Armour 住宅房產信托 (ARR) 2024 Q3 法說會逐字稿

Good day, and welcome to the ARMOUR Residential REIT's third-quarter 2024 earnings conference call. (Operator Instructions) Please note this event is being recorded.

美好的一天，歡迎參加 ARMOR 住宅房地產投資信託基金 2024 年第三季財報電話會議。（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, Chief Executive Officer. Please go ahead.

我現在想將會議交給執行長 Scott Ulm。請繼續。

Thank you. Good morning, and welcome to ARMOUR Residential REIT's third-quarter 2024 conference call. This morning, I'm joined by our CFO, Gordon Harper; as well as our Co-CIOs, Sergey Losyev and Desmond Macauley.

謝謝。早上好，歡迎參加 ARMOR 住宅房地產投資信託基金 2024 年第三季電話會議。今天早上，我們的財務長戈登哈珀 (Gordon Harper) 也加入了我的行列。以及我們的聯席資訊長 Sergey Losyev 和 Desmond Macauley。

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

現在我將把電話轉給戈登，讓他了解財務表現。

Thank you, Scott. 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.

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。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。

The risk factors section of ARMOUR's periodic reports filed with the Securities and Exchange Commission describe certain risk 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.

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 無法控制的某些風險因素，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. 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 will continue for one year.

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。ARMOUR 網站很快將提供本次電話會議的線上重播，並將持續一年。

ARMOUR's Q3 GAAP net income available to common stockholders was $62.9 million or $1.21 per common share. Net interest income was $1.8 million. Distributable earnings available to common stockholders were $52 million or $1 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.

ARMOUR 第三季普通股股東可獲得的 GAAP 淨利為 6,290 萬美元，即每股普通股 1.21 美元。淨利息收入為 180 萬美元。普通股股東可獲得的可分配收益為 5,200 萬美元，即每股普通股 1 美元。這項非公認會計準則衡量標準被定義為淨利息收入加上根據我們的利率掉期和期貨合約的利息收入或費用調整後的TBA下降收入減去淨營運費用。

ARMOUR Capital Management continues to waive a portion of their management fees, waiving $1.65 million for Q3, which offsets operating expenses. The waiver continues until further notice. During Q3, ARMOUR issued 6,413,735 shares of common stock through our at-the-market offering program, raising $129.4 million of equity capital at 0.1% diluted to book value or essentially flat to book value.

ARMOR Capital Management 繼續免除部分管理費，第三季免除 165 萬美元，抵銷了營運費用。豁免持續有效，直至另行通知。第三季度，ARMOR 透過我們的市場發行計畫發行了 6,413,735 股普通股，籌集了 1.294 億美元的股本，稀釋至帳面價值 0.1% 或與帳面價值基本持平。

Since the end of the quarter, we have issued an additional 567,720 shares of common stock, adding $11.1 million of equity capital. 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 contractual dividends on the preferred stock, ARMOUR has made cumulative distributions to stockholders of $2.3 billion over its history.

自本季末以來，我們已增發 567,720 股普通股，增加股本 1,110 萬美元。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積分配了 23 億美元。

Quarter end book value was $20.76 per common share, up from $20.30 at June 30 or up 2.3% for the quarter. As of October 18, our estimated book value was $19.58 per common share after the accrual of the October preferred C stock dividends and the common stock dividends.

季度末每股普通股帳面價值為 20.76 美元，高於 6 月 30 日的 20.30 美元，本季上漲 2.3%。截至 10 月 18 日，在提列 10 月優先 C 股股息和普通股股息後，我們估計的每股普通股帳面價值為 19.58 美元。

I now will return the call back to Scott to discuss ARMOUR's portfolio position and current strategy. Scott?

我現在將回電給 Scott，討論 ARMOUR 的產品組合定位和當前策略。史考特？

Thanks, Gordon. I want to start by sharing our perspective on the current macro environment. In late August, Fed Chair Jerome Powell signaled that after nearly 2.5 years of restrictive monetary policy, the risks around inflation and the labor markets are in balance and that interest rates are set to decline.

謝謝，戈登。我想先分享我們對當前宏觀環境的看法。8月下旬，聯準會主席鮑威爾表示，經過近2.5年的限制性貨幣政策，通膨和勞動市場的風險已達到平衡，利率將會下降。

The Federal Reserve Committee followed this up with a jumbo 50 basis points interest rate cut in September, prompting a rapid steepening of the US Treasury yield curve. Quarter-over-quarter, the two-year and the 10-year treasuries rallied by 111 and 62 basis points respectively, with the 2s-10s spread reaching a high positive 22 basis points, a drastic turnaround from the negative 35 basis points close to the second quarter.

聯準會隨後在 9 月大幅降息 50 個基點，導緻美國公債殖利率曲線迅速陡峭。季比來看，兩年期和十年期公債分別上漲了111 和62 個基點，其中2 年期與10 年期公債利差達到高點正值22 個基點，從接近35 個基點的負值大幅扭轉。

Over the last three decades, the Fed easing cycles have resulted in curve steepening of 50 basis points to 300 basis points. With this in mind, we anticipate that the curve steepening trend has more room to run in the coming quarters. A scenario of Fed easing without the accompanying volatility of a severe economic recession sets up a particularly constructive environment for potential future book value appreciation and earnings growth at ARMOUR.

過去三十年，聯準會的寬鬆週期導致曲線陡峭了 50 個基點至 300 個基點。考慮到這一點，我們預計曲線陡峭趨勢在未來幾季有更大的運行空間。如果聯準會實施寬鬆政策，但沒有伴隨嚴重經濟衰退的波動，這將為 ARMOUR 未來潛在的帳面價值升值和獲利成長創造一個特別有建設性的環境。

We expect both book value and our earnings to benefit from the return of positive carry in production MBS, declining volatility, and the still historically wide nominal mortgage spreads of nearly 150 basis points versus the average spread of 106 basis points over the last decade. While the US elections could lead to near-term volatility, we expect monetary easing to remain the primary driver for mortgage spreads once the political uncertainty resolves.

我們預期帳面價值和獲利都將受益於生產MBS正利差的回歸、波動性的下降以及名目抵押貸款利差仍處於歷史高位，接近150個基點，而過去十年的平均利差為106個基點。儘管美國大選可能導致短期波動，但我們預計，一旦政治不確定性消除，貨幣寬鬆仍將是抵押貸款利差的主要驅動力。

Overall, we believe we're well positioned to benefit from these favorable market trends over the coming months. There are also a number of other specific factors that will benefit us into next year and probably beyond. Our strong liquidity and access to financing, particularly through our securities finance affiliate, BUCKLER, gives us more flexibility to increase leverage to take advantage of this environment.

總體而言，我們相信我們處於有利地位，可以在未來幾個月從這些有利的市場趨勢中受益。還有許多其他具體因素將使我們在明年甚至更長時間內受益。我們強大的流動性和融資管道，特別是透過我們的證券金融附屬公司 BUCKLER，使我們能夠更靈活地提高槓桿率，以利用這一環境。

We are keenly aware of the risks and volatility in today's world, but we have the ability to capitalize on this environment when the time is right. We have the demonstrated capability to raise capital at very low cost. In short, despite some volatility, which is not unexpected, this is shaping up to turn into a great environment overall for our business.

我們敏銳地意識到當今世界的風險和波動，但我們有能力在時機成熟時利用這種環境。我們有能力以極低的成本籌集資金。簡而言之，儘管存在一些波動（這並不令人意外），但這正在為我們的業務創造一個良好的整體環境。

At this point, I'll turn the discussion over to Sergey.

此時，我將把討論轉給謝爾蓋。

Thank you, Scott. In the third quarter, ARMOUR's portfolio experienced approximately 5 basis points of tightening in nominal spreads, and we progressively increased our portfolio size and leverage, taking advantage of pullbacks in the market. As the markets closed on October 21, our portfolio's duration and implied leverage stood at 0.91 years and 8.6 times, respectively.

謝謝你，斯科特。第三季度，ARMOUR 的投資組合名義利差收緊約 5 個基點，我們利用市場回檔的機會逐步增加投資組合規模和槓桿率。截至 10 月 21 日收盤時，我們投資組合的久期和隱含槓桿率分別為 0.91 年和 8.6 倍。

We maintain healthy levels of available liquidity at approximately 50% of total capital, and we continue to closely monitor as well as rigorously stress test our liquidity levels to ensure appropriately reflect market conditions and can support our portfolio growth. In anticipation of a Fed cutting cycle and a more positively sloped yield curve, we steadily increased our duration risk exposure to shorter interest rates while limiting duration exposure in the longer part of the curve.

我們將可用流動性保持在總資本約 50% 的健康水平，並繼續密切監控和嚴格壓力測試我們的流動性水平，以確保適當反映市場狀況並支持我們的投資組合成長。考慮到聯準會的降息週期和殖利率曲線的正向傾斜，我們穩步增加了較短利率的久期風險敞口，同時限制了曲線較長部分的久期風險敞口。

We terminated $1.75 billion of notional swaps with a weighted average maturity of 29 months and $1.8 billion of treasury futures with a weighted average duration of less than four years. Terminating the swaps versus receiving their cash flows carries no economic impact given that the swaps' positive book value is already reflected in their forward pricing. The proactive reduction in our swap position has lowered our ratio of hedges to repo funding to approximately 62%.

我們終止了17.5億美元的名義掉期，加權平均期限為29個月，以及18億美元的加權平均久期不到四年的國債期貨。鑑於掉期的正帳面價值已反映在其遠期定價中，終止掉期相對於獲得現金流量不會產生任何經濟影響。主動減少掉期部位已將我們的避險與回購融資比率降至約 62%。

We expect this recalibrated profile to be economically beneficial for our investors in an environment with a steepening yield curve. While earnings available for distribution related to swap income may be lower in subsequent quarters, over time, we expect EAD to benefit from lower financing costs, and therefore increasing carry income as the Fed continues its rate cutting cycle.

我們預計，在殖利率曲線陡峭的環境中，這種重新調整的情況將為我們的投資者帶來經濟利益。雖然與掉期收益相關的可分配收益在接下來的幾個季度可能會降低，但隨著時間的推移，我們預計EAD 將受益於較低的融資成本，從而隨著聯準會繼續降息週期而增加利差收入。

We continue to run a diversified hedge book composed of interest rate swaps, treasury shorts and futures totaling just over $7.7 billion of notional amount to dampen the volatility of the firm's book value. Our investment portfolio remains very liquid, 100 Agency MBS, and is well diversified across 30 year specified pools ranging from 2.5% to 6.5% coupons.

我們繼續經營由利率互換、國債空頭和期貨組成的多元化對沖帳簿，名目金額總計略高於 77 億美元，以抑制公司帳面價值的波動。我們的投資組合仍然具有很高的流動性，為 100 個機構 MBS，並且在 30 年指定池中實現了高度多元化，息票率從 2.5% 到 6.5% 不等。

While the largest composition of our holdings is in near par price coupons, we carry strategic exposures to deep discount and premium coupons totaling 30% and 22% of market value, respectively.

雖然我們持有的最大成分是接近平價優惠券，但我們對深度折扣和溢價優惠券進行了戰略投資，分別佔市場價值的 30% 和 22%。

This diversification shields the portfolio from prepayment volatility when rates decline. In Q3, constant prepayment rates averaged 7.5% CPR, a slight decrease from 7.7% CPR in Q2 and below 8.2% CPR so far in October. It is worth noting that the September's uptick in the mortgage refi index is expected to show up in the prepayment reports later this fall, and we believe this has already been priced into the market.

這種多元化可以保護投資組合免受利率下降時預付款波動的影響。第三季度，固定預付款率平均為 7.5% CPR，比第二季的 7.7% CPR 略有下降，且低於 10 月迄今的 8.2% CPR。值得注意的是，9月份抵押貸款再融資指數的上升預計將在今年秋季晚些時候的預付款報告中反映出來，我們相信這已經被市場消化。

With mortgage rates already backing up to 6.5%, the valuations on premium MBS offer very compelling value as the forward-looking prepayments begin to recede. Additionally, higher mortgage rates and weaker winter seasonals set up low net supply of MBS as yet another favorable near-term driver for spreads.

由於抵押貸款利率已經回升至 6.5%，隨著前瞻性預付款開始減少，優質 MBS 的估值提供了非常引人注目的價值。此外，較高的抵押貸款利率和較弱的冬季導致MBS淨供應量較低，成為利差的另一個有利的近期驅動因素。

Within the premium coupons, we are focused on specified pools tied with loans to lower credit FICO scores, higher LTV loan characteristics and states with traditionally lower refi response rates to help mitigate the prepayment risk versus more generic pools and TBA.

在溢價優惠券中，我們重點關注與貸款相關的特定資金池，以降低信用FICO 評分、提高LTV 貸款特徵以及傳統上再融資響應率較低的州，以幫助減輕與更通用池和TBA 相比的提前還款風險。

In discounts, our analysis shows that some of the more seasoned holdings were a substantial contributor to a gradual increase in the portfolio CPR this year, proving that mortgage prepayments can also work to investors' benefit. We expect this benefit to grow in the future when the housing market begins to recover as interest rates decline.

在折扣方面，我們的分析表明，一些經驗更豐富的持股是今年投資組合 CPR 逐步增加的重大貢獻者，這證明抵押貸款提前還款也可以為投資者帶來好處。我們預計，當未來房地產市場隨著利率下降而開始復甦時，這種好處將會增加。

And finally, the repo market remains liquid, albeit some of the funding pressures observed at the end of Q2 have persisted throughout Q3. These pressures are expected to remain throughout the end of the year, with dealers' capacity to intermediate somewhat constrained amid record levels of US treasury issuance.

最後，回購市場仍然具有流動性，儘管第二季末觀察到的一些融資壓力在整個第三季持續存在。這些壓力預計將持續到今年年底，由於美國國債發行量創歷史新高，交易商的中介能力受到一定程度的限制。

As Scott had already alluded to earlier, we are funding 40% to 60% of our MBS portfolio with our affiliate BUCKLER Securities while spreading out the remaining repo balances across 15 to 20 other counterparties to provide ARMOUR with the best financing opportunities.

正如Scott 之前提到的，我們透過附屬公司BUCKLER Securities 為我們的MBS 投資組合提供40% 到60% 的資金，同時將剩餘的回購餘額分散到15 到20 個其他交易對手方，為ARMOR 提供最佳融資機會。

BUCKLER allows flexibility of overnight funding while seeking out value and market collar in term repo markets. Overall, repo funding for Agency MBS remains plentiful and competitively priced across the Board. Back to you, Scott.

BUCKLER 讓隔夜融資的靈活性，同時在定期回購市場中尋找價值和市場機會。整體而言，機構 MBS 的回購資金仍然充足，且整體價格具有競爭力。回到你身邊，斯科特。

Thanks, Sergey. I'd also like to mention our preferred stock. We're around where we want to be with preferred as a proportion of our capital structure, so we're less likely to be involved in the preferred market. As you know, our preferreds remain fixed once they enter the call period. We are pleased with this feature, given where today's floating levels would be.

謝謝，謝爾蓋。我還想提一下我們的優先股。我們的優先股在我們的資本結構中所佔的比例處於我們想要的水平，因此我們不太可能參與優先市場。如您所知，一旦進入贖回期，我們的偏好就保持不變。考慮到今天的浮動水平，我們對此功能感到滿意。

As we look out over the next few quarters, we believe that our current dividend rate is appropriate. Our dividend outlook is based on the portfolio's future earnings power over the medium term, not the current period earnings. Our primary focus remains on generating total economic return on our portfolio and delivering that value to our shareholders.

展望未來幾個季度，我們認為目前的股息率是合適的。我們的股利前景是基於投資組合的未來中期獲利能力，而不是目前期間的獲利。我們的主要重點仍然是為我們的投資組合創造總經濟回報，並將該價值傳遞給我們的股東。

Thank you for joining today's call and your interest in ARMOUR. We're happy to now answer your questions.

感謝您參加今天的電話會議以及您對 ARMOUR 的興趣。我們很高興現在回答您的問題。

(Operator Instructions)

（操作員說明）

Trevor Cranston, Citizens JMP.

特雷弗·克蘭斯頓 (Trevor Cranston)，公民 JMP。

Hey, thanks. Good morning. With the sell-off in rates we've seen here in October, can you give us an update on what your current duration exposure is? And if you've made any significant changes to either the assets or hedge composition compared to what you disclosed as of September 30?

嘿，謝謝。早安.鑑於我們在 10 月看到了利率的拋售，您能否向我們介紹一下您當前的久期風險敞口的最新情況？與截至 9 月 30 日披露的內容相比，您是否對資產或對沖構成進行了任何重大變更？

Yes. Hi, Trevor. This is Desmond Macauley. So we did say in our prepared remarks that our duration was 0.9, that's actually as of October 21. Overall, as we mentioned, we positioned for a steepener. Most of that duration is in the front end of the curve. In the back end, we have some duration we're looking to delta hedge.

是的。嗨，特雷弗。這是德斯蒙德·麥考利。因此，我們在準備好的發言中確實說過，我們的持續時間是 0.9，實際上截至 10 月 21 日。總的來說，正如我們所提到的，我們定位了一個陡峭的地方。大部分持續時間都在曲線的前端。在後端，我們有一些持續時間來尋求 Delta 對沖。

So we have a program of keeping the back-end duration very close to zero, but we are at 0.91. So we've moved our hedges. We talked about a couple of things we've done so far. But overall, 0.91 duration as of October 21, most of it in the front end of the curve.

因此，我們有一個計劃，使後端持續時間保持非常接近零，但我們的值為 0.91。所以我們已經移動了樹籬。我們討論了迄今為止我們所做的一些事情。但整體而言，截至10月21日的0.91持續時間，大部分位於曲線的前端。

Okay. And then in terms of leverage, it looks like it's gone up a little bit since September 30. With the volatility priced into the market coming up on the election, is the 8.6% level kind of what you guys are comfortable running with near term? Or how are you thinking about that?

好的。然後從槓桿來看，自9月30日以來看起來有一點上升。隨著選舉即將到來，市場的波動性也隨之而來，8.6% 的水平是你們近期能接受的嗎？還是你怎麼想的？

Yes. So as far as our leverage, we see it more as an output. We have ample levels of liquidity, which is typically what we look at. So we are very comfortable with this environment. We think that the Fed easing cycle is going to be the key driver.

是的。因此，就我們的槓桿而言，我們更將其視為一種產出。我們擁有充足的流動性，這也是我們通常關注的。所以我們對這個環境非常滿意。我們認為聯準會的寬鬆週期將成為關鍵驅動力。

And of course, we have bouts of volatility, which we think are going to be short term. So yes, the presidential elections is one, and we wouldn't be looking to add risk into that. But at the same time, in terms of where we are right now with our leverage, we are pretty comfortable.

當然，我們會經歷一陣陣的波動，我們認為這將是短期的。所以，是的，總統選舉就是其中之一，我們不希望增加風險。但同時，就我們目前的槓桿水平而言，我們感到非常滿意。

Got it. Okay, appreciate the comment. Thank you.

知道了。好的，感謝評論。謝謝。

Doug Harter, UBS.

道格·哈特，瑞銀集團。

Hi, good morning. This is actually Will Nasta on for Doug today. And thanks for the book value update you gave, but given the rate volatility this week, is there any chance we get another update on how book has fared so far this week?

嗨，早安。這實際上是威爾納斯塔今天為道格做的。感謝您提供的帳面價值更新，但考慮到本週的利率波動，我們是否有機會獲得有關本週迄今為止帳面價值的另一次更新？

I don't think we're planning to update the book value more frequently than we do. I think, yes, it's been a volatile week. No question to that. But I don't think we have any plans to move to frequent book value updates.

我認為我們不會比現在更頻繁地更新帳面價值。我想，是的，這是動盪的一周。毫無疑問。但我認為我們沒有任何計劃進行頻繁的帳面價值更新。

Okay. That makes sense. And then just one more question. Just given the ATM issuance you had in 3Q, can you just update us on how you're thinking about raising capital going forward?

好的。這是有道理的。然後還有一個問題。剛考慮到您在第三季發行的 ATM 機，您能否向我們介紹您如何考慮未來籌資？

We look at a number of factors on it, and probably the most important is the price that we can raise it at. We attempt to raise capital very close to and ideally over book value, which we've been able to achieve, which is not to say that we wouldn't issue at different prices, which goes to the second leg of it, which is looking at investment opportunities and how we view the environment that we'd be putting that capital to work in.

我們會考慮很多因素，其中最重要的可能是我們可以提高的價格。我們試圖籌集非常接近並理想地超過帳面價值的資本，這是我們已經能夠實現的，這並不是說我們不會以不同的價格發行，這就是第二個方面，即尋找投資機會以及我們如何看待我們將投入資金的環境。

So we carefully eye that, and if we see exceptional opportunities in an environment that we like, we may be more aggressive on getting capital. That's the right answer for shareholders. But generally, we remain pretty conservative at the prices that we're willing to issue it and then keep a very close eye to the returns that we can generate with it.

因此，我們會仔細觀察這一點，如果我們在我們喜歡的環境中看到特殊的機會，我們可能會更積極地獲得資本。這對股東來說是正確的答案。但總的來說，我們對願意發行的價格仍然相當保守，然後密切關注我們可以用它產生的回報。

Great. Thanks for taking my questions.

偉大的。感謝您回答我的問題。

Jason Stewart, Janney Montgomery Scott.

傑森·斯圖爾特，珍妮·蒙哥馬利·斯科特。

Hi, good morning. Thank you. Could you talk a little bit more in detail about where you see current returns in terms of carry, how that relates to the cost of capital, maybe including the cost to operate? But if you could just break it down one more level in terms of carry versus total return and how you're thinking about those two components as you raise and deploy capital?

嗨，早安。謝謝。您能否更詳細地談談您認為目前的收益回報在哪裡，這與資本成本（可能包括營運成本）有何關係？但是，如果您可以將其進一步細分為套利與總回報的關係，以及在籌集和部署資本時您如何考慮這兩個組成部分？

Desmond, why don't you go over that one.

戴斯蒙德，你為什麼不看一下那個呢？

Sure, Scott. So production coupon ROEs, 6%, 6.5% coupons are in the high teens, belly coupons like 4%s and 4.5%s are in the mid- to high teens, depending on the specified pools, and lower coupons are trading over a wide range depending on the pool characteristics.

當然，斯科特。因此，生產優惠券ROE、6%、6.5% 優惠券處於高位，而腹部優惠券（如4%s 和4.5%s）則處於中高位，具體取決於指定的池，而較低的優惠券則在廣泛的範圍內交易。

So I think your -- the second part of your question was in terms of our dividend yield. You have to look at the dividend yield plus the preferreds overall. So if our dividend yield is about 15%, you have to adjust that for the preferreds, and then you add operating cost to that, and you can kind of get a sense of what that breakeven is.

所以我認為你的問題的第二部分是關於我們的股息殖利率。您必須查看股息殖利率加上整體優先股。因此，如果我們的股息殖利率約為 15%，您必須針對優先股進行調整，然後再加上營運成本，您就可以了解損益兩平點是多少。

But we're very comfortable, as we mentioned, in terms of looking forward, we think that these returns as is, are good enough to maintain our dividend. And we also like the environment overall where we can get some spread tightening, which would include our overall economic return there.

但正如我們所提到的，我們對未來感到非常滿意，我們認為這些回報本身就足以維持我們的股息。我們也喜歡整體環境，我們可以在某種程度上收緊利差，這包括我們在那裡的整體經濟回報。

Okay. That's helpful. And then second, just a macro question. There's -- in terms of prepayments, I mean, what's your view on the servicing capacity in the industry? Obviously, there's been a lot of rate vol that's taken some refi incentive out. But in general, what's your view on, especially for current production coupons, the near-term outlook for prepays given the capacity in the servicing industry?

好的。這很有幫助。其次，只是一個宏觀問題。我的意思是，就預付款而言，您對該行業的服務能力有何看法？顯然，大量的利率波動已經消除了一些再融資誘因。但總的來說，您對考慮到服務業產能的預付款近期前景有何看法，特別是對於當前的生產優惠券？

So let me start, and Sergey could add more to that. So as we mentioned in our prepared remarks, we did see an uptick in refi activity over the summer, and that should play out to faster speeds over the next month or two. But mortgage rates have already backed up to 6.5%. So looking forward beyond that time period, we can expect prepayments to decline.

讓我開始吧，謝爾蓋可以補充更多內容。因此，正如我們在準備好的發言中提到的那樣，我們確實看到夏季的再融資活動增加，並且在接下來的一兩個月內應該會以更快的速度發揮作用。但抵押貸款利率已經回升至 6.5%。因此，展望該時期之後，我們預計預付款將會下降。

Now over time, if you look even further into 2025 as the Fed easing cycle deepens, we think rates overall would come down, and that could lead to faster speeds. We are prepared for that. We maintain a diversified portfolio of both lower coupons and higher coupons. And the higher coupons, in terms of their current valuation, has priced in a lot of that prepayment risk already.

現在，隨著時間的推移，如果你進一步展望 2025 年，隨著聯準會寬鬆週期的深化，我們認為利率總體將會下降，這可能會導致更快的速度。我們已為此做好準備。我們維持較低息票和較高息票的多元化投資組合。就目前的估值而言，較高的票面利率已經計入了許多提前還款風險。

Yeah. And just to add to that, it's very hard to define current coupon right now when rates are moving as they are this month. So longer term, our view is that interest rates are coming down, but it would take mortgage rates to drop much lower than 5% given the composition of outstanding mortgage universe.

是的。除此之外，當利率像本月一樣變動時，現在很難定義目前的票面利率。因此，從長遠來看，我們的觀點是利率正在下降，但考慮到未償還抵押貸款領域的組成，抵押貸款利率需要下降到遠低於 5%。

And our portfolio reflects that composition. As we mentioned, we have coupons between 2.5% and 6.5% coupon in 30 years, so it's really easy to mitigate some of the prepayment concerns just by shifting your exposures along the coupon stack.

我們的投資組合反映了這種構成。正如我們所提到的，30 年內我們的優惠券利率在 2.5% 到 6.5% 之間，因此，只需沿著優惠券堆疊轉移您的風險敞口，就很容易減輕一些預付款問題。

Got it. Okay. That's good color. Thank you. Appreciate you taking the questions.

知道了。好的。這顏色真好啊謝謝。感謝您提出問題。

Matthew Erdner, JonesTrading.

馬修‧艾德納，瓊斯交易公司。

Hey, good morning, guys. Thanks for taking the questions. Could you talk a little bit about how you guys are thinking about tail risk outlook, if the 10 year were to run a little bit higher than where it is now or if it were to contract significantly, and how the recent changes to the hedge portfolio kind of reflect the way that you guys are thinking about it?

嘿，早上好，夥計們。感謝您提出問題。您能否談談你們如何看待尾部風險前景，如果 10 年期收益率比現在高一點，或者是否大幅收縮，以及最近對沖投資組合的變化如何有點反映了你們的想法？

Hi, Matt. So as I mentioned, we are positioned for a steepener. We dynamically hedge our portfolio, particularly that back end. So the back end has run up a lot already. In terms of outlook, where we do have the elections and there could be some other volatility there, we do expect, though, that as the Fed easing cycle deepens, that back-end rate should come down as well. But in terms of how we're preparing for it, it's about dynamically hedging our duration to meet the profile that we think fits with our macroeconomic views.

嗨，馬特。正如我所提到的，我們已經準備好了。我們動態對沖我們的投資組合，尤其是後端。所以後端已經跑了很多了。就前景而言，儘管我們確實舉行了選舉，並且可能會出現其他一些波動，但我們確實預計，隨著聯準會寬鬆週期的深化，後端利率也應該下降。但就我們如何準備而言，這是動態對沖我們的期限，以滿足我們認為符合我們宏觀經濟觀點的情況。

Got it. That's helpful. Thanks for taking the question.

知道了。這很有幫助。感謝您提出問題。

(Operator Instructions)

（操作員說明）

Christopher Nolan, Ladenburg Thalmann.

克里斯多福諾蘭，拉登堡塔爾曼。

Hey, guys. Back to the returns question. On the return on equity, given the improved environment that you guys are sort of anticipating, where should we expect equity returns to go?

嘿，夥計們。回到退貨問題。關於股本報酬率，考慮到你們預期的環境有所改善，我們應該預期股本報酬率會走向何方？

So Chris, in terms of just looking across -- if we think of it as incremental return based on new purchases, I mentioned earlier we see the higher coupons now in the high teens, so 18% to 20%. Now obviously, we do have -- we try to maintain a diversified portfolio. Some of the belly coupons are in the mid-teens and lower coupons trade over a wide range. We try to maintain a diversified portfolio. We also include -- we have [those] securities as well.

所以，克里斯，從長遠來看，如果我們將其視為基於新購買的增量回報，我之前提到過，我們現在看到更高的優惠券，即 18% 到 20%。現在顯然，我們確實做到了——我們努力保持多元化的投資組合。一些腹部優惠券的價格在十幾歲左右，較低的優惠券交易範圍很廣。我們努力保持多元化的投資組合。我們也包括－我們也有[那些]證券。

So we're looking at overall returns in terms of how it improves our convexity. So sometimes there's a trade-off, positive convexity, securities may have lower ROEs, but we try to balance it to maintain a well-diversified portfolio in terms of what those returns are versus the risks that we take.

因此，我們正在從如何改善凸性的角度來看待整體回報。因此，有時會存在權衡，正凸性，證券可能具有較低的股本回報率，但我們試圖平衡它，以在回報與我們承擔的風險之間保持良好的多元化投資組合。

Yes. And if I may, really quick, we also apply, of course, total return scenarios to all potential investments, not running just to the forwards, but using some assumptions we can have on the market using spreads and rates, given our macro-outlook. And given the volatility so far in the month, a lot of these assumptions could start to look more favorable from a total return perspective in addition to ROE numbers that Desmond quoted.

是的。當然，如果我可以的話，我們也會將總回報情境應用於所有潛在投資，而不僅僅是遠期投資，而是考慮到我們的宏觀前景，使用我們可以在市場上使用利差和利率進行的一些假設。考慮到本月迄今的波動性，除了德斯蒙德引用的淨資產收益率數據之外，從總回報的角度來看，許多假設可能開始變得更加有利。

So, if I heard Desmond correctly, I heard 18% to 20% or so in there?

那麼，如果我沒聽錯 Desmond，我聽到的是 18% 到 20% 左右？

In the higher coupons, yes. 18%, 19%.

在更高的優惠券中，是的。18%、19%。

Which is pretty much in line with where EPS is for the stock. And so I hear what you're saying in terms of book value appreciation, stronger earnings, but I'm not hearing it in terms of the details you're providing. It sounds like equity returns will be pretty much in line with what the market is expecting. Is that a fair summary?

這與該股的每股盈餘非常一致。因此，我聽到了您所說的帳面價值升值、盈利強勁等方面的內容，但我沒有聽到您提供的詳細資訊。聽起來股票報酬率將與市場預期基本一致。這是一個公平的總結嗎？

As Sergey mentioned, those returns just looks at where our current spreads are, right? So if you look at our dividend yield, let's say you take that in the mid-teens and you adjust for operating costs and things like that, the returns as we see today covers that.

正如謝爾蓋所提到的，這些回報只是考慮了我們目前的利差，對嗎？因此，如果你看一下我們的股息收益率，假設你的股息收益率在十幾歲左右，並根據營運成本和類似因素進行調整，我們今天看到的回報率涵蓋了這一點。

We think that in a Fed easing cycle, you can also see OAS is up, so just mortgage spreads tightening by 10 to 15 basis points. Most likely post elections or into next year, that is an additional component of the returns that is baked into those numbers. So that easily gets you into the low 20s for those coupons. Does that help?

我們認為，在聯準會的寬鬆週期中，您也可以看到 OAS 上升，因此抵押貸款利差僅收緊 10 至 15 個基點。最有可能的是選舉後或明年，這是納入這些數字的回報的另一個組成部分。這樣你就可以輕鬆地獲得這些優惠券的 20 多美元。這樣有幫助嗎？

Yes, it does. Thank you. So you're expecting slightly higher ROE, and that's definitely helpful. Slightly different, when given that you have negative investment spreads, cost of funds relative to investment yields, any handicapping in terms of ideas in terms of when that could turn positive? Or is that sort of dependent on who wins the presidential election and so forth?

是的，確實如此。謝謝。因此，您期望 ROE 略高，這絕對有幫助。略有不同的是，當考慮到投資利差、資金成本相對於投資收益率為負時，在想法方面是否存在任何障礙，即何時可以轉為正值？或者這取決於誰贏得總統選舉等等？

It's -- when you say negative investment spreads, we are currently -- I mean, for some coupons, we are already positive, right. It depends. I mean we do have lower coupons that are negative carry. As I mentioned, sometimes we look at just the ability to balance our portfolio in terms of the risks, the convexity. But there are some securities right now, if you just run them currently to where the repo rate is, they are already positive.

當你說負投資利差時，我們目前是——我的意思是，對於某些優惠券，我們已經是正的，對吧。這取決於。我的意思是我們確實有較低的負利差優惠券。正如我所提到的，有時我們只專注於在風險和凸度方面平衡我們的投資組合的能力。但現在有一些證券，如果你目前將它們運行到回購利率的水平，它們已經是正數了。

Okay. I was just looking at the portfolio as a whole.

好的。我只是從整體來看投資組合。

A lot of that timing depends on the Fed and where the Fed is going, right. And forward curve has one view of it. We've got dot plots, but I think the direction is pretty clear. You can squint at it and see some timing as that sweeps through the coupon stack, gradually making more and more of it see some daylight of positive carry.

這個時機在很大程度上取決於聯準會以及聯準會的走向，對吧。遠期曲線對此有一種看法。我們有點圖，但我認為方向非常明確。你可以瞇著眼睛看它，看到一些時機，因為它掃過優惠券堆棧，逐漸讓越來越多的優惠券看到一些積極的陽光。

Okay. That's it from me. Thank you very much.

好的。這就是我說的。非常感謝。

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

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。

Thanks all. We appreciate your interest. If questions come up, give us a ring. We're around and always happy to talk with you. Have a great day. Thank you.

謝謝大家。我們感謝您的關注。如果出現問題，請打電話給我們。我們就在您身邊，並且總是很樂意與您交談。祝你有美好的一天。謝謝。

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

會議現已結束。感謝您參加今天的演講。您現在可以斷開連線。