AGNC Investment Corp (AGNCP) 2025 Q2 法說會逐字稿

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

早安，歡迎參加 AGNC Investment Corp. 2025 年第二季股東電話會議。（操作員指示）請注意，此事件正在被記錄。

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

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

Thank you all for joining AGNC Investment Corp., second quarter 2025 earnings call. Before we begin, I'd like to review the Safe Harbor Statement. This conference call and corresponding slide presentation contains statements that, to the extent they are not recitations of historical facts, constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995.

感謝大家參加 AGNC Investment Corp. 2025 年第二季財報電話會議。在我們開始之前，我想回顧一下安全港聲明。本次電話會議和相應的幻燈片簡報中包含一些陳述，只要它們不是對歷史事實的複述，則構成《1995 年私人證券訴訟改革法案》所定義的前瞻性陳述。

All such forward-looking statements are intended to be subject to the Safe Harbor protection provided by the Reform Act. Actual outcomes and results could differ materially from those forecast due to the impact of many factors beyond the control of AGNC. All forward-looking statements included in this presentation are made only as of the date of this presentation and are subject to change without notice.

所有此類前瞻性陳述應受到《改革法案》提供的安全港保護。由於受到 AGNC 無法控制的許多因素的影響，實際結果可能與預測結果有重大差異。本簡報中包含的所有前瞻性陳述僅截至本簡報發布之日有效，如有更改，恕不另行通知。

Certain factors that could cause actual results to differ materially from those contained in the forward-looking statements are included in AGNC's periodic reports filed with the Securities and Exchange Commission. Copies are available on the SEC's website at sec.gov. We disclaim any obligation to update our forward-looking statements unless required by law.

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

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

參加電話會議的人員包括總裁、執行長兼首席投資長 Peter Federico、執行副總裁兼財務長 Bernie Bell 以及策略與企業發展執行副總裁 Sean Reid。

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

說完這些，我會把電話轉給 Peter Federico。

Good morning, and thank you all for joining our second quarter earnings call. Following the administration's tariff announcement in early April, elevated governmental policy risk caused investor sentiment to turn sharply negative and financial markets to reassess the macroeconomic and monetary policy outlook. After a sharp repricing in April, most markets retraced the early period losses and ended the quarter at better valuation levels.

早安，感謝大家參加我們的第二季財報電話會議。自4月初政府宣布加徵關稅以來，政府政策風險上升導致投資人情緒急劇轉為負面，金融市場重新評估宏觀經濟與貨幣政策前景。在四月份大幅重新定價之後，大多數市場都收回了早期的損失，並在本季度結束時獲得了更好的估值水平。

The performance of agency mortgage-backed securities relative to benchmark interest rates, however, was notably weaker quarter-over-quarter. As a result of this underperformance, AGNC's economic return for the second quarter was negative 1%.

然而，機構抵押貸款擔保證券相對於基準利率的表現明顯環比疲軟。由於業績不佳，AGNC 第二季度的經濟回報率為負 1%。

During the first three weeks of April, when the financial market stress was most pronounced, the yield on the 10-year treasury fluctuated by more than 100 basis points, and the S&P 500 stock index declined by 12%. This volatility and macroeconomic uncertainty adversely impacted agency mortgage-backed securities, with spreads to treasury and swap rates widening meaningfully.

4月前三週，金融市場壓力最大，10年期公債殖利率波動超過100個基點，標準普爾500指數下跌12%。這種波動和宏觀經濟的不確定性對機構抵押貸款支持證券產生了不利影響，導致國債和掉期利率的利差大幅擴大。

A primary focus of AGNC's risk management framework is maintaining sufficient liquidity to withstand episodes of significant financial market stress. One important measure of this capacity is the percentage of equity that we hold in unencumbered cash and agency mortgage-backed securities, which are available to meet margin calls in the normal course of business.

AGNC 風險管理架構的主要重點是保持足夠的流動性以抵禦重大金融市場壓力。衡量此能力的一個重要指標是我們持有的無抵押現金和機構抵押貸款支持證券的股權百分比，這些現金和證券可用於在正常業務過程中滿足保證金要求。

This focus enabled us to begin the second quarter with a strong liquidity position and to navigate the financial market volatility without issue and, importantly, without selling assets. Moreover, we were able to take advantage of the wider MBS spread environment by raising accretive capital during the quarter and opportunistically deploying a portion of that capital in attractively priced assets.

這種專注使我們能夠在第二季開始時就擁有強大的流動性狀況，並能夠順利應對金融市場的波動，而且重要的是，無需出售資產。此外，我們能夠利用更廣泛的 MBS 利差環境，透過在本季度籌集增值資本，並抓住機會將部分資本部署到價格誘人的資產中。

Over the last two months of the quarter, most financial markets retraced the April losses and, in some cases, set new record highs. For example, the S&P 500 index rallied 25% from the April low and ended the quarter about 10% higher. Investment-grade and high-yield debt also performed well with spreads tightening 10 basis points and 50 basis points respectively.

在本季的最後兩個月中，大多數金融市場都收復了四月份的失地，有些甚至創下了歷史新高。例如，標準普爾 500 指數從 4 月的低點上漲了 25%，並在本季結束時上漲了約 10%。投資等級和高收益債券也表現良好，利差分別收窄 10 個基點和 50 個基點。

The one notable performance exception was agency mortgage-backed securities as the current coupon spread to a blend of treasury and swap benchmarks ended the quarter 7 basis points and 14 basis points wider respectively. Although the Fed and treasury have indicated that beneficial regulatory reforms are forthcoming, bank demand for MBS still appears to be constrained. Similarly, foreign investor demand may be hindered by US dollar weakness and geopolitical risk.

唯一值得注意的表現例外是機構抵押貸款支持證券，因為當前票面利率與國債和掉期基準利率之差在本季度末分別擴大了 7 個基點和 14 個基點。儘管聯準會和財政部已表示即將推出有利的監管改革，但銀行對 MBS 的需求似乎仍受到限制。同樣，美元疲軟和地緣政治風險可能會阻礙外國投資者的需求。

Looking ahead, we expect banks and foreign demand for agency MBS to grow. In addition, as we enter the third quarter, the seasonal supply pattern for MBS issuance should improve. We expect the net supply of new MBS will be about $200 billion this year, the low end of most forecasts.

展望未來，我們預期銀行和外國對機構 MBS 的需求將會成長。此外，隨著進入第三季度，MBS 發行的季節性供應模式應該會有所改善。我們預計今年新MBS的淨供應量將達到約2000億美元，這是大多數預測的低端。

Since quarter end, MBS spreads have tightened slightly and are showing signs of stabilization. As a levered and hedged investor in agency mortgage-backed securities, AGNC's return profile is most favorable in environments in which mortgage spreads are wide and stable.

自本季末以來，MBS利差略有收緊，並顯示出穩定的跡象。作為機構抵押貸款擔保證券的槓桿和對沖投資者，AGNC 的回報狀況在抵押貸款利差較大且穩定的環境中最為有利。

Our favorable outlook for agency MBS was further improved in the second quarter by the very positive message from key decision makers related to the potential recapitalization and release from conservatorship of the GSEs. The White House, the Treasury Department, and FHFA affirmed the government's commitment to maintaining the implicit guarantee for agency MBS and also indicated that they are taking a do-no-harm approach to GSE reform.

由於主要決策者在第二季度就潛在的資本重組和解除政府支持企業託管發出了非常積極的信息，我們對機構 MBS 的樂觀前景在第二季度得到了進一步改善。白宮、財政部和聯邦住房金融局確認政府致力於維持對機構MBS的隱性擔保，並表示將對政府支持企業改革採取無害態度。

Specifically, President Trump made an unprecedented statement in late May regarding the GSEs and the ongoing role of the government in the housing finance system. He said, our great mortgage agencies, Fannie Mae and Freddie Mac, provide a vital service to our nation, helping hardworking Americans reach the American dream of home ownership.

具體來說，川普總統在 5 月底就政府支持企業以及政府在住房金融體系中持續發揮的作用發表了前所未有的聲明。他說，我們偉大的抵押貸款機構房利美和房地美為我們的國家提供了至關重要的服務，幫助勤奮的美國人實現了擁有住房的美國夢。

I am working on taking these amazing companies public, but I want to be clear, the US government will keep its implicit guarantees with the word guarantees emphasized in all capital letters. Treasury Secretary Bessent also made several important statements regarding the GSEs during the quarter. The one that stood out the most to us was when he said, the one requirement of this privatization is that they are privatized in such a way that mortgage spreads do not widen. And in fact, is there a way that we can make the spread between the risk-free rate and mortgages tighten as Freddie Mac and Fannie Mae are privatized.

我正在努力讓這些出色的公司上市，但我想明確一點，美國政府將繼續提供隱性擔保，並用大寫字母強調「擔保」一詞。財政部長貝森特也在本季就政府支持企業發表了幾項重要聲明。對我們來說最突出的是，他說，私有化的一項要求是，私有化的方式不能使抵押貸款利差擴大。事實上，隨著房地美和房利美私有化，我們有沒有辦法縮小無風險利率和房貸之間的利差呢？

Finally, Director Pulte weighed in with similar positive statements saying, our number one thing is to do no harm and keep the implicit guarantees intact. We cannot have any disruption to the mortgage market. There cannot be any upward pressure on the mortgage rate. And I am very confident that the mortgage market will be safer and sounder as a result of any option that the President takes.

最後，普爾特主任也發表了類似的積極言論，他說，我們的首要任務是不造成傷害，並保持隱性擔保的完整性。我們不能讓抵押貸款市場受到任何干擾。抵押貸款利率不能有任何上行壓力。我非常有信心，無論總統採取什麼選擇，抵押貸款市場都會變得更加安全和穩健。

These statements individually and collectively clarify the administration's approach and more importantly, should provide investors greater confidence that the credit quality of the $8 trillion of outstanding agency mortgage-backed securities, as it is understood to be today, will not be impaired by actions associated with privatization.

這些聲明無論單獨還是整體都闡明了政府的做法，更重要的是，應該讓投資者更加相信，目前所理解的 8 兆美元未償還機構抵押貸款支持證券的信用品質不會因私有化相關行動而受到損害。

In fact, given the explicit statement of credit support made by the President of the United States that the implicit guarantee of agency MBS will be preserved, investors could reasonably conclude that the credit quality of the outstanding stock of agency mortgage-backed securities has never been stronger.

事實上，鑑於美國總統明確表示將保留機構MBS的隱性擔保，投資者可以合理地得出結論，機構抵押貸款支持證券的流通股的信用品質從未如此強勁。

These statements also make it clear that maintaining stability in the mortgage market and lowering mortgage costs are two important guiding principles of GSE reform. This is a very positive development that should lead to tighter mortgage spreads over time.

這些聲明也明確表示，維持抵押貸款市場穩定和降低抵押貸款成本是政府支持企業改革的兩個重要指導原則。這是一個非常積極的發展，隨著時間的推移，抵押貸款利差將會收窄。

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

現在，我將把電話轉給我們的財務長伯尼貝爾 (Bernie Bell)，以更詳細地討論我們的財務表現。

Thank you, Peter. For the second quarter, AGNC reported a comprehensive loss of $0.13 per common share. Our economic return on tangible common equity was negative 1%, consisting of $0.36 of dividends declared per common share and a $0.44 decline in tangible net book value per share as mortgage spreads ended the quarter moderately wider.

謝謝你，彼得。AGNC 報告第二季每股普通股綜合虧損 0.13 美元。我們有形普通股的經濟回報率為負 1%，包括每股普通股宣布的股息 0.36 美元以及每股有形淨帳面價值下降 0.44 美元，因為本季末抵押貸款利差略有擴大。

As of late last week, our tangible net book value per common share was up about 1% for July after deducting our monthly dividend accrual. Quarter end leverage increased slightly to 7.6 times tangible equity compared to 7.5 times at the end of Q1. Average leverage for the quarter rose to 7.5 times from 7.3 times in the prior quarter.

截至上週晚些時候，扣除每月應計股息後，我們 7 月份每股普通股有形淨帳面價值上漲了約 1%。季度末槓桿率略有上升，從第一季末的 7.5 倍上升至有形權益的 7.6 倍。本季平均槓桿率從上一季的 7.3 倍上升至 7.5 倍。

As of quarter end, our liquidity position totaled $6.4 billion in cash and unencumbered agency MBS, representing 65% of tangible equity, up from 63% as of the prior quarter. As Peter noted, we were able to navigate the substantial financial market volatility in April with our portfolio intact as a result of our risk management positioning and ample liquidity entering that period.

截至季末，我們的流動資金總額為 64 億美元，包括現金和無抵押機構 MBS，佔有形權益的 65%，高於上一季的 63%。正如彼得所指出的，由於我們的風險管理定位和進入該時期的充足流動性，我們能夠應對 4 月份金融市場的大幅波動，並且我們的投資組合保持完整。

Additionally, during the quarter, we opportunistically raised just under $800 million of common equity through our at-the-market offering program at a significant premium to tangible net book value. As of quarter end, we had deployed slightly less than half of the proceeds, and we have continued to deploy the remaining capital post-quarter end.

此外，在本季度，我們透過市場發行計劃，以遠高於有形淨帳面價值的價格，機會性地籌集了近 8 億美元的普通股。截至季度末，我們已部署略少於一半的收益，並且我們將在季度末之後繼續部署剩餘的資本。

In utilizing the ATM, we attempt to maximize both the accretion benefit associated with the stock issuance premium and the investment returns on acquired assets. However, the optimal timing for stock issuances and capital deployment may not fully align. As a result, our investment of the new capital may lag the issuance, as it did this quarter, as we evaluate market conditions and wait for favorable entry points.

在利用 ATM 時，我們試圖最大化與股票發行溢價相關的增值效益和所收購資產的投資回報。然而，股票發行和資本配置的最佳時機可能並不完全一致。因此，當我們評估市場狀況並等待有利的切入點時，我們對新資本的投資可能會落後於發行，就像本季一樣。

Net spread and dollar roll income declined $0.06 to $0.38 per common share for the quarter, primarily due to the timing of deployment of the new capital raised over the quarter, with moderately higher swap costs also contributing to the decline. Our net interest rate spread decreased 11 basis points to 201 basis points for the quarter, largely due to higher swap costs. Our treasury-based hedges contributed additional net spread income of approximately 1p per share for the quarter, which is not reflected in our reported net spread and dollar roll income.

本季淨利差和美元展期收入下降 0.06 美元至每股普通股 0.38 美元，主要原因是本季新籌集資本的部署時間，掉期成本略有上升也是導致下降的原因。本季度，我們的淨利差下降了 11 個基點，至 201 個基點，主要是由於掉期成本上升。我們的基於國債的對沖為本季度貢獻了約每股 1 便士的額外淨利差收入，但這並未反映在我們報告的淨利差和美元展期收入中。

Lastly, the average projected life CPR of our portfolio declined to 7.8% at quarter end, from 8.3% as of Q1, consistent with higher mortgage rates. Actual CPRs averaged 8.7% for the quarter, up from 7% in the prior quarter.

最後，我們投資組合的平均預期壽命 CPR 從第一季的 8.3% 下降至季末的 7.8%，這與較高的抵押貸款利率一致。本季實際 CPR 平均為 8.7%，高於上一季的 7%。

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

現在，我將把電話轉回給彼得，請他做總結發言。

Thank you, Bernie. I'll provide a brief review of our portfolio before taking your questions. Trade, fiscal, and monetary policy uncertainty caused agency MBS spreads to widen across the coupon stack, with higher coupon MBS performing slightly better than lower coupon MBS.

謝謝你，伯尼。在回答您的問題之前，我將對我們的投資組合進行簡要回顧。貿易、財政和貨幣政策的不確定性導致機構 MBS 利差在票面利率範圍內擴大，高票面利率 MBS 的表現略優於低票面利率 MBS。

MBS performance also varied considerably by hedge type and maturity, as the yield curve steepened significantly during the quarter and swap spreads tightened 5 basis points to 10 basis points. As a result, MBS hedged with longer-dated treasury-based hedges performed materially better than MBS hedged with short and intermediate-term swap-based hedges.

MBS 的表現也因對沖類型和期限的不同而存在很大差異，因為本季殖利率曲線明顯變陡，掉期利差收窄 5 個基點至 10 個基點。因此，以較長期國債對沖的 MBS 表現明顯優於以短期和中期掉期對沖的 MBS。

Our asset portfolio totaled $82 billion at quarter end, up about $3.5 billion from the prior quarter. The mortgages that we added were largely higher coupon-specified pools with favorable prepayment characteristics. As a result, the percentage of our assets with some form of positive prepayment attribute increased to 81%.

截至本季末，我們的資產組合總額為 820 億美元，比上一季增加了約 35 億美元。我們增加的抵押貸款大多是票面利率較高的特定資產池，具有良好的預付特性。因此，我們具有某種形式的正向預付款屬性的資產比例增加到 81%。

Our aggregate TBA position remained relatively stable at about $8 billion, consistent with our preference for specified pools in the current environment. With both our pool and TBA activity concentrated in higher coupons, the weighted average coupon of our asset portfolio increased to 5.13% during the quarter. The notional balance of our hedge portfolio increased to $65.5 billion at quarter end. In duration dollar terms, our hedge portfolio consisted of 46% treasury-based hedges and 54% swap-based hedges.

我們的 TBA 總部位保持相對穩定，約 80 億美元，這與我們在當前環境下對特定資金池的偏好一致。由於我們的資產池和 TBA 活動都集中在較高的票面利率上，我們資產組合的加權平均票面利率在本季上升至 5.13%。截至本季末，我們的對沖投資組合的名目餘額增加至 655 億美元。以美元久期計算，我們的對沖投資組合包括 46% 的國債對沖和 54% 的掉期對沖。

In summary, despite the second quarter volatility and elevated geopolitical and government policy risk that still remains, we continue to have a very positive outlook for agency mortgage-backed securities. In fact, we believe the outlook actually improved in the second quarter due to four factors.

總而言之，儘管第二季市場波動以及地緣政治和政府政策風險依然存在，但我們對機構抵押貸款支持證券的前景仍然非常樂觀。事實上，我們認為第二季前景實際上有所改善，原因有四。

First, MBS supply appears to be manageable as seasonality factors turn more favorable and the mortgage rate remains high. Second, the demand for MBS appears poised to grow as a result of anticipated regulatory changes and relative value attractiveness.

首先，由於季節性因素變得更加有利且抵押貸款利率仍然保持高位，MBS 供應似乎處於可控狀態。其次，由於預期的監管變化和相對價值吸引力，對 MBS 的需求似乎將會成長。

Third, agency spreads appear to be stabilizing at historically cheap levels. And lastly, key policy makers appear to be taking a cautious do-no-harm approach to GSE reform while reaffirming the government's ongoing role in the housing finance system. Collectively, we believe these positive developments create a very favorable investment outlook for agency mortgage-backed securities as a fixed income asset class.

第三，代理利差似乎穩定在歷史低點。最後，主要政策制定者似乎對政府支持企業改革採取了謹慎的、不造成傷害的態度，同時重申政府在房屋金融體系中的持續角色。總的來說，我們相信這些積極的發展為機構抵押貸款支持證券作為固定收益資產類別創造了非常有利的投資前景。

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

現在，我們就可以開始回答你們的問題了。

(Operator Instructions) Doug Harter, UBS.

（操作員指示）Doug Harter，瑞銀。

Thanks, and good morning. Just kind of digging into the last comments you made about the attractive environment, as you look at that environment and you look to continue to take advantage of that, do you think that comes in the form of looking to raise additional capital or is increasing leverage from kind of this area where you've been for the past couple of quarters a consideration as well?

謝謝，早安。只是深入研究您最後關於有吸引力的環境的評論，當您觀察這種環境並希望繼續利用它時，您認為這是以尋求籌集額外資本的形式出現的，還是增加您過去幾個季度一直在考慮的領域的槓桿率？

Sure, well appreciate that question. And as you mentioned, our outlook really is favorable as we sort of start the second half of the year, given some of the developments of the second quarter, particularly related to the GSEs. I think it sets up a strong backdrop for agency mortgage-backed securities.

當然，我們很感謝你提出這個問題。正如您所提到的，考慮到第二季度的一些發展，特別是與政府支持企業相關的發展，我們對下半年的前景確實是樂觀的。我認為這為機構抵押貸款支持證券奠定了堅實的基礎。

But what we're seeing now is really some stabilization. And I do expect spreads to move sort of gradually tighter, but it doesn't seem to be a big catalyst for them to move sharply lower over the near term. And I say that because that's important.

但我們現在看到的確實有些穩定。我確實預期利差會逐漸縮小，但這似乎不是短期內利差大幅走低的重大催化劑。我這樣說是因為這很重要。

As Bernie mentioned, we haven't, we've sort of taken a patient, measured approach to the deployment of capital that we raised in the second quarter. She mentioned that we deployed a little less than half of that. So from that perspective, we still have capacity to deploy those proceeds at what are still very attractive levels today.

正如伯尼所提到的，我們並沒有採取耐心、審慎的方式來部署我們在第二季籌集的資金。她提到，我們部署的量還不到其中的一半。因此從這個角度來看，我們仍然有能力以目前非常有吸引力的水平部署這些收益。

Agency mortgage-backed securities current coupon to a blend of swap rates is at about 200 basis points. That's about the upper end of the range over the last four years. And then, of course, to the extent that we have capacity at some point during the quarter to raise accretive capital and deploy those proceeds, we would certainly look to do that as well as a way of generating incremental value for our shareholders.

機構抵押貸款擔保證券當前票面利率與掉期利率比率約為 200 個基點。這大約是過去四年來的最高水準。當然，如果我們在本季的某個時候有能力籌集增值資本並部署這些收益，我們肯定會尋求這樣做，並為我們的股東創造增量價值。

But we can -- we feel like we're in a good position now to deploy capital at a sort of a patient-measured pace. And I think these opportunities are going to be with us for a little while. But we could certainly also have the capacity to operate with slightly higher leverage.

但我們可以——我們覺得我們現在處於一個良好的位置，可以以耐心、有節奏的速度部署資本。我認為這些機會將會伴隨我們一段時間。但我們當然也可以以略高的槓桿來運作。

Bernie mentioned that our unencumbered cash position at the end of the quarter was at $6.4 billion, or 65%. That's 2% higher, actually, than it was at the end of the first quarter. So despite all the volatility, despite growing our portfolio by $3.5 billion, we still have actually more unencumbered cash as a percentage of our equity at the end of the second quarter.

伯尼提到，本季末我們的未支配現金部位為 64 億美元，佔 65%。實際上，這比第一季末高出 2%。因此，儘管存在各種波動，儘管我們的投資組合增加了 35 億美元，但在第二季末，我們實際上仍擁有更多未支配現金，占我們股權的百分比。

So we're in a good position, Doug, essentially, to do everything that you just described. We'll let the market dictate the pace of that and then the levers that we pull as we see mortgage spreads develop. And we see the backdrop of some of this still ongoing political uncertainty get resolved, which hopefully will get resolved over the next couple weeks with respect to government policy and tariffs.

因此，道格，從本質上講，我們處於一個有利位置，可以完成您剛才描述的所有事情。我們將讓市場決定這一進程，然後隨著抵押貸款利差的發展，採取相應的措施。我們看到，一些仍然存在的政治不確定性因素已經解決，希望政府政策和關稅問題能在未來幾週內解決。

And then, of course, we have a little bit of uncertainty still ongoing with monetary policy. But those should be resolved, really, over the next month or two. So we have a lot of capacity, a lot of flexibility to be opportunistic in this environment.

當然，貨幣政策仍存在一些不確定性。但這些問題確實應該在未來一兩個月內解決。因此，我們擁有很大的能力和很大的靈活性，可以在這種環境下抓住機會。

Great. Thank you.

偉大的。謝謝。

Thank you.

謝謝。

Crispin Love, Piper Sandler.

克里斯賓·洛夫，派珀·桑德勒。

Thanks. Good morning. Peter, can you speak to your views on the core earnings trajectory and what that means for the dividend level? Core returns are high. Spreads are pretty wide. Swaps continue to roll off. But I'm curious what you view to be the run rate for earnings and core returns over the near to intermediate term.

謝謝。早安.彼得，您能談談您對核心盈利軌蹟的看法以及這對股息水平意味著什麼嗎？核心報酬率很高。價差相當大。掉期交易繼續減少。但我很好奇，您認為近期至中期的利潤和核心回報的運行率是多少。

Yeah. We've talked about our net spread and dollar roll income for a lot of quarters now in terms of it coming down to be more aligned with the economics of our portfolio as we see it. And obviously, there's a lot of considerations when you're looking at net spread and dollar roll income in terms of the way accounting works for asset yields and for hedge costs.

是的。我們已經討論了好幾季的淨利差和美元滾動收入，以便使其與我們所看到的投資組合的經濟狀況更加一致。顯然，當你考慮淨利差和美元滾動收入時，需要考慮很多因素，包括資產收益率和對沖成本的會計處理方式。

And it doesn't reflect necessarily the long-term ongoing economic earnings power of your portfolio. It's a current period earnings measure. So you have to look at it in that context. But that said, it has come down more in line with the economics of our portfolio today. And I'll share with you a couple of points. One, if you look at that $0.38, that $0.38 in terms of a return on equity is, I think, in the 19.5% type range. I don't know exactly what that number, but something in the 19.5% range.

而且它不一定能反映你的投資組合的長期持續經濟獲利能力。這是當前期間的收益衡量指標。所以你必須從這個角度來看待它。但話雖如此，它已經更符合我們今天投資組合的經濟狀況。我將與大家分享幾點。首先，如果你看一下那 0.38 美元，那麼就股本回報率而言，那 0.38 美元，我認為在 19.5% 左右的範圍內。我不知道這個數字的具體數字是多少，但應該在 19.5% 左右。

I point that out because if you look at where mortgage valuations are today, that number I just talked about with current coupon to a blend of treasury rates and a current coupon to a blend of swap rates, current coupon to treasury rates right now at about 160 basis points, a blend of rates across the curve from three years to 10 years, and 200 basis points to swap.

我指出這一點是因為如果你看一下今天的抵押貸款估值，我剛才談到的數字是，當前票面利率與國庫券利率混合以及當前票面利率與掉期利率混合，當前票面利率與國庫券利率的比率現在約為 160 個基點，從 3 年期到 10 年期曲線的混合利率，以及 200 個基點的掉期利率。

So you're looking at about 180 basis point return spread in the current environment. Leveraged the way we leverage our portfolio, that translates, again, to about a 19-or-so percent ROE for marginal investments. So I would say that the environment that we're in right now, given where spreads are, I would call it in the high teens, somewhere between 18% to 20% returns, that aligns with our net spread and dollar roll income.

因此，在當前環境下，您會看到大約 180 個基點的報酬差額。利用我們利用投資組合的方式，這又轉化為邊際投資的 ROE 約為 19% 左右。因此，我想說，就我們目前所處的環境而言，考慮到利差，我認為回報率應該在十幾歲左右，即 18% 到 20% 之間，這與我們的淨利差和美元滾動收入相一致。

But there's going to be period-to-period volatility in that number. Bernie mentioned it came down this last quarter because of the slow pace of deployment, primarily, of the proceeds of the capital that we raised. And obviously, as we deploy that, that'll sort of eliminate that drag that we saw in the second quarter.

但該數字在不同時期會存在波動。伯尼提到，上個季度的下降主要是因為我們籌集的資金的收益部署速度緩慢。顯然，當我們部署這項措施時，這將消除我們在第二季度看到的阻力。

But also, there will be a continued drag from our swap hedges rolling off. We had about $5 billion roll off in the second quarter. We replaced $2.3 billion of those. So over time, our swap costs will go up. I expect our repo costs to come down over time, particularly as the Fed eventually gets back into easing. And I expect our asset yields to gradually rise. They're still below market.

但同時，我們的掉期對沖的減少也將持續帶來拖累。我們第二季的支出約為 50 億美元。我們替換了其中的 23 億美元。因此隨著時間的推移，我們的掉期成本將會上升。我預計我們的回購成本會隨著時間的推移而下降，特別是當聯準會最終恢復寬鬆政策時。我預計我們的資產收益率將逐步上升。它們的價格仍低於市場價格。

So there's a bunch of different factors. But I would say our net spread and dollar roll income should stay generally in the kind of range that we're seeing, maybe high -- mid-to-high 30s to low-to-mid $0.40 range.

所以有很多不同的因素。但我想說，我們的淨利差和美元滾動收入應該大致保持在我們所看到的範圍內，可能是 30 美元中高點到 0.40 美元中低位。

I gave you a lot there. I hope that answers your question.

我在那裡給了你很多東西。我希望這能回答你的問題。

Absolutely. No, that was very helpful, Peter. And then just following up on Doug's issuance question and comments you've made about deployment, you raised accretive capital, deployed about 50% of that. In the second quarter, I believe that was the comment, or it might be 50% to date. But can you just share where you stand today? How much more have you deployed since quarter end?

絕對地。不，這非常有幫助，彼得。然後，根據 Doug 的發行問題以及您對部署的評論，您籌集了增值資本，並部署了其中的約 50％。我相信，第二季度的這一比例是這樣的，或者到目前為止可能是 50%。但可以分享一下您目前的狀況嗎？自季度末以來，您又部署了多少？

And then just where are the best opportunities, coupons, investments, et cetera? And then just given the outsized issuance in the second quarter, would you expect issuance in the third to come down versus historical levels?

那麼最好的機會、優惠券、投資等等到底在哪裡呢？那麼，考慮到第二季的發行量過大，您是否預期第三季的發行量會相對於歷史水準有所下降？

Say that last part again for the issuance?

再說一下發行的最後一部分？

Yeah, just given the issuance that you did in the second quarter, more elevated, and just with what you have to still deploy, would you expect lower issuance compared to historical levels?

是的，考慮到您在第二季度的發行量更高，並且您仍需部署，您是否預計發行量會低於歷史水平？

Yeah. I'll start with that one first. Then we'll go back. You gave me a lot there. Again, it's going to be opportunistic. And I think we're in a good position to be patient with respect to our raising of capital. We really like the opportunity in the second quarter, particularly because there was so much volatility and we were able to raise it accretively. It gave us a lot of additional liquidity, if you will, to withstand further disruptions should they have occurred and then also allowed us to deploy those proceeds.

是的。我先從這個開始。那我們就回去吧。你給了我很多。再一次，這將是機會主義的。我認為我們在籌集資金方面可以保持耐心。我們真的很喜歡第二季的機會，特別是因為波動性很大，而我們能夠增加收益。如果你願意的話，它給了我們很多額外的流動性，以抵禦可能出現的進一步的混亂，然後也允許我們部署這些收益。

So I wouldn't say that the second quarter is indicative of future quarters. We'll have to just take those as they come -- repeat the first part of your question for me.

因此我不會說第二季可以預示未來幾季的情況。我們必須接受這些問題——請為我重複你問題的第一部分。

Yeah. So you talked about deploying 50% of the capital. Just the timing of that, was that in the second quarter or to date? And I'm just curious where you are right now.

是的。所以您談到部署 50% 的資本。只是時間問題，是在第二季還是到現在？我只是好奇你現在在哪裡。

Bernie was in the second quarter, but she did mention that we have continued to deploy. We purchased about $1 billion worth of mortgages earlier this month. So we still like the market. We are still deploying capital at a very disciplined, measured pace.

伯尼處於第二季度，但她確實提到我們已經繼續部署。本月初我們購買了價值約 10 億美元的抵押貸款。所以我們仍然看好這個市場。我們仍在以非常嚴謹、有節制的步伐部署資本。

And in terms of where we like, as I mentioned, we continue to really favor the sort of upper coupons, particularly in specified pools with higher coupons, call it in the 5% to 6% range, specified pools with some form of favorable prepayment characteristic. We like the yield profile there, and we like the prepayment protection we can buy with certain characteristics.

就我們喜歡的方面而言，正如我所提到的，我們仍然非常青睞較高息票，特別是特定池中較高息票的息票，在 5% 到 6% 的範圍內，具有某種形式的優惠預付款特徵的特定池。我們喜歡那裡的收益率狀況，我們喜歡可以購買的具有某些特徵的預付款保護。

Great. Thank you, Peter. I know there was a lot there. I appreciate you taking my questions.

偉大的。謝謝你，彼得。我知道那裡有很多東西。感謝您回答我的問題。

Trevor Cranston, Citizens JMP.

特雷弗·克蘭斯頓 (Trevor Cranston)，公民 JMP。

Hey. Thanks. Good morning, Peter. Another question on the capital raising. Obviously, for the last several quarters, you guys have been able to do a decent amount at pretty accretive levels. And obviously, there's a lot of benefits to being able to issue so accretively.

嘿。謝謝。早安，彼得。另一個問題是關於融資的。顯然，在過去的幾個季度裡，你們已經能夠以相當高的增值水平完成相當多的工作。顯然，如此大規模地發行債券有許多好處。

I guess, big picture, can you kind of give us an update on your thoughts as to how you think about kind of the optimal size of the company, and particularly if you continue to be able to issue accretively for the foreseeable future? Thanks.

我想，從總體上看，您能否向我們介紹一下您的想法，即您如何看待公司的最佳規模，特別是您是否能夠在可預見的未來繼續增值發行？謝謝。

Yeah. That's a great question, and it's one that we've talked about periodically. I would start by saying we're not growing for the sake of growing. We're growing because we can raise this capital accretively to the benefit of our existing shareholders and deploy those proceeds in a way that's supportive of our dividend. And to the extent that we can continue to do that, we would certainly look to continue to take advantage of that opportunity.

是的。這是一個很好的問題，我們經常討論這個問題。首先我想說，我們的成長並不是為了成長而成長。我們之所以不斷發展，是因為我們能夠以增值的方式籌集資本，為現有股東帶來利益，並以支持股息的方式部署這些收益。只要我們能夠繼續這樣做，我們肯定會尋求繼續利用這個機會。

And further, I would say that there are significant benefits of the scale that we operate. So first, if you look at our operating costs, this last quarter was 111 basis points. So I think we're the lowest operating costs in the industry. But that's certainly very compelling. So that's one point. The other is that I think you're also seeing tremendous liquidity in our stock, which is also really valuable for shareholders.

此外，我想說的是，我們的營運規模具有顯著的優勢。首先，如果你看一下我們的營運成本，上個季度是 111 個基點。所以我認為我們的營運成本是業界最低的。但這確實非常引人注目。這是其中一點。另一個是，我認為您還會看到我們的股票具有巨大的流動性，這對股東來說也非常有價值。

We are obviously now concentrated our portfolio in agency or agency-like security. So investors who want to get this exposure have a way now to buy our stock in a very liquid form. Our common equity is over $8 billion. So we have a lot of liquidity in our stock. It's very easy for investors who want this fixed income exposure in their portfolio to buy our stock in a very liquid way. So that's also very beneficial.

顯然，我們現在將投資組合集中在機構或類似機構的證券上。因此，想要獲得這種投資機會的投資者現在可以透過流動性極強的形式購買我們的股票。我們的普通股權益超過80億美元。因此我們的股票具有很大的流動性。對於希望在投資組合中持有固定收益的投資者來說，可以非常輕鬆地以流動性極強的方式購買我們的股票。所以這也是非常有益的。

And then the last point with respect to size from a positive perspective is that clearly as we grow in size and our outstanding market cap, if you will, grows in size, it does make us more accessible for other indexes to add us as we grow in size. So there's that sort of virtuous benefit of growing in size and having more liquidity and being added to more indices and so forth.

然後，從積極的角度來看，關於規模的最後一點是，顯然，隨著我們規模的擴大和我們流通市值的擴大，隨著我們規模的擴大，其他指數更容易將我們納入其中。因此，規模擴大、流動性增強、被納入更多指數等都具有良性效益。

So those are the positives that we look at. On the negative, I would say that there are market capacity constraints, if you will, that we're very cognizant of in terms of size. The liquidity in the fixed income market, as I've talked about a lot in the past, is not as good today as it was 10, 15 years ago pre-great financial crisis.

這些都是我們所看到的正面因素。從消極方面來說，我想說，存在市場容量限制，如果你願意的話，我們非常清楚規模方面的問題。正如我過去多次談到的，固定收益市場的流動性如今不如 10 到 15 年前金融危機爆發前的水平。

So we are very cognizant of the size of our asset portfolio, the ability to transact both in the hedge market and in the asset market. And those are considerations on the other side of that equation. So we're trying to find that perfect efficient frontier, if you will, between all of those various points. But there's a lot of benefits to it, and I think investors now are seeing it in size and scale and liquidity. But we're also cognizant that there's a limit to how big we will be.

因此，我們非常清楚我們的資產組合的規模，以及在對沖市場和資產市場進行交易的能力。這些都是等式另一邊的考慮因素。因此，我們正在嘗試在所有這些不同點之間找到完美的有效前沿。但它有很多好處，我認為投資者現在看到的是它的規模和流動性。但我們也意識到我們的規模是有限的。

That's helpful. Thanks.

這很有幫助。謝謝。

Bose George, KBW.

博斯喬治，KBW。

Yes, good morning. Good morning. First, given the level of swap spreads, how do you see the appropriate balance between swap hedges and treasury futures? And then when you gave the ROE number that 19-plus is that kind of reflect the mix that you guys currently have in the portfolio?

是的，早安。早安.首先，考慮到掉期利差水平，您如何看待掉期對沖和國債期貨之間的適當平衡？那麼，當您給出 19 以上的 ROE 數字時，這是否反映了您目前投資組合中的組合？

It does. When I did that calculation on the ROE, I came to 180 basis points because I used a 50-50 blend. And that's probably the right blend for us we think long term meaning that there's a lot of diversification benefits that we like about having sort of an equal mix of treasuries and swaps. But that said, a little overweighted swaps still in aggregate. And if you look at the way we set our purchases in the second quarter, about two-third of the hedges were in swap-based hedges. So we're a little more overweight.

確實如此。當我對 ROE 進行計算時，我得出了 180 個基點，因為我採用了 50-50 的混合。我們認為，從長遠來看，這對我們來說可能是正確的組合，這意味著我們喜歡透過平等地組合國債和掉期來獲得許多多樣化的好處。但話雖如此，整體而言掉期交易仍略微偏高。如果你看一下我們在第二季的購買方式，你會發現大約三分之二的避險是基於掉期的避險。所以我們的體重稍微超標了一點。

As we go forward in the current environment, I would say at the margin, we would probably favor a little bit higher percent of swaps than the long-term 50-50 average because I do expect stability in swap spreads to sort of develop over time and I do expect some downward pressure -- I should say, upward pressure, meaning swap spreads should widen which will be beneficial to us as the supplemental leverage ratio reform actually takes place, likely by the fourth quarter, but maybe even in the third quarter.

在當前環境下，我想說，在邊際上，我們可能傾向於將掉期利率的百分比設定得比長期 50-50 的平均值高一點，因為我確實預計掉期利差會隨著時間的推移而逐漸穩定，而且我確實預計會有一些下行壓力——我應該說是上行壓力，這意味著掉期利差應該會擴大公司應該擴大率。

And when you really look at what happened in the swap market in the second quarter. That was really one of the sort of the most important points about mortgage performance. I mean the move we saw in swap spreads with longer-term swap spreads moving almost 10 basis points narrower was really dramatic, and it's indicative of sort of the balance sheet constraints that still exist in the market today, swaps versus treasuries.

當你真正觀察第二季掉期市場發生的情況。這確實是有關抵押貸款表現的最重要的一點。我的意思是，我們看到掉期利差的變動，長期掉期利差縮小了近 10 個基點，這確實很劇烈，而且它表明目前市場上仍然存在資產負債表限制，即掉期與國債之間的限制。

We do expect that balance sheet pressure to ease as bank regulation is implemented and particularly the supplemental leverage ratio is changed. So over time, I think we'll benefit from this overweight right now in swaps. But 50-50 is probably the right long-term mix going forward.

我們確實預計，隨著銀行監管的實施，特別是補充槓桿率的改變，資產負債表壓力將會緩解。因此，隨著時間的推移，我認為我們將從目前的掉期超重中受益。但從長遠來看，50-50 可能是正確的組合。

Okay. Great. And then in terms of your CPR, so it looks like the lifetime CPR declined. Does that just reflect the market expectation on rates?

好的。偉大的。然後就您的心肺復甦術而言，看起來終生心肺復甦術有所下降。這是否僅僅反映了市場對利率的預期？

Exactly right. And particularly, if you look at what happened in the second quarter with respect to the yield curve steepening. And there was -- when you look at -- when you look at what happened at 10-year, 10-year was almost unchanged over the quarter. I mean I think it was up 2 basis points or 3 basis points. We had a big rally, 17 basis points rally in two years.

完全正確。特別是，如果你看看第二季殖利率曲線變陡的情況。如果你看一下 10 年期發生的情況，你會發現本季 10 年期利率幾乎沒有變動。我的意思是，我認為它上漲了 2 個基點或 3 個基點。我們經歷了一次大反彈，兩年內上漲了 17 個基點。

But the back end of the yield curve was really the story and that was a particularly sort of negative event for mortgage portfolio. I try to point that out in my prepared remarks because the 20- and 30-year parts of the curve moved higher, the 30-year moved higher by 21 basis points and mortgages do have key rate duration out there and the propagation of mortgages is effect, the mortgage rate, the propagation of mortgage rate is affected by that 30-year move.

但殖利率曲線的後端才是真正的問題所在，這對抵押貸款組合來說是一個特別負面的事件。我試圖在準備好的發言中指出這一點，因為曲線的 20 年期和 30 年期部分走高，30 年期上漲了 21 個基點，抵押貸款確實有關鍵的利率期限，抵押貸款的傳播是有效果的，抵押貸款利率，抵押貸款利率的傳播受到 30 年期走勢的影響。

So in a sense, forward mortgage rates were pushed higher in the second quarter by that movement in the 20- and 30-year part of the curve. And so that's what led to the lifetime CPR change. So that's something to watch because most portfolios ourselves included, don't typically hedge the very long cash flows in a mortgage.

因此從某種意義上說，第二季20年期和30年期抵押貸款利率曲線的變動推高了遠期抵押貸款利率。這就是導致終身心肺復甦術改變的原因。所以這是值得關注的事情，因為包括我們自己在內的大多數投資組合通常不會對沖抵押貸款中的長期現金流。

We hedge really, as you well know, predominantly, in the intermediate part of the curve, maybe out to about 15 years. The back end is so idiosyncratic, it's -- and it's difficult to hedge from a mortgage perspective. So most of our hedging is concentrated in the 10-year part of the curve to cover that long duration. So to the extent that the 10s, 30s curve moves significantly, that could be a driver of mortgage performance.

如你們所知，我們實際上主要在曲線的中間部分進行對沖，大概持續 15 年左右。後端非常特殊，從抵押貸款的角度來看很難對沖。因此，我們的大部分對沖都集中在 10 年期曲線部分，以覆蓋較長的期限。因此，如果 10 年代和 30 年代曲線出現顯著變化，那麼這可能會成為抵押貸款業績的驅動因素。

Okay, helpful. Thanks, Peter.

好的，有幫助。謝謝，彼得。

Jason Weaver, Jones Trading.

傑森‧韋弗，瓊斯貿易公司。

Hey, good morning, everyone. Thanks for taking my question. Hey, Peter, despite the relative value implications we mentioned, I know we've been talking about the level of MBS spreads for quite a while now, just given the wideness.

嘿，大家早安。感謝您回答我的問題。嘿，彼得，儘管我們提到了相對價值的影響，但我知道我們已經討論 MBS 利差水平很長一段時間了，只是考慮到其寬度。

Would you say this that -- would it be fair to say that spreads have entered just a bigger secular trend over time just given that the level of vols come down but we're still here at 200 over on swaps?

您會這樣說嗎——假設波動率水平下降，但掉期利率仍高於 200，那麼可以說利差隨著時間的推移進入了一個更大的長期趨勢嗎？

Yes. Yes and no. Clearly, we have established a new trading range. And certainly, over -- when you look back at mortgage spreads, I looked over the last four years, so taking out the actual COVID event, but since COVID, if you will, we are at the sort of high end of the range. And we sort of broke out barely in this last episode of that range and we got the 220 basis points on the as a closing mark versus swaps.

是的。是也不是。顯然，我們已經建立了一個新的交易區間。當然，當你回顧抵押貸款利差時，我回顧了過去四年，因此排除了實際的新冠疫情事件，但自從新冠疫情以來，如果你願意的話，我們處於該範圍的高端。在最後一輪中，我們勉強突破了這一區間，並以 220 個基點作為掉期收盤價。

But we are -- that range is still intact. So I would say that range for mortgages versus swaps is probably in the 160 basis point to 200 basis points range. And I would say that range versus treasuries is in call it, 160 basis point to maybe 120 basis point range. I think that's the new norm.

但我們——範圍仍然完好無損。因此我認為抵押貸款與掉期利率的區間可能在 160 個基點到 200 個基點之間。我想說的是，相對於國債，利率範圍大概在 160 個基點到 120 個基點之間。我認為這是新常態。

And I think in the current environment, we're going to stay maybe in the upper half of that range because of the geopolitical and the fiscal policy and the monetary policy uncertainty. But I don't see a lot of catalysts for us breaking out of that range. And that, I think, is the important development over the second quarter.

我認為，在當前環境下，由於地緣政治、財政政策和貨幣政策的不確定性，我們可能會保持在該範圍的上半部。但我並不認為有很多因素能讓我們突破這個範圍。我認為，這是第二季的重要發展。

Clearly, there was significant tariff-related market stress that we got through, that's important. But also the one other big catalyst that could have sort of redefined the trading range, Jason, was GSE reform because there was so much uncertainty as to how that may play out.

顯然，我們克服了與關稅相關的巨大市場壓力，這很重要。但傑森指出，另一個可能重新定義交易區間的重大催化劑是政府支持企業改革，因為改革將如何進行存在很大的不確定性。

I think the key policymakers did a really, really good job of explaining their thought process and their approach and what was meaningful to them in terms of preserving the very special attributes that the market has today. And I think that takes some of that upward spread pressure out of the equation.

我認為主要的政策制定者非常出色地解釋了他們的思考過程和方法，以及在維護當今市場所具有的特殊屬性方面對他們來說有意義的事情。我認為這可以減輕部分上行利差壓力。

So I think you're right, we're in a new range, but I think we're at the top of the range. And I don't expect it to continue up, I expect it to stay in this range and move lower.

所以我認為你是對的，我們處於一個新的範圍，但我認為我們處於該範圍的頂端。我預計它不會繼續上漲，我預計它會保持在這個範圍內並走低。

Got it. That's helpful. And then just another one on the capital deployment progress in 2Q and even currently. How are you looking at relative value within the specified pool product just among the different sort of warehouses there.

知道了。這很有幫助。然後是關於第二季度甚至當前的資本配置進展的另一個問題。您如何看待不同類型的倉庫中指定池產品的相對價值？

Yes. Well, I gave a measure in my prepared remarks that about 81% of our portfolio has what I call some form of positive prepayment attribute. And then one of our tables, I think at the beginning of our presentation on the asset portfolio, we have another called high-quality specified pools, that's about 41%, I believe, the number was.

是的。嗯，我在準備好的發言中給出了一個衡量標準，即我們投資組合中約有 81% 具有我所說的某種形式的積極提前還款屬性。然後，在我們的一個表格中，我想在我們開始介紹資產組合時，我們還有另一個表格，稱為高品質指定池，我相信這個數字大約是 41%。

The point is that we believe there's lots of attributes out there beyond just the typical high-quality attributes like low loan balance that can translate to really good mortgage performance and more stable cash flows. They include characteristics like FICO and LTV in geographies where taxes are recording or LTV characteristics or house price characteristics, loan type, whether it's primary residence or a second or an investor.

關鍵在於，我們相信，除了低貸款餘額等典型的高品質屬性之外，還有很多屬性可以轉化為真正良好的抵押貸款業績和更穩定的現金流。它們包括稅務記錄地區的 FICO 和 LTV 等特徵，或 LTV 特徵或房價特徵、貸款類型（無論是主要住所還是第二住所還是投資者）。

So we think there's a whole bunch of other characteristics. So that's why we like adding specified pools, particularly the higher coupons, as I mentioned, where there's a significant yield pickup but also we know we're taking a more there's more convexity risk there.

所以我們認為還有很多其他特徵。所以這就是為什麼我們喜歡添加指定的資金池，特別是更高息票的資金池，正如我提到的那樣，那裡的收益率會顯著上升，但我們也知道我們承擔的凸性風險更大。

But by buying some of these characteristics, particularly in the current environment where house prices are sort of stabilizing and maybe moving lower in particular areas -- we think there's a lot of value to adding those specified pools or pools with those kind of characteristics.

但是透過購買其中一些特徵，特別是在當前房價趨於穩定並且可能在特定區域走低的環境下——我們認為添加這些指定的池或具有此類特徵的池具有很大的價值。

The other thing I would say is in the current environment, and we saw this in the second quarter, there is some specialness, some benefit to TBA position in terms of the role -- implied role financing levels, particularly for certain coupons in Ginnie Mae's securities that make up most of our long position.

我想說的另一件事是，在當前環境下，我們在第二季度看到了這一點，就角色而言，TBA 的地位有一些特殊性，有一些好處——隱含的角色融資水平，特別是對於構成我們大部分多頭頭寸的 Ginnie Mae 證券中的某些息票而言。

But there isn't a lot of benefit for conventional TBA positions right now. There's no real funding advantage there. So given that we prefer to have these higher coupon specified pools rather than a TBA position in the current environment.

但目前傳統的TBA職位並沒有帶來太多好處。那裡沒有真正的資金優勢。因此，鑑於我們更傾向於擁有這些更高優惠券指定的池，而不是當前環境下的 TBA 職位。

Got it. That's helpful. Thank you very much.

知道了。這很有幫助。非常感謝。

Jason Stewart, Janney.

傑森史都華、詹妮。

Hey, good morning. Thanks, Peter. So it appears to us like the curve steepener trade is a pretty crowded trade. And we've talked about hedges, but could you go through a little bit more on the asset side? I think you started in response to Jason's question. In a post-steepener trade, how do you position the -- and is there enough flexibility? How do you position the asset side of the balance sheet in terms of coupons, et cetera, to optimize returns going forward?

嘿，早安。謝謝，彼得。因此，在我們看來，曲線陡化交易是一項相當擁擠的交易。我們已經討論了對沖，但是您能否再多談一下資產方面的問題？我認為您是開始回答傑森的問題的。在陡化後的交易中，您如何定位—是否有足夠的靈活性？您如何在票面等方面定位資產負債表的資產方，以優化未來的報酬？

Yes, there's certainly a lot of flexibility. I mean -- and you see us shifting our coupon position quite significantly quarter-over-quarter. There's lots of liquidity and capacity to do that, shifting between TBAs and specified pools. The characteristics that we talked about change our profile. So there's lots of ways on the asset side for us to do that, particularly if we have a TBA position, we could do that. We can move from TBAs to pools and different coupons.

是的，確實有很大的彈性。我的意思是——你會看到我們的優惠券狀況每季都在發生相當大的變化。有大量的流動性和能力來實現這一點，在 TBA 和指定池之間轉換。我們談論的特徵改變了我們的形象。因此，在資產方面我們有很多方法可以做到這一點，特別是如果我們有 TBA 職位，我們就可以做到這一點。我們可以從 TBA 轉移到池和不同的優惠券。

So as the yield curve changes, we can certainly change the asset side of our equation. And as you point out, it's really, it's really going to be driven by hedge location. That's really critical and we have a lot of capacity to do that. But most of our hedges are concentrated in the, call it, seven- to 12-year range. I think about 83% of our hedge duration is greater than seven years.

因此，隨著殖利率曲線的變化，我們當然可以改變等式的資產方面。正如您所指出的，這實際上將受到對沖位置的驅動。這確實很關鍵，我們有足夠的能力做到這一點。但我們的對沖大多集中在七至十二年範圍內。我認為我們約 83% 的對沖期限超過七年。

And what that tells you is that when you think of our asset key rate duration profile and then you overlay our hedge profile, given that concentration, one could conclude that we have positioned our aggregate portfolio to benefit when the yield curve steepens two years to 10 years. And so we have benefit and will continue to benefit. If two-year rates come down and 10-year rate to stay the same or go higher, our aggregate portfolio, given our asset composition and our hedge composition would benefit in that scenario.

這告訴你，當你考慮我們的資產關鍵利率期限概況，然後疊加我們的對沖概況時，考慮到集中度，你可以得出結論，當收益率曲線在兩年至十年內變陡時，我們已經將我們的總體投資組合定位為受益者。因此，我們受益並將繼續受益。如果兩年期利率下降，而十年期利率保持不變或上升，那麼考慮到我們的資產組成和對沖組成，我們的整體投資組合將在這種情況下受益。

And we do expect that steepening -- that curve steepening to continue, particularly in light of all of this pressure that we're seeing with respect to the Fed. The two-year to 10-year part of the curve right now today, I think, is at about 52 basis points. And that's about 50 basis points or 60 basis points flatter than the 25-year average. So I expect the two-year to 10-year part of the curve to steepen over time, and I expect our portfolio to benefit from that.

我們確實預計這種曲線趨陡趨勢將會持續，特別是考慮到聯準會面臨的所有這些壓力。我認為，目前曲線的兩年期至十年期部分約為 52 個基點。這比 25 年平均值低約 50 個基點或 60 個基點。因此，我預計兩年期至十年期的曲線部分將隨著時間的推移而變陡，並且我預計我們的投資組合將從中受益。

Got it. Okay. So perhaps too early to think about post steepener trades. And then I apologize if I missed this in the comments of the questions. Did you give an updated estimate for book value quarter-to-date?

知道了。好的。因此，現在考慮陡化後交易可能還為時過早。如果我在問題評論中遺漏了這一點，我深表歉意。您是否給出了本季度迄今為止的帳面價值的最新估計？

Yes. Bernie mentioned at the end of last week, it was up about 1%.

是的。伯尼在上週末提到，它上漲了約 1%。

Nothing -- end of last year yes. Okay, thank you.

沒有——是的，去年年底。好的，謝謝。

Eric Hagen, BTIG.

BTIG 的 Eric Hagen。

Hey, thanks. Good morning, guys. I hope you're well. Just one for me. In the repo market. I mean do you see the government budget deficit being a risk to the repo market, assuming it means the government is going to be issuing a bunch of longer-term debt how do you think that might trickle down to driving spreads for wholesale funding and other repo venues that you guys are active in?

嘿，謝謝。大家早安。我希望你一切都好。對我來說只有一個。在回購市場。我的意思是，您是否認為政府預算赤字對回購市場構成風險，假設這意味著政府將發行大量長期債務，您認為這可能會如何影響批發融資和其他您活躍的回購場所的利差？

And then, I mean, maybe most importantly, if we assume the Fed has the tools to control repo volatility, all else equal, I mean, does that support higher range for your leverage versus where you've operated historically?

然後，我的意思是，也許最重要的是，如果我們假設聯準會擁有控制回購波動的工具，在其他條件相同的情況下，這是否支持您的槓桿率比您歷史上的操作水平更高？

Yes. There's a lot there. So you might have to re-ask some of those questions. But first, I would say that I don't expect the treasury issuance or the deficit, certainly over the near term to have any impact on the repo market.

是的。那裡有很多東西。所以你可能需要重新問一些問題。但首先，我想說，我並不認為國債發行或赤字在短期內會對回購市場產生任何影響。

And the treasury secretary has been really clear, and I think it's been really beneficial to the market for them to really give stability in the refunding announcement. And that's not going to change. I think they continue to stay for several quarters. But I do expect the composition of their issuance change. I do expect them to issue more shorter term and less long term. They're very focused on the 10-year part of the curve in terms of that rate.

財政部長已經明確表示，我認為他們在再融資公告中給予市場穩定確實對市場有利。這一點不會改變。我認為他們會繼續留在這裡幾個季度。但我確實預計其發行的組成會發生變化。我確實希望他們發行更多短期債券，減少長期債券。他們非常關注該利率曲線的 10 年期部分。

And so there could be a little bit of crowding out of those bills get issued and some of that money comes out of the repo market. But I don't expect that to have any material really impact on pricing. There's plenty of liquidity in the markets. There's $7 trillion of money in money market funds. There's plenty of liquidity there.

因此，這些票據的發行可能會出現一些擠出現象，其中一些資金來自回購市場。但我並不認為這會對定價產生任何實質的影響。市場流動性充足。貨幣市場基金中有 7 兆美元的資金。那裡有充足的流動性。

The other thing that I would point out, and this is really important with respect to the Fed, they continue to make really positive changes to the repo market. And I expect; one, I expect quantitative tightening to essentially end relatively soon, although it may likely go through the end of the year. But it's clearly a topic of discussion. It was in the minutes last meeting, so I expect it to be ongoing, and I expect them to stop the runoff of their balance sheet.

我想指出的另一件事，對於聯準會來說非常重要，他們繼續對回購市場做出真正積極的改變。我預計，第一，我預計量化緊縮政策基本上會很快結束，儘管它可能會持續到今年年底。但這顯然是一個討論的話題。這是在上次會議的會議記錄中，所以我預計它會持續下去，我希望他們能夠停止資產負債表的流失。

But they also made some changes, positive changes to their standing repo facility that may or may not be understood. One of them was at quarter end, they increased the number of operations, they added an operation in the morning, which is beneficial to the market. But the big change that the Fed is considering that has not yet been implemented is that it's likely that the Fed will join the FICC for transactions on the standing repo facility.

但他們也對其常設回購機製做出了一些積極改變，這些改變可能會被理解，也可能不會被理解。其中一次是在季度末，他們增加了操作次數，在早上增加了一次操作，這對市場有利。但聯準會正在考慮但尚未實施的重大變化是，聯準會可能會加入 FICC 進行常設回購工具的交易。

And if they do that, that would eliminate the balance sheet constraints that currently exist and make that program effective. So if they join the FICC and they've written about this widely. I think they are considering that it takes time that would really enhance the liquidity associated with the standing repo facility. So that would be a really positive development. And I suspect they'll be doing that in conjunction with the changing of their bill issuance.

如果他們這樣做，就會消除目前存在的資產負債表限制，並使該計劃有效。因此，如果他們加入 FICC，並且他們已經廣泛地撰寫了有關此事的文章。我認為他們正在考慮真正增強常備回購工具的流動性需要時間。所以這將是一個非常積極的發展。我懷疑他們會結合改變鈔票發行的方式採取這項措施。

So I don't know if I covered all your questions, you can ask me again.

所以我不知道我是否涵蓋了您的所有問題，您可以再問我。

Yes, that was really helpful. I mean the second half of the question was just whether it the whole dynamic allows you guys to take more leverage or how you feel about your leverage, just given the support the Fed has for the repo market in general?

是的，這確實很有幫助。我的意思是，問題的後半部分是，整個動態是否允許你們採取更多槓桿，或者考慮到聯準會對回購市場整體的支持，你對你們的槓桿有何看法？

It's certainly a consideration that doesn't make us feel like we got to take our leverage lower, I'll put it that way. Yes, I think that's what's unique about our asset class. It is -- I think it's the only fixed income asset class that lends itself to a levered investment strategy because of the liquidity and pricing transparency of our security.

我這樣說，這當然是不會讓我們覺得必須降低槓桿率的考慮。是的，我認為這就是我們的資產類別的獨特之處。我認為，由於我們的證券的流動性和定價透明度，它是唯一適合槓桿投資策略的固定收益資產類別。

But most importantly as you point out, where the repo market is today versus where it was pre 2019 is so dramatically different this asset class from a funding perspective, clearly, the treasury and the Fed in particular, is focused every day on the liquidity in the repo market for treasury securities and for mortgage-backed securities.

但最重要的是，正如你所指出的，今天的回購市場與 2019 年之前的市場相比有很大不同，從融資角度來看，這一資產類別顯然是財政部，尤其是美聯儲，每天都在關注國債和抵押貸款支持證券在回購市場的流動性。

And when they talk about balance sheet and ending their quantitative tightening. They are looking at that market every single day to determine whether or not reserves have hit the ample level or not. And so they are keenly aware of any repo pressure, and they will adjust as soon as they see that repo pressure, which makes us very confident in our funding. In addition, we, of course, have our captive broker-dealer and almost 30 individual counterparties. So we love that diversification as well.

當他們談論資產負債表和結束量化緊縮政策時。他們每天都在關注市場，以確定儲備是否達到充足水準。因此，他們敏銳地意識到任何回購壓力，一旦發現回購壓力就會立即進行調整，這使我們對我們的融資非常有信心。此外，我們當然還有自己的專屬經紀交易商和近 30 個個人交易對手。所以我們也喜歡這種多樣化。

Great perspective there. I appreciate that. Actually, a follow-up here. I mean some changes to the credit scoring at the GSEs, FICO, Vantage score. I'm sure you guys are up on that. Do you see that driving or changing the prepayment environment in any way? Like does it support lower mortgage rates for some borrowers who may have not had access under the prior scoring regime?

那裡的景色很棒。我很感激。實際上，這裡有一個後續行動。我的意思是政府支持企業 (GSE)、FICO、Vantage 評分的信用評分會有些改變。我確信你們已經了解這一點。您是否認為這會以某種方式推動或改變預付款環境？例如，它是否支持為一些在先前的評分制度下可能無法獲得抵押貸款的借款人提供較低的抵押貸款利率？

Yes. It's funny. From our perspective, this seems to be getting more attention than it's really worth from an investor perspective. We -- obviously, this has been discussed Vantage alternative, the name -- that's the name of the alternative has been discussed, I think, for 10-plus years.

是的。很有趣。從我們的角度來看，這似乎得到了比投資者角度實際價值更多的關注。我們 — — 顯然，我們已經討論過 Vantage 的替代方案，這個替代方案的名稱 — — 我認為，這個替代方案的名稱已經討論了 10 多年。

From our perspective, yes, it will likely lead to borrowers having the capacity for a better, higher credit score, which ultimately could increase their capacity and lead to higher slightly higher prepayments, if you will. But from our perspective, as an investor perspective, it's not that significant and not that complicated.

從我們的角度來看，是的，這可能會讓借款人擁有更好、更高的信用評分，這最終可能會提高他們的能力，並導致略高的預付款，如果你願意的話。但從我們的角度來看，身為投資人的角度來看，這並不是那麼重要，也不是那麼複雜。

What we would need to know as an investor is one, we need to know the source of the data of the GSEs given us FICO or Vantage. And then two, we need to have sufficient time to implement so that we can then quantify the impact. And we'll all adjust it for -- we'll all adjust for the difference in speeds once we have sufficient data between the two data sources.

作為投資者，我們需要知道的是，我們需要知道政府支持企業向我們提供的 FICO 或 Vantage 數據的來源。其次，我們需要有足夠的時間來實施，以便我們能夠量化影響。一旦我們在兩個資料來源之間獲得了足夠的數據，我們就會根據速度差異進行調整。

Very helpful for me guys. Thank you.

這對我很有幫助。謝謝。

It's also worth pointing out on that one. The Vantage score I think, has some benefit over FICO in that it includes rent payment history, whereas FICO did not. So I think it could provide investors sort of a more comprehensive picture on credit.

這一點也值得指出。我認為 Vantage 分數比 FICO 分數有一些優勢，因為它包括租金支付歷史記錄，而 FICO 分數沒有。所以我認為它可以為投資者提供更全面的信貸狀況。

Rick Shane, JP Morgan.

摩根大通的里克·沙恩。

Hey guys, thanks for taking my questions this morning. Look, historically, the bear case in the space is always higher rates, but as you know well, the existential risk is actually sharply lower rates and rapid repayments.

嘿夥計們，感謝你們今天早上回答我的問題。從歷史上看，該領域的熊市情況總是更高的利率，但正如你所知，生存風險實際上是大幅降低的利率和快速的還款。

The mortgage industry is evolving. Strategically, it's evolving. From a technology perspective, it's evolving. You have borrowers. I think there's an evolving cohort of borrowers with a lot of pent-up demand for refi.

抵押貸款行業正在不斷發展。從戰略上來說，它正在不斷發展。從技術角度來看，它正在不斷發展。你有借款人。我認為，借款人群體正在不斷變化，他們對再融資有著大量被壓抑的需求。

You guys talk about your prepayment protection. Is there a risk that there's been enough of a change in terms of the underlying factors that speeds in a -- and we saw this in December where speeds picked up very quickly based on a brief moving rate that the thesis behind the prepayment protection doesn't actually provide as much protection as you're assuming?

你們談論你們的預付款保護。是否有這樣的風險：在影響網速的根本因素方面已經發生了足夠的變化？我們在 12 月就看到過這種情況，根據短暫的移動速度，網速回升得非常快，預付款保護背後的理論實際上並沒有提供像您假設的那樣多的保護？

Sure. There is a risk of that. And again, there's a lot there. So I think what you're describing is in a sense the market is becoming much more efficient technology, all the access, all those things are happening since it's making the prepayment curve, if you will, more steep, the S curve is more steep today than it was five-plus years ago, pre-Covid certainly.

當然。存在這樣的風險。再說一遍，那裡有很多東西。所以我認為你所描述的是，從某種意義上說，市場正在變得更加高效，技術更加先進，所有的訪問方式都更加便捷，所有這些事情都在發生，因為它使得預付曲線更加陡峭，今天的 S 曲線比五年前，當然是新冠疫情之前，更加陡峭。

And you're right, we have seen episodes where the mortgage rate has dropped very briefly in the windows, down around 6%, and we had a little bit of spike in prepayments. But it's also important to think about where the market is in aggregate.

你說得對，我們已經看到過這樣的情況，抵押貸款利率在窗口期短暫下降，下降了 6% 左右，而預付款項則略有增加。但思考市場整體狀況也很重要。

Today, with the mortgage rate at $675 million, there is only about 5% of the universe that has a 50 basis point incentive. And from our portfolio's perspective, as I mentioned, our average weighted average coupon is 5.13%. That's 60 basis points out of the money still.

如今，抵押貸款利率為 6.75 億美元，只有約 5% 的機構享有 50 個基點的誘因。從我們的投資組合的角度來看，正如我所提到的，我們的平均加權平均票面利率為 5.13%。這仍然意味著 60 個基點的收益損失。

So you need a significant move in the mortgage rate to get a significant amount of prepayments. Another point here, the mortgage rate would have to drop from 675 down to 5%. So you can about a dramatic movement in interest rates. In order for the market to have, I think at that point, we would have about 27% of the universe would be refinanceable.

因此，您需要大幅提高抵押貸款利率才能獲得大量預付款。這裡還有一點，抵押貸款利率必須從 675 降至 5%。因此你可以了解利率的劇烈變動。我認為，為了使市場能夠實現這一點，我們將有大約 27% 的資產可以進行再融資。

So it sort of bookends the issue for you. You're right, as we move down in mortgage rate and if we get down to 6, there is an population of pools, particularly the post-2022 pools will prepay -- those will prepay very fast.

因此，它在某種程度上為你解決了這個問題。你說得對，隨著抵押貸款利率下降，如果降到 6，就會有大量貸款池，特別是 2022 年後的貸款池，提前還款的速度會非常快。

But in order for you to have a really significant sort of market-wide refinance you're looking at a dramatically lower mortgage rate, which is hard to envision. It's not impossible, but hard to envision in the context of all the other questions we had this morning where you're talking about deficit spending and pressure on interest rates and if the Fed were to ease and the Chairman Powell were to change and the yield curve steepened, all those things should keep the mortgage rate may be higher than it otherwise would.

但為了實現真正意義上的全市場再融資，您需要考慮大幅降低的抵押貸款利率，這是很難想像的。這並非不可能，但結合我們今天早上提出的所有其他問題，很難想像這種情況會發生，您談到了赤字支出和利率壓力，如果聯準會放鬆政策、鮑威爾主席做出改變、殖利率曲線變陡，所有這些因素都會導致抵押貸款利率高於其他情況。

But you're right, there's certainly that risk. And you're also right that there are characteristics that we believe are going to give us protection that may not give us protection. But you'll have to wait and see. And you also have to wait and see what happens with the GSEs. This is the other important point over time.

但你說得對，確實有這種風險。您說得對，有些特徵我們認為會給我們保護，但實際上卻不一定能為我們提供保護。但你還得拭目以待。您還必須等待，看看政府支持企業 (GSE) 會發生什麼。這是隨著時間的推移另一個重要點。

The GSE sort of footprint, if you will, may change. They may change their mortgage, the mortgage capacity to various borrowers. They may curtail some of the business they can do today make it curtailed over time as they shift more toward sort of a profitable profitability objective. And so that may limit borrowers' capacity to refinance that have a capacity today.

如果你願意的話，GSE 的足跡可能會改變。他們可能會改變自己的抵押貸款，將抵押能力改變給不同的借款人。他們可能會削減目前可以開展的一些業務，並且隨著時間的推移，他們會逐漸轉向獲利目標。因此，這可能會限制借款人目前的再融資能力。

Those loans may not be GSE eligible in a future state. We don't know that but we do know that there is some attention toward shrinking that capacity. And also, it's also important to point out that house prices seem to be topped topping or certainly slowing nationally. But at the regional level, there's real variation. And that, again, is going to translate into a change in the refinance capacity for borrowers. So there's a lot that you'll have to consider as we go to lower rates.

這些貸款在未來可能不符合政府支持企業 (GSE) 的資格。我們不知道這一點，但我們確實知道人們正在關注縮小這種產能。此外，還需要指出的是，全國房價似乎已經達到頂峰，或者肯定正在放緩。但在區域層面，確實存在差異。這又將轉化為借款人再融資能力的改變。因此，當我們降低利率時，你需要考慮很多事情。

Peter, thank you so much for quantifying that. It's really helpful. And look, we've both done this long enough. You know it's not the punch you're looking for that hurts you. It's the that you're not looking for that does the damage.

彼得，非常感謝你對此進行量化。這真的很有幫助。瞧，我們已經這樣做了很久了。你知道，傷害你的不是你想要的打擊。正是那些你沒有註意到的事情造成了損害。

Agreed.

同意。

Appreciate it.

非常感謝。

Harsh Hemnani, Green Street.

哈什‧赫姆納尼 (Harsh Hemnani)，綠街。

Hey, just thinking through one more on leverage. As we think back to maybe early April, leverage sort of drifted up just by virtue of market price changes to, call it, high 7, 7.9. And then perhaps rebalanced throughout the quarter to end basically Q1 levels.

嘿，我再思考一下槓桿問題。回想一下，大概是在4月初，槓桿率只因為市場價格變動就上升到了7、7.9的高點。然後，槓桿率可能在整個季度內重新平衡，最終基本上達到第一季末的水平。

How are you thinking about leverage, right? Are there certain sort of rebalancing triggers that you're looking at in shock scenarios? Is it preserving that unencumbered asset that you talked about? And then maybe if we look ahead in the, call it, near to intermediate term, given you have certainty in spread volatility, given all the positives on GSE reform, et cetera. Could you -- would you be more comfortable with letting leverage shift up today than maybe a quarter ago?

您如何看待槓桿作用，對嗎？在衝擊情境中，您是否正在考慮某種重新平衡觸發因素？它是否保留了您所說的無抵押資產？然後，如果我們展望未來，或者說，中期來看，考慮到利差波動的確定性，考慮到政府支持企業改革的所有積極因素等等。與一個季度前相比，您是否更願意在今天提高槓桿？

Yes, a lot there. So first, I would say, when you refer to rebalancing in the quarter, you're right, the biggest driver of the leverage, obviously, is the change in our book value in the second quarter and that's going to put upward pressure on our leverage.

是的，有很多。首先，我想說，當您提到本季的再平衡時，您是對的，槓桿率的最大驅動因素顯然是我們第二季度帳面價值的變化，這將對我們的槓桿率造成上行壓力。

And what's important, though, and I pointed this out in my prepared remarks and this is key for a levered investment strategy. That's why I mentioned that we were able to navigate the quarter and not having to sell assets. So we rebalanced, if you will, our risk position by raising capital accretively and deploying that at a slow pace.

但重要的是，我在準備好的發言中指出了這一點，這是槓桿投資策略的關鍵。這就是為什麼我提到我們能夠度過本季而不必出售資產。因此，如果您願意的話，我們可以透過增加資本並緩慢部署來重新平衡我們的風險狀況。

And over time, as conditions change and we become more confident in the macroeconomic outlook, we can have more confidence to deploy all of those proceeds. But importantly, what we didn't have to do is you didn't have to sell assets. You didn't have to rebalance the asset side of our balance sheet, if you will, by selling assets when spreads were really wide.

隨著時間的推移，隨著條件的變化以及我們對宏觀經濟前景的信心增強，我們可以更有信心地部署所有這些收益。但重要的是，我們不必做的是，您不必出售資產。如果你願意的話，你不必在利差真的很大的時候透過出售資產來重新平衡我們資產負債表的資產方。

And doing that, you crystallize those losses. If you hold all of those assets and our existing shareholders will get the benefit of the recovery over time whenever that may happen. That's really important from a risk management perspective and from a levered investment portfolio perspective. And that's why I pointed it out in my prepared remarks this time is that making sure that we have capacity to withstand those spread moves, gives us the ability to gain back that value by not having to sell assets.

這樣做，你就使這些損失具體化了。如果您持有所有這些資產，我們的現有股東將隨著時間的推移從復甦中獲益，無論何時發生復甦。從風險管理角度和槓桿投資組合角度來看，這確實很重要。這就是為什麼我這次在準備好的發言中指出這一點，確保我們有能力承受這些利差變動，使我們能夠透過不必出售資產來收回該價值。

And you're right, over time, as the market sort of evolves, we look at today's environment and where we stand today. And what I was trying to communicate is that I'm more confident about the outlook today than it was in April. And that's important because we're at widespread I don't think spreads, while they could certainly widen, I don't think that they will stay wider if they do move wider for some macroeconomic reason.

你說得對，隨著時間的推移，隨著市場的發展，我們會審視當今的環境以及我們目前的立場。我想表達的是，我對今天的前景比四月更有信心。這一點很重要，因為我們處於普遍的利差之中，我認為，雖然利差肯定會擴大，但如果由於某些宏觀經濟原因而擴大，我認為利差不會一直保持擴大。

And over time, I think they can go lower. And that does inform us about our leverage, and it does give us more confidence. To the extent that we get more and more confident that mortgages are going to stay in a range or not break out to the upside of the range gives us more and more confidence that we could operate with higher leverage.

隨著時間的推移，我認為它們可能會更低。這確實讓我們了解了我們的優勢，也確實給了我們更多的信心。我們越來越有信心，抵押貸款將保持在一定範圍內，或者不會突破該範圍的上行，這讓我們越來越有信心，我們可以以更高的槓桿率進行運作。

But all that being said, if you look at our portfolio today, let's just say at about 7.5 times leverage, we are able to generate really attractive returns that are consistent with our dividend and give us a lot of unencumbered liquidity and risk management capacity. And that's sort of the perfect of the two and we look to optimize those two things.

但話雖如此，如果你看看我們今天的投資組合，假設槓桿率約為 7.5 倍，我們就能夠產生與我們的股息一致的真正有吸引力的回報，並為我們提供大量不受約束的流動性和風險管理能力。這是兩者的完美結合，我們希望優化這兩件事。

Got it. Thank you.

知道了。謝謝。

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

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

Again, we appreciate everybody's time and participation on our call today, and we look forward to speaking to you all again at the end of the third quarter.

再次感謝大家今天參加電話會議的時間和參與，我們期待在第三季末再次與大家交談。

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

感謝您參加此通話。您現在可以斷開連線。