Armour 住宅房產信托 (ARR) 2023 Q2 法說會逐字稿

Good morning, and welcome to ARMOUR Residential REIT Second Quarter 2023 Earnings Conference Call. (Operator Instructions) Please note this event is being recorded.

早上好，歡迎參加 ARMOR 住宅 REIT 2023 年第二季度收益電話會議。 （操作員說明）請注意此事件正在被記錄。

I would now like to turn the conference over to Jim Mountain, Chief Financial Officer. Please go ahead.

我現在想將會議交給首席財務官吉姆·山 (Jim Mountain)。請繼續。

Thank you, Drew, and thank you to all of you for joining us on our call this morning to discuss ARMOUR's second quarter 2023 results. With me today are ARMOUR's co-CEOs, Scott Ulm and Jeff Zimmer; and our CIO, Mark Gruber.

謝謝德魯，也感謝大家今天早上參加我們的電話會議，討論 ARMOUR 2023 年第二季度的業績。今天與我在一起的有 ARMOUR 的聯合首席執行官 Scott Ulm 和 Jeff Zimmer；以及我們的首席信息官馬克·格魯伯 (Mark Gruber)。

By now, everyone has access to ARMOUR's earnings release, which can be found on ARMOUR's website, www.armourreit.com. This conference call includes forward-looking statements, which are intended to be subject to the safe harbor protection provided by the Private Securities Litigation Reform Act of 1995. The Risk Factors section of ARMOUR's periodic reports filed with the Securities and Exchange Commission describes certain factors beyond ARMOUR's control that could cause actual results to differ materially from those expressed in or implied by these forward-looking statements. Those periodic filings can be found on the SEC's website at www.sec.gov.

到目前為止，每個人都可以訪問 ARMOUR 的財報，該財報可以在 ARMOUR 的網站 www.armourreit.com 上找到。本次電話會議包含前瞻性陳述，這些陳述旨在受到 1995 年《私人證券訴訟改革法案》提供的安全港保護。ARMOUR 向美國證券交易委員會提交的定期報告中的“風險因素”部分描述了除ARMOUR 的控制可能導致實際結果與這些前瞻性陳述中表達或暗示的結果存在重大差異。這些定期備案可以在 SEC 網站 www.sec.gov 上找到。

All of today's forward-looking statements are subject to change without notice. We disclaim any obligation to update them unless required by law. Also, today's discussion refers to certain non-GAAP measures. These measures are reconciled with comparable GAAP measures in our earnings release. An online replay of this conference call will be available on ARMOUR's website shortly and it will continue for one year. ARMOUR's Q2 earnings available to common shareholders was $40 million, which includes $43 million of GAAP net income. We sold the last of our legacy available-for-sale mortgage-backed securities in Q1.

今天的所有前瞻性陳述如有更改，恕不另行通知。除非法律要求，否則我們不承擔更新它們的義務。此外，今天的討論還涉及某些非公認會計原則措施。這些指標與我們收益報告中的可比公認會計原則指標進行了協調一致。 ARMOUR 網站很快將提供本次電話會議的在線重播，並將持續一年。 ARMOUR 第二季度普通股股東收益為 4000 萬美元，其中包括 4300 萬美元的 GAAP 淨利潤。我們在第一季度出售了最後一批可供出售的抵押貸款支持證券。

Going forward, there will be no mark-to-market items excluded from GAAP net income. We will continue to report total comprehensive income for comparable prior periods as long as they remain relevant. Net interest income was $5.8 million, distributable earnings available to common stockholders was $45.4 million or $0.23 per common share. This non-GAAP measure is defined as net interest income plus TBA drop income adjusted for the net coupon effective interest rate swaps less net operating expenses.

展望未來，按市值計價的項目將不會被排除在 GAAP 淨利潤之外。只要它們仍然具有相關性，我們將繼續報告可比前期的綜合收益總額。淨利息收入為 580 萬美元，普通股股東可分配收益為 4540 萬美元，即每股普通股 0.23 美元。這一非公認會計準則衡量標準被定義為淨利息收入加上根據淨票面實際利率掉期調整後的待定收益下降減去淨運營費用。

Our asset yield of 4.24% less net cost of funds of 2.49% gave us net interest margin of 1.75% for the quarter. ARMOUR Capital Management continues to waive a portion of their management fees. They waived $1.65 million for Q2, which offset operating expenses. This labor will continue until further notice. ARMOUR paid monthly common stock dividends of $0.08 per common share, that's a total of $0.24 per common share for the quarter. We've maintained the $0.08 per share common dividend rate for July and August.

我們的資產收益率為 4.24%，減去淨資金成本 2.49%，本季度的淨息差為 1.75%。 ARMOR Capital Management 繼續免除部分管理費。他們在第二季度免除了 165 萬美元，這抵消了運營費用。這項工作將持續進行，直至另行通知。 ARMOR 每月支付每股普通股 0.08 美元的普通股股息，即該季度每股普通股總計 0.24 美元。我們維持 7 月和 8 月每股 0.08 美元的普通股息率。

As we've discussed on our previous calls, our aim is to pay an attractive dividend that is appropriate in context and stable over the medium term. Taken together with the contractual dividends on preferred stock, farmers made cumulative distributions to stockholders of $2.1 billion over its history.

正如我們在之前的電話會議中所討論的那樣，我們的目標是支付具有吸引力的股息，該股息適合具體情況並在中期保持穩定。加上優先股的合同股息，歷史上農民向股東累計分配了 21 億美元。

During the second quarter, we issued 15,160,000 shares under our common stock ATM program, raising $77.5 million of capital after fees and expenses. During the second quarter, we also repurchased 425,000 shares of common stock at an average cost of $4.88 per share. That was under our existing standing repurchase authorization. For the first half of the year, our capital activities have been accretive to book value per common share and reducing per share running costs. So far in Q3, we've issued another 21,499,175 common shares, raising net capital of $109.3 million that completes our current ATM program. This brings our common share count to 228,309,234 common shares.

第二季度，我們根據普通股 ATM 計劃發行了 15,160,000 股，扣除費用和開支後籌集了 7750 萬美元的資本。第二季度，我們還以每股 4.88 美元的平均成本回購了 425,000 股普通股。這是根據我們現有的長期回購授權進行的。今年上半年，我們的資本活動增加了每股普通股的賬面價值，並降低了每股運營成本。到目前為止，第三季度，我們已發行了另外 21,499,175 股普通股，籌集了 1.093 億美元的淨資本，完成了我們當前的 ATM 計劃。這使我們的普通股數量達到 228,309,234 股。

Recently, we've approved a new ATM program offering up to 75 million shares through our affiliate BUCKLER and four other agents. Quarter-end book value was $5.38 per common share. Our most recent available book value estimate as of Monday night, July 24 was estimated to be $5.25 per common share.

最近，我們批准了一項新的 ATM 計劃，通過我們的附屬公司 BUCKLER 和其他四家代理商發行最多 7500 萬股股票。季末賬面價值為每股普通股 5.38 美元。截至 7 月 24 日星期一晚上，我們最新的可用賬面價值估計為每股普通股 5.25 美元。

Now let me turn the call over to Co-Chief Executive Officer, Scott Ulm, Scott, if you'd like to discuss in more detail our portfolio position and current strategy. Please go ahead.

現在，如果您想更詳細地討論我們的投資組合狀況和當前戰略，請讓我將電話轉給聯合首席執行官 Scott Ulm，Scott。請繼續。

Thanks, Jim. Market conditions in the second quarter continue to support our thesis that we are entering into a compelling period for investment in Agency MBS. Spreads remain near historic highs, funding and hedging are widely available. With the Fed nearing the end of the tightening cycle, we believe MBS will offer significant returns through carry, spread tightening or both.

謝謝，吉姆。第二季度的市場狀況繼續支持我們的論點，即我們正在進入機構 MBS 投資的一個引人注目的時期。利差仍接近歷史高位，融資和對沖廣泛可用。隨著美聯儲緊縮週期接近尾聲，我們相信MBS將通過利差、利差收緊或兩者兼而有之，提供可觀的回報。

Throughout this hiking cycle, U.S. treasuries have had a persistent trend of extreme fluctuations. The 2-year treasury yield surged by 112 basis points from its low 3.78% for the quarter. Simultaneously, the 10-year treasury yield experienced a gain of over 50 basis points, regaining a quarter high of 3.84%. Notably, the spread between these two tenors also made history, closing the week below a negative 100 basis points for the first time since 1981.

在整個加息週期中，美國國債一直呈現劇烈波動的趨勢。兩年期國債收益率從本季度的低點 3.78% 飆升 112 個基點。與此同時，10年期國債收益率上漲逾50個基點，重回季度高位3.84%。值得注意的是，這兩個期限之間的利差也創造了歷史，本週收盤時自 1981 年以來首次低於 100 個基點。

In response to the portfolio team rebalanced the hedge book to favor a steeper yield curve environment, which we expect will begin later this year. In early May, ARMOUR sold $1.8 billion of the lowest premium specified pools as the looming fight over the debt ceiling greatly increased the likelihood of more volatility in the market. ARMOUR decreased its net portfolio leverage and duration from 8.9x and 1.15x respectively, down to 6.8x and [0.87x] to address this increase in risk. Production coupon MBS underperformed significantly into this event, which presented a good opportunity to buy back exposure to 5.5% and 6% pools shortly after the debt ceiling resolution occurred.

作為回應，投資組合團隊重新平衡了對沖賬簿，以支持更陡峭的收益率曲線環境，我們預計這將在今年晚些時候開始。 5 月初，ARMOR 出售了 18 億美元的最低溢價指定池，因為即將到來的債務上限之爭大大增加了市場波動的可能性。 ARMOR 將其淨投資組合槓桿率和久期分別從 8.9 倍和 1.15 倍降低至 6.8 倍和 [0.87 倍]，以應對風險的增加。生產息票 MBS 在此事件中表現明顯不佳，這提供了在債務上限解決後不久回購 5.5% 和 6% 資金池敞口的好機會。

The other widely anticipated event was the liquidation of the FDIC portfolio. Net sales of agency mortgage pass-throughs have now surpassed 75% in what has been a remarkably orderly affair. The fear of a major market disruption is faded with demand stronger than initially thought, and we do not expect the remaining liquidation of the FDIC's MBS portfolio to have a material impact on valuations. Despite this, we view the relative valuation of FDIC coupons as too rich versus the opportunities of the coupon stack, where we own over 60% of our mortgage assets.

另一個廣泛預期的事件是 FDIC 投資組合的清算。代理抵押貸款轉手的淨銷售額現已超過 75%，這是一個非常有序的事情。隨著需求強於最初的預期，對市場重大混亂的擔憂逐漸消失，我們預計 FDIC 的 MBS 投資組合的剩余清算不會對估值產生重大影響。儘管如此，我們認為 FDIC 優惠券的相對估值相對於優惠券堆棧的機會來說太高了，我們擁有超過 60% 的抵押貸款資產。

We are maintaining our short position of negative $500 million Fannie, 33% TBAs and have reallocated capital towards Agency CMBS DUS 10, 9.5 pools. These DUS pools are trading at over 100 basis points wide to SOFR swaps, which is almost double the (inaudible) of lower coupon pools. Coupled this with favorable financing like pools, ARMOUR likes this trade from a total return perspective. Although spreads may remain at these valuations for a while, we see long-term value to positive convexity DUS bonds.

我們維持負 5 億美元的房利美空頭頭寸，33% 的 TBA，並已將資本重新分配給機構 CMBS DUS 10、9.5 池。這些 DUS 池的交易價格與 SOFR 掉期相差超過 100 個基點，幾乎是較低息票池的兩倍（聽不清）。再加上資金池等有利的融資，ARMOR 從總回報的角度看好這項交易。儘管利差可能會在一段時間內保持在這些估值水平，但我們認為正凸性 DUS 債券具有長期價值。

Additionally, we've recently allocated over $1.3 billion of recently issued capital in 5% and 5.5%, Ginnie Mae pools. There is 0% risk weighting and wider spreads favor domestic and foreign bank demand in the second half of the year. We feel that the newly proposed banking regulation should provide a greater boost to the Ginnie Mae MBS sector longer term.

此外，我們最近將超過 13 億美元的近期發行資本分配給了 5% 和 5.5% 的吉利美 (Ginnie Mae) 資金池。下半年風險權重為0%，利差擴大有利於國內外銀行需求。我們認為，從長遠來看，新提議的銀行業監管應該會為吉利美 MBS 行業提供更大的推動力。

Our leverage closed the quarter at 7.6x and currently sits at 7.8x as of the 20th of July, a number that reflects attractive valuations and is prudent enough to withstand still elevated and highly unpredictable levels of daily market volatility. Additionally, ARMOUR maintains healthy levels of available liquidity at $714 million which includes cash, unlevered securities and principal and interest receivables as of the 20th of July.

本季度末，我們的槓桿率為 7.6 倍，截至 7 月 20 日，目前為 7.8 倍，這一數字反映了有吸引力的估值，並且足夠謹慎，能夠承受仍然較高且高度不可預測的每日市場波動水平。此外，截至 7 月 20 日，ARMOR 的可用流動性保持在 7.14 億美元的健康水平，其中包括現金、無槓桿證券以及本金和利息。

Our current portfolio is concentrated in the most liquid low-premium production coupon pools featuring more favorable geographics, LTVs, FICO scores and loan balance characteristics versus generic production cohorts. We continue to favor specified pools over TBAs as we expect no improvement in the deliverable collateral and the implied funding of dollar rolls lag current repo rates. These lower pay-up premium specified stories should perform strongly as demand for Agency MBS remains.

我們目前的投資組合集中在流動性最強的低溢價生產優惠券池，與一般生產同類產品相比，具有更有利的地理位置、LTV、FICO 評分和貸款餘額特徵。與 TBA 相比，我們繼續青睞特定資金池，因為我們預計可交割抵押品不會有任何改善，而且美元展期的隱含資金滯後於當前回購利率。由於對機構 MBS 的需求依然存在，這些支付保費較低的特定故事應該會表現強勁。

Despite seasonal driving up CPRs marginally, these investments reflect historically low prepayment risks and still a significant amount of borrowers are out of the money. ARMOUR's average prepayment rate for all MBS assets in the second quarter of 2023 was 6.3 CPR and still a very low 6 CPR for July. Although mortgage rates have already declined, from the highs of 7.2% in early November of 2022 to 6.8% in mid-July 2023, a substantial refinancing wave will require mortgage rates to fall below 5% in our view. ARMOUR continues to fund just over 50% of its borrowings through our broker-dealer affiliate BUCKLER Securities. Since the debt ceiling resolution, the rebuilding of the Treasury General Account has been orderly and Agency MBS retail funding has been stable.

儘管季節性推動 CPR 略有上升，但這些投資反映出歷史上較低的提前還款風險，而且仍有大量借款人資金短缺。 ARMOUR 2023 年第二季度所有 MBS 資產的平均提前還款率為 6.3 CPR，7 月份仍處於非常低的 6 CPR。儘管抵押貸款利率已經下降，從 2022 年 11 月上旬的高位 7.2% 降至 2023 年 7 月中旬的 6.8%，但我們認為，大規模的再融資浪潮將要求抵押貸款利率降至 5% 以下。 ARMOR 繼續通過我們的經紀自營商附屬公司 BUCKLER 證券為其 50% 以上的借款提供資金。自債務上限決議以來，財政部普通賬戶的重建工作有序進行，機構MBS零售資金也保持穩定。

The weighted average haircut on our repo book remained exceptionally low at 2.7% as of the 18th of July. As we've already noted, we set our dividend to be appropriate for the medium term. We will, as always, continue to evaluate the level of the dividend. We're also mindful that this environment can deliver upside prices, surprises that can move our metrics substantially.

截至 7 月 18 日，我們回購協議的加權平均折扣仍然非常低，為 2.7%。正如我們已經指出的，我們將股息設定為適合中期。我們將一如既往地繼續評估股息水平。我們還注意到，這種環境可能會帶來價格上漲，以及可能大幅改變我們指標的意外情況。

Thank you very much. And with that, we will open for questions.

非常感謝。接下來，我們將開放提問。

(Operator Instructions) The first question comes from Trevor Cranston with JMP Securities.

（操作員說明）第一個問題來自 JMP 證券公司的 Trevor Cranston。

It looks like you guys -- you mentioned that you added to the portfolio post-debt ceiling in June. It looks like you've continued to add to it to some extent in July. Can you talk about how you guys are approaching leverage overall right now and kind of how high you're willing to go and leverage given the seemingly favorable backdrop for MBS?

看起來你們——你們提到你們在六月份增加了投資組合的債務後上限。看起來你們在七月份在某種程度上繼續增加了它。您能否談談你們現在如何處理總體槓桿率，以及考慮到 MBS 看似有利的背景，你們願意採用多高的槓桿率？

Trevor, it's Mark. So we view leverage here as appropriate in that there's still some volatility out there with both rates and spreads. So we feel comfortable where we're at. We think it's appropriate. We do like mortgages a lot, but we do have some dry powder. We think that volatility is going to subside here and rates are basically topped out.

特雷弗，我是馬克。因此，我們認為這裡的槓桿是適當的，因為利率和利差仍然存在一定的波動性。所以我們對自己所處的位置感到很舒服。我們認為這是合適的。我們確實非常喜歡抵押貸款，但我們確實有一些乾粉。我們認為波動性將會減弱，利率基本上已見頂。

Okay. And can you talk about how you guys are thinking about sort of the supply-demand picture over the rest of the year? And if you think there's any potential catalysts for spread tightening out there, particularly after the FDIC portfolio has cleared the market.

好的。您能談談你們如何看待今年剩餘時間的供需情況嗎？如果您認為存在利差收緊的潛在催化劑，特別是在 FDIC 投資組合清理市場之後。

So in -- this is Jeffrey. In Scott's comments, he mentioned specifically our increased exposure to the Ginnie Mae sector. So everyone knows mortgages on a historic basis are achieved the treasuries. There are investors in all sorts of asset classes that are going to be looking at this -- are looking at this and they're going to say, wow, mortgages are really good alternative to corporates or some other assets that they may have, particularly in an environment where you may experience some credit deterioration down the road.

這是杰弗裡。在斯科特的評論中，他特別提到我們增加了對吉利美行業的投資。所以大家都知道，歷史上抵押貸款都是通過國債實現的。各種資產類別的投資者都會關注這一點，他們會說，哇，抵押貸款確實是企業或他們可能擁有的其他一些資​​產的很好的替代品，特別是在您未來可能會經歷信用惡化的環境中。

Now the reason we increased our exposure to Ginnie's is because the banking rules may positively affect banks' ability to purchase there, but they won't be the only ones. Ginnie's are particularly cheap right now to historically to the Fannie Mae and Freddie Mac counterparties. So catalysts come from buyers from other asset classes. Catalyst for Ginnie specifically comes from banks and other buyers seeing cheap.

現在我們增加對吉利的投資的原因是因為銀行規則可能會對銀行在那裡購買的能力產生積極影響，但它們並不是唯一的影響。與房利美和房地美的交易對手相比，吉利債券目前的價格與歷史上相比特別便宜。因此，催化劑來自其他資產類別的買家。吉尼的催化劑特別來自銀行和其他看到便宜的買家。

We have our coupon stack is such that we are not one-on-one affected negatively by the liquidations from the FDIC. And as Mark said earlier, and I think Scott commented, too, we still maintain a short position in one of the coupons that they'll be selling. So we're very comfortable where we are, and we have an optimistic outlook on spreads for the rest of the year.

我們的優惠券堆棧是這樣的，我們不會受到 FDIC 清算的一對一負面影響。正如馬克早些時候所說，我認為斯科特也評論過，我們仍然對他們將出售的其中一張優惠券保持空頭頭寸。因此，我們對目前的情況感到非常滿意，並且我們對今年剩餘時間的利差前景持樂觀態度。

The next question comes from Matthew Erdner with Jones Trading.

下一個問題來自瓊斯交易公司的馬修·埃德納。

You mentioned getting into CMBS, the DUS pools, what kind of other opportunistic opportunities are you seeing there? And how large are you willing to increase that CMBS position as a percentage of the portfolio?

您提到進入 CMBS、DUS 池，您在那裡看到了哪些其他機會？您願意將 CMBS 頭寸佔投資組合的比例增加多少？

So as of this morning, I believe, we have $551 million of DUS, which represents 4.5% of the portfolio. We are targeting a number that's larger than that. I think that generally spreads got as wide as $111 million, $112 million to the peak curve. They're $105 million today. We make purchases as low as the $100 million kind of area. We are still selectively looking to buy. Could we take it to 10%, we feasibly could, if they come in quickly, we will stop buying. So we are opportunistically looking to add to the sector. We're going to be very happy down the road that we have that added convexity at really good spreads. Mark, do you want to expand on that?

因此，我認為截至今天早上，我們擁有 5.51 億美元的 DUS，佔投資組合的 4.5%。我們的目標是一個比這個更大的數字。我認為利差一般會達到 1.11 億美元，峰值曲線達到 1.12 億美元。今天他們的資產為 1.05 億美元。我們購買的面積低至 1 億美元。我們仍在選擇性地尋求購買。我們能否將其提高到 10%，我們確實可以，如果他們快速進入，我們將停止購買。因此，我們正在機會主義地尋求加入該行業。我們將會非常高興，因為我們在非常好的點差下增加了凸性。馬克，你想擴展一下嗎？

Yes, just if you look at our history, our DUS position has been, I think, a little north of 20% of the portfolio pre-COVID. We just have to balance the fact that there is no liquid TBA market for DUS. So there is some spread risk there that's a little more magnified than agency pools. So we're just balancing that versus where the spreads are today.

是的，如果你看看我們的歷史，我認為我們的 DUS 倉位在新冠疫情爆發前佔投資組合的 20% 稍高一些。我們只需要平衡 DUS 沒有流動性 TBA 市場這一事實。因此，存在一些傳播風險，這種風險比機構池放大了一些。因此，我們只是將其與當前的利差進行平衡。

The next question comes from Christopher Nolan with Ladenburg Thalmann.

下一個問題來自克里斯托弗·諾蘭和拉登堡·塔爾曼。

A follow-up to that question on the CMBS. Are you guys sort of warming up to go back into CRT types securities as the commercial real estate market develops?

CMBS 上該問題的後續行動。隨著商業房地產市場的發展，你們是否準備重返 CRT 類型證券？

We are warming up to continue our exposure to DUS, and we are not warming up to increase our exposure to CRTs.

我們正在準備繼續接觸 DUS，但我們不會準備增加接觸 CRT。

And on the commercial real estate front, if that turns into a large issue for the commercial banking sector, how do you anticipate that could have impact on residential mortgage-backed securities?

在商業房地產方面，如果這成為商業銀行業的一個大問題，您預計這會對住宅抵押貸款支持證券產生什麼影響？

When the tide goes up and the tide goes down, all ships move up and down in the harbor, okay? And that's why Mark commented to the fact that there could be -- there is spread risk in the DUS sector that may be different than there are on Fannie 5.5 pass-throughs. We're cognizant of that, and that's why although we intend to potentially increase our exposure to 10% or more of the portfolio, highly unlikely that we'd be up at 20%, again like we were in the spring of 2020 and the winter of 2019. Mark?

當漲潮和退潮的時候，所有的船都會在港口裡上下移動，好嗎？這就是為什麼馬克評論說，DUS 領域可能存在與房利美 5.5 傳遞風險不同的價差風險。我們認識到這一點，這就是為什麼儘管我們打算將投資組合的風險敞口增加到 10% 或更多，但我們不太可能將風險敞口增加到 20%，就像 2020 年春季和 2020 年春季那樣。 2019 年冬天。馬克？

Yes. I think the other mechanism is going to be through regulation, as Scott commented about why we're purchasing Ginnie's. If the banks get in trouble because of personal real estate, they're going to focus on the assets that have 100% backing that are very liquid, and that's going to be the Ginnie Maes.

是的。我認為另一種機制將通過監管來實現，正如斯科特評論我們為什麼要購買吉尼的那樣。如果銀行因為個人房地產而陷入困境，他們將專注於擁有 100% 支持且流動性很強的資產，這將是吉利美 (Ginnie Maes)。

Great. And then I guess the last question, there was a comment steeper yield curve later in the year. Would that be for a more inverted yield curve?

偉大的。然後我猜最後一個問題是，今年晚些時候有評論稱收益率曲線更陡。這會導致收益率曲線更加倒掛嗎？

No. The other way around, as the Fed gets to the end of their hiking cycle, we would expect as a steeper curve as short end should start to come down.

不。相反，隨著美聯儲加息週期的結束，我們預計曲線會變得更陡，因為短期應該開始下降。

The next question comes from Matthew Howlett with B. Riley.

下一個問題來自 Matthew Howlett 和 B. Riley。

Just on the margin outlook. I mean, you have the portfolio still very well hedged, the swap roll-offs. They really thrown up much of it left in 2023. Do you think the margin as you add duration could -- and the higher coupons improve here? And what's the outlook for the rest of the year?

只是關於利潤前景。我的意思是，你的投資組合仍然得到很好的對沖，掉期滾存。他們確實把剩下的大部分都扔到了 2023 年。你認為增加久期後的利潤會——而且更高的優惠券會改善嗎？今年剩餘時間的前景如何？

So actually, is your question more about where do we think spreads and higher coupons are going to go?

所以實際上，您的問題更多的是我們認為點差和更高的優惠券將走向何方？

What's sort of the $175 million net interest margin, we're looking at sort of adjusted income, really the core earnings power of the company, obviously, repos going up and going to continue repricing but you have the hedges in place and then the coupons are rising. Sort of we modeled that margin, that adjusted margin. Any sort of guidance on where that could go towards the end of the year?

1.75 億美元的淨息差是多少，我們正在研究調整後的收入，實際上是公司的核心盈利能力，顯然，回購協議會上升並繼續重新定價，但你有對沖措施，然後是息票正在上升。我們可以說是對這個利潤率、調整後的利潤率進行了建模。關於今年年底的進展有什麼指導嗎？

Right. So just steeper curve is going to help us on earnings power because we can always take up hedges and beforehand or reposition the portfolio and the hedges. But a steeper curve is where we want to be. We want to borrow short and lend long.

正確的。因此，更陡峭的曲線將有助於我們提高盈利能力，因為我們總是可以提前採取對沖或重新定位投資組合和對沖。但更陡峭的曲線才是我們想要的。我們希望藉入短期資金並藉入長期資金。

And our modeling shows that if the Fed does increase 25 basis points in September. By the way, the work pays on Bloomers, unlike says, there's a 19% chance of that right now. It doesn't seem to affect our income very much. We have 76% of our repo balance hedged right now and 67% of our assets hedged right now. We don't want to hedge more than that because we believe we're at or very near the end of the cycle. We think that would be inappropriate.

我們的模型顯示，如果美聯儲在 9 月份確實加息 25 個基點。順便說一句，與所說的不同，布魯默斯的工作是有報酬的，目前有 19% 的可能性。看來對我們的收入影響不大。我們目前對沖 76% 的回購餘額和對沖 67% 的資產。我們不想進行更多的對沖，因為我們相信我們已經處於或非常接近週期的末尾。我們認為這是不合適的。

So where the NIM is going to end up at the end of Q3, it should be within a short kick of where we are right now, but there can be technical things that could change the -- while the exact number comes down. But I think Scott and I have been very clear that we're very positive on mortgages over the course of the year. So you may experience total return, not just from NIM, but you may experience it from the asset class improving versus treasuries and versus its hedge counterparties in terms of spread for the rest of the year. So there are various ways that you could see improvement in the company's outcome. Is that helpful?

因此，淨息差在第三季度末的最終結果應該與我們現在的情況相差不遠，但可能存在一些技術問題可能會改變——而確切的數字會下降。但我認為斯科特和我已經非常明確地表示，我們對今年的抵押貸款非常樂觀。因此，您可能會體驗到總回報，不僅僅是來自淨息差，而且您可能會從資產類別相對於國債和其對沖交易對手在今年剩餘時間利差方面有所改善的情況中體驗到這種回報。因此，您可以通過多種方式看到公司業績的改善。有幫助嗎？

Absolutely. And Jeff, you and the team have been through all the cycles, where do you -- I mean it sounds like you're setting up a terrific environment, particularly if you think there's going to be a bull steepener, and the Fed is going to stop. But what do you -- when do you really put the pedal to the metal, so to speak, and really this is it, we're going to start taking leverage up and we're going to see repo start costs come down. When you -- what are you waiting for to see -- to really start to be more aggressive?

絕對地。傑夫，你和你的團隊已經經歷了所有的周期，你在哪裡 - 我的意思是，聽起來你正在建立一個很棒的環境，特別是如果你認為將會出現牛市陡峭化，並且美聯儲正在採取行動停止。但是你會做什麼——什麼時候你真正全力以赴，可以這麼說，真的就是這樣，我們將開始提高槓桿率，我們將看到回購啟動成本下降。當你——你還在等什麼——真正開始變得更加積極進取時？

I think we'd like to see a little more deterioration in credit. And the deterioration of credit will be the leading indicator that the world needs to stop raising rates and probably you're going to see some cutting at some point. And you don't know exactly when and at what point in time you're going to say, let's take $0.5 billion that swaps off or will do -- but kind of when you walk in, we're going to smell it, and we're going to figure it out. And so there's a number of things that could happen, as you well know. And we're in the business of assessing those and making those decisions.

我認為我們希望看到信貸進一步惡化。信貸惡化將成為世界需要停止加息的領先指標，並且可能在某個時候你會看到一些降息。你不知道確切的時間和時間點你會說，讓我們拿 5 億美元來交換或將做 - 但當你走進來時，我們會聞到它的味道，並且我們會想辦法的。正如您所知，有很多事情可能會發生。我們的工作就是評估這些並做出這些決定。

Look forward to that.

期待這一點。

This concludes our question-and-answer session. I would like to turn the conference back over to Jim Mountain for any closing remarks.

我們的問答環節到此結束。我想將會議轉回吉姆山發表閉幕詞。

Well we'd like to thank you all for joining us this morning. We look forward to speaking with you again in about 90 days. Until then...

我們要感謝大家今天早上加入我們。我們期待在大約 90 天后再次與您交談。直到那時...

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

會議現已結束。感謝您參加今天的演講。您現在可以斷開連接。