Armour 住宅房產信托 (ARR) 2024 Q2 法說會逐字稿

Good morning and welcome to the ARMOUR Residential REITs second quarter 2024 earnings call. (operator Instructions) Please note this event is being recorded.

早上好，歡迎參加 ARMOR 住宅 REITs 2024 年第二季財報電話會議。（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 Scott Ulm. Please go ahead.

我現在想把會議交給史考特·烏爾姆。請繼續。

Thank you and good morning, and welcome to the ARMOUR Residential REIT second quarter 2024 conference call.

謝謝大家，早安，歡迎參加 ARMOR 住宅 REIT 2024 年第二季電話會議。

This morning, I'm joined by our CFO, Gordon Harper, as well as our co-CIOs, Sergey Losyev and Desmond Macauley.

今天早上，我們的財務長戈登·哈珀(Gordon Harper) 以及聯席首席資訊長謝爾蓋·洛西耶夫(Sergey Losyev) 和德斯蒙德·麥考利(Desmond Macauley) 與我一起出席。

I'll now turn the call over to Gordon to run through the financial results. Gordon?

現在我將把電話轉給戈登，讓他了解財務表現。戈登？

Thank you, Scott. By now, everyone has access to ARMOUR's earnings release, which can be found in ARMOUR's website, www.armourreit.com.

謝謝你，斯科特。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。

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.

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》規定的安全港保護。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 ARMOUR 無法控制的某些因素，這些因素可能導致實際結果與這些前瞻性聲明中明示或暗示的結果有重大差異。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.

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。

Also, today's discussions 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 continue for one year.

此外，今天的討論也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較公認會計原則指標進行了協調一致。本次電話會議的線上重播很快就會在 ARMOUR 網站上提供，並持續一年。

Turning to results, ARMOUR's Q2 GAAP net loss available to common stockholders was $51.3 million or $1.05 per common share. Net interest income was $7 million. Distributable earnings available to common stockholders was $52.5 million or $1.08 per common share. This non-GAAP measure is defined as net interest income plus TBA drop income, adjusted for interest income or expense, on our interest rate swaps and futures contracts minus net operating expenses.

談到業績，ARMOUR 第二季普通股股東的 GAAP 淨虧損為 5,130 萬美元，即每股普通股 1.05 美元。淨利息收入為 700 萬美元。普通股股東可分配收益為 5,250 萬美元，即每股普通股 1.08 美元。這項非公認會計準則衡量標準被定義為我們的利率掉期和期貨合約的淨利息收入加上TBA下降收入，並根據利息收入或費用進行調整，減去淨營運費用。

ARMOUR Capital Management continue to waive a portion of its management fees waiving $1.65 million for Q2, which offsets operating expenses. This Waiver continues until further notice. ARMOUR paid monthly common stock dividends per share of $0.24 per common share per month for a total of $0.72 for the quarter. Taken together with the contractual dividends on the preferred stock, ARMOUR has made cumulative distributions to stockholders of approximately $2.3 billion over its history.

ARMOR Capital Management 繼續免除第二季的部分管理費，免除 165 萬美元，抵銷了營運費用。此豁免持續有效，直至另行通知。ARMOR 每月支付每股普通股股息 0.24 美元，本季總計 0.72 美元。加上優先股的合約股息，ARMOR 在其歷史上已向股東累計分配了約 23 億美元。

Quarter-end book value was $20.30 per common share. Our most recent available estimate of book values as of Monday, July 22, which was $20.37 per common share. In July 2024, the voluntary notice of dismissal by the plaintiffs of their previously filed appeal in the JAVELIN Mortgage Investment Court charitable litigation was processed by the courts.

季末帳面價值為每股普通股 20.30 美元。截至 7 月 22 日星期一，我們對帳面價值的最新估計為每股普通股 20.37 美元。2024 年 7 月，法院處理了原告自願駁回其先前在 JAVELIN 抵押投資法院慈善訴訟中提出的上訴的通知。

I'll now turn the call back to Scott Ulm to discuss ARMOUR's portfolio position and current strategy.

現在，我將把電話轉回給 Scott Ulm，討論 ARMOUR 的產品組合定位和當前策略。

Thanks, Gordon. The second quarter could become a turnaround point for the Fed in its fight or inflation initiated just over two years ago. Overcoming months of mixed economic data, May and June consumer prices finally affirmed the disinflationary trend toward the Fed's 2% annual inflation goal.

謝謝，戈登。第二季可能成為聯準會兩年多前發起的通膨鬥爭的轉捩點。克服數月好壞參半的經濟數據，5 月和 6 月消費者物價最終證實了通貨緊縮趨勢，朝著聯準會 2% 的年度通膨目標邁進。

Cooling prices, along with the rising unemployment rate, set the market expectations for the start of an easing cycle to commence at the September 18 FOMC meeting. The market is currently pricing in 2.5 cuts this year and another 4.5 cuts by the end of 2025. While we acknowledge that the trajectory of economic activity has shifted, notably, we continue to evaluate each month's data and remain cautious against pricing in too deep of a cutting cycle. We can all recall a bit of overenthusiasm on the path of rate cuts last year.

物價降溫以及失業率上升，讓市場預期 9 月 18 日聯邦公開市場委員會 (FOMC) 會議將啟動寬鬆週期。目前市場預計今年將削減 2.5 次，到 2025 年底將再削減 4.5 次。儘管我們承認經濟活動的軌跡已經發生了顯著變化，但我們仍繼續評估每個月的數據，並對在降息週期過深的情況下定價保持謹慎態度。我們都記得去年對降息道路的過度熱情。

The yield on a 10-year US. Treasury closed the second quarter at 4.4% after reaching 4.7% in early April and as of July 22, is at just above 4.2%, The first quarter closing level. Mortgage-backed securities remained range-bound between roughly 135 basis points and 155 basis points in nominal spread this quarter.

10 年期美國公債殖利率。國債殖利率在 4 月初達到 4.7% 後，第二季收在 4.4%，截至 7 月 22 日，略高於第一季收盤水準 4.2%。本季度抵押貸款支持證券的名義利差仍在約 135 個基點至 155 個基點之間波動。

Despite an overall range-bound environment in the second quarter, intra-quarter trading remained choppy. MBS nominal spreads finished the second quarter 10 basis points wider while the SOFR swap rate in the intermediate and longer part of the curve shifted 12 basis points to 15 basis points above their respective marks at the end of the first quarter. These factors were the driving contributors to our negative 4.8% economic return in the second quarter. As of July 22, average book value was $0.2037 per share after accounting for July's dividend of $0.24.

儘管第二季整體處於區間波動的環境，但季度內交易仍然波動。第二季末，MBS 名目利差擴大了 10 個基點，而曲線中部和較長部分的 SOFR 掉期利率比第一季末各自的水平高出 12 個基點至 15 個基點。這些因素導致我們第二季的經濟報酬率為負 4.8%。截至 7 月 22 日，扣除 7 月份 0.24 美元的股息後，平均帳面價值為每股 0.2037 美元。

Looking ahead, we expect lower rates and eventual normalization of the yield curve to provide exceptionally strong tailwinds to the MBS market. The mortgage REIT sector and ARMOUR REIT specifically. A full 25 basis points cut in the official overnight rate will flush out the cash sitting in short funds and overnight reverse repo facility into high-quality assets like US MBS. It won't happen overnight but with every subsequent interest rate cut, this momentum will build and multiply.

展望未來，我們預期利率下降和殖利率曲線最終正常化將為MBS市場提供異常強勁的推動力。特別是抵押房地產投資信託部門和 ARMOR REIT。官方隔夜利率整整下調25個基點，將把空頭基金和隔夜逆回購工具中的現金衝出，轉變為美國MBS等優質資產。這不會在一夜之間發生，但隨著隨後的每次降息，這種勢頭將會增強並倍增。

We expect bank portfolios to follow a similar strategy. Owning mortgages right now is in many cases a negative carry versus short-term borrowing rate. Yet we've already seen bank demand flip positive for the first time since 2022. Once the 25 basis points cut was implemented MBS carry will turn decisively positive and provide an even greater momentum to MBS demand from banks. We're noting similar strong inflows in MBS mutual funds and ETFs this year and expect them to persist into the cutting cycle as flows in the fixed income accelerate.

我們預期銀行投資組合將遵循類似的策略。在許多情況下，目前擁有的抵押貸款與短期借款利率相比是負利差。然而，我們已經看到銀行需求自 2022 年以來首次出現正轉。一旦降息 25 個基點，MBS 利差將轉為正值，並為銀行的 MBS 需求提供更大動力。我們注意到今年 MBS 共同基金和 ETF 也有類似的強勁資金流入，並預計隨著固定收益資金的加速流入，它們將持續進入削減週期。

So taking all these factors together, we expect the Fed's actions to have a very profound impact on us in the markets. We believe we could see mortgage spreads move 10 basis points to 15 basis points tighter into the year-end, but path there will not be a straight line. So we continue to stay disciplined in the way we approach leverage and putting cash to work.

因此，綜合考慮所有這些因素，我們預期聯準會的行動將對我們的市場產生非常深遠的影響。我們相信，到年底抵押貸款利差可能會收緊 10 個基點至 15 個基點，但路徑不會是一條直線。因此，我們在利用槓桿和運用現金的方式上繼續保持紀律。

Now I'd like to ask Desmond Macauley to give some more detail on our mortgage strategy and how it has evolved this quarter. Desmond?

現在我想請德斯蒙德·麥考利提供更多有關我們的抵押貸款策略及其本季演變情況的詳細資訊。戴斯蒙？

Thanks, Scott. Our mortgage strategy continues to target a well-diversified portfolio with approximately 10% of market value exposures across each of the discount coupons from 3% and up while maintaining our overweight to 5.5% and 6% coupon MBS for their ZV option-adjusted spread and carry.

謝謝，斯科特。我們的抵押貸款策略繼續以多元化的投資組合為目標，每個折扣優惠券的市場價值敞口約為10%（從3% 及以上），同時將ZV 期權調整利差維持在5.5% 和6 % 優惠券MBS 的超配水平，攜帶。

While historically low existing home sales are keeping prepayment speeds in discount coupons very low, their spreads offer compelling value for an eventual toll in the housing market and consequently a pickup in turnover speeds thus improving the yield returns.

儘管現有房屋銷售處於歷史低位，使得折價券的預付款速度非常低，但其利差為房地產市場的最終影響提供了令人信服的價值，從而提高了周轉速度，從而提高了收益率回報。

ARMOUR's average prepayment rate on MBS assets in the second quarter of 2024 was 7.7 CPR, increasing from 4.6 CPR in Q1. A large portion of the increase was driven by speed in discount coupons where the rate lock effect is expected to dissipate even more as home loan season and mortgage rates turn less expensive. This benign prepayment environment and near par prices continue to provide a tailwind for MBS.

2024 年第二季 ARMOUR MBS 資產的平均提前還款率為 7.7 CPR，高於第一季的 4.6 CPR。成長的很大一部分是由折扣優惠券的速度推動的，隨著房屋貸款季節和抵押貸款利率變得更加便宜，預計利率鎖定效應將進一步消失。這種良好的預付款環境和接近平價的價格繼續為MBS提供推動力。

It is worth noting that we are starting to see an uptick in the mortgage refi index signaling that prepayment speeds should continue to rise gradually into the yearend. However, the greater prepayment concerns would require a more significant drop in mortgage rates below 5%, and that easily mitigated in higher coupon MBS by moving our exposure towards the middle of the coupon stack.

值得注意的是，我們開始看到抵押貸款再融資指數上升，這表明提前還款速度應在年底繼續逐步上升。然而，更大的提前還款擔憂將需要抵押貸款利率大幅下降至 5% 以下，而透過將我們的風險敞口移至息票堆疊的中間，可以輕鬆緩解息票較高的 MBS 的影響。

Additionally, we continue to see value in lower premium specified pools tied to GEOs, lower FICO and higher LTV loan characteristics, which will mitigate prepayment risk in the scenario of lower mortgage rates versus the more generic MBS cohorts. We also maintain around 12% of the portfolio in forward TBA contracts for the attractive dollar roll carry in premium coupon Ginnie MBS and for better market liquidity versus specified pools in lower coupon conventional MBS.

此外，我們繼續看到與GEO 相關的較低保費指定池的價值、較低的FICO 和較高的LTV 貸款特徵，這將在抵押貸款利率較低的情況下（與更通用的MBS 群體相比）減輕提前還款風險。我們還將約12% 的投資組合保留在遠期TBA 合約中，以實現優質息票吉尼MBS 中有吸引力的美元展期利差，以及相對於較低息票傳統MBS 的指定資金池更好的市場流動性。

ARMOUR continues to fund 50% to 60% of its MBS portfolio with [Butler] securities and the remainder is diversified among 14 other counterparties with a weighted average haircut of just under 3%. The repo markets remain liquid and well bid. However, we began observing some funding pressures and so for our rate and repo spreads towards the end of June.

ARMOR 繼續透過 [Butler] 證券為其 MBS 投資組合的 50% 至 60% 提供資金，其餘部分在其他 14 個交易對手方進行多元化投資，加權平均折扣率略低於 3%。回購市場仍保持流動性且競價良好。然而，我們在六月底開始觀察到一些資金壓力，我們的利率和回購利差也是如此。

While it's a normal turn of events to see some upward pressure on funding costs into the quarter and year end, rates remained at 2 basis points to 3 basis points above running averages into July, indicating that this year's record treasury issuance is beginning to weigh in on primary dealer balance sheets and the ability to intermediate bonds quickly and efficiently.

雖然進入季度和年底融資成本出現一些上行壓力是正常現象，但進入 7 月份利率仍比運行平均水平高出 2 至 3 個基點，這表明今年創紀錄的國債發行量開始產生影響一級交易商的資產負債表以及快速有效地中介債券的能力。

We see the start of an easing cycle and rising expectations to an end of the quantitative tightening program as two major tailwinds to alleviate some of the pressures in funding spreads for the dealer community.

我們認為寬鬆週期的開始和對結束量化緊縮計畫的預期上升是緩解經銷商群體融資利差壓力的兩大推動因素。

Looking forward, we remain constructive on spreads over the medium to longer horizon as we await the start of an easing cycle to drive the steepness of the yield curve back to historical norms. A positively sloping curve is much needed to support the inflow of fresh funds into the MBS market, a major tailwind for mortgage rates. Yet in the near term, we are mindful of the fact that mortgage spreads are trading near this year's tights and a rebound in macroeconomic data from its current trajectory would roll back an aggressive pricing of easy Fed expectations.

展望未來，我們對中長期利差仍持建設性態度，等待寬鬆週期的開始，將殖利率曲線的陡度推回到歷史正常水準。急需一條正斜率曲線來支持新資金流入 MBS 市場，這是抵押貸款利率的主要推動力。然而，在短期內，我們注意到抵押貸款利差正接近今年的緊縮水平，宏觀經濟數據從當前軌跡反彈將回落聯準會寬鬆預期的激進定價。

With the disinflation story already priced in, we turn to other labor market data in the coming months to indicate the health of economic growth. For now, we have increased our exposure to MBS at 7.7 turns of implied leverage and trimmed our duration risks to 0.1 year. As of July 22. We have one to two turns of leverage to deploy at a better risk reward levels and as we see increased demand from the banking community.

由於通貨緊縮的故事已經被消化，我們將轉向未來幾個月的其他勞動力市場數據來顯示經濟成長的健康狀況。目前，我們已將 MBS 曝險增加至 7.7 倍隱含槓桿，並將久期風險降至 0.1 年。截至 7 月 22 日。當我們看到銀行界的需求增加時，我們可以使用一到兩輪槓桿來部署更好的風險回報水準。

Our earnings available for distribution sufficiently covered our dividend for Q2. We believe our current dividend is appropriate and we expect earnings to cover the dividend rate into the year end. Our primary focus remains on generating total economic return on our portfolio to deliver to our shareholders.

我們可供分配的收益足以支付第二季的股利。我們認為目前的股息是適當的，我們預計收益將涵蓋年底的股息率。我們的主要重點仍然是為我們的投資組合創造總體經濟回報，以交付給我們的股東。

I'll now turn the call back to Scott.

我現在將電話轉回給斯科特。

Thanks, Desmond. I'd like to comment on capital raising. We've not been active raising capital this year because of an equity valuation that was just too low. Our thinking on raising equity remains as it has been, we will look to raise equity if there are good investment opportunities and we can achieve a fair price, all factors considered, including whether it would lower per share expenses and minimize the negative impact on our stock price. But we'll always look for prices that make sense for our shareholders.

謝謝，德斯蒙德。我想對融資發表評論。由於股權估值太低，我們今年沒有積極籌措資金。我們對籌集股本的想法保持不變，如果有良好的投資機會並且我們能夠實現公平的價格，我們將尋求籌集股本，考慮所有因素，包括是否會降低每股費用並儘量減少對我們的負面影響股票價格。但我們將始終尋找對股東有意義的價格。

At this point, we're less likely to be involved in the preferred market. As you know, our preferred remain fixed once they enter the call period, a feature we're very pleased with given where today's floating levels would be. We look at our dividend over the intermediate term rather than focusing on short-term market fluctuations. We continue to believe that our dividend is appropriate for today's environment. You can also expect us to continue the fee rebate we have had in place.

在這一點上，我們不太可能涉足首選市場。如您所知，一旦進入看漲期，我們的優先股就會保持固定，考慮到今天的浮動水平，我們對這項功能感到非常滿意。我們著眼於中期股息，而不是專注於短期市場波動。我們仍然相信我們的股息適合當今的環境。您也可以期望我們繼續提供現有的費用回扣。

Thank you for joining today's call. That wraps up our prepared remarks for the second quarter of 2024. We'd be happy to answer any questions. Operator?

感謝您參加今天的電話會議。我們為 2024 年第二季所準備的演講到此結束。我們很樂意回答任何問題。操作員？

(operator instructions)

（操作員說明）

Doug Harter, UBS.

道格·哈特，瑞銀集團。

Thanks, Desmond. Hopping to just go into a little bit more about some of the potentially bullish kind of outlook for MBS. It's obviously priced and that the market is going to have cuts. Just how much of that do you think is kind of already reflected in MBS? Or does the actual kind of current carry cause more incremental investors? So just trying to get a sense of how MBS markets are already thinking about those cuts?

謝謝，德斯蒙德。希望更多地討論 MBS 的一些潛在看漲前景。很明顯，它已經定價了，而且市場將會降價。您認為MBS 中已經反映了多少這一點？或者實際的當前套利是否會導致更多的增量投資者？那麼，只是想了解 MBS 市場是如何考慮這些削減的？

Yeah. Good morning, Doug. This is Sergey Losyev. I'll try to answer your question and see if Desmond has any follow-up. But yeah, currently we, as Desmond mentioned, our view is very constructive on kind of medium and long-term horizon. Near term, we do see like the markets have priced in a lot easing already. So we feel like the inflation slowdown has been digested by the market.

是的。早安，道格。這是謝爾蓋·洛西耶夫。我會盡力回答你的問題，看看德斯蒙德是否有任何後續行動。但是，是的，正如德斯蒙德所提到的，目前我們的觀點在中長期方面非常有建設性。短期來看，我們確實看到市場已經消化了大幅寬鬆政策。因此，我們認為通膨放緩已經被市場消化。

Right now, we're watching the labor markets together for sign. If a more aggressive Fed cuts on horizon should be in play. But in terms of interest rate markets, we feel like that's very well-priced pricing in. In terms of mortgage spreads, we also feel like near term, we are trading near our year- to-date tight. But we have very strong conviction that as we start the journey on the Fed easing cycle, that's going to really impact the spreads tighter.

目前，我們正在共同觀察勞動市場的跡象。如果聯準會採取更激進的降息措施，那麼應該會發揮作用。但就利率市場而言，我們認為這是一個非常合理的定價。就抵押貸款利差而言，我們也認為短期內我們的交易接近年初至今的緊張水準。但我們堅信，當我們開始聯準會寬鬆週期時，這將真正影響利差收窄。

Additionally, one other thing that is not being talked a lot about yet is the potential end to quantitative tightening program. We feel like the market could start pricing it in sooner. Than later, bank reserves, could continuing to wind down. So a couple of these factors is what we're looking for in terms of really giving the boost.

此外，另一件尚未被廣泛討論的事情是量化緊縮計劃可能結束。我們認為市場可以更快開始定價。之後，銀行準備金可能會繼續減少。因此，我們正在尋找其中的幾個因素來真正提供推動力。

It's going to be a long journey. In terms of banks entering the market in full force, they've already seen it this year, finally turning the net demand positive. But the first car will actually turn their carry positive. So I think that will be a really big boost to the spreads.

這將是一段漫長的旅程。從銀行全面入市來看，今年已經看到了，最終淨需求轉正。但第一輛車實際上會將他們的進位轉為正值。所以我認為這將極大地推動利差。

As you know, there's a ton of money market funds sitting on sidelines ready to enter fixed income markets as well. So we're looking for signs of the first cut to really change that equation additionally, too.

如您所知，還有大量貨幣市場基金處於觀望狀態，準備進入固定收益市場。因此，我們也在尋找第一次削減的跡象，以真正改變這個方程式。

I Appreciate that, Sergey. And then just one one other question on your on the treasury hedges you have, what is the duration of those hedges?

我很欣賞這一點，謝爾蓋。然後還有一個關於您所擁有的國債對沖的問題，這些對沖的期限是多長？

Yeah, so on the Treasury specific curve, we have Treasury shorts in the 10-year part of the curve, and we use treasury futures and those are kind of barbell between the two and the 10-year part of the curve. As you know, swap spreads are really tightening in here. So we're starting to see as owning swaps more favorable. As you know, we have really big hedge book in interest rate swaps as well.

是的，所以在國債特定曲線上，我們在曲線的 10 年期部分有國債空頭，我們使用國債期貨，這些是兩者和曲線的 10 年期部分之間的槓鈴。如您所知，互換利差確實在收緊。因此，我們開始認為擁有掉期合約更為有利。如您所知，我們在利率掉期方面也有很大的對沖帳簿。

Great. Appreciate that. Thank you, Sergey.

偉大的。感謝。謝謝你，謝爾蓋。

Jason Weaver, Jones Trading.

賈森‧韋弗，瓊斯貿易公司。

Hey, good morning. Thanks for taking my question. Can you just briefly discuss how your leverage trended intra-quarter in 2Q and whether that was greater at the beginning or nearing the end?

嗨，早安。感謝您提出我的問題。您能否簡單討論一下您的槓桿率在第二季度的季度內趨勢如何，以及是在年初還是接近尾聲時更大？

Good morning. Yeah, thank you for your question.

早安.是的，謝謝你的提問。

Yeah, our leverage has increased towards the end of the quarter as we saw confirmation in economic data that the Fed is enroute to begin cutting rates potentially later this year. So as we saw economic data come in, as we saw from FOMC meetings express the fact that we're getting closer to that target for the Fed, we began to increase leverage since the quarter end and are currently running 7.7, as Desmond has mentioned.

是的，我們的槓桿率在本季末有所增加，因為我們看到經濟數據證實聯準會可能在今年稍後開始降息。因此，當我們看到經濟數據出現時，正如我們從FOMC 會議中看到的那樣，我們正在接近聯準會的目標，我們從季度末開始增加槓桿率，目前槓桿率為7.7，正如德斯蒙德提到的那樣。

All right, and that's down from 7.8, I guess just due to a little bit of spread tightening since then?

好吧，這比 7.8 有所下降，我猜只是因為此後利差稍微收緊了？

I'm sorry, I was -- hard to hear. Could you repeat that, please?

抱歉，我很難聽清楚。你再說一遍，好嗎？

No worries. I'll actually move on. And then alongside with Desmond's comments, this is a little bit difficult task, but where's the range you see as the real inflection point for prepays on benchmark 30-year mortgages? And I'm really asking about the post 2022 vintage paper?

不用擔心。我實際上會繼續前進。然後，與德斯蒙德的評論一起，這是一項有點困難的任務，但您認為基準 30 年期抵押貸款預付款的真正拐點範圍在哪裡？我真的想問 2022 年後的復古紙？

Yeah, so on the production coupons. 5.5s and 6s, it would take usually 25 basis points to 50 basis points of incentive to begin refinancing. So we're still quite a bit of weight there. So I think when we see rates rally at those levels, we'll re-evaluate the coupon positioning. As we mentioned, a few things we're doing right now is kind of adding specified pools that are have better convexity and prepay protection versus more generic cohorts. And then the other step would be to migrate lower coupons.

是的，生產優惠券也是。 5.5s和6s，通常需要25個基點到50個基點的誘因才能開始再融資。所以我們的重量仍然很大。因此，我認為，當我們看到利率上漲到這些水準時，我們將重新評估票息定位。正如我們所提到的，我們現在正在做的一些事情是添加指定的池，與更通用的群組相比，這些池具有更好的凸性和預付款保護。然後另一個步驟是遷移較低的優惠券。

Now our book is very well diversified. We have 10% to 8% discount coupons across the stack. So we remain very liquid and tactical across the coupon stack.

現在我們的書已經非常多樣化了。我們有 10% 到 8% 的折扣優惠券。因此，我們在整個優惠券堆疊中保持非常流動性和戰術性。

Got it. All right. Thank you. That's that's helpful color.

知道了。好的。謝謝。這就是有用的顏色。

Jason Stewart, Janney.

傑森史都華、珍妮.

Hey, good morning. Thank you. I wanted to go back to the capital raising question. And If we look at your outlook for mortgages and then one to two turns of leverage and where the stock's trading, I mean, how likely are you to take leverage up before raising capital, sort of let book type drift higher? Or are you more likely to capitalize on where the stock is now in the investment environment, given your view?

嗨，早安。謝謝。我想回到融資問題。如果我們看看你對抵押貸款的前景，然後一到兩輪槓桿以及股票的交易情況，我的意思是，你在籌集資金之前提高槓桿的可能性有多大，有點讓賬簿類型走高？或者，根據您的觀點，您是否更有可能利用股票目前在投資環境中的位置？

I think we're fortunate, we've got some flexibility. We're not tied to capital raising to manage the portfolio. As Desmond mentioned, we feel we've got some dry powder there that we could take advantage of things. And as we all know, your own capital raising opportunities come and go. So I think the two are fortunately a little bit disconnected, not ultimately disconnected, but a little bit disconnected, within the concept of turn or a bit more of leverage.

我認為我們很幸運，我們有一定的彈性。我們不依賴融資來管理投資組合。正如德斯蒙德所提到的，我們覺得我們已經有了一些可以利用的乾粉。眾所周知，您自己的融資機會來來去去。所以我認為幸運的是，兩者有點脫節，不是最終脫節，而是在回合或更多槓桿的概念內有點脫節。

Okay, all right, thank you for that. And then so far in 3Q obviously we use pretty stale data from 1Q to project where book value is. But 2037 is a little light. Is there any meaningful moves in July on the portfolio or the hedge side that would be notable?

好的，好的，謝謝你。然後到目前為止，在第三季度，顯然我們使用第一季的相當陳舊的數據來預測帳面價值。但2037年有點輕。7 月投資組合或避險方面是否有任何值得注意的有意義的舉措？

I don't know. Yeah, go ahead.

我不知道。是的，繼續吧。

Yeah, nothing to report as of yet. Our hedge book tactic is very dynamic right now. As you know, our hedge ratio is very close to one. If you assume that our TBAs followed the path of repo on the pools as well. So -- But we continue evaluating every day. But right now, there's no changes to report.

是的，目前還沒有什麼好報告的。我們的對沖帳本策略目前非常活躍。如您所知，我們的對沖比率非常接近 1。如果您假設我們的 TBA 也遵循池上回購的路徑。所以——但我們每天都會繼續評估。但目前，沒有任何變化需要報告。

Okay. Thanks for that. Last one for me and then I'll jump out. The increase in coupon, increases in CPRs on real discount coupons, I'm going to call it fours and below that would be my likely guess as the most impactful. Is there any way to quantify that increase quarter-to-quarter on net interest spreads or earnings?

好的。感謝那。最後一件事對我來說然後我就會跳出去。優惠券的增加，真實折扣優惠券的 CPR 的增加，我將稱之為四，低於四的可能是我猜測最有影響力的。有沒有什麼方法可以量化淨利差或收益的季度增幅？

This is a number we'll probably have to come back to you on, but just roughly speaking, yeah, 4.5 and fours contributed kind of close to a third of the increase quarter over quarter and CPRs. And we're starting to see other coupons pick up there as well. But in terms of specific accounting income impact, I don't think we have that analysis just really just right now.

這是我們可能需要回覆給您的數字，但粗略地說，是的，4.5 和 4.5 的人貢獻了接近季度環比和心肺復甦術 (CPR) 增長的三分之一。我們也開始看到其他優惠券也在那裡使用。但就具體的會計收入影響而言，我認為我們現在還沒有真正進行這種分析。

Yes, no, it's okay. Thanks for that. And I think conceptually, your expectation would be that most of that move in this kind of coupon has happened. And maybe you get some migration in CPRs up in coupon, but I wouldn't expect you to think that, fours and 4.5 have that sequential increase again in 3Q. Is that fair?

是的，不，沒關係。感謝那。我認為從概念上講，您的期望是這種優惠券的大部分變化已經發生。也許你會在優惠券中得到一些 CPR 的遷移，但我不希望你認為 4 和 4.5 在第三季度再次出現連續增長。這樣公平嗎？

It's a fair question, but also, we're keeping in mind the fact that the housing market is at record lows, right and the prepayments are near record lows as well. So we feel like there's nothing but upside to a lot of these discount prepays is just a matter of timing and as Desmond mentioned, it's when the housing begins to thaw and the turnover activity picks up. That's where we're looking for.

這是一個公平的問題，但我們也牢記這樣一個事實，即房地產市場正處於歷史低點，對吧，預付款也接近歷史低點。因此，我們認為，許多折扣預付款的好處只是時間問題，正如德斯蒙德所提到的，當住房開始解凍且營業額活動增加時。這就是我們要尋找的地方。

Yeah. I agree with you, and thanks for taking the questions. I appreciate it, guys.

是的。我同意你的觀點，感謝你提出問題。我很感激，夥計們。

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Christopher Nolan, Ladenburg Thalmann.

克里斯多福諾蘭，拉登堡塔爾曼。

Hey, guys. Gordon, were there any nonrecurring items in earnings this quarter?

大家好。戈登，本季的收益中有非經常性項目嗎？

No. You recall, we had a discussion back in Q1 and for the Special Committee costs, but no, nothing this quarter.

不。您還記得嗎，我們在第一季就特別委員會的費用進行了討論，但本季沒有討論過。

Okay. And then also as a follow-up on that topic, just to reconfirm that you don't expect any restatements as a result of the Special Committee activities since the current Q indicates the material weakness continuing into the quarter?

好的。然後，作為該主題的後續行動，只是為了再次確認您預計不會因特別委員會的活動而進行任何重述，因為當前的問題表明實質性疲軟持續到本季度？

Correct.

正確的。

Great. And then I guess on the final comments, and I guess it's really for Scott, is given the expectations is for earnings to cover the dividend in the second half of the year. what are the thoughts on the direction of book value, given your outlook on the market?

偉大的。然後我想最後的評論，我想這確實是斯科特的，因為預期收益將覆蓋今年下半年的股息。鑑於您對市場的展望，您對帳面價值的走向有何看法？

Well, look, if our outlook comes true and we get demand returning particularly from the bank sector, I've got to tell you, there's nothing like actually gotten getting cash spread rather than seeing it reflected in the forward curve to motivate buyers. That's real. The other one is a little different.

好吧，看，如果我們的前景成真，並且我們的需求回升，特別是來自銀行業的需求，我必須告訴你，沒有什麼比實際獲得現金利差更能看到它反映在遠期曲線中來激勵買家了。那是真的。另一個有點不同。

We could see we could see some spread tightening here. You look at the charts over the last 10 years, and we are at elevated levels. It's not to say the last 10 years was normal in anyway. We all know that. But certainly, while we might have flirted with a bit of tights for the year, let's just remember how wide '23 was.

我們可以看到這裡的價差有收緊。你看看過去十年的圖表，你會發現我們處於較高的水平。無論如何，這並不是說過去十年是正常的。我們都知道。但當然，雖然今年我們可能會穿一些緊身褲，但讓我們記住 23 年的寬度是多少。

So look, we take spread risk for a living here. We're in the spread business and tightening spreads, would be very -- very, very strong element for us for book value.

所以看，我們在這裡以傳播風險為生。我們從事利差業務，收緊利差對我們的帳面價值來說將是非常非常非常強大的因素。

Grat. Thanks, guys.

太好了。多謝你們。

There are no more questions in the queue. This concludes our question-and-answer session. I would like to turn the conference back over to Scott Ulm for any closing remarks.

隊列中沒有更多問題。我們的問答環節到此結束。我想將會議轉回斯科特·烏爾姆（Scott Ulm）發表閉幕詞。

Great. Thanks all for joining us this morning. As you know, we're always available. Ring the office, and we will be back to you usually within a day, if not faster. Thanks so much for joining.

偉大的。感謝大家今天早上加入我們。如您所知，我們隨時為您服務。致電辦公室，我們通常會在一天內（甚至更快）回覆您。非常感謝您的加入。

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

會議現已結束。感謝您參加今天的演講。您現在可以斷開連線。