，伯尼在準備好的發言中沒有提到這一點。但抵押貸款利差確實比我們公佈之前的數字進一步擴大。我會在上週末將我們的帳面價值降低到 7.5% 到 8% 左右的範圍內。

Okay. Great. And then, I mean, yesterday, spread widening, would that suggest it's a little bit lower since then as well?

好的。偉大的。然後，我的意思是，昨天利差擴大，這是否意味著從那時起利差也略有下降？

Yes. Yesterday was a difficult day in all the markets. Mortgage spreads widened both relative to swaps and relative to treasuries, the number I quoted was 220 basis points was sort of back to the wides we saw. But it's going to be volatile. This is the kind of conditions we are.

是的。昨天對所有市場來說都是艱難的一天。抵押貸款利差相對於掉期和國債均有所擴大，我引用的數字是 220 個基點，有點回到了我們所看到的水平。但它會變得不穩定。我們現在的狀況就是這樣。

I would also point out yesterday that while mortgage spreads did underperform considerably, again, there's not a lot of trading volume. I don't believe it's indicative of any force selling. I believe it's just indicative of really bad investor sentiment. And we also saw again yesterday weakness, if you will, or narrowing of swap spreads, which continues to be a challenge, and that's what's making mortgage performance relative to swaps so difficult.

我昨天還想指出，雖然房貸利差確實表現不佳，但交易量並不大。我不認為這表明存在強制拋售。我相信這只是顯示投資者情緒非常糟糕。如果你願意的話，我們昨天也再次看到了掉期利差的疲軟或縮小，這仍然是一個挑戰，這也是抵押貸款相對於掉期表現如此困難的原因。

It's not so much what's happening with mortgages to an extent, but it's what's happening with the swap market and swap spreads narrowing like they have really been unprecedented kind of moves, which I think are indicative of the currency flows and the balance sheet constraints and just lack of correlations that's going on right now.

在某種程度上，這並不是抵押貸款方面發生的事情，而是掉期市場發生的事情，掉期利差正在縮小，這確實是前所未有的舉措，我認為這表明了貨幣流動和資產負債表的限制，以及目前正在發生的缺乏相關性的情況。

Great. That's helpful. And then can you just talk about the comfort level with the dividend, just given where the mark-to-market book value is, if you can just sort of walk through the ROE math that you guys have done in the past?

偉大的。這很有幫助。然後，您能否談談股息的舒適度，考慮到按市價計價的帳面價值，您是否可以簡單介紹一下您過去所做的 ROE 計算？

Yes. Well, let me start with our -- the benchmark, if you will, is our total cost of capital. We talk about that all the time. At the end of the first quarter, our total cost of capital and the way we're calculating our total cost of capital is the dividends that we pay both on our common and preferred stock, plus all of our operating expenses divided by our total tangible capital which at the end of the first quarter was about $9.5 billion.

是的。好吧，讓我從我們的基準開始——如果你願意的話，那就是我們的總資本成本。我們一直在談論這個。在第一季末，我們的總資本成本以及我們計算總資本成本的方式是我們支付的普通股和優先股的股息，加上我們的所有營運費用，除以我們的總有形資本，在第一季末約為 95 億美元。

And by that measure, it would say that the breakeven return on our portfolio to sustain all of those costs was 16.7%. Now given the update I just gave you, you could do that calculation and that number, obviously, that total cost of capital now based off last week's book value is probably closer to 18%. So the question is, what -- how does that compare to the economic return on our portfolio being a fully mark-to-market portfolio, our returns now on a go-forward basis reflect current market valuations, both relative mortgages relative to swaps and treasuries.

依照這個標準，我們的投資組合在維持所有這些成本的情況下的損益平衡報酬率為 16.7%。現在，根據我剛剛給您的更新，您可以進行計算，顯然，基於上週帳面價值的總資本成本可能接近 18%。所以問題是，這與我們完全以市價計價的投資組合的經濟回報相比如何，我們現在的回報反映了當前的市場估值，包括相對於掉期和國債的相對抵押貸款。

And when you look at it from that perspective, these are really particularly in mortgages versus swaps sort of unprecedented level. So I would say on a go-forward return basis at today's valuation levels, mortgages versus swaps mortgages versus treasuries, the way our portfolio is constructed. I would say expected returns are somewhere between 19% and 20% or 22%. If you looked at mortgages relative to just swaps today.

從這個角度來看，抵押貸款與掉期交易確實達到了前所未有的水平。因此，我想說，以今天的估值水平為基礎，以抵押貸款與掉期抵押貸款與國債的未來回報為基礎，這就是我們的投資組合的構建方式。我認為預期回報率在 19% 到 20% 或 22% 之間。如果您今天看一下與掉期相關的抵押貸款。

And I gave you a blend of mortgages versus the blended swap curve, which I'd like to use just to give you a full picture of two-year, five-year, and 10-year swaps. That spread, it closed yesterday at 220 basis points. So a portfolio of swaps levered the way we lever them would generate a return of low 20% returns. Those are historically high levels.

我向你們提供了抵押貸款與混合掉期曲線的對比，我只是想透過它讓你們全面了解兩年期、五年期和十年期掉期的情況。該利差昨日收盤於 220 個基點。因此，以我們的方式利用掉期組合將產生 20% 的低迴報。這些都是歷史最高水準。

So -- but going back to your question, the point of all that is that yes, our total cost of capital has increased with this mortgage spread widening and decline in our book value, but the go-forward returns still align very well with that total cost of capital.

所以——但回到你的問題，所有這一切的重點是，是的，隨著抵押貸款利差的擴大和賬面價值的下降，我們的總資本成本有所增加，但未來的回報仍然與總資本成本保持良好的一致性。

Crispin Love, Piper Sandler.

克里斯賓·洛夫，派珀·桑德勒。

Just going back to a few weeks ago, can you discuss how you were able to manage the extreme rate volatility where 10-year yields went from about 4% on April 4 to 450 plus over the course of the next few days. Just based on the book value update, seem to have managed it pretty well, but can you detail how you were able to just based on positioning going into as well as active management during the volatility?

回顧幾週前，您能否討論一下您是如何應對極端利率波動的？當時 10 年期公債殖利率從 4 月 4 日的 4% 左右飆升至接下來幾天的 450 多%。僅根據帳面價值更新，似乎已經管理得很好，但您能否詳細說明您是如何做到僅基於定位以及在波動期間進行主動管理的？

Yes. Great question. And one of the reasons why I included a line in my prepared remarks that we were able to navigate that without issue, it really goes to having the discipline to go into the environment with a really strong position. And we ended the quarter at 7.5 thereabouts leverage rounded to 7.5 so it was 0.2 of a turn higher than what we had been operating prior to the first quarter.

是的。好問題。我在準備好的發言中提到我們能夠順利解決這個問題，原因之一就是我們能夠自律地以非常強勢的地位進入這個環境。本季結束時，我們的槓桿率約為 7.5，四捨五入為 7.5，比第一季之前的水平高出 0.2。

Importantly, as Bernie mentioned, we spend an extraordinary amount of time being as efficient as we can with our capital. And so we have a really strong unencumbered cash and liquidity position. At the end of the first quarter, it was $6 billion but importantly, in percentage of equity terms, it was 63% of our equity. That's an extraordinary amount of excess capacity.

重要的是，正如伯尼所提到的，我們花費了大量的時間來盡可能有效地利用我們的資本。因此，我們擁有非常強大的無抵押現金和流動性狀況。在第一季末，這一數字為 60 億美元，但重要的是，以股權百分比計算，它占我們股權的 63%。這是一個極為嚴重的產能過剩問題。

And we operate with that sort of efficiency and hold that capital unencumbered to be able to withstand these sorts of periods of volatility without having to -- importantly, to your question, change our asset composition or delever the portfolio. So we knew exactly what we had going into it. We have plenty of capacity to withstand this sort of spread widening.

我們以這種效率運營，並保持資本不受阻礙，以便能夠承受這種波動時期，而不必 - 重要的是，對於您的問題，改變我們的資產結構或降低投資組合的槓桿率。所以我們清楚地知道我們要做什麼。我們有足夠的能力承受這種利差擴大。

When we shock our portfolio, we always think about the adverse effect on our portfolio and what it will do to our unencumbered liquidity position, what it will do to our leverage we shock interest rates -- we shock interest rates. And importantly, we never is going to be positive or offsetting correlations when we do those calculations. And that's exactly what we saw this episode is.

當我們衝擊投資組合時，我們總是考慮對我們的投資組合產生的不利影響，以及它會對我們的無抵押流動性狀況產生什麼影響，它會對我們的槓桿產生什麼影響，我們會衝擊利率——我們會衝擊利率。重要的是，當我們進行這些計算時，我們永遠不會得到正相關性或抵銷相關性。這正是我們在本集所看到的。

One of the things that made it really challenging for all market participants is we saw a breakdown in correlations. At first, we had a flight-to-quality rally, which made sense that investors wanted to basically reduce equity positions given weaker growth outlook and favored fixed income and Agency MBS as an asset class, as I mentioned, really benefited from that initial move in the first quarter.

對所有市場參與者來說，真正具有挑戰性的一件事是，我們看到了相關性的崩潰。起初，我們經歷了一波避險情緒，這是有道理的，因為考慮到較弱的成長前景，投資者基本上希望減少股票頭寸，並青睞固定收益和機構 MBS 作為資產類別，正如我所提到的，它們確實受益於第一季度的初步舉措。

But those correlations broke down because we had this sort of sentiment shift away from all dollar-denominated assets. But we were able to navigate that by basically just doing nothing and in the market to sort of go through what it had to go through and yes, spreads have widened further, but markets have been orderly, generally speaking, for the last two weeks, and I take that as a positive sign.

但這些相關性被打破了，因為我們的情緒已經遠離所有以美元計價的資產。但我們基本上什麼都不做，就能夠解決這個問題，讓市場經歷它必須經歷的一切，是的，利差進一步擴大了，但總體而言，過去兩週市場是有序的，我認為這是一個積極的信號。

I don't -- I have not seen importantly distressed selling per se. I think we saw some position liquidations importantly, in the swap market, particularly early on that caused a lot of unwinding of swap positions versus treasury position. But subsequent, I think we've just seen the market sort of fall out of favor, but we haven't seen a lot of volume behind this repricing, which maybe is a silver lining. So I'll pause there and let you ask a follow-up.

我沒有——我本身沒有看到過重要的不良資產拋售。我認為我們在掉期市場看到了一些重要的頭寸清算，特別是在早期，這導致掉期頭寸相對於國債頭寸的大量平倉。但隨後，我認為我們剛剛看到市場有點失寵，但我們沒有看到這次重新定價背後的大量交易量，這也許是一線希望。因此我將在此暫停一下，以便您提出後續問題。

Peter. That's all helpful. And in the beginning of that answer, you did mention leverage. But can you just share your go-forward outlook on leverage and the hedge ratio? You said that you expect more volatility. And in recent years, you've kept leverage pretty well contained. So are you comfortable with the recent levels you've had? Or could you take it down even further, just given wider spreads, so returns could be protected even if you bring it down a bit, but just leveraging the hedge ratio?

彼得。這些都很有幫助。在回答的開頭，您確實提到了槓桿。但是您能否分享一下您對槓桿和對沖比率的未來展望？您說您預計波動性會更大。近年來，你們一直將槓桿率控制得相當好。那麼，您對最近的水平感到滿意嗎？或者，您是否可以進一步降低利率，只是考慮到更大的利差，這樣即使您將其降低一點，也可以保護回報，但只需利用對沖比率？

That's exactly right. Certainly, spreads at this level give us the ability on all other things equal, to be able to generate really attractive returns without taking excessive levels of leverage. So that is something, obviously, over time, we'll evaluate. And it's one of the reasons why we went into this episode with lower leverage sort of than our historical norms because we were able to operate with leverage in the low 7s and still generate really attractive returns. So that certainly could be the case going forward.

完全正確。當然，在其他條件相同的情況下，這種程度的利差使我們能夠產生真正有吸引力的回報，而無需採取過度的槓桿作用。因此，顯然，隨著時間的推移，我們會對此進行評估。這也是為什麼我們這次的槓桿率低於歷史標準的原因之一，因為我們能夠以低於 7% 的槓桿率運營，並且仍然獲得非常可觀的回報。因此，未來的情況肯定還會如此。

All that said, I would not expect these spread levels to hold. So if they do on a go-forward basis, certainly, then we would evaluate that. But from everything that we've seen so far, I don't believe that when you look at mortgages versus swaps in particular, that these are sustainable spread levels. I think when you look at -- take for example, current coupon mortgage today, backed by the support of the US government from a credit perspective against the backdrop of a worsening economic outlook and compare that to 10-year swap rates and have that spread be about 200 basis points.

儘管如此，我並不認為這些利差水準能夠維持下去。因此，如果他們確實繼續這樣做，那麼我們肯定會對此進行評估。但從我們目前所看到的一切來看，我認為，當你特別關注抵押貸款與掉期時，這些利差水準並不是可持續的。我認為，當你看到——例如，今天的現行息票抵押貸款，在經濟前景惡化的背景下，從信貸角度得到了美國政府的支持，並將其與 10 年期掉期利率進行比較，利差約為 200 個基點。

That's an extraordinary amount of excess return at 165 basis points of excess return of mortgages versus take, for example, 10-year treasuries. That's a lot of excess marginal return in a 5% or 6% world. I don't think those spreads are sustainable. But it doesn't mean that we don't stay here for a little while. It doesn't mean that we might not go wider, given all of this macroeconomic uncertainty and government policy uncertainty. But we'll certainly evaluate that on a go-forward basis.

與 10 年期公債相比，抵押貸款的超額回報率高達 165 個基點，這是一個非常高的超額回報率。在 5% 或 6% 的世界裡，這是很大的超額邊際收益。我認為這些利差是不可持續的。但這並不意味著我們不會在這裡停留一段時間。考慮到所有這些宏觀經濟不確定性和政府政策不確定性，這並不意味著我們不會採取更進一步的措施。但我們肯定會在未來的基礎上對此進行評估。

Doug Harter, UBS.

瑞銀的道格·哈特。

In the past, you've talked about kind of leverage levels and kind of being confident in kind of ranges holding I know you just mentioned that spread at current levels aren't sustainable. How do you think about the risk that's you could -- spread levels could kind of gap out further given this uncertainty before they kind of normalize and kind of how you think about managing that potential scenario?

過去，您曾談論過槓桿水平以及對保持一定範圍的信心，我知道您剛才提到，當前水平的利差是不可持續的。您如何看待可能的風險—在利差恢復正常之前，考慮到這種不確定性，利差水準可能會進一步擴大，您如何看待應對這種潛在情況？

Well, we certainly have to be prepared for it. And that's what we do every day as we come in and we evaluate those risks and reassess those risks and plan for those sorts of scenarios. And it is absolutely right. I mean there's no doubt that spreads can move wider. Again, it's important to sort of look at the difference in mortgage performance.

嗯，我們當然必須做好準備。這就是我們每天所做的事情，我們評估這些風險並重新評估這些風險，並為這些情況制定計劃。這是絕對正確的。我的意思是，毫無疑問利差還會進一步擴大。再次強調，觀察抵押貸款表現的差異非常重要。

I think this is particularly important in this environment, mortgages versus treasuries and mortgages versus swaps -- in my prepared remarks, I mentioned to take, for example, mortgages versus treasuries, five- and 10-year treasuries at 165 basis points. That is a level that we've seen on a number of occasions over the last five quarters. Not particularly distressed. I talked about that being the upper end of this sort of narrow trading range. And now yesterday, we sort of broke through that and got to 165 basis points.

我認為在這種環境下這一點尤其重要，抵押貸款與國債以及抵押貸款與掉期——在我準備好的發言中，我提到以抵押貸款與國債、五年期和十年期國債為 165 個基點為例。在過去五個季度中，我們已經多次看到這種水平。不是特別苦惱。我說過，這是這種狹窄交易區間的上限。而昨天，我們突破了這一水平，達到了 165 個基點。

Just to put that in context, though, in September of 2023 when interest rates went to 5%, and there was a lot of uncertainty about government issuance. That spread was closer to 190 basis points. That was the old range. So mortgages versus treasuries are wide to the more recent range, but still within the wider band, if you will.

不過，就此而言，2023 年 9 月利率升至 5% 時，政府發行債券存在許多不確定性。該利差接近190個基點。那是舊的範圍。因此，抵押貸款與國債的比率在最近的範圍內較寬，但仍在較寬的範圍內，如果你願意的話。

Mortgages versus swaps is telling a different story. And the story there is not driven by people concerned about mortgages per se. It's simply this technical that happened in the swap market where swap spreads moved so dramatically. They take, for example, in the first quarter, at one point, the expectation was that swap spreads were going to widen as the government reduced regulation and particularly related to the supplemental leverage ratio and a lot of people put trades on betting on that occurrence.

抵押貸款與掉期交易則講述了不同的故事。這個故事本身並不是由關心抵押貸款的人推動的。這只是掉期市場中發生的技術問題，導致掉期利差劇烈波動。舉例來說，在第一季度，人們一度預期，隨著政府減少監管，特別是與補充槓桿率相關的監管，掉期利差將會擴大，許多人押注這種情況會發生。

At one point, in the first quarter, I think 10-year swap spreads got to negative 35-or-so basis points. While we had almost a 30-basis point move wider or narrower excuse me, more negative. And that really is the driver of the mortgage performance. It's not that people particularly concerned about mortgages. They're not. There's nothing technically or fundamentally wrong with the Agency mortgage market.

我認為，在第一季度，10 年期掉期利差一度達到負 35 個基點左右。雖然我們的幅度幾乎是 30 個基點，但恕我直言，幅度更大或更小，更為負面。這確實是抵押貸款績效的驅動因素。人們並不是特別關心抵押貸款。他們不是。從技術上或根本上來說，代理抵押貸款市場並沒有什麼問題。

And eventually, people will look at that value from a fixed income perspective and say, even on an unlevered basis or a coupon mortgage close to a 6% return, great credit profile, great return relative to treasuries, great return relative to swaps. I think money will flow to this asset class, particularly out of corporates and into this asset class. So that's one of the reasons that I'm confident that eventually, people will look at this and say these valuation levels are unsustainable.

最終，人們將從固定收益的角度來看待該價值，並說，即使在無槓桿基礎上或息票抵押貸款回報率接近 6%，信用狀況也很好，相對於國債回報率很高，相對於掉期回報率也很高。我認為資金將流入這個資產類別，特別是從企業流入這個資產類別。所以我相信，最終人們會看到這一點並認為這些估值水平是不可持續的。

But you're right, we have to prepare for more widening and more distress than we do, and we are, and we'll just wait it out. Part of the reason that we're able to navigate this most recent period is having a really diversified portfolio. So different coupons, different mix of assets, high pay-ups, low pay-ups, generic pools, TBA, you have to have all that in order to navigate that, and you have to have a really strong cash and unencumbered liquidity position, and we have all that.

但您說得對，我們必須為更大的擴張和更大的困境做好準備，而且我們也正在這樣做，我們只是在等待。我們之所以能夠度過最近這段時期，部分原因在於我們擁有真正多元化的投資組合。因此，不同的優惠券、不同的資產組合、高額支付、低額支付、通用池、TBA，您必須擁有所有這些才能駕馭這一切，並且您必須擁有真正強大的現金和無負擔的流動性狀況，而我們擁有所有這些。

And I guess just following up on that, Peter, given the move, the volatility in swap spreads, have you or are you considering kind of changing some of the makeup of your hedge portfolio?

我想繼續問這個問題，彼得，考慮到這一舉措，掉期利差的波動，您是否考慮過改變對沖投資組合的一些構成？

Yes, that's a great question. And I put in my prepared remarks; it's about 60% from a duration dollar perspective. So when you think about it from a market value perspective, it's important to think about the mix of your hedges on a duration dollar basis. And yes, we have a little bit higher weight now to swaps.

是的，這是一個很好的問題。我也發表了準備好的發言；從持續時間美元角度來看，這一比例約為 60%。因此，當您從市場價值的角度考慮時，重要的是要根據期限美元來考慮對沖的組合。是的，我們現在對掉期交易的重視程度有所提高。

I do think that over time, that a sort of a base case may be that a 50-50 mix may be the best mix on a go-forward basis as a starting point. And I say that because it's important we are seeing in the marketplace to have great diversification and that also applies from the asset portfolio as well as the hedge portfolio because we see all these sorts of temporary dislocations that have occurred, and they happen from time to time, and they happen for reasons that nobody anticipated like the tariffs.

我確實認為，隨著時間的推移，一種基本情況可能是，50-50 的組合可能是未來發展的最佳組合，作為起點。我之所以這麼說，是因為我們看到市場高度多樣化非常重要，這也適用於資產組合和對沖組合，因為我們看到所有這些暫時的混亂已經發生，而且它們時有發生，其發生的原因沒有人預料到，比如關稅。

The same applies for having great diversification in your hedge portfolio, and I think that's sort of the base case for us is that we want to have a mix on a go-forward basis that gives us the best diversification so the starting point may be having hedges across the curve for sure, but also having a mix of both treasury and swap based hedges so that we're able to withstand these periods as best we can. And that served us well this time. So I think you're right to some extent that the mix may come down on a go-forward basis.

這同樣適用於對沖投資組合的高度多樣化，我認為這對我們來說是一種基本情況，即我們希望在未來的基礎上擁有一種組合，從而為我們提供最佳的多樣化，因此起點可能是肯定在整個曲線上進行對沖，但也要混合使用國債和掉期對沖，以便我們能夠盡可能地抵禦這些時期。這次，我們的努力取得了很好的效果。因此我認為你在某種程度上是對的，混合比例可能會在未來下降。

Trevor Cranston, Citizens JMP.

特雷弗·克蘭斯頓 (Trevor Cranston)，公民 JMP。

Trevor?

特雷弗？

Actually, a follow-up question on your choice of hedge instruments and swap spreads. You mentioned sort of the unwinding of trades betting on a widening of spreads in the earlier part of this year. Can you maybe just share your thoughts on kind of where you think we are in that process and kind of what your general outlook is for swap spreads going forward from here?

實際上，這是一個關於您選擇的對沖工具和掉期利差的後續問題。您提到了今年早些時候押注利差擴大的交易的平倉。您能否分享一下您認為我們目前處於哪個過程以及您對未來掉期利差的整體展望？

Yes. So I think from a -- although yesterday spread move was substantial. That was about a 3-basis point narrowing in swap spreads in the 10-year part of the curve yesterday which was a little surprising given that I felt like after the initial period, which is, call it, April 6 through the tenth period, I felt like a lot of volume had been unwound on that trade.

是的。因此我認為從 — — 儘管昨天的價差變動很大。昨天，10 年期曲線部分的掉期利差縮小了約 3 個基點，這有點令人驚訝，因為我覺得在初始階段（也就是 4 月 6 日至第十個階段）之後，這筆交易的成交量已經大幅減少。

I think what we're seeing in the swap market right now is indicative of a couple of things. I think it's indicative of just generally, they're being some balance sheet constraints at financial intermediaries that we have come to understand. And if you listen to bank's CEOs last week, they all point out that they have balance sheet constraints due to regulatory requirements, and they're asking for relief on that because they feel like they can do more. So I think that's part of what's happening.

我認為我們目前在掉期市場上看到的情況表明了幾件事。我認為這總體上表明我們已經了解到金融中介機構的資產負債表存在一些限制。如果你聽聽上週銀行執行長們的言論，你會發現他們都指出，由於監管要求，他們的資產負債表受到了限制，他們正在請求放寬這方面的限制，因為他們覺得自己可以做得更多。所以我認為這是正在發生的事情的一部分。

And I think also, it's just indicative of this pessimistic outlook for US dollar-denominated assets period, and it's causing people to not want to hold hard US dollar assets and prefer to hold that asset in derivative form, and that's causing swap spreads to be as narrow as they are. What I would say is that it's also very clear to us this is well telegraphed that I do expect a change from a regulatory perspective with respect to the supplemental leverage ratio -- the Fed has talked about it. The Treasury Secretary has talked about it.

而且我還認為，這只是顯示了人們對美元計價資產的悲觀前景，這導致人們不願意持有硬美元資產，而更願意以衍生品形式持有該資產，這導致掉期利差如此狹窄。我想說的是，我們也非常清楚，我確實預計從監管角度來看補充槓桿率會發生變化——聯準會已經討論過這個問題了。財政部長已經談過這個問題。

I think everybody agrees that they will ultimately get rid of that supplemental leverage ratio, which would benefit the treasury market, and I think that would drive swap spreads wider. The issue with that is that it's taken longer than the market anticipated. And part of the reason why it's taken so long, just from the Fed's own words, is they did not want to make a regulatory change of significance without having the Head of Bank Supervision Michelle Bowman, confirmed and in that position. And she just went through the nomination process a week ago, confirmation that's expected in a couple of weeks. I expect that to be a catalyst at some point going forward for some normalization in the swap market.

我認為每個人都同意他們最終將擺脫補充槓桿率，這將有利於國債市場，我認為這將推動掉期利差擴大。問題在於，它所花的時間比市場預期的要長。而之所以花了這麼長時間，部分原因在於，僅從美聯儲自己的話來說，就是他們不想在銀行監管負責人米歇爾鮑曼沒有得到確認並上任的情況下做出重大的監管變革。一週前她剛完成提名程序，預計將在幾週內確認。我預計這在某種程度上將成為掉期市場正常化的催化劑。

Got it. Okay. That's helpful. And then on the capital side of things, obviously, you guys have been utilizing the ATM program over the last several quarters. Can you just give an update on kind of how you guys are thinking about that after the selloff over the last few weeks?

知道了。好的。這很有幫助。然後在資本方面，顯然，你們在過去幾個季度一直在利用 ATM 計劃。您能否介紹一下在過去幾週的拋售之後，你們對此有何看法？

Sure. We certainly have used that as opportunistically as possible. First quarter is another good example of that. We're able to raise capital very accretively from a book value perspective. As I mentioned, that went to support the growth of our portfolio. That's why we grew $5 billion.

當然。我們確實盡可能地利用了這一點。第一季就是另一個很好的例子。從帳面價值的角度來看，我們能夠非常有效率地籌集資金。正如我所提到的，這支持了我們投資組合的成長。這就是我們成長 50 億美元的原因。

And so from existing shareholder accretion perspective, I think that was a really good example of our existing shareholders benefiting from a book value perspective and then also from the long run from an earnings perspective. I think at all -- that same approach still holds today at these valuation levels, certainly, as I mentioned, good time to deploy capital -- so we're going to continue to approach that very opportunistically.

因此，從現有股東增值的角度來看，我認為這是一個很好的例子，我們的現有股東從帳面價值角度受益，從長期獲利角度也受益。我認為，同樣的方法在今天的估值水準上仍然適用，當然，正如我所提到的，這是部署資本的好時機——所以我們將繼續非常投機地採用這種方法。

Matthew Erdner, Jones Trading.

馬修‧艾德納（Matthew Erdner），瓊斯貿易公司。

Kind of as a follow-up to the ATM, could you talk about kind of the pace of deployment throughout the quarter? And it looks like you guys' kind of invested in that 5.5 coupon there. And as a follow-up to that, where do you guys think is the best opportunity in the coupon stack right now?

作為 ATM 的後續行動，您能談談整個季度的部署速度嗎？看起來你們好像對那張 5.5 的優惠券進行了投資。接下來，你們認為現在優惠券堆疊中最好的機會在哪裡？

Yes. If you go back to my comments on the fourth quarter call in January, I mentioned that we had been slow to deploy capital that we raised in the fourth quarter because we're waiting for a better investment opportunity and that -- at that time, I felt like the opportunities were emerging, and we had begun to deploy that capital sort of around that time of that earnings call, which was January.

是的。如果你回顧我在一月份第四季度電話會議上的評論，我提到我們在部署第四季度籌集的資金方面進展緩慢，因為我們正在等待更好的投資機會，而且當時，我覺得機會正在出現，我們開始在收益電話會議前後部署這些資金，也就是一月份。

So that gives you some perspective as to when we deploy that. And you're right, our weighted average coupon on our portfolio did not change hardly at all, maybe one basis point, I think it was 5.03% for the quarter, which tells you that the mortgages that we added were all concentrated around that coupon cell in the 5.5% area. We like that part of the curve.

這樣您就可以了解我們何時部署它。您說得對，我們投資組合的加權平均票面利率幾乎沒有變化，可能只有一個基點，我認為本季度是 5.03%，這說明我們增加的抵押貸款都集中在 5.5% 區域的票面利率附近。我們喜歡曲線的部分。

As I mentioned, the pools that we bought had either high-quality characteristics or some form of prepayment characteristics that we viewed as favorable -- about $1 billion of that growth came in the form of TBAs. And on that point, and this gets to sort of our view of value going forward. I would say that -- we are seeing improvement in the dollar roll carry implied financing levels, particularly in conventionals today going forward relative to where conventionals were rolling last year really unattractive in the dollar roll market, better to finance those positions on balance sheet.

正如我所提到的，我們購買的資金池要么具有高品質特性，要么具有我們認為有利的某種形式的預付款特性——其中約 10 億美元的增長來自 TBA 的形式。關於這一點，這涉及到我們對未來價值觀的看法。我想說的是——我們看到美元展期隱含融資水平有所改善，特別是今天的傳統融資水平相對於去年傳統融資水平有所提高，美元展期市場確實沒有吸引力，最好在資產負債表上為這些頭寸融資。

That has sort of gradually improved over the course of the first quarter. It's one of the reasons why we moved some of our TBA position from Ginnie Mae's to UMBS in the first quarter. And on a go-forward basis, if that continues, I would expect us to hold perhaps more TBAs because of the pickup in implied financing levels. From a pool perspective, we continue to like the intermediate part of the coupon stack because it gives us some prepayment protection naturally, given mortgage rates now are back close to 7%.

在第一季度，這種情況已經逐漸改善。這也是我們在第一季將部分 TBA 部位從 Ginnie Mae 轉移到 UMBS 的原因之一。從未來來看，如果這種情況持續下去，我預計我們可能會持有更多的 TBA，因為隱含融資水準會上升。從池子的角度來看，我們仍然喜歡息票堆疊的中間部分，因為考慮到現在的抵押貸款利率已回升至接近 7%，它自然會給我們一些提前還款保護。

They're not there this morning, but they're 6.8%, 6.9%. So we like that intermediate part of the curve. We still have good carry there. And to the extent that we buy higher coupons, and we do still like higher coupons, we would look to buy those with some sort of prepayment protection.

今天早上還沒有達到這個數字，但是比例是 6.8%、6.9%。所以我們喜歡曲線的中間部分。我們在那裡仍然有很好的表現。在我們購買更高息票的範圍內，而且我們仍然喜歡更高息票，我們會考慮購買那些具有某種預付款保護的息票。

Got it. That's very helpful. I appreciate all the color to that.

知道了。這非常有幫助。我很欣賞這一切的色彩。

Jason Stewart, Janney Montgomery.

傑森史都華、珍妮蒙哥馬利。

A couple of quick follow-ups. You've talked a lot about conceptually changing the swap portfolio, the hedge portfolio going forward? Were there any meaningful changes to date post quarter end that we can incorporate for our modeling purposes?

一些快速的後續行動。您已經多次談論如何從概念上改變掉期投資組合和對沖投資組合？季度末之後，是否有任何有意義的變化可以納入我們的建模目的？

There have not. We have not really any substantial portfolio changes.

沒有。我們的投資組合其實並沒有任何實質的改變。

Okay. And then just a clarification. Your 7.5% to 8% down on book was since March 31, not the prerelease date, right?

好的。然後只是澄清一下。您所說的 7.5% 到 8% 的折扣是自 3 月 31 日開始的，而不是預發行日期，對嗎？

Yes.

是的。

Got you. Okay. And then you mentioned --

明白了。好的。然後你提到--

Thank you for that clarification, by the way.

順便說一句，感謝您的澄清。

Yes, no problem. You mentioned greater appreciation for complexity of the housing finance system. Is that comment tied to the SLR change that you're expecting? Or is there something more specific to housing that you see as a catalyst to kind of get some clarity in the market?

是的，沒問題。您提到了對住房金融體系複雜性的更多認識。該評論與您預期的 SLR 變化有關嗎？或者，您是否認為住房方面存在一些更具體的東西，可以作為促進市場明晰的催化劑？

Yes. I went into those -- that sort of explanation of the GSEs because I really do think that one of the things that is emerging. And I think this is an important -- when you think about the outlook for Agency MBS. I think this is -- we're in an environment where spreads are really historically cheap. It's a great buying opportunity, but there's a lot of uncertainty around that a lot of volatility and a lot of unknowns because of the macro back up. There's no doubt about that.

是的。我深入研究了這些 — — 對政府支持企業 (GSE) 的這種解釋，因為我確實認為這是正在出現的事情之一。我認為，當您考慮機構 MBS 的前景時，這一點很重要。我認為，我們所處的環境中的利差確實處於歷史低點。這是一個很好的購買機會，但由於宏觀經濟復甦，存在許多不確定性、波動性和未知因素。毫無疑問。

But on the GSE front, I think it is important to recognize that while there was a lot of noise, if you will, for lack of better of term, about the future of the GSEs, I think what is clear from some of the comments, particularly take, for example, the Treasury Secretary where he mentioned the importance of lower mortgage rates and the importance of housing -- improving housing affordability. Interestingly, he even mentioned early on after he got confirmed. He even mentioned where mortgage spreads were trading in a particular day, which I thought was indicative of his awareness and the importance of that issue to the administration.

但在政府支持企業方面，我認為必須認識到，儘管由於缺乏更好的術語，關於政府支持企業的未來存在很多噪音，但我認為從一些評論中可以清楚地看出，特別是例如財政部長提到降低抵押貸款利率的重要性以及住房的重要性——提高住房負擔能力。有趣的是，他在得到確認後不久就提到了這一點。他甚至提到了某一天抵押貸款利差的交易情況，我認為這表明了他對該問題的認識以及政府對該問題的重要性。

So while there may be ongoing debate about the GSEs and the ultimate capital structure, my point was that the system -- the housing finance system, and the key part of it is the conventional mortgage market created by the GSEs. It is functioning extraordinarily well. And I think there's an appreciation that you can't simply just make a change as looks like it's not a complicated change, but it does have far-reaching implications.

因此，儘管關於政府支持企業和最終資本結構的爭論仍在繼續，但我的觀點是，該系統——住房金融系統，其關鍵部分是政府支持企業創建的傳統抵押貸款市場。它的運作情況非常好。我認為人們應該認識到，不能簡單地做出改變，因為這看起來不是一個複雜的改變，但它確實具有深遠的影響。

Take, for example, the TBA market. The TBA market is what it is today because it trades without credit risk and $300 billion of TBA trade at every single day. That's an incredibly liquid market that is the underpinning of all of our housing finance system. It's critical to originations. It's critical to servicing. It's critical to homeowners being able to lock in a mortgage rate 30 or 60 or 90 days forward.

以TBA市場為例。TBA 市場之所以能有今天，是因為其交易沒有信用風險，而且每天的 TBA 交易額高達 3000 億美元。這是一個流動性極強的市場，也是我們整個房屋金融體系的基礎。這對於起源來說至關重要。這對於維修來說至關重要。對於房主來說，能夠鎖定 30 天、60 天或 90 天後的抵押貸款利率至關重要。

I think there's a greater appreciation of all of that interconnectedness today. And so while we can debate about what ultimate structure the GSEs may take. I think it's also clear that the GSEs do an incredible amount of good for our housing finance system. And that if we want housing affordability to improve and I think we certainly do, given where mortgage rates are, then we have to approach this issue really thoughtfully, really cautiously.

我認為今天人們對所有這些相互聯繫有了更深的認識。因此，我們可以討論政府支持企業最終將採取什麼樣的結構。我認為，政府支持企業顯然對我們的房屋金融體係做出了巨大的貢獻。如果我們希望提高住房負擔能力，而且考慮到抵押貸款利率，我認為我們確實希望這樣做，那麼我們必須非常認真、非常謹慎地對待這個問題。

And I think that sentiment was expressed clearly by the Treasury Secretary. So that's sort of our view is, look, at the end of the day, the PSPA and the structure today with the GSEs operating with a strong capital position, the preferred stock agreement being outstanding, given additional support to the GSEs. GSEs making a payment to the government is working extraordinarily well. So you can still make changes going forward, but you have to preserve that core. I'll pause there.

我認為財政部長已經明確表達了這種觀點。因此，我們的觀點是，從今天的情況來看，PSPA 和結構使得 GSE 擁有強大的資本實力，優先股協議尚未履行，從而為 GSE 提供了額外支持。政府支持企業向政府付款的運作非常良好。因此，你仍然可以繼續做出改變，但你必須保留那個核心。我就在這裡暫停一下。

Eric Hagen, BTIG.

BTIG 的 Eric Hagen。

I want to take your temperature on the prepayment environment and maybe how you'd characterize the level of convexity risk that you see in the market generally and how you maybe compare the level of convexity risk that we're taking in the portfolio with spreads at these levels versus the nature of the level of prepayment risk in the portfolio, the last time spreads were near these levels?

我想了解一下您對提前還款環境的看法，以及您如何描述市場上普遍存在的凸度風險水平，以及如何比較我們在投資組合中承擔的凸度風險水平與這些水平的利差以及投資組合中提前還款風險水平的性質，上次利差接近這些水平時的情況如何？

Sure. I'll get to that one second. I just want to go back, just go back to that last question about make sure people understand our book value update. That book value update, obviously was through the end of last week from the 31. It also includes our dividend accrual. So I just want to make sure that people understood that. On the prepayment outlook, a couple of things there, and then we can talk about it in greater detail.

當然。我馬上就講到這一點。我只是想回到最後一個問題，確保人們理解我們的帳面價值更新。顯然，帳面價值的更新是截至上週末（31 日）的。它還包括我們的股息累積。所以我只是想確保人們理解這一點。關於預付款前景，有幾件事，然後我們可以更詳細地討論。

Obviously, one thing that has occurred is the Rocket Mr. Cooper merger. So all other things equal, that's going to make the universe a little bit more negatively convex given the speed and their refinance efficiency -- but just to put it in context for example, I think from an origination perspective, that new entity will represent something like 10% of originations and 15% of servicing volume and all other things equal, ROCCAT probably is maybe 10% to 20% faster than the universe in terms of refinanceability. So there was a little more convexity coming but overall, where the mortgage market is today, prepayment risk is a risk. And certainly, our portfolio has more call risk than extension risk.

顯然，已經發生的一件事就是 Rocket 與 Cooper 先生的合併。因此，在其他所有條件相同的情況下，考慮到速度和再融資效率，這將使宇宙的負凸性稍微增強一點 - 但僅舉個例子，我認為從發起的角度來看，新實體將代表大約 10％ 的發起量和 15％ 的服務量，而在其他所有條件相同的情況下，ROCCAT 在再融資能力方面可能比宇宙 20%。因此，凸性會稍微增強，但總體而言，就目前的抵押貸款市場而言，提前還款風險仍然是一種風險。當然，我們的投資組合的看漲風險大於延期風險。

You can see that in our sensitivity. We're still a really long way away from having any significant amount of refinance risk in the system as a whole. For example, with the mortgage rate -- prevailing mortgage rate being at 6% and for context, it's 6.80% or so this morning. Only 15% of the universe would have a 50-basis point refinance incentive. If the mortgage rate dropped to 5%, so almost 200 basis points lower than today, the amount in the universe that would have a 50-basis point incentive is 25%.

您可以從我們的敏感度中看到這一點。我們距離整個系統出現任何重大的再融資風險還有很長的路要走。例如，抵押貸款利率——現行抵押貸款利率為 6%，就背景而言，今天早上的利率約為 6.80%。只有 15% 的經濟體將享有 50 個基點的再融資誘因。如果抵押貸款利率下降到 5%，比現在低近 200 個基點，那麼宇宙中能夠獲得 50 個基點激勵的金額就是 25%。

So we have a long way to go. And if anything, right now, given what's happened in the market, and the way the yield curve is steepening, it's actually particularly 10-year rates, 20-year rates, 30-year rates, it's actually pushing the mortgage rate even higher. So there's a scenario where pre-payments become an issue, but it would take a really significant rally. From our perspective, and this is one of the reasons why I mentioned this number in our tables we typically only have disclosed our high-quality pool characteristics, which were 42% in the one table in our presentation.

所以我們還有很長的路要走。而如果說現在有什麼不同的話，考慮到市場的情況，以及殖利率曲線趨於陡峭化的方式，實際上特別是 10 年期利率、20 年期利率、30 年期利率，這實際上正在推高抵押貸款利率。因此，預付款確實會成為一個問題，但這需要一次真正顯著的反彈。從我們的角度來看，這也是我在表格中提到這個數字的原因之一，我們通常只揭露我們的高品質池特徵，在我們簡報中的一個表格中，這一比例為 42%。

But I often reference the other characteristics that we have in our portfolio that we value from a prepayment perspective, whether they be other geographies or other loan balances or other FICO or characteristics or LTVs and that number, as I mentioned, is up around 75% -- a little more than 75%. So from our perspective, particularly in our higher coupon holdings, and this is really important, whether our 6% holdings or 6.5% holdings those positions in pool form have something in the neighborhood of around 95% of those positions have some sort of embedded prepayment protection that we value.

但我經常參考我們投資組合中從預付款角度重視的其他特徵，無論是其他地區、其他貸款餘額、其他 FICO 或特徵或 LTV，正如我所提到的，這個數字上漲了約 75% - 略高於 75%。因此，從我們的角度來看，特別是在我們較高票面利率的持股中，這一點非常重要，無論我們的 6% 持股還是 6.5% 持股，這些以池子形式存在的頭寸大約有 95% 左右具有某種我們重視的嵌入式預付款保護。

It's not to say that they're never going to prepay. But there are characteristics that we really value. So the way we're managing that prepayment risk in this environment is really looking at those underlying characteristics and a much greater detail than just, for example, a high-quality loan balance perspective and making sure that we have significant protection on our entire portfolio. So I'll pause and let you ask questions.

這並不是說他們永遠不會預付款。但有些特質是我們真正重視的。因此，在這種環境下，我們管理提前還款風險的方式實際上是關注那些基本特徵，而且比僅僅關注高品質貸款餘額等更為詳細，並確保我們對整個投資組合進行有效的保護。因此我會暫停一下並讓你們提問。

That's great stuff. I appreciate the detail. I want to ask maybe a more general question related to the mortgage market and the sensitivity that you guys see to margin calls with respect to levered investors like mortgage REITs potentially being forced to sell assets or raise liquidity in certain shock scenarios and whether you think that could reverberate or contribute to wider mortgage spreads and how meaningful do you guys think that risk is in the market right now?

這真是太棒了。我很欣賞這個細節。我想問一個更普遍的問題，與抵押貸款市場有關，你們認為對於槓桿投資者（如抵押貸款房地產投資信託基金）追加保證金的敏感性，在某些衝擊情況下，這些投資者可能被迫出售資產或提高流動性，你們認為這是否會產生反響或導致抵押貸款利差擴大，你們認為目前市場上的風險有多大？

Well, I don't think any of that had anything to do with the existing repricing in the mortgage market. Absolutely not. I did not see any of that. Haven't heard about anything like that. What we did see, and this is often the case, this is sort of the world that we live in. We know that the predominant flow in the mortgage market, and particularly, is passive money, right? And that's both good and bad in that when fixed income flows are increased are picking up, we're seeing demand for money managers to buy mortgages.

嗯，我認為這些都與抵押貸款市場現有的重新定價無關。絕對不是。我什麼都沒看到。我還沒聽過這樣的事。我們確實看到了，而且這種情況經常發生，這就是我們生活的世界。我們知道抵押貸款市場的主要資金流，尤其是被動資金，對嗎？這有好有壞，因為當固定收益流量增加時，我們看到了基金經理人購買抵押貸款的需求。

And conversely, when all the markets, all -- when I talk about all the market, when I talk about the bond market and the equity markets, everybody moved to cash or wanting to take risk off the table, what we saw early in April is bond fund redemptions. And so the predominant flow that we observed that did have an impact on mortgage valuations was money flowing out of bond funds, where they're just simply raising liquidity for anticipated redemptions or actual redemptions.

相反，當所有市場，所有 — — 當我談論所有市場時，當我談論債券市場和股票市場時，每個人都轉向現金或想規避風險，我們在 4 月初看到的是債券基金贖回。因此，我們觀察到對抵押貸款估值產生影響的主要資金流是從債券基金流出的資金，這些資金只是為預期贖回或實際贖回提高流動性。

That quieted down from what we've observed -- the market, for example, last week came under a little bit of pressure on Thursday because we had a long holiday weekend, and we had a relatively high origination volume day ahead of the long weekend. So little things like that have pushed the market. That's not unusual.

從我們觀察到的情況來看，市場已經平靜下來——例如，上週四市場承受了一點壓力，因為我們有一個長週末假期，在長週末之前，我們的交易量相對較高。像這樣的小事就推動了市場的發展。這並不罕見。

But overall, I have not seen anything about force deleveraging, particularly when you look at the REIT community, and you can look at all of the disclosures, all the REITs are in a really strong position. Look at their liquidity positions, you look at their leverage positions, you look at their portfolio. So I don't anticipate that being an issue.

但總體而言，我還沒有看到任何關於強制去槓桿的跡象，特別是當你觀察房地產投資信託基金 (REIT) 社區時，你可以查看所有的披露信息，你會發現所有 REIT 都處於非常強勁的地位。看看他們的流動性狀況，看看他們的槓桿狀況，看看他們的投資組合。所以我不認為這會是一個問題。

Rick Shane, JPMorgan.

摩根大通的里克·沙恩。

Actually, Jason asked the question I wanted to ask, and he asked it far more articulately than I would have. So thank you.

實際上，傑森問了我想要問的問題，而且他問得比我清楚得多。所以謝謝你。

We have one more question.

我們還有一個問題。

Harsh Hemnani, Green Street.

哈什‧赫姆納尼 (Harsh Hemnani)，綠街。

So you sort of touched on swap spreads to mortgages widening a lot more than spread treasuries and maybe on the flip side of that, if I heard you correctly, I think you mentioned that the swap-based hedges might come down or that's what you're planning to do. Can you talk through that decision on how you're paying on the one hand, sort of playing offense because these spreads look unsustainably high versus, on the other hand, being more diversified and more defensive. So could you walk through your thoughts on the business in making there?

因此，您提到了抵押貸款掉期利差比國債掉期利差擴大得多，也許另一方面，如果我沒有聽錯的話，我認為您提到基於掉期的對沖可能會下降，或者這就是您計劃做的。您能否談談這項決定？一方面，由於這些利差看起來高得難以維持，您採取進攻策略；另一方面，您採取更加多樣化和更具防禦性的策略。那麼，您能談談對在那裡開展業務的想法嗎？

Yes. No, you're right. So I mentioned both those factors. And I also mentioned that we have not made any change to our swap portfolio. So important from that perspective. So that would be something when I answered that question, I was more referring to, over the long run, that may be something that we factor into our overall risk management strategy as sort of from a base case desire to have a more balanced position between swaps and treasuries.

是的。不，你是對的。所以我提到了這兩個因素。我還提到，我們沒有對我們的掉期投資組合做出任何改變。從這個角度來看非常重要。因此，當我回答這個問題時，我更多的是指，從長遠來看，這可能是我們納入整體風險管理策略的因素，從基本情況來看，我們希望在掉期和國債之間保持更平衡的地位。

But we'll have to wait and ultimately have the market settled and volatility to come down and make that determination. But in the short run, you're 100% correct that there is much better carry on mortgages versus swaps and we'll try to take advantage of that.

但我們必須等待，最終等到市場穩定下來、波動性下降後再做出決定。但從短期來看，您說的完全正確，抵押貸款比掉期貸款有更好的效果，我們會盡力利用這一點。

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

謝謝。我們現在完成了問答環節。我想將電話轉回給 Peter Federico 來做總結演講。

Well, again, thank you, everyone, for participating on the call. Thank you for the questions. Although the market is volatile, as I mentioned, our long run view continues to be very positive for Agency MBS as an asset class, and we look forward to talking to you again at the end of the end of the second quarter.

好吧，再次感謝大家參加電話會議。謝謝您的提問。儘管市場波動，但正如我所提到的，我們對機構 MBS 作為資產類別的長期看法仍然非常樂觀，我們期待在第二季末再次與您交談。

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

謝謝。感謝您參加此通話。您現在可以斷開連線。