AGNC Investment Corp (AGNCO) 2020 Q3 法說會逐字稿

Good morning, and welcome to the AGNC Investment Corp.'s Third Quarter 2020 Shareholder Call. (Operator Instructions) Please note, this event is being recorded.

早安，歡迎參加 AGNC Investment Corp. 2020 年第三季股東電話會議。 （操作員說明）請注意，正在記錄此事件。

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

我現在想將會議交給投資者關係部門的凱蒂·懷斯卡弗 (Katie Wisecarver)。請繼續。

Thank you all for joining AGNC Investment Corp.'s Third Quarter 2020 Earnings Call.

感謝大家參加 AGNC Investment Corp. 的 2020 年第三季財報電話會議。

Before we begin, I'd like to review the safe harbor statement. This conference call and corresponding slide presentation contain statements that, to the extent they are not recitations of historical fact, constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. All such forward-looking statements are intended to be subject to the safe harbor protection provided by the Reform Act. Actual outcomes and results could differ materially from those forecasts due to the impact of many factors beyond the control of AGNC. All forward-looking statements included in this presentation are made only as of the date of this presentation and are subject to change without notice. Certain factors that could cause actual results to differ materially from those contained in the forward-looking statements are included in the Risk Factors section of 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.

在我們開始之前，我想回顧一下安全港聲明。本次電話會議和相應的幻燈片演示所包含的陳述，在不複述歷史事實的情況下，構成 1995 年《私人證券訴訟改革法案》含義內的前瞻性陳述。所有此類前瞻性陳述均旨在受改革法規定的安全港保護。由於 AGNC 無法控制的許多因素的影響，實際結果和結果可能與預測有重大差異。本簡報中包含的所有前瞻性陳述僅在本簡報發布之日作出，如有更改，恕不另行通知。 AGNC 向美國證券交易委員會提交的定期報告的風險因素部分包含了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某些因素。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 Gary Kain, Chief Executive Officer; Bernie Bell, Senior Vice President and Chief Financial Officer; Chris Kuehl, Executive Vice President; Aaron Pas, Senior Vice President; and Peter Federico, President and Chief Operating Officer.

參加電話會議的包括執行長加里·凱恩 (Gary Kain)；伯尼·貝爾，資深副總裁兼財務長；克里斯‧庫爾，執行副總裁；亞倫‧帕斯，資深副總裁；以及總裁兼營運長 Peter Federico。

With that, I'll turn the call over to Gary Kain.

這樣，我會將電話轉給加里·凱恩 (Gary Kain)。

Thanks, Katie, and thanks to all of you for your interest in AGNC.

謝謝凱蒂，也謝謝大家對 AGNC 的興趣。

We were extremely pleased with the performance of our portfolio in the third quarter, with economic return totaling almost 9%. We have now recovered the vast majority of our Q1 economic loss over the past 2 quarters.

我們對第三季投資組合的表現非常滿意，經濟報酬率總計接近 9%。現在，我們已經在過去兩個季度中挽回了第一季的大部分經濟損失。

Importantly, as demonstrated by our strong net spread and dollar roll income for the quarter, we remain optimistic about the earnings power of our portfolio.

重要的是，正如本季強勁的淨利差和美元滾動收入所證明的那樣，我們對投資組合的獲利能力仍然持樂觀態度。

During the third quarter, equity markets continued to strengthen and interest rate volatility remained muted despite the upcoming election and the inability of lawmakers to agree on a new stimulus package. The continued resilience in financial markets is a testament to the tremendous liquidity provided by global central banks and the market's confidence that future monetary and fiscal support will be able to bridge the remaining economic gap before a vaccine becomes widely available.

第三季度，儘管大選即將到來且立法者無法就新的刺激計劃達成一致，但股市繼續走強，利率波動仍然溫和。金融市場的持續彈性證明了全球央行提供的巨大流動性，以及市場對未來貨幣和財政支持將能夠在疫苗廣泛使用之前彌合剩餘經濟缺口的信心。

Agency MBS performance was generally strong during the quarter, with the exception of 30-year 3s, which comprise a very small percentage of our portfolio. MBS continued to benefit from ongoing Fed support, negligible interest rate volatility, favorable funding conditions and the plateauing of prepayment speeds on many cohorts, albeit at elevated levels.

本季機構 MBS 表現整體強勁，但 30 年期 3 期債券除外，該債券在我們的投資組合中所佔比例很小。 MBS 繼續受益於聯準會持續的支持、可忽略的利率波動、有利的融資條件以及許多群體的預付款速度趨於穩定（儘管水平較高）。

In aggregate, specified pool performance was somewhat stronger during the quarter with performance dependent on coupon and other attributes.

總體而言，本季特定池的表現稍強，其表現取決於優惠券和其他屬性。

Lower coupon TBAs, which benefited from both solid price performance and very strong dollar roll funding levels were the best-performing component of our portfolio, both in terms of earnings and economic return.

息票較低的 TBA 受益於穩健的價格表現和非常強勁的美元滾動融資水平，無論是在收益還是經濟回報方面，都是我們投資組合中表現最好的組成部分。

Looking ahead, the investment environment for Agency MBS should remain attractive given the favorable funding backdrop, ongoing Fed support and lack of exposure to credit risk.

展望未來，鑑於有利的融資背景、聯準會的持續支持以及缺乏信用風險敞口，機構抵押貸款支持證券的投資環境應仍具有吸引力。

With respect to dollar rolls, we expect the implied funding advantage relative to repo to contract somewhat from the very strong levels experienced in Q3, but to remain a significant positive contributor to our financial results in light of the combination of heavy origination volumes and ongoing Fed purchases.

就美元滾動而言，我們預計相對於回購協議的隱含融資優勢將較第三季度的強勁水平有所收縮，但鑑於大量的發行量和美聯儲持續進行的結合，仍將對我們的財務業績做出重大的正面貢獻購買。

At this point, I will turn the call over to Bernie to review our financial results for the quarter.

此時，我將把電話轉給伯尼，以審查我們本季的財務表現。

Thank you, Gary. Turning to Slide 4. We had total comprehensive income of $1.28 per share for the third quarter.

謝謝你，加里。轉向投影片 4。第三季我們的每股綜合收益總額為 1.28 美元。

Net spread and dollar roll income, excluding catch-up amortization, was $0.81 per share for the quarter, which is our highest level in over 5 years.

本季淨利差和美元展期收入（不包括追繳攤銷）為每股 0.81 美元，這是我們 5 年來的最高水準。

TBA dollar roll specialness and very low funding costs, which are now fully reflected in our aggregate cost of funds, were the primary drivers of our net spread and dollar roll income for the quarter.

TBA 美元展期特殊性和極低的融資成本現已充分反映在我們的資金總成本中，是我們本季淨利差和美元展期收入的主要驅動力。

Looking ahead, over the next several quarters, we expect some downward pressure on net spread and dollar roll income as a significant funding advantage of our TBA position likely declines somewhat and portfolio turnover continues to be reinvested at prevailing asset yields.

展望未來，在接下來的幾個季度，我們預計淨利差和美元展期收入將面臨一些下行壓力，因為我們的TBA 頭寸的重大融資優勢可能會有所下降，並且投資組合週轉率將繼續以現行資產收益率進行再投資。

That said, we do expect the majority of the improvement in our net spread and dollar roll income experienced in Q3 to be maintained over the coming several quarters.

也就是說，我們確實預期第三季淨利差和美元展期收入的大部分改善將在未來幾季得以維持。

Tangible net book value increased 6.4% for the quarter as our portfolio of largely lower coupon assets and higher coupon specified pool holdings significantly outperformed our interest rate hedges.

本季有形淨帳面價值成長了 6.4%，因為我們的票息資產大幅下降和票息較高的指定池持有量的投資組合顯著優於我們的利率對沖。

Including dividends of $0.36 per share, our economic return on tangible common equity was 8.8% for the third quarter.

包括每股 0.36 美元的股息在內，第三季我們的有形普通股經濟回報率為 8.8%。

So far, fourth quarter-to-date, as of last Friday, we estimate that our tangible net book value is up about 2%.

到目前為止，截至上週五，第四季度至今，我們估計我們的有形帳面淨值成長了約 2%。

Turning to Slide 5. Our investment portfolio at quarter end totaled $97.6 billion, largely unchanged from the second quarter.

轉向投影片 5。季末我們的投資組合總額為 976 億美元，與第二季基本持平。

Our ending leverage was 8.8x tangible equity, down from 9.2x as of last quarter end largely due to book value appreciation.

我們的期末槓桿率為 8.8 倍有形權益，低於上季末的 9.2 倍，這主要是由於帳面價值升值。

Our liquidity position remained very strong in the third quarter, with cash and unencumbered Agency assets totaling $5.2 billion at quarter end which excludes both unencumbered CRT and nonagency securities as well as assets held at our broker-dealer subsidiary, Bethesda Securities.

第三季我們的流動性狀況仍然非常強勁，截至季末，現金和未支配機構資產總計52 億美元，其中不包括未支配CRT 和非機構證券以及我們的經紀自營商子公司Bethesda 證券持有的資產。

Actual prepayment speeds on our portfolio increased to 24.3% for the quarter. But importantly, this does not include the lower coupon component of our holdings, which is held in TBA form.

本季我們投資組合的實際預付款速度增加至 24.3%。但重要的是，這不包括我們持有的較低息票部分，該部分以待定形式持有。

Our forecasted life CPRs decreased to 15.9% as of the end of the quarter from 16.6% at the end of Q2, largely due to changes in asset composition.

我們預測的壽命 CPR 從第二季末的 16.6% 降至本季末的 15.9%，這主要是由於資產組成的變化。

Lastly, during the third quarter, we repurchased $154 million of our common stock at a meaningful discount to our tangible net book value for an average repurchase price of $13.95 per share.

最後，在第三季度，我們以較有形帳面淨值大幅折扣的價格回購了 1.54 億美元的普通股，平均回購價格為每股 13.95 美元。

With that, I'll turn the call over to Chris to discuss the agency market.

這樣，我會將電話轉給克里斯，討論代理市場。

Thanks, Bernie. Let's turn to Slide 6. Much like the second quarter, interest rate volatility was muted. The yield curve continued to modestly steepen with 2-year treasury yields ending the quarter 2 basis points lower at 13 basis points, while 10-year treasury yields ended the quarter 3 basis points higher at 69 basis points.

謝謝，伯尼。讓我們轉向幻燈片 6。與第二季度非常相似，利率波動不大。殖利率曲線持續小幅陡峭，2 年期公債殖利率在本季末下跌 2 個基點，至 13 個基點，而 10 年期公債殖利率在本季末上漲 3 個基點，至 69 個基點。

Agency MBS spreads generally tightened with lower coupon TBAs outperforming higher coupons. Specified pools generally held on to their gains from the second quarter, but pay up changes were mixed, depending on coupon and underlying TBA performance.

機構MBS利差普遍收緊，票息較低的TBA表現優於票息較高的TBA。特定資金池總體上保持了第二季度的收益，但支付變化參差不齊，具體取決於息票和潛在的待定利率表現。

The continued support from the Fed purchasing $40 billion in Agency MBS per month, in addition to reinvesting paydowns on its portfolio into production coupon MBS, drove the outperformance in lower coupons.

聯準會每月購買 400 億美元的機構 MBS 以及將其投資組合的付款再投資到生產息票 MBS 的持續支持，推動了較低息票的優異表現。

As you can see in the lower left table on Page 6, 30-year 2s increased in price by more than a point despite 10-year treasury prices selling off a little more than a quarter of a point.

正如您在第 6 頁左下表格中看到的那樣，儘管 10 年期國債價格下跌了四分之一點多一點，但 30 年期 2 期國債的價格上漲了 1 個多點。

Our coupon TBA performance was mixed, with 30-year 3s clearly the worst performer during the third quarter. However, given rich valuations and prepayment concerns, we materially reduced our generic holdings in the coupon during the second quarter.

我們的優惠券 TBA 表現好壞參半，30 年期 3 期債券顯然是第三季表現最差的。然而，考慮到高估值和提前還款的擔憂，我們在第二季度大幅減少了普通票券持有。

Let's turn to Slide 7. You can see in the top left chart that the size of the investment portfolio at $98 billion was little changed as of September 30th. However, we continued to shift the composition to lower coupons in both 30-year and 15-year MBS.

讓我們轉向投影片 7。您可以在左上角的圖表中看到，截至 9 月 30 日，投資組合規模為 980 億美元，變化不大。然而，我們繼續將 30 年期和 15 年期 MBS 的結構轉向較低的票面利率。

During the third quarter, we reduced holdings in 2.5% coupons and above by approximately $18 billion versus adding 30-year and 15-year 2s and 1.5s.

第三季度，我們減少了 2.5% 及以上息票的持有量約 180 億美元，而增加了 30 年期和 15 年期 2 期和 1.5 期債券。

As I mentioned on the call last quarter, we expected dollar roll financing to trade well as the combination of heavy origination and Fed purchases creates an ideal backdrop for dollar rolls. Given this favorable backdrop, we increased the size of our TBA roll position and carried an average balance of $28 billion during the third quarter, which was up from an average balance of $16 billion during the second quarter.

正如我在上個季度的電話會議上提到的，我們預計美元滾動融資交易將會良好，因為大量發行和聯準會購買的結合為美元滾動創造了理想的背景。在此有利背景下，我們增加了 TBA 展期部位規模，第三季平均餘額為 280 億美元，高於第二季 160 億美元的平均餘額。

TBA roll financing on lower coupons averaged around negative 60 basis points during the third quarter.

第三季度，較低票面的 TBA 展期融資平均約為負 60 個基點。

Since quarter end, roll specialness has moderated somewhat, especially in more cuspy coupons like 30-year 2.5s, but 30-year 2s continue to trade exceptionally well, currently at around negative 65 basis points or about 80 basis points through repo.

自季度末以來，滾動特殊性有所減弱，特別是在30 年期2.5 等更尖利的息票中，但30 年期2 的交易繼續異常良好，目前約為負65 個基點或通過回購約80 個基點。

15-year production coupon roll financing is currently trading around 10 to 20 basis points through repo.

15 年期生產息票滾動融資目前透過回購交易的交易價格約為 10 至 20 個基點。

As we mentioned last quarter, roll specialness can contribute materially to total returns, though the degree of specialness over time will likely trend to more modest levels.

正如我們上季度所提到的，卷的特殊性可以對總回報做出重大貢獻，儘管隨著時間的推移，特殊性的程度可能會趨向於更溫和的水平。

While mortgage spreads have tightened, we remain optimistic about the investment environment, given attractive roll carry and low interest rate volatility.

儘管抵押貸款利差收緊，但鑑於具有吸引力的展期利差和較低的利率波動性，我們對投資環境仍持樂觀態度。

And while the prepayment backdrop is challenging, our diversified portfolio of higher coupon specified pools and production coupon TBA has offsetting risk characteristics that position us well for the environment.

儘管預付款背景充滿挑戰，但我們由較高票息指定池和待定生產息票組成的​​多元化投資組合具有抵消風險特徵，使我們在環境中處於有利地位。

I'll now turn the call over to Aaron to discuss the nonagency market.

我現在將電話轉給亞倫，討論非代理市場。

Thanks, Chris. I'll quickly recap the quarter, our current positioning and then update you with our outlook on credit.

謝謝，克里斯。我將快速回顧本季、我們目前的定位，然後向您介紹我們的信貸前景。

Please turn to Slide 8. The significant rally in Q2 across structured products continued in the third quarter. With forced selling well behind us, down in credit led the way as the credit curve bull flattened across most asset classes.

請參閱投影片 8。結構性產品在第二季的大幅上漲在第三季持續。隨著強制拋售已經過去，隨著大多數資產類別的信貸曲線牛市趨於平緩，信貸下跌成為主導。

With respect to our holdings, we reduced exposure to higher-rated CMBS, RMBS and RPL bonds by close to $100 million. Demand has been strong for these securities and, in many cases, they have retraced a majority of the widening that occurred in the first quarter. Additionally, our CRT portfolio contracted marginally over the quarter via sales and pay downs. I'll touch on the composition shift in a moment.

就我們的持股而言，我們減少了近 1 億美元的高評級 CMBS、RMBS 和 RPL 債券的曝險。對這些證券的需求一直很強勁，在許多情況下，它們已經回吐了第一季出現的大部分擴張。此外，我們的 CRT 投資組合在本季度因銷售和付款而略有收縮。我稍後會談到構圖的轉變。

Our outlook for house prices and, in turn, residential credit performance remains relatively favorable. While the mortgage credit box has tightened somewhat, affordability levels are back at the most attractive level in years, coupled with historically low housing supply. Additionally, conventional forbearance rates continue to tick lower, declining about 30% during the quarter. In light of this, we've tilted the CRT portfolio a bit further down in credit and in dollar price in deals where we think risk of loss remains fairly remote.

我們對房價以及住宅信貸表現的前景仍然相對樂觀。儘管抵押貸款信貸有所收緊，但負擔能力水平已回到多年來最具吸引力的水平，而且住房供應量處於歷史低點。此外，傳統的寬容率繼續走低，本季下降了約 30%。有鑑於此，在我們認為損失風險仍然相當遙遠的交易中，我們將 CRT 投資組合的信貸和美元價格進一步傾斜。

I'll quickly touch on repo as it relates to our nonagency holdings. We continue to see favorable trends on the repo side, both in improving rates and haircuts. While the depth and availability of repo across structured products is not what it was pre-COVID, this is a welcome improvement.

我很快就會談到回購協議，因為它與我們的非機構持股有關。我們繼續看到回購方面的有利趨勢，無論是在利率提高還是削減方面。雖然結構化產品回購的深度和可用性已不如新冠疫情之前，但這是一個值得歡迎的改進。

As we said on last quarter's call, with the Fed's actions as a tailwind, we expect structured product spreads for good credits to remain well supported over the coming years. However, the economic recovery clearly still presents risks, with significant challenges in certain areas. As such, any longer run tightening in spreads will likely face bouts of widening along the way in some sectors, such as retail and hospitality in the commercial space are clearly not out of the woods.

正如我們在上個季度的電話會議上所說，在聯準會行動的推動下，我們預期良好信貸的結構性產品利差在未來幾年將繼續得到良好支持。但經濟復甦仍面臨明顯風險，部分領域面臨嚴峻挑戰。因此，利差的長期收緊可能會在某些行業面臨一波又一波的擴大，例如商業領域的零售和酒店業顯然尚未擺脫困境。

With that, I'll turn the call over to Peter to discuss funding and risk management.

這樣，我會將電話轉給 Peter，討論資金和風險管理問題。

Thanks, Aaron. I'll start with our financing summary on Slide 9.

謝謝，亞倫。我將從投影片 9 上的融資摘要開始。

As expected, our average repo funding costs dropped to 40 basis points in the third quarter from 76 basis points the prior quarter. This improvement reflects the Fed's very accommodative monetary policy stance and short-term forward rate guidance. I expect this favorable funding environment to continue, with borrowing costs from overnight to 1 year staying in the 15- to 30-basis point range. As such, I expect our repo cost to trend marginally lower over the next several quarters.

正如預期的那樣，我們的平均回購融資成本從上一季的 76 個基點下降到第三季的 40 個基點。這項改善反映了聯準會非常寬鬆的貨幣政策立場和短期遠期利率指引。我預計這種有利的融資環境將持續下去，隔夜至一年期的借貸成本將維持在 15 至 30 個基點範圍內。因此，我預計我們的回購成本在未來幾季將小幅下降。

Our aggregate cost of funds, which includes the funding costs associated with our TBA position as well as the cost of our swap hedges, declined more sharply in the third quarter. Our average cost of funds for the quarter was 15 basis points, down meaningfully from 88 basis points the prior quarter. This improvement was due to the combination of lower repo costs, very attractive dollar roll funding levels on TBAs and materially lower swap hedging costs.

我們的總資金成本（包括與 TBA 部位相關的融資成本以及掉期避險成本）在第三季下降得更厲害。本季我們的平均資金成本為 15 個基點，較上一季的 88 個基點大幅下降。這項改善是由於較低的回購成本、非常有吸引力的TBA美元展期融資水準以及大幅降低的掉期對沖成本的綜合作用。

The improvement in our cost of funds more than offset the decline in our asset yield and, as such, drove the significant improvement in our net interest margin, which for the quarter increased to 215 basis points from 168 basis points the prior quarter.

資金成本的改善抵消了資產收益率的下降，因此推動了淨利差的顯著改善，本季淨利差從上一季的 168 個基點增至 215 個基點。

Looking ahead, I expect our net interest margin to be bias somewhat lower as asset paydowns and portfolio repositioning will likely push the yield on our asset portfolio gradually lower.

展望未來，我預計我們的淨利差將偏低，因為資產償還和投資組合重新定位可能會推動我們資產組合的收益率逐漸降低。

On Slide 10, we provide a summary of our hedge portfolio, which totaled $59 billion and covered 71% of our funding liabilities. While our aggregate hedge position was largely unchanged, we did continue to alter the composition and tenor of our swap portfolio. Most notably, we continued to shift to SOFR index swaps as we believe these swaps will be correlated well with our repo funding.

在投影片 10 中，我們提供了對沖投資組合的摘要，該投資組合總額為 590 億美元，涵蓋了我們 71% 的融資負債。雖然我們的總對沖頭寸基本上沒有變化，但我們確實繼續改變掉期投資組合的組成和期限。最值得注意的是，我們繼續轉向 SOFR 指數掉期，因為我們相信這些掉期將與我們的回購融資密切相關。

At quarter end, about 70% of our swap portfolio was indexed to the secured overnight financing rate, and we had no LIBOR-based swaps. This transition to SOFR swaps drove the decline in our swap cost during the quarter. The average maturity of our swap portfolio also increased again this quarter to 5.3 years as we added slightly longer-term swaps.

截至季末，我們大約 70% 的掉期投資組合與擔保隔夜融資利率掛鉤，我們沒有基於 LIBOR 的掉期。向 SOFR 掉期的過渡推動了本季掉期成本的下降。由於我們增加了稍微長期的掉期，本季我們掉期投資組合的平均期限也再次增加至 5.3 年。

Lastly, on Slide 11, we show our duration gap and duration gap sensitivity. Our duration gap at quarter end was flat, relatively unchanged from the prior quarter. Given the current asymmetry and our risk profile and the potential for some incremental volatility in longer-term rates associated with the election and prospects for fiscal stimulus, we will continue to actively manage this extension risk.

最後，在投影片 11 中，我們展示了持續時間差距和持續時間差距敏感度。季度末的久期差距持平，與上一季相比基本沒有變化。鑑於當前的不對稱性和我們的風險狀況，以及與選舉和財政刺激前景相關的長期利率可能會出現一些增量波動，我們將繼續積極管理這種延期風險。

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

這樣，我會將電話轉回給加里。

Thanks, Peter. And at this point, we'll open up the call to questions.

謝謝，彼得。此時，我們將開始提問。

(Operator Instructions) The first question comes from the line of Doug Harter with Crédit Suisse.

（操作員說明）第一個問題來自瑞士信貸銀行的 Doug Harter。

Gary, can you talk about how you're thinking about the dividend? Clearly, you guys are very significantly covering it from kind of a spread income basis. And as you mentioned, economic return has kind of recovered the 1Q decline. So how are you thinking about the dividend?

加里，你能談談你對股利的看法嗎？顯然，你們在很大程度上是從一種利差收入的基礎上涵蓋它的。正如您所提到的，經濟回報在一定程度上彌補了第一季的下降。那麼您如何看待股息？

Sure. And thanks, Doug, for the question. Look, first of all, our priority really continues to be on generating risk-adjusted returns and enhancing the earnings power of the portfolio and rather than on how we allocate these returns between dividends and the reinvestment in the business, sort of like other companies.

當然。謝謝道格提出這個問題。首先，我們的首要任務實際上仍然是產生風險調整後的回報和提高投資組合的獲利能力，而不是像其他公司那樣在股利和業務再投資之間分配這些回報。

But look, that said, as we talked about in the prepared remarks, we are really confident about the outlook for net spread and dollar roll income. And yes, we expect that measure to be well above the current dividend for the foreseeable future.

但是，正如我們在準備好的發言中談到的那樣，我們對淨利差和美元滾動收入的前景充滿信心。是的，我們預期在可預見的未來，這項指標將遠高於當前股利。

And not only that, we expect our true economic earnings to exceed the dividend as well.

不僅如此，我們預計我們的真實經濟收入也將超過股利。

And importantly, though, as I said on the last call, we do believe that having a tailwind to book value really is a positive for investors. And against this backdrop, management and the Board will look at the market landscape and the earnings picture over the next several months, and we'll evaluate what dividend level we think is optimal for shareholders kind of as we enter next year.

但重要的是，正如我在上次電話會議上所說，我們確實相信帳面價值的順風對投資者來說確實是有利的。在此背景下，管理層和董事會將著眼於未來幾個月的市場格局和盈利情況，並在進入明年時評估我們認為對股東來說最佳的股息水平。

The decision whether to raise the dividend by how much we -- or if we do is really just kind of a function of assessing the optimal or appropriate cushion really between expected earnings and the dividend in a way that though facilitates some growth in book value over time because we really do think that's important.

是否將股息提高多少的決定——或者如果我們這樣做，實際上只是一種評估預期收益和股息之間最佳或適當緩衝的函數，儘管這種緩衝有利於賬面價值的增長時間，因為我們確實認為這很重要。

So look, big picture, though. I mean the most important thing here is this is a great problem to have as we're currently paying and comfortably, as you mentioned, a dividend in excess of 10%, which is extremely attractive in today's environment while we're building book value, and we're buying back our stock. So that's a great combination where we sit right now. So thanks again for the question.

所以，看一下，大局。我的意思是，這裡最重要的事情是，這是一個很大的問題，因為正如您所提到的，我們目前正在舒適地支付超過10% 的股息，這在當今的環境中非常有吸引力，同時我們正在建立帳面價值，我們正在回購我們的股票。所以這是我們現在所處的一個很好的組合。再次感謝您的提問。

The next question comes from the line of Bose George with KBW.

下一個問題來自 Bose George 和 KBW 的路線。

Can you just give us an update on where returns are now just on specified pools?

您能否向我們介紹目前指定池的回報情況的最新情況？

On -- go ahead, Chris.

繼續——克里斯。

Okay. No, I was just going to say, the spreads are certainly tighter now than they were last quarter, given the outperformance of mortgages versus hedges.

好的。不，我只是想說，鑑於抵押貸款相對於對沖的表現優於上季度，現在的利差肯定比上季更窄。

With respect to higher coupon specs, given the strong performance and the prepayment environment, gross ROEs are generally in the very high single digits.

就較高的票面利率而言，考慮到強勁的業績和預付款環境，總股本回報率通常處於非常高的個位數。

But I'd say the majority of our incremental purchases have been concentrated in production coupons, where the gross ROE, for example, in 30-year 2s is around 11% without roll specialness.

但我想說的是，我們大部分增量採購都集中在生產優惠券上，例如，在沒有滾動特殊性的情況下，30 年期 2 美元的總股本回報率約為 11%。

But -- and then if you assume 25 basis points of roll advantage, that adds a little over 2% ROE, which puts the gross ROEs around 13% before convexity cost.

但是，如果你假設滾動優勢為 25 個基點，那麼 ROE 就會增加 2% 多一點，這使得不計凸性成本的總 ROE 約為 13%。

Okay. Great. And then in terms of your -- the size of your TBA long position, I guess this quarter, understandably, it increased. What are the thoughts just in terms of where that could go? Is this kind of the level? Or things are attractive enough, could this go up further? Just how do you think about that in terms of the size of the potfolio?

好的。偉大的。然後就您的待定多頭部位規模而言，我想本季度，可以理解的是，它有所增加。就其發展方向而言，有哪些想法？有這樣的水平嗎？或者事情夠有吸引力，可以進一步上漲嗎？您如何看待投資組合的規模？

Sure. I'd say, given the environment, it's likely that our roll position is going to stay in the $25 billion to, call it, $30 billion average balance area. But it is early in the quarter, and so that's just a best guess based on current conditions.

當然。我想說，考慮到當前的環境，我們的滾動頭寸很可能會保持在 250 億美元到 300 億美元的平均餘額區域。但現在還處於本季度初期，因此這只是根據當前情況的最佳猜測。

I'd say, generally speaking, it's tough to project the size of the TBA position because there are going to be technical situations where rolls spike or temporarily get hit. We'll move the TBA position versus our pool position when there's an economic reason to do so.

我想說，一般來說，很難預測 TBA 位置的大小，因為在技術上會出現擲骰子數量激增或暫時受到打擊的情況。當有經濟原因時，我們將調整 TBA 部位與我們的池部位。

But again, I'd say, based on current conditions, which are favorable for roll financing, we'll likely continue to carry a significant TBA position in lower coupons.

但我想說，根據目前有利於滾動融資的條件，我們可能會繼續在較低的息票中持有重要的待定頭寸。

The backdrop is very supportive with heavy supply from origination and the Fed absorbing $115 billion of the worst to deliver each month. And so the technicals are extraordinarily supportive. And so I think it's reasonable to assume that production coupon rolls will trade better than long-term historical averages for some time to come.

背景非常有利，最初的供應量很大，而且聯準會每月吸收 1,150 億美元最差的資金。因此，技術面的支援非常大。因此，我認為可以合理地假設，在未來一段時間內，生產優惠券的交易將優於長期歷史平均值。

Okay. Let me sneak in one more. Just on leverage, it's obviously ticked down just with your book value going up. Just curious what your thoughts are on leverage.

好的。讓我再偷偷溜進去一張。就槓桿而言，隨著你的帳面價值的上升，它顯然會下降。只是好奇您對槓桿有何看法。

Sure. It's probably ticked down a little more intra-quarter or quarter-to-date to probably the mid-8s. But we view that as somewhat temporary.

當然。季度內或季度至今，該數字可能會進一步下降至 8 美元左右。但我們認為這有點暫時。

I mean, look, let's be clear. We have the election. We're going to get results from the vaccine trials. We're obviously seeing some volatility in kind of COVID cases around the world at this point. So given the strong kind of earnings power of the portfolio anyway at this point, it seems logical for us to tone down leverage temporarily, just in light of the potential volatility over the next month or so. But then I think we would likely look for opportunities to kind of bring it back up to let's say, low to mid-9s, which -- what I would say is our kind of current expected run rate.

我的意思是，聽著，讓我們說清楚。我們有選舉。我們將從疫苗試驗中得到結果。目前，我們顯然看到世界各地的新冠病例出現了​​一些波動。因此，鑑於目前投資組合的強勁盈利能力，考慮到下個月左右的潛在波動，我們暫時降低槓桿率似乎是合乎邏輯的。但我認為我們可能會尋找機會將其恢復到 9 左右，我想說的是我們目前的預期運行率。

The next question comes from the line of Trevor Cranston with JMP Securities.

下一個問題來自 JMP 證券公司的 Trevor Cranston。

Great. You mentioned a couple of times the potential for some volatility in rates and markets around the election and other things. Can you comment more specifically on the duration profile of the portfolio, more specifically around the long end of the curve as opposed to the sort of parallel shifts that you gave in the slide deck?

偉大的。您多次提到了選舉和其他事情導致利率和市場波動的可能性。您能否更具體地說明投資組合的久期概況，更具體地說是圍繞曲線的長端，而不是您在幻燈片中給出的那種平行變化？

So I mean what's important is, first, in a sense, it's not quite 50-50. I mean, we still have more higher coupon season specified pools than we do lower coupons, but it's getting closer. But those two kind of -- those two pieces of the portfolio will react very differently to changes in interest rates. And that's something that we're -- that we really like about the composition of our portfolio. So we have our new low coupons, which, to your point, are clearly going to track the 7- to 10-year kind of part of the curve. Whereas the higher coupons, while in a model they show a fair amount of duration or exposure to kind of the back end of the curve. For the first 50 basis points of a move, we really don't expect them to be very reactive. Because basically, if the back end of the curve were to sell off, they benefit on the prepayment front in terms of slower expectations over time. And that's going to help them more than they're going to get hurt on the discounting front.

所以我的意思是，重要的是，首先，從某種意義上說，它不完全是 50-50。我的意思是，我們仍然有比低優惠券更多的高優惠券季節指定池，但它越來越接近。但這兩種投資組合對利率變動的反應截然不同。這就是我們真正喜歡的投資組合的構成。因此，我們推出了新的低息票，根據您的觀點，它顯然將跟踪曲線的 7 至 10 年期部分。而較高的優惠券，在模型中，它們顯示出相當數量的持續時間或暴露於曲線後端的類型。對於價格變動的前 50 個基點，我們確實不認為它們會做出很大的反應。因為基本上，如果曲線的後端被拋售，他們會在預付款方面受益，因為隨著時間的推移，預期會放緩。這對他們的幫助大於他們在折扣方面受到的傷害。

So we think for relatively small upward moves, let's say sub-50 basis points, the spec portfolio, the higher coupon portfolio, isn't going to show a lot of sensitivity to the back end of the curve. Whereas, obviously, lower coupons have duration, and that's why we have hedges, which we pretty well detail. But we feel like we're pretty well hedged for kind of an initial move if we were to get it in the back end of the curve.

因此，我們認為，對於相對較小的上漲幅度，比如說低於 50 個基點，投機投資組合、較高息票投資組合不會對曲線後端表現出很大的敏感度。然而，顯然，較低的優惠券有期限，這就是我們進行對沖的原因，我們對此進行了詳細介紹。但我們覺得，如果我們要讓它進入曲線的後端，我們就可以很好地對沖初始走勢。

Focusing this discussion on the back end of the curve because, I think, for obvious reasons, we're unlikely to see a movement really inside of 5 years, given kind of what everything we've heard from the Fed and the obvious economic backdrop.

將討論重點放在曲線的後端，因為我認為，出於顯而易見的原因，鑑於我們從美聯儲聽到的一切以及明顯的經濟背景，我們不太可能在 5 年內看到真正的走勢。

So big picture, as we have sold off this quarter, as we mentioned earlier, book value looks to be up a couple of percent as of last Friday. And we've seen the benefit from our hedges. We've actually seen the higher coupon portion of our portfolio do very well.

從大局來看，正如我們之前提到的，正如我們在本季拋售的那樣，截至上週五，帳面價值似乎上漲了幾個百分點。我們已經看到了對沖的好處。事實上，我們已經看到我們投資組合中息票較高的部分錶現非常好。

And lower coupons, 2s have actually done well relative to -- or done okay relative to hedges. We've continued to see weakness in the middle of the coupon stack, like 2.5s and 3s. But again, that's a smaller component of the portfolio at this point.

而較低的票，2 元其實相對於避險而言表現良好，或相對於避險而言表現還不錯。我們繼續看到優惠券堆疊中間的弱點，例如 2.5 和 3。但同樣，目前這只是投資組合中較小的組成部分。

Okay. That's helpful. Then in terms of the share buybacks, I mean, first, can you say what the weighted average price you bought back shares was in 3Q? And then more generally, can you comment on how you're thinking about the share repurchase opportunity versus new investments into the portfolio today?

好的。這很有幫助。那麼就股票回購而言，我的意思是，首先您能透露一下您在第三季回購股票的加權平均價格是多少嗎？然後更一般地說，您能否評論一下您如何看待股票回購機會與今天對投資組合的新投資？

Yes. Let me start on the big picture question. I think it was $13.95, I think, was our weighted average purchase price.

是的。讓我從大局問題開始。我認為這是我們的加權平均購買價格 13.95 美元。

But -- and in terms of a discount to book, ballpark over -- that was in the, we'll say, upper 80s percent of book, give or take. So that was noticeably higher than where we bought back stock in Q2, which was lower 80s, very low 80s on average.

但是，就預訂折扣而言，大概是這樣的，我們可以說，預訂的 80% 以上，給予或接受。因此，這明顯高於我們在第二季回購股票的價格，當時的價格低於 80 美元，平均非常低的 80 美元。

But if you went back to August of 2019, we repurchased shares, and what we said at the time was that those repurchases were low 90s of book.

但如果你回到 2019 年 8 月，我們回購了股票，我們當時所說的是，這些回購是帳面價值 90 年代的低點。

So that gives you a range of 3 different time periods with 3 different kind of price-to-book spots, so to speak.

可以這麼說，這為您提供了 3 個不同的時間段以及 3 種不同類型的預訂價格。

But I mean, big picture, we look at the overall environment, we look at what we think in terms of what the opportunities are to reinvest, kind of to deploy capital in investments in the mortgage market versus the discount, versus the liquidity environment.

但我的意思是，從大局來看，我們著眼於整體環境，我們著眼於再投資的機會，即在抵押貸款市場的投資中部署資本與折扣，與流動性環境。

But I can't stress enough that for AGNC, we have so much liquidity in our mortgage portfolio, in particular, given the large TBA position, that when we think about buying back shares, we're not forced to think of, are we willing to increase our leverage by buying back shares? I mean we essentially can do that on a completely leverage-neutral basis, where if we buy back 100 million in shares, we sell 1 billion in TBA mortgages. And everything else is neutral, and we're really isolating the discount to book.

但我必須強調的是，對於AGNC 來說，我們的抵押貸款投資組合擁有如此多的流動性，特別是考慮到大量TBA 頭寸，當我們考慮回購股票時，我們不會被迫考慮，我們是嗎？願意透過回購股票來增加我們的槓桿嗎？我的意思是，我們基本上可以在完全槓桿中性的基礎上做到這一點，如果我們回購 1 億股股票，我們就會出售 10 億股 TBA 抵押貸款。其他一切都是中性的，我們確實將折扣與預訂分開。

So I think what investors should take confidence, both in what we say, but more so in our actions, which is that we're going to look at this logically. We're going to look at the conditions in the market. But we are very willing to buy back shares when they make sense. And the liquidity of our portfolio affords us the ability to do that in almost any environment.

因此，我認為投資者應該對我們的言論充滿信心，但更要對我們的行動充滿信心，即我們將從邏輯上看待這個問題。我們將研究市場狀況。但我們非常願意在有意義的時候回購股票。我們投資組合的流動性使我們能夠在幾乎任何環境下做到這一點。

And our last question comes from the line of Rick Shane from JPMorgan.

我們的最後一個問題來自摩根大通的 Rick Shane。

Look, I think we're in a unique environment. Your portfolio construction and hedging is always sort of multivariant in terms of having to balance the potential direction of rates and timing of movements. And I think realistically, rate risk is asymmetric as it's ever been during the existence of the company. I'm curious how you guys think about this. Does it mean, from your perspective, that risk is lower than it would normally be? And then how do you use this opportunity to either generate excess returns? Or what's the long-term implication?

聽著，我認為我們處於一個獨特的環境。就必須平衡利率的潛在方向和變動時間而言，您的投資組合建構和對沖始終是多元的。我認為，實際上，利率風險是不對稱的，就像公司存在期間一樣。我很好奇你們怎麼看待這個問題。從您的角度來看，這是否意味著風險低於正常水平？那麼如何利用這個機會來產生超額報酬呢？或者長期影響是什麼？

And then if that sort of framework is correct, I think the biggest challenge for you guys is managing the timing of sort of giving up some of those excess returns. How do you think about that and manage that timing risk?

如果這種框架是正確的，我認為你們面臨的最大挑戰是管理放棄部分超額報酬的時機。您如何看待這一點並管理時機風險？

Well, I think you bring up two really good points, which, one, is that the cost of hedges right now is historically very low, just given how low swap rates are.

嗯，我認為你提出了兩個非常好的觀點，其中之一是，考慮到掉期利率有多低，目前對沖的成本在歷史上非常低。

And on the risk management front or the asymmetry, you're right, as long as you believe rates can't go substantially negative, then the downside of a short position or a pay fixed position is much lower than it's been in the past.

在風險管理或不對稱方面，你是對的，只要你相信利率不會大幅負值，那麼空頭頭寸或固定報酬頭寸的負面影響就會比過去低得多。

Now we absolutely have talked about that on prior calls, we feel that way, but you also don't want to lose track of and one thing that we are very focused on is that we are more concerned that mortgage spreads would widen into a rally from here and they would actually perform reasonably well, like what we've seen quarter-to-date, in particular, higher coupons, if we sell off.

現在我們絕對已經在之前的電話會議上討論過這一點，我們有這種感覺，但你也不想忘記，我們非常關注的一件事是我們更擔心抵押貸款利差會擴大並反彈從這裡開始，它們實際上會表現得相當好，就像我們本季迄今所看到的那樣，特別是如果我們拋售的話，優惠券會更高。

So one of the other factors that your "model" doesn't capture is this -- the performance of mortgages and mortgage spreads in different rate moves. And so the one thing that gives us pause from, let's say, hedging even more than what we're doing today is the fact that we do believe, at least for smaller upward moves in rates, mortgages would perform -- would perform pretty well. Whereas if we were to retest sub-50 basis points on 10-year notes, for instance, that environment would likely be an environment that's going to put pressure on mortgage spreads. So we overlay that in as well into the overall hedging equation.

因此，您的「模型」未捕獲的其他因素之一是不同利率變動中抵押貸款的表現和抵押貸款利差。因此，讓我們暫停的一件事是，我們確實相信，至少在利率上行幅度較小的情況下，抵押貸款將會表現良好，表現會相當好。然而，例如，如果我們重新測試 10 年期公債低於 50 個基點的環境，那麼這種環境可能會對抵押貸款利差造成壓力。因此，我們也將其疊加到整體對沖方程中。

But in the end, what you see from us is a portfolio that's pretty well hedged. And as you can see in our swap portfolio, we put on a lot of swaps when -- near the lows in rates.

但最終，您從我們這裡看到的是一個對沖相當好的投資組合。正如您在我們的掉期投資組合中看到的那樣，當利率接近低點時，我們進行了大量掉期交易。

I don't know, Peter, if you want to add any further?

彼得，我不知道你還想補充什麼嗎？

Well, yes. And I'll just add, Rick, if you look at the composition of our swap portfolio, it is gradually increasing over the last couple of quarters. And I would expect that to continue. We obviously only had a 71% hedge ratio now. And to the extent we add swaps, as I mentioned this quarter, we're adding longer-term swaps. I would expect our marginal swaps that we add to our portfolio. Maybe over time, we'll look to add options to our portfolio once we get better clarity on the interest rate environment. But they're going to be more in the 5-, 7- and 10-year part of the curve to give us that protection against the back end of the yield curve moving because, obviously, as Gary mentioned earlier, the front end of the curve is really very little volatility given what the Fed is going to do.

嗯，是。我只想補充一點，里克，如果你看看我們掉期投資組合的組成，你會發現它在過去幾個季度逐漸增加。我希望這種情況能夠持續下去。顯然我們現在只有 71% 的對沖比率。正如我本季提到的，就我們增加掉期而言，我們正在增加長期掉期。我希望我們將邊際掉期加入我們的投資組合中。也許隨著時間的推移，一旦我們對利率環境有了更清晰的了解，我們就會在我們的投資組合中添加選擇。但它們將更多地出現在曲線的5 年期、7 年期和10 年期部分，以保護我們免受收益率曲線後端移動的影響，因為，顯然，正如加里之前提到的，收益率曲線的前端考慮到聯準會將要採取的行動，該曲線的波動性實際上非常小。

So I think over the next couple of quarters, as we get better clarity on the interest rate environment post-election, the composition of our portfolio, it wouldn't be unreasonable to expect our hedge portfolio to increase a little further.

因此，我認為在接下來的幾個季度中，隨著我們對選舉後的利率環境和我們的投資組合的組成更加清晰，預計我們的對沖投資組合進一步增加一點並不是沒有道理的。

Great. That's kind of what I expected and very helpful answer.

偉大的。這正是我所期望的，也是非常有幫助的答案。

And our last question comes from the line of Mark DeVries of Barclays.

我們的最後一個問題來自巴克萊銀行的馬克·德弗里斯。

Could you talk a little bit more about your prepayment expectations? And what kind of risk you see from speeds accelerating, if you were to see more of a compression in the primary, secondary spread as originators add capacity, which a lot of them have really been doing in recent months?

能多談談您的預付款預期嗎？如果您看到隨著發起人增加容量（他們中的許多人最近幾個月確實在這樣做），一級和二級傳播出現更多壓縮，您會從速度加速中看到什麼樣的風險？

Yes, sure. I mean...

是的，當然。我是說...

So -- Chris, why don't I go first and then you can chime in.

所以——克里斯，我為什麼不先走，然後你可以插話。

Look, first off, while the speed, the average speed on our portfolio increased a lot quarter-over-quarter, if you look at sort of that increase, and the increase in speeds in the market have really been in these cuspy coupons, 2.5s and 3s, if you actually look at our portfolio, and we added -- we have the 1-month speeds on 3.5s, 4s and 4.5s, you see there was like a 1 CPR increase in 4s and 4.5s on our portfolio from -- like in the case of 4s from 29 to 30.

看，首先，雖然速度，我們投資組合的平均速度比上一季度增長了很多，如果你看看這種增長，市場上速度的增長確實體現在這些尖利的優惠券中，2.5 s 和3s，如果你真正看看我們的產品組合，我們補充說- 我們在3.5s、4s 和4.5s 上有1 個月的速度，你會發現我們的產品組合中4s 和4.5s 的CPR 增加了1 倍從— —就像4s 的情況一樣，從29 到30。

So we're not seeing a big increase in those in speeds on the kind of seasoned higher coupon portion of the portfolio. So even if mortgage rates were to continue to come down, then we do think those have sort of plateaued, so to speak.

因此，我們沒有看到投資組合中經驗豐富的高票息部分的速度大幅增加。因此，即使抵押貸款利率繼續下降，我們確實認為這些利率已經趨於穩定，可以這麼說。

Where you're going to see kind of more volatility in speeds, so it's going to be very much a function of the mortgage rate, is in the 2.5s, 3s and, to some degree, 3.5% coupon. And those are not insignificant to us certainly, but they're a very, very manageable component of the portfolio.

你會看到速度有更大的波動，所以它很大程度上是抵押貸款利率的函數，在 2.5 秒、3 秒，以及在某種程度上，3.5% 的票面利率。當然，這些對我們來說並非無關緊要，但它們是投資組合中非常非常容易管理的組成部分。

So I think what's first and foremost to keep in mind is we really do like the split between kind of mostly 2s in 30 years in lower coupons, and then the higher coupon seasoned specified pools, where, again, we're already seeing this -- the plateauing of speeds.

因此，我認為首先要記住的是，我們確實喜歡 30 年內大部分 2 秒的較低優惠券和較高優惠券經驗豐富的指定池之間的劃分，我們再次看到了這一點 - - 速度趨於穩定。

Now that said, I don't think there's as much room for primary secondary spreads to compresses kind of maybe a lot -- many people -- or if you just look at history or look at a time period prior to the pandemic, just in that there are changes to the market, servicing multiples are lower, and they're going to stay lower for good reason. And there are other kind of hindrances to primary secondary spreads kind of getting back to historical norms, and they don't normally get there in the midst of a big refi boom like what we're seeing here.

話雖如此，我認為初級二次傳播沒有那麼多空間來壓縮可能很多人——很多人——或者如果你看看歷史或大流行之前的一段時間，就在市場發生了變化，服務倍數較低，而且它們將有充分的理由保持在較低水平。初級次級利差恢復到歷史正常水平還存在其他一些障礙，而且它們通常不會在像我們在這裡看到的那樣的大規模再融資熱潮中到達那裡。

So big picture, I think we expect to see prepayments pick up on 2.5s and 3s and, in particular, pick up on 2.5s. But that's a -- that's a coupon that we've been shrinking our exposure to.

總體而言，我認為我們預計 2.5 和 3 的預付款會增加，特別是 2.5 的預付款會增加。但這是我們一直在縮減風險敞口的優惠券。

So when we look at it as a whole for the portfolio, yes, you have to manage speeds and, yes, there is risk of faster prepayments, but it's something like we feel that we can manage. I hope that answered it.

因此，當我們將其視為投資組合的整體時，是的，您必須管理速度，是的，存在更快預付款的風險，但我們認為我們可以管理。我希望這能回答我的問題。

And Chris, I don't know if you want to add anything.

克里斯，我不知道你是否想補充什麼。

No, I think you covered it well.

不，我認為你覆蓋得很好。

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

我們現在已經完成了問答環節。我想將電話轉回加里凱恩 (Gary Kain) 進行總結發言。

I'd like to thank everyone for their participation in our Q3 earnings call, and we look forward to talking to you again next quarter. Thanks again.

我要感謝大家參與我們的第三季財報電話會議，我們期待下個季度再次與您交談。再次感謝。

The conference has now concluded. Thank you for attending today's presentation. You may now disconnect.

會議現已結束。感謝您參加今天的演講。您現在可以斷開連線。