AGNC Investment Corp (AGNCO) 2023 Q3 法說會逐字稿

Good morning, and welcome to the AGNC Investment Corp. Third Quarter 2023 Shareholder Call. (Operator Instructions) I would now like to turn the call over to Katie Turlington in Investor Relations. Please go ahead.

早安，歡迎參加 AGNC Investment Corp. 2023 年第三季股東電話會議。 （操作員說明）我現在想將電話轉給投資者關係部門的凱蒂·特林頓。請繼續。

Thank you all for joining AGNC Investment Corp.'s Third Quarter 2023 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. 的 2023 年第三季財報電話會議。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。改革法規定的安全港保護。

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 included in this presentation are made only as of the date of this presentation and are subject to change without notice. Certain factors that could cause actual results to differ materially from those contained in the forward-looking statements are included in AGNC's periodic reports filed with the Securities and Exchange Commission. Copies are available on the SEC's website at sec.gov. We disclaim any obligation to update our forward-looking statements unless required by law.

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中包含了某些可能導致實際結果與前瞻性陳述中包含的結果有重大差異的因素。副本可在 SEC 網站 sec.gov 上取得。除非法律要求，否則我們不承擔更新前瞻性聲明的義務。

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

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

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

這樣，我會將電話轉給 Peter Federico。

Thank you, Katie, and good morning. Despite signs of improvement early in the quarter, the sell-off in the bond market intensified in the third quarter as treasury supply concerns and the threat of overly restrictive monetary policy weighed heavily on investor sentiment and drove benchmark interest rates and interest rate volatility materially higher. The treasury market continues to be in the midst of a historic multiyear repricing event.

謝謝你，凱蒂，早安。儘管本季初有改善跡象，但第三季債券市場拋售加劇，因為國債供應擔憂和過度限制性貨幣政策的威脅嚴重影響了投資者情緒，導致基準利率和利率波動性大幅上升。國債市場繼續處於歷史性的多年重新定價事件之中。

To put the move in context, the increase in the 10-year treasury yield over the last 3 years, is the second largest ever recorded over such a short time period. In percentage terms, the treasury market has never experienced anything like this. The Bloomberg long Treasury Bond Index which tracks maturities of 10 years or more, has experienced a total return loss of close to 50% over the last 2.5 years, a loss equal to what the S&P 500 experienced following the dot-com bust in 2000. The move higher in Treasury rates began relatively early in the quarter as supply expectations were revised materially higher due to the growing fiscal deficit. The bare sentiment accelerated late in the quarter following a hawkish message from the Fed that short-term rates would likely remain higher for longer.

從背景來看，過去三年10年期公債殖利率的增幅是有紀錄以來如此短時期內的第二大增幅。從百分比來看，國債市場從未經歷過這樣的情況。追蹤 10 年或以上期限的彭博長期國債指數在過去 2.5 年中經歷了接近 50% 的總回報損失，這一損失相當於 2000 年互聯網泡沫破滅後標準普爾 500 指數所經歷的損失。不斷擴大，供應預期大幅上調，國債利率在本季相對較早的時候就開始走高。在聯準會發出鷹派消息稱短期利率可能會在更長時間內保持在較高水準後，本季末的裸露情緒有所加速。

In environments like this when treasury prices fall abruptly and the market struggles to find its new equilibrium, Agency MBS typically underperform. That was indeed the case in the third quarter, as Agency MBS performance relative to benchmark rates lagged meaningfully. In aggregate, Agency MBS spreads to comparable duration treasuries widened 20 to 25 basis points across most of the coupon stack. Since quarter end, Agency MBS have remained under pressure with spreads widening by a similar amount in October.

在這樣的環境下，當國債價格突然下跌且市場難以找到新的平衡時，機構MBS通常表現不佳。第三季的情況確實如此，因為機構 MBS 的表現相對於基準利率大幅落後。總體而言，在大多數息票堆疊中，機構 MBS 與可比較久期國債的利差擴大了 20 至 25 個基點。自季末以來，機構 MBS 仍面臨壓力，10 月利差擴大了類似幅度。

At this point, Agency MBS spreads are close to the widest levels reached during the height of the pandemic in March of 2020. The sharp steepening of the yield curve also caused Agency MBS performance to vary significantly across the yield curve. Agency MBS hedged with short and intermediate term instruments perform materially worse than Agency MBS hedged with longer-term instruments.

目前，機構MBS利差已接近2020年3月疫情最嚴重期間達到的最寬水準。以短期和中期工具對沖的機構MBS 的表現比用長期工具對沖的機構MBS 的表現差很多。

The volatile market conditions that we are now experiencing are a result of a complex set of domestic and global factors. In addition, the Fed is nearing a critical inflection point in monetary policy. During these types of transitions, economic data is highly scrutinized by the market and can have an outsized impact on the trajectory of monetary policy.

我們現在所經歷的動盪的市場狀況是一系列複雜的國內和全球因素的結果。此外，聯準會正接近貨幣政策的關鍵轉折點。在這些類型的轉型期間，經濟數據受到市場的嚴格審查，並且可能對貨幣政策的軌跡產生巨大影響。

Once the downward trend in labor and inflation data becomes certain, a more favorable monetary policy stance will undoubtedly emerge. As challenging as this period has been for all bond market participants, the current investment opportunity in agency MBS on both an unlevered and levered basis is without question.

一旦勞動力和通膨數據的下降趨勢確定，更有利的貨幣政策立場無疑會出現。儘管這段時期對所有債券市場參與者來說都充滿挑戰，但目前機構MBS在無槓桿和槓桿基礎上的投資機會是毫無疑問的。

On an unlevered basis, new production par-priced agency MBS provide investors with the opportunity to earn a yield of close to 7% on a security that benefits from the explicit support of the U.S. government. Importantly, this yield is now at least 150 basis points higher than every point on the treasury yield curve and materially above highly rated corporate debt instruments.

在無槓桿的基礎上，新的生產平價機構 MBS 為投資者提供了獲得接近 7% 收益率的機會，該證券受益於美國政府的明確支持。重要的是，該收益率目前比國債殖利率曲線上的每個點高出至少 150 個基點，並且遠高於評級較高的公司債務工具。

For levered investors in addition to the very compelling base yield of close to 7%, it is becoming increasingly apparent that a new trading range is developing for Agency MBS which materially improves returns. Over the last 6 months, the spread between current coupon Agency MBS and a blend of 5- and 10-year treasuries has ranged between 150 and 195 basis points. The average has been 170 basis points, and currently, the spread is near the upper end of the trading range. Like all bond market participants, our financial results have been negatively impacted by the unprecedented speed and magnitude of this Fed tightening cycle.

對於槓桿投資者來說，除了接近 7% 的非常引人注目的基本收益率之外，越來越明顯的是，機構 MBS 正在開發一個新的交易範圍，這將大大提高回報。在過去 6 個月中，目前票息機構 MBS 與 5 年期和 10 年期國債之間的利差在 150 至 195 個基點之間。平均值為170個基點，目前利差接近交易區間的上限。與所有債券市場參與者一樣，我們的財務表現受到了聯準會此次緊縮週期前所未有的速度和規模的負面影響。

The rapid rise in long-term interest rates, the increase in interest rate and financial market volatility, heightened geopolitical risk and growing U.S. government dysfunction. As the Fed recently stated, however, this tightening cycle may be nearing its conclusion, and the economic balance of risks is now 2 sided. Although this process has taken longer and has been considerably more difficult than anticipated, we continue to believe that a durable and very attractive investment environment is still ahead of us once the uncertainties associated with the current environment subside. With that, I'll now turn the call over to Bernie Bell to discuss our financial results.

長期利率快速上升，利率和金融市場波動加劇，地緣政治風險加劇，美國政府失靈加劇。然而，正如聯準會最近表示的那樣，本次緊縮週期可能已接近尾聲，經濟風險平衡現在是雙向的。儘管這個過程比預期花費的時間更長，難度也大得多，但我們仍然相信，一旦當前環境的不確定性消退，我們仍將面臨一個持久且極具吸引力的投資環境。現在，我將把電話轉給伯尼·貝爾，討論我們的財務表現。

Thank you, Peter. For the third quarter, AGNC had a comprehensive loss of $1.02 per share, resulting from the significant rate volatility and spread widening that occurred during the quarter. Economic return on tangible common equity was negative 10.1% for the quarter. comprised of $0.36 of dividends declared per common share and a decline in our tangible net book value of $1.31 per share.

謝謝你，彼得。第三季度，AGNC 每股綜合虧損為 1.02 美元，原因是該季度發生的大幅利率波動和利差擴大。本季有形普通股經濟報酬率為負 10.1%。其中包括每股普通股宣派股息 0.36 美元，以及每股有形帳面淨值下降 1.31 美元。

As of late last week, our tangible net book value was down about 11% for October. Despite the decline in our tangible net book value, leverage at the end of the quarter remained well contained at 7.9x tangible equity or only moderately higher than 7.2x as of the end of the second quarter.

截至上週晚些時候，我們 10 月的有形帳面淨值下降了約 11%。儘管我們的有形帳面淨值下降，但本季末的槓桿率仍很好地控制在有形股本的 7.9 倍，或僅略高於第二季末的 7.2 倍。

With our average leverage for the quarter being 7.5x compared to 7.2x for the prior quarter. Our liquidity also remained strong throughout the quarter and in line with our typical operating parameters. As of quarter end, we had unencumbered cash and Agency MBS totaling $3.6 billion or 52% of our tangible equity and $80 million of unencumbered credit securities. During the quarter, we also issued $432 million of common equity through our at-the-market offering program, which at a significant price-to-book premium was accretive to our net book value.

本季我們的平均槓桿率為 7.5 倍，而上一季為 7.2 倍。我們的流動性在整個季度也保持強勁，符合我們的典型營運參數。截至季末，我們擁有總計 36 億美元的未支配現金和機構 MBS，佔有形股本的 52%，以及 8,000 萬美元的未支配信貸證券。本季度，我們也透過市場發行計畫發行了 4.32 億美元的普通股，其市淨率大幅溢價，增加了我們的帳面淨值。

Net spread and Dollar Roll Income, excluding catch-up amortization, was $0.65 per share for the quarter, a quarterly decline of $0.02 per share. The decline was largely due to a 23 basis point decrease in our net interest spread to 303 basis points for the quarter, driven by higher funding costs, which more than offset an increase in our average asset yield.

本季淨利差和美元滾動收入（不包括追繳攤銷）為每股 0.65 美元，比季度下降 0.02 美元。下降的主要原因是，在融資成本上升的推動下，本季我們的淨利差下降了 23 個基點，至 303 個基點，這遠遠抵消了我們平均資產收益率的成長。

Lastly, the average projected life CPR on our portfolio at the end of the quarter decreased to 8.3% from 9.8% as of the second quarter. Actual CPRs for the quarter averaged 7.1% compared to 6.6% for the prior quarter. I'll now turn the call over to Chris Kuehl to discuss the agency mortgage market.

最後，我們投資組合的平均預期壽命 CPR 從第二季的 9.8% 降至本季末的 8.3%。本季的實際 CPR 平均為 7.1%，而上一季為 6.6%。我現在將把電話轉給克里斯·庫爾 (Chris Kuehl)，討論代理抵押貸款市場。

Thanks, Bernie. The start of the third quarter was relatively favorable for both U.S. treasuries and Agency MBS as inflation data continued to show a downward trajectory and regional bank sector stress faded into the background. In fact, treasury yields rallied and Agency MBS tightened over the first few weeks of July. This favorable sentiment shifted, however, when the treasury released its borrowing estimate, which was larger than anticipated.

謝謝，伯尼。第三季初對美國公債和機構MBS都相對有利，因為通膨數據持續顯示下行趨勢，而地區銀行業的壓力逐漸消失。事實上，7 月的前幾週，國債殖利率上漲，機構抵押貸款支持證券收緊。然而，當財政部公佈高於預期的借款預估時，這種有利情緒發生了變化。

Following the September FOMC meeting, the sell-off in treasuries accelerated with 5- and 10-year treasury yields ultimately increasing 45 and 73 basis points, respectively, as of 9/30 with 2-year yields moving only modestly higher, the yield curve steepened significantly during the quarter. Against this challenging backdrop, Agency MBS underperformed both treasury and swap based hedges with performance varying considerably depending on hedge positioning on the curve.

9 月FOMC 會議之後，國債拋售加速，截至9 月30 日，5 年期和10 年期公債殖利率最終分別上漲45 個基點和73 個基點，而2 年期公債殖利率僅小幅走高，殖利率曲線本季大幅陡峭。在這種充滿挑戰的背景下，機構MBS的表現遜色於國債和掉期對沖，其表現根據曲線上的對沖定位而有很大差異。

Coupon positioning was also a significant driver of performance as lower and middle coupons materially underperformed production coupons. Our portfolio increased modestly from $58 billion to $59 billion as of September 30. Within our agency holdings, we continue to move up in coupon at more attractive yields and wider spreads.

優惠券定位也是業績的重要驅動因素，因為中低檔優惠券的表現明顯低於生產優惠券。截至 9 月 30 日，我們的投資組合從 580 億美元小幅增加至 590 億美元。

During the quarter, we added approximately $10 billion in 5.5% through 6.5% versus lower coupons. We also converted a material portion of our TBA position to a mix of both high quality and low pay-up specified pools. Our remaining TBA position was largely comprised of Ginnie Mae TBA given attractive valuations and better roll implied financing relative to UMBS. As of 9/30, our hedge portfolio totaled $63.2 billion, given the duration extension in our assets, we increased the duration of our hedge portfolio primarily by adding treasury-based hedges at the 10-year point of the curve.

本季度，我們以 5.5% 至 6.5% 的息票率（相對於較低的息票率）增加了約 100 億美元。我們也將 TBA 部位的重要部分轉換為高品質和低支付指定池的組合。我們剩餘的 TBA 部位主要由吉利美 TBA 組成，因為相對於 UMBS 而言，吉利美 TBA 具有有吸引力的估值和更好的展期隱含融資。截至 9 月 30 日，我們的對沖投資組合總額為 632 億美元，考慮到我們資產的久期延長，我們主要透過在曲線的 10 年期點添加基於國債的對沖來增加對沖投資組合的久期。

As a result, our duration gap remained low throughout the quarter and was 0.2 years at quarter end. As of 9/30, approximately 70% of our hedge portfolio duration dollars are at the 7-year or longer points on the yield curve with approximately 50% of our duration in Treasury-based hedges.

因此，整個季度我們的久期差距保持在較低水平，季度末為 0.2 年。截至 9 月 30 日，我們對沖投資組合久期的約 70% 處於殖利率曲線上 7 年或更長的點，其中約 50% 的久期是基於國債的對沖。

Looking forward, our outlook for Agency MBS is very favorable. Spreads have decoupled from treasuries and corporates due to supply and demand technical factors that we expect will ease over time. And as Aaron will describe in more detail, spreads and other fixed income sectors are close to post-GFC long-term averages, while spreads on Agency MBS are in the 95-plus percentile area. This is especially remarkable given that the fundamentals for Agency MBS have rarely looked as compelling as they do today.

展望未來，我們對 Agency MBS 的前景非常看好。由於供需技術因素，利差已與國債和企業脫鉤，我們預計這些因素將隨著時間的推移而緩解。正如亞倫將更詳細地描述的那樣，利差和其他固定收益部門接近全球金融危機後的長期平均水平，而機構 MBS 的利差則在 95 以上的百分位數區域。鑑於機構 MBS 的基本面很少像今天這樣引人注目，這一點尤其引人注目。

Organic agency supply is minimal prepayment risk is deeply out of the money and repo markets for Agency MBS are deep and liquid. With spreads as wide as they are today, we believe investors in Agency MBS are well compensated for elevated rate volatility over the near term. That being said, geopolitical tensions have increased the near-term risk quotient. And while we believe we are in one of the most favorable earnings environments of our history, we will remain disciplined with respect to managing rate risk and leverage. I'll now turn the call over to Aaron to discuss the non-agency markets.

有機機構供應量極小，預付款風險已深度脫離貨幣，機構 MBS 的回購市場深度且流動性強。鑑於目前的利差如此之大，我們相信機構 MBS 的投資者會因近期利率波動加劇而得到充分補償。話雖如此，地緣政治緊張局勢增加了近期風險商數。儘管我們相信我們正處於歷史上最有利的獲利環境之一，但我們將在管理利率風險和槓桿方面保持自律。我現在將電話轉給亞倫，討論非代理市場。

Thanks, Chris. The significant interest rate volatility and the sharp move higher in yields by the end of the quarter had a more material impact on interest rate sensitive products than credit spreads. Credit spreads were mixed in the third quarter and many sectors of the market generated slightly positive excess returns. As a proxy for credit spread moves in Q3, the synthetic IG index was 8 basis points wider, while the Bloomberg IG Index representing spreads on cash bonds was actually 2 basis points tighter over the quarter, both outperformed mortgage spreads.

謝謝，克里斯。利率的大幅波動和季末收益率的大幅上升對利率敏感產品的影響比信貸利差更為重大。第三季信用利差好壞參半，市場許多板塊都產生了小幅正的超額報酬。作為第三季信貸利差走勢的代表，綜合IG 指數擴​​大了8 個基點，而代表現金債券利差的彭博IG 指數實際上在本季度收窄了2 個基點，兩者的表現均優於抵押貸款利差。

The majority of fixed income credit spreads are currently at valuations far from extreme levels, unlike Agency MBS. Taking a step back, while MBS are near their widest spread since the GFC by almost any measure, CDX IG spreads are roughly at their average over the past 15 years. A brief overview of several consumer fundamentals suggest that weakening is developing, albeit slowly. Auto loans, credit cards and marketplace lending delinquencies have ticked higher.

與機構MBS不同，大多數固定收益信貸利差目前的估值遠未達到極端水準。退一步來說，雖然從幾乎任何標準來看，MBS 都接近全球金融危機以來的最大利差，但 CDX IG 利差大致處於過去 15 年的平均水平。對一些消費者基本面的簡要概述表明，儘管緩慢，但疲軟正在發展。汽車貸款、信用卡和市場貸款拖欠率上升。

Additionally, the resumption of student loan payments this month will stretch a relatively broad segment of households even further. While excess savings numbers have been revised higher recently, lower income and renter households have likely drawn down a material amount of savings as a result of increased exposure to inflationary pressures.

此外，本月恢復學生貸款支付將進一步擴大相對廣泛的家庭群體的負擔。雖然超額儲蓄數字最近被上調，但由於通膨壓力加大，收入較低和租屋家庭可能會減少大量儲蓄。

Taken together, the outlook for the consumer has declined and will contribute to further economic slowdown. That said, we expect a much more muted impact on the mortgage side due to the significant amounts of homeowners' equity resulting from several years of strong HPA growth. Turning to our holdings. Our non-Agency portfolio is roughly unchanged in size, ending the quarter at just over $1 billion in market value. Within CRT, we turned over roughly 15% of the portfolio and continue to skew holdings to reposition into likely tender candidates or migrating further down the credit stack in seasoned and delevered profiles.

總的來說，消費者前景已經下降，並將導致經濟進一步放緩。儘管如此，由於幾年來 HPA 的強勁增長導致大量房主淨值增加，我們預計對抵押貸款方面的影響要小得多。轉向我們的持股。我們的非機構投資組合規模大致未變，本季結束時市值略高於 10 億美元。在 CRT 內，我們移交了大約 15% 的投資組合，並繼續調整持股，以重新定位到可能的投標候選者，或在經驗豐富和去槓桿化的情況下進一步轉移到信貸堆疊中。

The favorable technicals in the CRT market that we discussed on last quarter's call remain in place, low issuance volumes, coupled with the GSE desire to extinguish older credit protection via tender offers.

我們在上季度電話會議上討論的 CRT 市場的有利技術面仍然存在，發行量較低，加上 GSE 希望透過要約收購消除舊的信用保護。

This drove further spread tightening on our CRT portfolio during the quarter. The meaningful valuation improvement throughout this year has correspondingly led to lower expected go-forward return expectations. Nevertheless, the risk side of the equation has declined as we expect lower spread and price volatility for many of our CRT securities as certain segments of the market have become anchored to some degree. With that, I'll turn the call back over to Peter.

這推動本季我們的 CRT 投資組合利差進一步收緊。今年以來估值的顯著改善相應地導致了預期未來回報預期的降低。儘管如此，等式的風險面已經下降，因為我們預期許多 CRT 證券的利差和價格波動性將會降低，因為市場的某些部分已經在某種程度上得到了錨定。這樣，我會將電話轉回給彼得。

Thank you, Aaron. Before opening the call up to your questions, I want to briefly discuss our current common stock dividend. We do not provide forward guidance for our dividends, but I do want to share some thoughts on the dividend in the current environment. As I have mentioned many times, one of the primary factors that we evaluate in setting our dividend is the economic return that we expect to earn on our portfolio at current MBS valuation levels.

謝謝你，亞倫。在開始回答大家的問題之前，我想先簡單討論一下我們目前的普通股股息。我們不會為股息提供前瞻性指引，但我確實想分享一些關於當前環境下股息的想法。正如我多次提到的，我們在設定股息時評估的主要因素之一是我們期望在當前 MBS 估值水平下從我們的投資組合中獲得的經濟回報。

You can think of this return as the mark-to-market return on our portfolio. Given the significant spread widening that has occurred over the last 2 years in Agency MBS and the subsequent decline in tangible net book value per share and stock price, the dividend yield on our common stock has increased notably. At the end of the third quarter, the dividend yield on our tangible net book value of our common equity was close to 18%. While this number is informative, it does not include the benefit of our lower cost preferred equity, which is also permanent capital.

您可以將此回報視為我們投資組合的以市價計算的回報。鑑於過去兩年機構MBS利差大幅擴大以及隨後每股有形帳面淨值和股價的下降，我們普通股的股息收益率顯著增加。第三季末，我們普通股有形帳面淨值的股息殖利率接近 18%。雖然這個數字提供了豐富的信息，但它不包括我們較低成本的優先股的好處，這也是永久資本。

Including this preferred component, our dividend yield on total equity including both our contractual preferred stock dividends and our current common stock dividend was approximately 15% at the end of the third quarter, including our operating expenses, the required yield on our total capital was just over 16%.

包括該優先股在內，第三季末我們的總股本股息率（包括合約優先股股息和當前普通股股息）約為 15%，包括我們的營運費用，我們總資本的所需收益率僅為超過16%。

Said another way, as of the end of the third quarter, we needed to earn a 16% return on our total tangible equity capital base of $6.9 billion in order to satisfy all of our operating costs and dividend obligations. At current valuation levels, the expected levered return on Agency MBS depending on coupon is in the mid-teen to low 20% range before convexity and rebalancing costs.

換句話說，截至第三季末，我們需要在 69 億美元的有形股本基礎上獲得 16% 的回報，才能滿足我們所有的營運成本和股息義務。在目前的估值水準上，在扣除凸性和再平衡成本之前，機構 MBS 的預期槓桿回報率（取決於息票）在 10% 到 20% 之間。

The important takeaway from this analysis is that our common stock dividend remains well aligned with the return that we expect to earn on our portfolio at current valuation levels and operating parameters. That said, we continuously evaluate our dividend as market conditions, expected returns and risk management considerations are always changing.

這項分析的重要結論是，我們的普通股股息與我們在當前估值水平和營運參數下預期從投資組合中獲得的回報保持良好一致。也就是說，我們不斷評估我們的股息，因為市場條件、預期回報和風險管理考慮因素總是在變化。

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

現在，我們將開始電話會議，回答您的問題。

We will now begin the question-and-answer session. (Operator Instructions) Our first question will come from Crispin Love with Piper Sandler.

我們現在開始問答環節。 （操作員說明）我們的第一個問題將來自 Crispin Love 和 Piper Sandler。

First off, can you just give us your updated thoughts on leverage just based on the preannouncement last week, you were at, I think, about 8.2x as of October 20. But what are the ranges that you're comfortable operating at? And what is the max level that you would operate at before needing to bring it lower?

首先，您能否根據上週的預告向我們提供您對槓桿率的最新想法，我認為截至 10 月 20 日，您的槓桿率約為 8.2 倍。在需要將其降低之前，您可以操作的最高等級是多少？

Thank you for the question. You're right. We reported that our updated leverage was as of about a week ago, 8.2%, up from 7.9% at the end of the quarter. As we sit today, our leverage actually is more in line with where it was at the end of the quarter, right around 7.8%. And we're comfortable -- very comfortable operating in the current leverage range. Obviously, mortgages are extraordinarily cheap. We would love to operate with higher leverage, given how cheap mortgages are, but we also have to be very cognizant of the volatile market conditions that are broadly affecting all fixed income markets, particularly the treasury market.

謝謝你的提問。你說得對。我們報告稱，截至大約一周前，我們的更新槓桿率為 8.2%，高於本季末的 7.9%。正如我們今天所看到的，我們的槓桿率實際上更符合本季末的水平，約為 7.8%。我們很舒適——在當前的槓桿範圍內運作非常舒適。顯然，抵押貸款非常便宜。考慮到抵押貸款的便宜程度，我們希望以更高的槓桿率進行操作，但我們也必須充分認識到廣泛影響所有固定收益市場（尤其是國債市場）的波動性市場狀況。

The other thing that I would also point out is, as we disclosed and as Bernie mentioned, from a leverage perspective, and this gets to sort of your maximum leverage question, which is that we continue to operate with a very significant unencumbered cash and security position as Bernie mentioned, it was 52% at the end of last quarter. It's still in the mid-50s, actually as we sit today.

我還要指出的另一件事是，正如我們所披露的和伯尼所提到的，從槓桿的角度來看，這涉及到你的最大槓桿問題，即我們繼續以非常大量的未支配現金和擔保進行營運正如伯尼所說，上季末該比例為 52%。實際上，正如我們今天所坐的那樣，現在仍處於 50 年代中期。

So we have a lot of capacity and we are waiting for the right opportunity. And I think that opportunity ultimately will come as the market, all the uncertainties that the market had to contend with in the third quarter subsided. So I can't give you an answer specifically on the maximum leverage because that's sort of an environmental question. It will have to -- it has to be consistent with the environment that we're in, the volatility of interest rates, the expectation about spreads, where you are at spread levels.

所以我們有很大的能力，我們正在等待合適的機會。我認為，隨著市場在第三季必須應對的所有不確定性消退，機會最終將會到來。所以我不能具體給你最大槓桿的答案，因為這是環境問題。它必須與我們所處的環境、利率的波動性、對利差的預期以及你所處的利差水準保持一致。

But right now, given how cheap mortgages are Obviously, it is a good investment time. Ultimately, we need some more stability overall in the financial markets, particularly from the Fed and stability in the treasury market. So I'll pause there.

但現在，考慮到抵押貸款的便宜程度，顯然這是一個很好的投資時機。最終，我們需要金融市場整體上更加穩定，特別是聯準會和國債市場的穩定。所以我就在這裡暫停一下。

All very helpful there. And then just kind of on your point on how cheap mortgages are. Can you just give an update on your outlook for spreads, they remain very cheap. But curious on your outlook and if it's changed at all over the last kind of several weeks and months on spreads being range bound in your expectations there?

那裡的一切都非常有幫助。然後談談你關於抵押貸款有多便宜的觀點。您能否介紹一下您的利差前景的最新情況，它們仍然非常便宜。但對您的前景感到好奇，以及在過去幾週和幾個月裡，利差是否在您的預期範圍內發生了變化？

Yes. There's a lot to like about the mortgage market. And in our prepared remarks, I talked about the fact that the current coupon is close to 7%. So what I think is interesting about the mortgage market right now from a return perspective is that it's highly appealing to a very broad cross-section of investors.

是的。抵押貸款市場有很多值得喜歡的地方。在我們準備好的發言中，我談到了當前優惠券接近 7% 的事實。因此，我認為，從回報的角度來看，目前抵押貸款市場的有趣之處在於，它對廣泛的投資者俱有高度吸引力。

From an unlevered perspective, Agency MBS offer extraordinary value, almost 200 basis points over the treasury curve for security that is -- has the guaranteed support of the U.S. government. So -- and if you look at Agency MBS relative to corporates, high-grade corporates in particular, it's a significant yield pickup. So I think it's very attractive on an unlevered basis.

從無槓桿的角度來看，機構 MBS 提供非凡的價值，比國債安全曲線高出近 200 個基點，即得到美國政府的有保證的支持。因此，如果你看看機構 MBS 相對於企業，特別是高等級企業，它的收益率會顯著上升。所以我認為在無槓桿的基礎上它非常有吸引力。

And as I mentioned in my prepared remarks, I do think that the Agency MBS market from a spread perspective is starting to establish a new range, which I believe is somewhere -- if you think about it versus the 5- and 10-year treasury current coupon as our starting point, I think that range is now in the 150 to 200 basis point range. And what's important about what we just experienced in the third quarter is that -- for now, over the course of the last, call it, 12 months, we've hit the upper end of that range on a number of occasions, 3 or 4 occasions.

正如我在準備好的演講中提到的那樣，我確實認為，從利差角度來看，機構MBS 市場正在開始建立一個新的區間，我認為，如果你將其與5 年期和10 年期國庫券相比，我相信這個區間已經存在。我們在第三季度剛剛經歷的事情的重要之處在於，就目前而言，在過去 12 個月的過程中，我們多次觸及該範圍的上限，3 次或 3 次。

We hit the upper end of that range about a week ago and mortgages have sort of bumped off the top of the range and has started to come back down over the course of the last week, finding their footing. And that, I think, is a really positive signal. But I do think mortgages in over the near term will remain sort of in the upper half of that range, maybe 160 to 180 basis points seems to be a comfortable level right now given the amount of uncertainty in the sort of broader fixed income market with respect to the Fed and with respect to the treasury supply and given the elevated level of interest rate volatility.

大約一周前，我們達到了該範圍的上限，抵押貸款已經脫離了該範圍的頂部，並在上週開始回落，找到了立足點。我認為，這是一個非常積極的信號。但我確實認為，短期內抵押貸款將保持在該範圍的上半部分，考慮到更廣泛的固定收益市場的不確定性，也許 160 至 180 個基點目前似乎是一個舒適的水平。國債供應以及利率波動水準的上升。

But over time, as those uncertainties subside and as interest rate volatility comes down, I think mortgages can move back sort of more comfortably in that range.

但隨著時間的推移，隨著這些不確定性的消退和利率波動性的下降，我認為抵押貸款可以更輕鬆地回到這個範圍內。

But over the near term, I think there's still a lot of uncertainty, but I do take it as a positive sign that mortgages have bumped off the top of the range now on a number of occasions and have started to stabilize.

但從短期來看，我認為仍然存在許多不確定性，但我確實認為這是一個積極的信號，現在抵押貸款已經多次脫離區間頂部並開始穩定。

Our next question will come from Rick Shane with JP Morgan.

我們的下一個問題將來自摩根大通的 Rick Shane。

Thanks, everybody, and nice to talk to you this morning. I'd like to talk a little bit about the decisions, the tactical decisions to sell securities during the quarter and repositioning yourself within the stack. Obviously, the market saw the substantial realized losses. And I guess, to some extent, just by rotating within the stack, you're realizing losses, but as long as you're reinvesting further up the stack, you will benefit from spreads tightening ultimately. Can you talk about that decision? And can you also talk a little bit about the tax implications of that trade?

謝謝大家，很高興今天早上與你們交談。我想談談在本季度出售證券以及在堆疊中重新定位自己的決策和戰術決策。顯然，市場看到了巨大的已實現損失。我想，在某種程度上，僅僅透過在堆疊內輪換，你就會意識到損失，但只要你在堆疊中進一步進行再投資，你最終就會從利差收緊中受益。您能談談這個決定嗎？您能否談談該交易的稅收影響？

Yes. I appreciate that. From a -- we don't really think about it from a realized or unrealized loss perspective, right? At the end of the day, our securities are all mark-to-market, one way or the other through our income statement, whether they're mark-to-market above the line or through our comprehensive income because we still have some securities that are available for sale. But that's a relatively small component. So we don't think about those decisions as whether or not to realize or unrealized.

是的。我很欣賞這一點。從 - 我們並沒有真正從已實現或未實現損失的角度來考慮它，對吧？歸根結底，我們的證券都是按市值計價，透過我們的損益表，無論它們是按市價高於線還是透過我們的綜合收益，因為我們仍然有一些證券可供出售。但這是一個相對較小的組成部分。因此，我們不會將這些決定視為是否實現或未實現。

What we're trying to do throughout the quarter and we do this every day is what is the right mix of securities that we believe is going to give us the best risk return trade-off right? And moving up in coupon has given us a lot of benefit, not the least of which is that the highest expected returns are in the higher coupons.

我們在整個季度中努力做的事情以及我們每天都在做的事情是，我們認為正確的證券組合將為我們帶來最佳的風險回報權衡，對嗎？優惠券的上漲為我們帶來了許多好處，其中最重要的是，最高的預期回報來自於較高的優惠券。

So we continue to do that during the quarter. we will likely continue to do that from a sales perspective. We're always looking to put ourselves in a position from a risk management perspective that gives us the best position for the current environment. So we don't really think about and make decisions based on the tax implications or on the financial statement appearance, if you will, of our decisions to buy or sell securities.

因此，我們在本季繼續這樣做。從銷售的角度來看，我們可能會繼續這樣做。我們始終尋求從風險管理的角度將自己置於適合當前環境的最佳位置。因此，我們並沒有真正根據我們購買或出售證券的決定的稅收影響或財務報表的外觀（如果您願意的話）來考慮和做出決定。

Great. Peter, it's helpful context. And again, look, we've had the experience of following you guys for a very, very long time. And when you were externally managed, there were different potential incentives associated with selling instruments at losses. And even then, you guys were very, very thoughtful about where you want to -- what you wanted to own in the stack.

偉大的。彼得，這是有用的背景。再說一遍，我們有追蹤你們很久的經驗。當你接受外部管理時，虧損出售工具會帶來不同的潛在誘因。即便如此，你們對於自己想要的地方也非常非常深思熟慮——你想在堆疊中擁有什麼。

And I think 1 question that sort of emerges and it's pretty clear, I think, in looking at the balance sheet. These were not for sales. Can you talk a little bit about what you saw during the quarter, were there are moments of distress where you felt like you needed to do things that you didn't want to do?

我認為，在查看資產負債表時，會出現這樣一個問題，而且我認為這一問題非常清楚。這些不是為了銷售。您能否談談您在本季所看到的情況，是否有一些痛苦的時刻，您覺得自己需要做一些您不想做的事情？

No, that's a great question. And the first answer to that is absolutely not. There wasn't a moment where we felt like there was any forced action. And what I would say is that if you think about our position over the course of the quarter, we actually started taking steps because the market actually sort of had a sort of a pronounced shift in sentiment that occurred late in July.

不，這是一個很好的問題。第一個答案是絕對不會。我們沒有一刻感覺有任何強迫行為。我想說的是，如果你考慮我們在本季的情況，我們實際上已經開始採取措施，因為市場情緒實際上在 7 月底發生了某種明顯的轉變。

And as Chris mentioned in his prepared remarks, the footing for the bond market was actually really positive for the first 3 weeks of July, both in the treasury market where treasury rates, the lower 10-year treasury rate, was July '19, and I think it was around 380 at that time.

正如克里斯在他準備好的演講中提到的那樣，債券市場的基礎在7 月的前3 週實際上非常積極，無論是在國債市場，國債利率（較低的10 年期國債利率）是2019 年7 月的，我記得當時大概是380左右。

So -- and as Chris mentioned, mortgage spreads actually tightened for the first 3 weeks. So the market was on a really good footing until the discussions from the Fed started coming out about the term premium and then ultimately, what really set the whole thing in motion was to move in treasury supply and expectations about that. So in August, things were sort of illiquid and we were taking actions throughout that time to maintain the leverage that we were comfortable with.

因此，正如克里斯所提到的，抵押貸款利差實際上在前三週就已收緊。因此，在聯準會開始討論期限溢價之前，市場一直處於良好的基礎上，最終，真正推動整個事情發展的是國債供應和對此的預期。因此，在 8 月份，情況有點缺乏流動性，我們在那段時間一直在採取行動，以維持我們感到滿意的槓桿率。

Our leverage really never got anything above what we just reported at 8.2%. Our cash position throughout that time. was in the high 50s at each month end just like it had been. So we were never in a position where we were forced to do anything that we didn't want to on a day that we didn't want to.

我們的槓桿率確實從未高於我們剛剛報告的 8.2%。整個期間我們的現金狀況。與以前一樣，每個月末的銷售額都在 50 多歲左右。所以我們從來不會被迫在我們不想做的一天做任何我們不想做的事情。

But what I think you are getting at is the challenge that is starting to reveal itself in both the treasury market and the Agency MBS market and in Agency MBS market, in particular, and this is why I think Agency MBS tend to underperform in the down trade like we just experienced, is that the market is generally speaking, very illiquid at times because the flows in the -- particularly in the Agency MBS market and to an extent in the treasury market, tend to be one-way flows right now with the Fed backing away in running off its balance sheet. And given the constraints that are being potentially put on banks, it really leaves the money manager community as the key buyer or seller of securities.

但我認為您所面臨的挑戰是，在國債市場和機構 MBS 市場，特別是在機構 MBS 市場中，挑戰正在開始顯現，這就是為什麼我認為機構 MBS 在下行時期往往表現不佳的原因。剛剛經歷的那樣，市場總體上流動性有時非常差，因為流動性——特別是在機構MBS 市場以及一定程度上在國債市場——目前往往是單向流動，美聯儲放棄縮減資產負債表。考慮到銀行可能受到的限制，資金管理機構確實成為了證券的主要買家或賣家。

And when you get in an environment like we got in, in August and in September, the fixed income sentiment turned negative and bond fund flows turned to be outflows. And when bond funds get outflow and redemptions, they just simply sell the most liquid securities that they can sell, which are treasuries and Agency MBS. And that's why, as Aaron pointed out, corporates didn't move very much at all. In fact, corporate spreads are relatively unchanged. It looks like a great environment for corporates, yet the selling pressure from money managers was coming in sort of a one-way flow.

當你進入像我們一樣的環境時，8月和9月，固定收益情緒轉為負面，債券資金流轉為流出。當債券基金流出和贖回時，他們只是簡單地出售其可以出售的流動性最強的證券，即國債和機構MBS。正如亞倫指出的那樣，這就是為什麼企業根本沒有採取太多行動。事實上，企業利差相對沒有變化。對於企業來說，這看起來是一個很好的環境，但來自基金經理人的拋售壓力卻以單向流動的方式到來。

That seems to have subsided. That will stop and the market can move very quickly to the other direction. So for our portfolio, we try to do is we try to take actions early on these and sort of take smaller actions on time sort of delta hedge as we go and never be put in a position where we're forced to delever and that certainly was not the case in the third quarter. We were operating with a position that we were comfortable operating with throughout the quarter.

這似乎已經平息了。這種情況將會停止，市場可能會迅速轉向另一個方向。因此，對於我們的投資組合，我們嘗試做的是，我們嘗試儘早採取行動，並按時採取較小的行動，進行三角洲對沖，永遠不要處於被迫去槓桿化的境地，這當然第三季度的情況並非如此。我們整個季度的營運狀況都讓我們感到舒適。

I guess the challenge of having permanent capital is that there are decisions that you have to make that someone who just has experienced outflows doesn't have to.

我認為擁有永久資本的挑戰在於，你必須做出一些決定，而剛經歷過資本外流的人則不必這樣做。

Well, that's exactly right. And that's the challenge. And sometimes you have to make decisions. For example, we made decisions to sell some securities, which unfortunately, you don't like to do because they are cheap, but there will also come a time when we're comfortable adding more securities and the outlook from a spread perspective will be a lot better than it was at times during the third quarter. And maybe some of that improvement is starting to reveal itself right now.

嗯，完全正確。這就是挑戰。有時你必須做出決定。例如，我們決定出售一些證券，不幸的是，您不喜歡這樣做，因為它們很便宜，但也會有一天我們願意增加更多證券，從利差角度來看，前景將是比第三季度的有時好得多。也許其中一些改進現在就開始顯現出來。

I apologize, I've taken too much time.

抱歉，我耽誤了太多時間。

I appreciate the question, Richard.

我很欣賞這個問題，理查德。

Our next question will come from Trevor Cranston with JMP Securities.

我們的下一個問題將來自 JMP 證券公司的 Trevor Cranston。

You've talked about the sort of new trading range you're seeing for spreads. Can you maybe talk about sort of how much conviction you have in the upper range of spreads given the sort of weak demand picture, in particular for MBS at the moment. And if we were to see, for example, like another significant move higher in the 10-year, who do you think the buyer could be a (inaudible) to sort of contain additional widening.

您已經談到了您所看到的新的價差交易範圍。鑑於需求疲軟，尤其是目前的MBS，您能否談談您對利差上限的信心有多大？例如，如果我們看到像 10 年內的另一個重大上漲，您認為買家可能是（聽不清楚）以遏制進一步的擴大。

Yes, I appreciate the question. And you're right, I do have growing conviction that the upper end of the range can hold, but that doesn't mean that it's not going to be breached. What we're seeing as you point out, is that when -- particularly -- the events of the third quarter were not a mortgage-related event. It was it was a follow-on effect coming from all of the challenges that the treasury market was facing when it came to supply, when it came to runoff, when it came to bank constraints, government -- potential government shutdown.

是的，我很欣賞這個問題。你是對的，我確實越來越相信該範圍的上限可以維持，但這並不意味著它不會被突破。正如您所指出的，我們看到的是，特別是第三季的事件不是與抵押貸款相關的事件。這是國債市場在供應、徑流、銀行限制、政府——潛在的政府關門等方面面臨的所有挑戰的後續影響。

There was a lot of challenges that the treasury market had to contend with. And those can come back, and we can have more of those challenges and that could lead to further weakness in Agency MBS. So there's certainly the possibility that mortgage spreads could widen from here.

國債市場必須應對許多挑戰。這些可能會回來，我們可能會面臨更多的挑戰，這可能會導致機構 MBS 進一步疲軟。因此，抵押貸款利差肯定有可能從現在開始擴大。

The flip side of that, though, is that I don't think even a widening would be sustainable, meaning that when you think about the fact that the agency MBS security today post great financial crisis, has the full support of the U.S. government. It just doesn't make sense to me why that credit quality security is trading 200 basis points over the U.S. Treasury.

但另一方面，我認為即使是擴大範圍也是不可持續的，這意味著當你想到今天在金融危機之後的MBS安全機構得到了美國政府的全力支持這一事實時。對我來說，為什麼信用品質證券的交易價格比美國國債高出 200 個基點，這對我來說毫無意義。

And I think over time, investors will rotate into that security, particularly on an unlevered basis, and I think this gets to your question, the marginal demand for Agency MBS over the foreseeable future and particularly now with the 10-year being close to 5% and Agency MBS being close to 7%, the rotation in fixed income is going to come from unlevered money coming out of other fixed income products like investment-grade corporate debt that gives you a lower yield and more risk.

我認為隨著時間的推移，投資者將轉向這種證券，特別是在無槓桿的基礎上，我認為這涉及到你的問題，在可預見的未來，尤其是現在，10 年期債券的邊際需求接近 5 ％和機構MBS接近7％，固定收益的輪換將來自其他固定收益產品（例如投資級公司債務）的無槓桿資金，這些產品會帶來較低的收益率和較高的風險。

The rotation will come from corporates and the rotation will come from equities as we enter a period where the economy is slowing. And ultimately, that's going to be the marginal demand for U.S. treasuries and Agency MBS securities and agency MBS securities, in particular, will benefit that.

當我們進入經濟放緩時期時，輪動將來自企業，輪動將來自股票。最終，這將是對美國國債和機構 MBS 證券的邊際需求，尤其是機構 MBS 證券將受益於此。

The challenge is that does take time to happen. People have to physically move money from one security to another the agency MBS market is a little more difficult for investors to access. But ultimately, that's why I think the upper end of the spread range will hold. And ultimately, I think at 200 basis points, that's excessive incremental return for Agency MBS.

挑戰在於這確實需要時間才能實現。人們必須將資金從一種證券轉移到另一種證券，而機構 MBS 市場對投資者來說有點難以進入。但最終，這就是為什麼我認為利差範圍的上限將保持不變。最終，我認為以 200 個基點計算，機構 MBS 的增量報酬過高。

Our next question will come from Bose George with KBW.

我們的下一個問題將來自 KBW 的 Bose George。

Thanks for the comments on the dividend. In terms of the ROE that you noted there, I mean, is it another way to kind of think about it is for us to look at the leverage on the common. So if you do the math of the 180 basis points or whatever the spread is, we should be thinking really about not the 7.9% advise leverage, but sort of adding the leverage as given by our preferred and that kind of gets us to more like a higher high-teens ROE on your invested capital.

感謝您對股息的評論。就您在那裡提到的淨資產收益率而言，我的意思是，我們是否可以透過另一種方式來考慮普通股的槓桿作用。因此，如果你計算 180 個基點或任何利差，我們應該真正考慮的不是 7.9% 的建議槓桿，而是添加我們首選的槓桿，這會讓我們更像您投資資本的 ROE 更高。

Right. That would be an apples-to-apples comparison. I'm doing it from that perspective. Yes. And what I was trying to point out with that with my prepared remarks on the dividend, is that it's important to look if you're going to look at what can you earn? It's -- what are you -- what's the right comparison to that. And for us, you got to look at it what can we earn on our portfolio versus our entire cost of capital. And that's why it's important because our preferred stock does give us a meaningful benefit given the fixed dividend of around 7% on that capital.

正確的。這將是同類比較。我就是從這個角度做的。是的。我在準備好的關於股息的評論中試圖指出的是，重要的是要看看你是否要看看你能賺多少錢？這是——你是什麼——與之相比的正確比較是什麼。對我們來說，你必須看看我們的投資組合能賺到什麼，與我們全部的資本成本相比。這就是為什麼它很重要，因為考慮到該資本的固定股息約為 7%，我們的優先股確實為我們帶來了有意義的好處。

And obviously, over time, that relationship will continue to change. Right now, we're operating with about 23%, 24% of our capital in preferred stock. So -- but if you did that calculation, like you just suggested, you would get ROEs in the low 20% range, which would align, again, very well with the 18% that I referenced at the end of the third quarter.

顯然，隨著時間的推移，這種關係將繼續改變。目前，我們大約 23%、24% 的資本是優先股。所以，如果你按照你剛才的建議進行計算，你會得到 20% 的 ROE，這與我在第三季末提到的 18% 非常吻合。

Yes, perfect. That makes a lot of sense. And then just to confirm, the 11% decline in book value that's after accruing for the dividend, right? So it's like a 7.25 mark-to-market.

是的，完美。這很有意義。然後再確認一下，在計入股息後，帳面價值下降了 11%，對吧？所以這就像 7.25 的市價。

I'll stick with the 11% as opposed to giving you a point estimate. But yes, that does. And the estimate that, obviously, what you can tell is that when we gave our numbers out a week ago. By the way, we released them because that's typically when we would have released them. This call happens to be about a week later than it normally is for schedule of reasons. But the market was, in fact, weaker, a week ago than it was just last week, as I mentioned, mortgages have found some footing and have begun to improve and 11% is a reasonable number for right now.

我會堅持使用 11%，而不是給你一個點估計。但是，是的，確實如此。顯然，你可以知道的是我們一週前公佈數據時的估計。順便說一句，我們發布了它們，因為那是我們通常會發布它們的時間。由於日程原因，這次電話會議恰好比正常情況晚了大約一周。但事實上，一週前的市場比上週還要疲軟，正如我所提到的，抵押貸款已經找到了一些立足點並開始改善，目前 11% 是一個合理的數字。

Our final question will come from Eric Hagen with BTIG.

我們的最後一個問題將由 BTIG 的 Eric Hagen 提出。

Maybe just a follow-up actually on the structural leverage and the mix between preferred and common and really just how -- just kind of how you think about that leverage and what you're comfortable with over maybe shorter and longer periods of time. And even how you think that leverage kind of retraces and affects the valuation of the common stock and what you guys might be willing to tolerate right now and over, again, kind of longer periods from that respect?

也許只是結構性槓桿以及首選和常見之間的混合的後續行動，實際上只是如何 - 只是您如何看待這種槓桿以及您在可能更短和更長的時間內感到滿意的內容。甚至您認為槓桿會如何回撤並影響普通股的估值，以及您現在可能願意容忍的程度，以及從這方面來看更長時期的容忍程度？

Yes, thank you. Over the longer run, we've operated with our preferred mix right now in low 20 range for the last several quarters. It's been 22%, 23% at the end of last quarter. It's ticked up as the book value has declined, has been absorbed by the common that percent has gone up to around 24%, and we're comfortable operating in that range. I don't expect it to change much. It does give us the benefit that you're talking about with respect to our overall cost of capital.

是的，謝謝。從長遠來看，過去幾季我們的首選組合一直在 20 左右。上季末為22%、23%。隨著帳面價值下降，它被普通股吸收，百分比上升到 24% 左右，而我們在這個範圍內操作很舒服。我不希望它有太大改變。它確實為我們帶來了您所說的相對於我們的整體資本成本的好處。

But also importantly, and I think this sort of gets to part of your question, when you think about our sensitivities and from a risk management perspective, the sensitivities that we disclose, for example, our interest rate sensitivity and our spread sensitivity is based on the common component of that. So from a risk management perspective, we are looking at that sensitivity, obviously, as a driver of how we're making decisions about our overall leverage position, our overall interest rate position and our overall liquidity position.

但同樣重要的是，我認為這涉及到你的問題的一部分，當你考慮我們的敏感性時，從風險管理的角度來看，我們揭露的敏感性，例如，我們的利率敏感性和利差敏感度是基於其中的共同組成部分。因此，從風險管理的角度來看，我們顯然正在將這種敏感性視為我們如何就整體槓桿頭寸、整體利率頭寸和整體流動性頭寸做出決策的驅動因素。

I think it's appropriate to think about tangible at-risk leverage as being based on your total capital base because our preferred is permanent capital that we can use. But I think from a risk perspective, you want to look to the sensitivity on your common only, and that's why we break it out that way.

我認為基於您的總資本基礎來考慮有形風險槓桿是適當的，因為我們首選的是我們可以使用的永久資本。但我認為從風險的角度來看，你只想專注於你的共同點的敏感性，這就是我們這樣劃分的原因。

Yes, that makes sense. Just a question on the hedging here and how high you envision the hedge ratio getting just given the shape of the yield curve and maybe even anything you're looking for this week in the Fed meeting that can maybe change your posture towards taking a duration gap going forward.

是的，這是有道理的。只是一個關於這裡對沖的問題，以及考慮到收益率曲線的形狀，你預計對沖比率會達到多高，甚至可能是你本週在美聯儲會議上尋找的任何東西，這些都可能會改變你對久期缺口的態度繼續前進。

Yes. Let me start with hedging question. What we're trying to do with our hedge portfolio, if you think about it at a high level, we're trying to achieve 2 purposes. And the 2 purposes are, one is that you want the right mix of hedges that you think gives you the best opportunity to offset the value changes, the market value of your asset portfolio. I think that's the way most people think about it. But there's also another objective of the hedge portfolio, and that is to give you the most stable cost of funds.

是的。讓我從對沖問題開始。如果你從高層次思考，我們試著用我們的對沖投資組合做什麼，我們正試圖實現兩個目的。這有兩個目的，其一是您想要正確的對沖組合，您認為這可以為您提供抵銷價值變化（資產組合的市場價值）的最佳機會。我想這就是大多數人的想法。但對沖投資組合還有另一個目標，那就是為您提供最穩定的資金成本。

In order to have a very stable cost of funds, you have to have essentially a 100% hedge ratio, meaning all of your short-term debt is hedged with the same notional amount of hedges. So we're trying to find a mix this sort of achieves both those purposes because both of those objectives are really important. When we think about the hedging the portfolio in the third quarter is a good example because as both Chris and I mentioned in our prepared remarks, there was a lot of variation in mortgage performance across the yield curve because the 10-year moved up so much in the 5-year didn't move as much in the 2-year hardly moved.

為了擁有非常穩定的資金成本，你基本上必須有 100% 的對沖比率，這意味著你的所有短期債務都以相同的名義金額的對沖進行對沖。因此，我們正在嘗試找到一種能夠實現這兩個目的的組合，因為這兩個目標都非常重要。當我們考慮對沖時，第三季的投資組合就是一個很好的例子，因為正如克里斯和我在我們準備好的發言中提到的那樣，整個殖利率曲線上的抵押貸款表現存在很大差異，因為10 年期殖利率上升了許多五年內沒有太大的變化，而兩年內則幾乎沒有發生變化。

If you think about the market value exposure of a mortgage, -- you can think about that duration being broken down across the key rates, if you will, 2-year part of the curve, the 5-year part of the curve and the 10-year part of the curve.

如果您考慮抵押貸款的市場價值風險，您可以考慮將該期限細分為關鍵利率（如果您願意的話）、曲線的 2 年部分、曲線的 5 年部分和曲線的 10 年部分。

For our portfolio, for example, if you took our mortgage portfolio duration and you broke it down across the curve, it would be something like 20% of the sensitivity of the mortgage would be to the 2-year and less about 30% around the 5-year and around 50% to the back end of the curve. If you look at our hedge portfolio, often I think people look at the notional -- and they say, well, AGNC has a lot of short-term hedges. We do from a notional perspective, 44% of our hedges, for example, are 3 years and in.

例如，對於我們的投資組合，如果您採用抵押貸款投資組合久期並將其沿曲線細分，那麼抵押貸款的敏感度大約為 2 年期的 20%，而大約 30% 左右為 2 年期。 5 年期，大約50% 到達曲線後端。如果你看看我們的對沖投資組合，我認為人們通常會關註名義上的投資組合，他們會說，AGNC 有很多短期對沖。例如，我們從名目角度來看，44% 的避險期限為 3 年及 3 年以內。

But when you think about the market value sensitivity of our hedge portfolio, only about 18% of the duration of our portfolio is coming from the 2-year part of our curve. So we don't have a lot of interest rate sensitivity from our short-term hedges.

但當你考慮到我們對沖投資組合的市值敏感度時，我們投資組合的久期中只有約 18% 來自曲線的 2 年期部分。因此，我們的短期對沖並沒有太多的利率敏感度。

In fact, we have from a model perspective, if you will, just the right amount of 2-year hedges. So we have 44% notional hedges, but only 18% of our hedge sensitivity comes from our 2-year part of the curve. So I point that out because as we think -- as you ask about the hedge ratio, we've operated with a really high hedge ratio and a mix of hedges across the curve to try to achieve both those purposes.

事實上，從模型的角度來看，如果你願意的話，我們有適量的兩年期對沖。因此，我們有 44% 的名義對沖，但只有 18% 的對沖敏感性來自曲線的 2 年期部分。所以我指出這一點是因為正如我們所想的——當你詢問對沖比率時，我們已經採用了非常高的對沖比率和整個曲線上的對沖組合來試圖實現這兩個目的。

We've talked about for several quarters now that we've moved more and more of our hedges to the longer end of the curve. In fact, Chris mentioned in his prepared remarks, that 70% of the duration exposure of our hedge portfolio is 7 years or more. And we will continue to likely move more of our of our duration to the longer and intermediate part of the curve as we expect the yield curve to steepen as we expect the Fed to pause.

我們已經討論了幾個季度，現在我們已經將越來越多的對沖移至曲線的較長一端。事實上，克里斯在他準備好的發言中提到，我們對沖投資組合的70%的久期曝險是7年或更長。我們可能會繼續將更多的久期移至曲線的較長和中間部分，因為我們預計殖利率曲線會因聯準會暫停而變得陡峭。

And I think at this next meeting, the Fed will, in fact, stay constant. Again, I think they'll talk about the fact that the economy and the outlook is continuing to move in their direction. So I don't expect the Fed to make any move. At this meeting, in fact, I don't expect the Fed to tighten at all anymore. I expect the next move from the Fed to be an ease ultimately down the road.

我認為在下次會議上，聯準會實際上將保持不變。我認為他們會再次談論經濟和前景繼續朝著他們的方向發展。所以我預計聯準會不會採取任何行動。事實上，在這次會議上，我根本不認為聯準會會再收緊貨幣政策。我預計聯準會的下一步最終將是寬鬆的。

But as the Fed does get, in fact, closer to the pause point and reflect that in the market, then ultimately, I think you would expect us to operate with a lower hedge ratio over time as we want to benefit the portfolio from a decline in short-term rates. But that, I think, is further out. Obviously, that will be something in 2024, where the Fed actually starts to ease. So for now, we like having more of our hedges in the longer part of the curve.

但事實上，隨著聯準會確實接近暫停點並在市場上反映出來，那麼最終，我認為您會期望我們隨著時間的推移以較低的對沖比率進行操作，因為我們希望使投資組合從下跌中受益在短期利率方面。但我認為，那是更遠的事。顯然，這將是 2024 年聯準會真正開始放鬆貨幣政策的事情。因此，就目前而言，我們希望在曲線較長的部分進行更多對沖。

We'll likely do more of that shift. And over time, I think you'll see our hedge ratio come down. But I wanted to give you that sort of explanation on the key rates because I think it's important for people to understand what the notional of our portfolio means and what the duration dollar means.

我們可能會做更多這樣的轉變。隨著時間的推移，我想你會看到我們的對沖比率下降。但我想向您提供關鍵利率的解釋，因為我認為人們了解我們投資組合的概念意味著什麼以及美元久期意味著什麼很重要。

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

我們現在結束了問答環節。我想將電話轉回給彼得·費德里科 (Peter Federico) 作結束語。

Well, appreciate everybody's time on the call today, and we look forward to speaking to you again at the end of the fourth quarter. Thank you for participating.

好的，感謝大家今天抽出時間參加電話會議，我們期待在第四季末再次與您交談。感謝您的參與。

The conference has now concluded. Thank you for joining the call. You may now disconnect.

會議現已結束。感謝您加入通話。您現在可以斷開連線。