Armour 住宅房產信托 (ARR) 2024 Q4 法說會逐字稿

Good morning and welcome to ARMOUR Residential REIT fourth-quarter 2024 earnings conference call. (Operator Instructions) Please note this event is being recorded.

早安，歡迎參加 ARMOUR Residential REIT 2024 年第四季財報電話會議。（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 Scott Ulm, CEO. Please go ahead.

現在，我想將會議交給執行長 Scott Ulm。請繼續。

Good morning and welcome to our fourth-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.

早安，歡迎參加我們 2024 年第四季的電話會議。今天早上，我們與我們的財務長 Gordon Harper 一起出席了會議；以及我們的聯合資訊長 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來介紹財務結果。

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。現在，每個人都可以存取 ARMOUR 的收益報告，該報告可在 ARMOUR 的網站 www.armourreit.com 上找到。本次電話會議包含前瞻性陳述，這些陳述受美國 1995 年私人證券訴訟改革法案提供的安全港保護。

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

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超出 ARMOUR 控制範圍的某些因素，這些因素可能會導致實際結果與這些前瞻性陳述中表達或暗示的結果有重大差異。這些定期文件可在美國證券交易委員會網站 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.

今天所有的前瞻性陳述如有變更，恕不另行通知。除非法律要求，我們不承擔更新它們的任何義務。此外，今天的討論涉及某些非公認會計準則指標。這些指標與我們收益報告中可比較的 GAAP 指標相符。本次電話會議的線上重播將很快在 ARMOUR 網站上提供，並將持續一年。

Turning to results, ARMOUR's Q4 GAAP net loss related to common stockholders was $49.4 million or $0.83 per common share. Net interest income was $12.7 million. Distributable earnings available to common stockholders was $46.5 million or $0.78 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 capital management continues to waive a portion of their management fees waiving $1.65 million for Q4 which offsets operating expenses. The waiver continues until further notice.

談到業績，ARMOUR 第四季普通股股東相關 GAAP 淨虧損為 4,940 萬美元，即每股 0.83 美元。淨利息收入為1270萬美元。普通股股東可分配收益為 4,650 萬美元，即每股 0.78 美元。此非公認會計準則指標定義為淨利息收入加上 TBA 下降收入（根據我們的利率掉期和期貨合約的利息收入或支出進行調整）減去淨營運支出。ARMOUR 資本管理公司繼續免除部分管理費，第四季免除 165 萬美元，以抵銷營運費用。豁免將持續至另行通知。

During Q4, ARMOUR raised approximately $136.2 million of capital by issuing approximately 7.2 million shares of common stock to an aftermarket offering program. These issuances were mildly diluted to book value at $0.02 per share. Since December 31, we have continued to be active in our ATM programs issuing approximately 14 million common shares and 17,364 preferred C shares through February 4, 2025, raising approximately $259 million of total net capital, which again, were mildly dilutive.

第四季度，ARMOUR 透過向售後市場發行計畫發行約 720 萬股普通股，籌集了約 1.362 億美元的資金。這些發行的股票被輕微稀釋至每股 0.02 美元的帳面價值。自 12 月 31 日以來，我們繼續積極推進 ATM 計劃，截至 2025 年 2 月 4 日共發行約 1,400 萬股普通股和 17,364 股優先 C 股，籌集約 2.59 億美元的總淨資本，這再次具有輕微的稀釋性。

ARMOUR paid monthly common stock dividends per share of $0.24 per common share per month for a total of $0.70 for the quarter. As we stated previously, we aim to pay an attractive dividend that is appropriate in context and stable over the medium term. Taken together with contractual dividends on the preferred stock, ARMOUR has made cumulative distributions to stockholders of $2.4 billion over its history. Quarter-end book value was $19.07 per common share. Our most current available estimate of book value is as of Monday, February 10, was $19.18 per common share.

ARMOUR 每月支付每股普通股股息 0.24 美元，本季總計 0.70 美元。正如我們之前所說，我們的目標是支付符合實際情況且在中期內穩定的有吸引力的股息。加上優先股的合約股息，ARMOUR 在其歷史上已分配了 24 億美元給股東。季度末每股帳面價值為 19.07 美元。截至 2 月 10 日星期一，我們最新的帳面價值估計為每股普通股 19.18 美元。

Now, I will turn the call over to our Chief Executive Officer, Scott Ulm, to discuss ARMOUR’s portfolio position and current strategy.

現在，我將把電話轉給我們的執行長 Scott Ulm，討論 ARMOUR 的投資組合狀況和當前策略。

Thank you, Gordon.

謝謝你，戈登。

2024 was a year of transition for Fed policy as the FOMC reduced the Fed funds rate by 50 basis points in September after keeping it unchanged at 5.25% since July 2023. The Fed stated that weakness in the labor markets prompted the larger than typical 25 basis point rate cut, yet the US economy remained resilient in the fourth quarter. And as economic data continued to improve, investors reduced the number of expected rate cuts and extended their timing leading to increased bond yields and wider spreads. The outcome of the US presidential elections with a supportive pro-growth agenda and a potentially larger fiscal spending program added another layer of concern for the treasury markets.

2024年是聯準會政策的過渡之年，因為聯邦公開市場委員會自2023年7月以來將聯邦基金利率維持在5.25%不變，隨後於9月將聯邦基金利率下調了50個基點。聯準會表示，勞動市場疲軟促使降息幅度超過正常水平，為25個基點，但美國經濟在第四季仍保持彈性。隨著經濟數據持續改善，投資者減少了預期降息次數並延長降息時間，導致債券殖利率上升且利差擴大。美國總統大選的結果支持了經濟成長議程，並可能推出更大規模的財政支出計劃，這為國債市場增添了另一層擔憂。

Lastly, a hawkish rate cut at the December FOMC meeting injected another round of volatility in a month that has been historically favorable for bond investors. Despite the fourth quarter's swings in MBS valuations, ARMOUR maintains a constructive view on agency MBS spreads. Our positively sloped, steeper yield curve and historically attractive MBS spreads are currently generating approximately 150 basis points positive versus cash.

最後，12 月 FOMC 會議上的強硬降息舉措，在歷史上對債券投資者有利的一個月內引發了又一輪波動。儘管第四季度 MBS 估值出現波動，ARMOUR 仍對該機構 MBS 利差保持建設性看法。我們的正向傾斜、更陡峭的殖利率曲線和具有歷史吸引力的 MBS 利差目前相對於現金產生了約 150 個基點的正值。

Moreover, a duration hedged levered ROE measure produces some of the most attractive yields in ARMOUR's history at 18% to 19% on the production and premium coupon MBS. Although macroeconomic and geopolitical themes continue to prevail, such an attractive carry profile leaves us as buyers of MBS during episodes of spread weakness or volatility.

此外，期限對沖槓桿 ROE 指標產生了 ARMOUR 歷史上最具吸引力的收益率，生產和溢價 MBS 票面收益率達到 18% 至 19%。儘管宏觀經濟和地緣政治主題繼續占主導地位，但如此具有吸引力的套利組合使得我們在利差疲軟或波動期間成為 MBS 的買家。

Our view is supported by less volatile spreads in 2025 as well as the growing diversification of the mortgage investor base, which has steadily grown from money managers to continued overseas buying and bank demand turning net positive in 2024. With monetary policy on hold, we expect rates to trade in a range bound environment over the earlier part of the year, a tailwind for consistent MBS returns.

我們的觀點得到了以下因素的支持：2025 年利差波動較小，以及抵押貸款投資者群體日益多樣化，該群體已從基金經理穩步增長為持續的海外購買者，而銀行需求將在 2024 年轉為淨正值。由於貨幣政策保持不變，我們預計今年稍早利率將處於區間波動環境中，這對 MBS 的持續回報是一個利好。

Of course, it is just as important to recognize potential headwinds facing MBS investors this year. The recent reemergence of headlines around GSE reform adds to the already busy list of macro drivers that could keep investors in cash for longer than expected. Due to bureaucratic and regulatory complexity and the GSU's outsized role in the housing market, we do not see reforms as an imminent risk, but acknowledged that the new administration, including Scott Bessent as Head of the US Treasury Department and Bill Pulte as the Head of the FHFA, could begin to introduce details and steps needed for their eventual exit.

當然，認識到MBS投資者今年面臨的潛在阻力也同樣重要。最近有關政府扶持企業改革的新聞再次出現在頭條新聞中，這為原本就很繁瑣的宏觀驅動因素清單增添了新內容，可能會使投資者持有現金的時間比預期的更長。由於官僚主義和監管的複雜性，以及 GSU 在住房市場中發揮的巨大作用，我們並不認為改革是一種迫在眉睫的風險，但我們承認，包括美國財政部長斯科特·貝森特 (Scott Bessent) 和聯邦住房金融局局長比爾·普爾特 (Bill Pulte) 在內的新政府，可能會開始推出最終退出所需的細節和步驟。

Our exposure to Gini MBS helps mitigate some of the reformers in conventional MBS for now. But until we see more concrete proposals, the current situation leaves us looking to fade headline driven volatility.

我們對基尼MBS的敞口暫時有助於緩解傳統MBS中的一些改革者的影響。但除非我們看到更具體的提議，否則目前的情況讓我們希望淡化頭條新聞驅動的波動。

Secondly, we believe the bank's seemingly slower than expected deployment in agency MBS assets could be driven by lack of clarity in the proposed regulatory changes, which though, appearing to turn more favorable in recent months, lack certainty of details and timing. Thus, this is a when, not an if issue, which we will see more transaction if Michelle Bowman, a strong proponent of banking regulations gets nominated and confirms his new Vice Chair for Banking Supervision.

其次，我們認為，銀行在機構MBS資產方面的部署似乎慢於預期，可能是由於擬議的監管變化缺乏明確性所致，儘管近幾個月來監管變化似乎變得更加有利，但缺乏細節和時機的確定性。因此，這是一個時間問題，而不是是否問題，如果銀行監管的堅定支持者米歇爾鮑曼獲得提名並確認其新的銀行監管副主席，我們將看到更多交易。

Similarly, we've been encouraged by Treasury Secretary Bessent's plans to keep future coupon treasury issuance steady and tackle the budget deficit, steps that strengthen investors confidence and incentivize banks to allocate their reserves into treasury and MBS markets.

同樣，財政部長貝森特計劃保持未來息票國債發行量穩定並解決預算赤字，這些措施也令我們感到鼓舞，這些措施將增強投資者信心並激勵銀行將其儲備配置到國債和 MBS 市場。

Let me turn it over to Desmond for more detail on our portfolio. Desmond?

讓我把話題轉給戴斯蒙德，讓他詳細介紹我們的作品集。戴斯蒙？

Thank you, Scott.

謝謝你，斯科特。

In Q4, our agency portfolio experienced approximately 4 basis points of widening in nominal spreads versus approximately 5 basis points of widening in production MBS treasury basis. Year-to-date, portfolio assets have tightened approximately 3 basis points, and our book value stands at approximately $19.18 per share as of market close on February 10.

在第四季度，我們的機構投資組合的名義利差擴大了約 4 個基點，而生產 MBS 國債基礎擴大了約 5 個基點。年初至今，投資組合資產已收緊約 3 個基點，截至 2 月 10 日收盤時，我們的帳面價值約為每股 19.18 美元。

Net portfolio duration and implied leverage, we are at 0.36 years and 7.9 turns respectively, while cash and box liquidity is at approximately 50% of the total capital. The hedge book is composed of approximately 25% treasury-based hedges and the remainder in OIS and SOFO pay swaps. This allocation benefits us if swap spreads continue to appreciate and help diversify some of the risk if concerns around term funding premium resurface.

淨投資組合久期和隱含槓桿分別為 0.36 年和 7.9 週轉，而現金和庫存流動性約佔總資本的 50%。對沖帳簿約由 25% 的國債對沖和剩餘的 OIS 和 SOFO 支付互換組成。如果掉期利差持續升值，這種配置將使我們受益；如果對定期融資溢價的擔憂再次浮現，這種配置則有助於分散部分風險。

We maintain healthy levels of available capital liquidity with room to grow leverage in the appropriate market conditions. We were successful in bolstering our capital base through issuance of common and preferred equity in late 2024 and in the first quarter of this year.

我們保持健康的可用資本流動性水平，並在適當的市場條件下增加槓桿空間。我們成功地在 2024 年底和今年第一季發行普通股和優先股，增強了我們的資本基礎。

Given our favorable outlook for MBS carry, we deployed newly raised capital to purchase approximately $2 billion of mortgage assets and TBAs year to date, which earn at or above our hurdle rate after accounting for costs and expenses. We expect earnings available for distribution to exceed our Q1 dividend rate.

鑑於我們對 MBS 收益的樂觀前景，我們部署了新籌集的資金，用於購買今年迄今約 20 億美元的抵押貸款資產和 TBA，在扣除成本和費用後，其收益等於或超過了我們的最低收益率。我們預計可供分配的收益將超過我們的第一季股息率。

The overall investment portfolio remains liquid with 100% agency MBS and well diversified across the 30-year coupon stack ranging from 2.5% to 6.5% with particular overweight to 5.5% and 6% coupons where spreads and carry are most attractive. Portfolio MBS prepayment rates have averaged 8.7 CPR in Q4 and trending at around 6.4 average CPR so far in Q1. We expect the prepayment environment to remain uneventful for our portfolio mix of modest price premiums and discount MBS, and while mortgage rates remain above 6.5%.

整體投資組合仍保持流動性，其中 100% 為機構 MBS，且在 30 年期票面利率範圍內實現良好分散化，範圍從 2.5% 到 6.5%，尤其是 5.5% 和 6% 的票面利率，其中利差和套利最具吸引力。投資組合 MBS 預付款利率在第四季度平均為 8.7 CPR，而第一季迄今的平均 CPR 趨於 6.4 左右。我們預計，對於我們的適度溢價和折扣 MBS 投資組合而言，預付款環境將保持平穩，同時抵押貸款利率仍保持在 6.5% 以上。

Despite the slow prepayment environment, we continue to favor specified pools which exhibit better convexity over TBA and are less exposed to refinancings should mortgage rates rally to 2024 lows of 6%. Having said that, we have increased our exposure to TBA role in coupons where we see some return in roll specialness since the start of the year. While these are not poor long-term positions, they help enhance market liquidity and flexibility of the portfolio.

儘管預付款環境緩慢，但我們仍然青睞特定的資金池，因為與 TBA 相比，它們的凸性更好，而且如果抵押貸款利率回升至 2024 年 6% 的低點，它們受再融資的影響較小。話雖如此，我們增加了優惠券中 TBA 角色的曝光，自今年年初以來，我們看到了捲式特殊性的一些回報。雖然這些並不是糟糕的長期部位，但它們有助於增強市場流動性和投資組合的靈活性。

The repo market experienced some pricing pressures at the year-end as expected but has since returned to a more typical so for a plus 15 basis points repo spread. We fund 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.

正如預期的那樣，回購市場在年底經歷了一些定價壓力，但此後已恢復到更正常的狀態，回購利差為+15個基點。我們透過附屬公司 BUCKLER Securities 為我們的 MBS 投資組合提供 40% 至 60% 的資金，同時將剩餘的回購餘額分散給 15 至 20 個其他交易對手，以便為 ARMOUR 提供最佳的融資機會。

Overall, repo funding for agency MBS remains plentiful and competitively priced across the board, and Fed Chairman Powell continues to reiterate that banking reserves remain abundant.

整體來看，機構MBS的回購資金依然充足，且價格普遍具有競爭力，聯準會主席鮑威爾也持續重申銀行儲備仍充足。

Back to you Scott.

回到你身邊，斯科特。

Thank you very much.

非常感謝。

At this point, I think we'd like to open up for any questions.

現在，我想我們可以開始回答任何問題。

(Operator Instructions) Doug Harter, UBS.

(操作員指示) Doug Harter，瑞銀。

Thanks. First, just a clarification on the book value update. How does that factor in February's dividend?

謝謝。首先，只是對帳面價值更新進行澄清。這對二月的股息有何影響？

It does not, as we know, ex dividend by the end of this week.

據我們所知，本週末它不會除息。

I appreciate that. And then just -- I guess, how are you thinking about the outlook for volatility, and the potential costs of volatility on on your returns?

我很感激。然後——我想，您如何看待波動性的前景，以及波動性對您的回報的潛在成本？

Yes, good morning, Doug. This is Sergey. How are you? Thank you for your question.

是的，早安，道格。這是謝爾蓋。你好嗎？感謝您的提問。

We've seen volatility decline here both in rates and spread, and I think this has been the kind of really the tailwind for the MBS market to consistent ROE without the volatility that we've seen over the last two years. We expect this volatility to continue to grind lower with the Fed on hold. We feel like this will be more (inaudible) environment that we've seen in prior years. At the same time, we do feel like there's more costs on the table. The question is going to be their timing, but overall, the volatility aspect of the market looks very favorable.

我們已經看到利率和利差的波動性都在下降，我認為這對 MBS 市場來說是真正的順風，可以讓 ROE 保持穩定，而不會出現過去兩年所經歷的波動。我們預計，在聯準會維持利率不變的情況下，這種波動性將持續降低。我們感覺這將會是我們前幾年所見過的更（聽不清楚）的環境。同時，我們確實感覺到需要付出更多成本。問題在於他們的時機，但總體而言，市場的波動性看起來非常有利。

Great. Appreciate that answer.

偉大的。感謝您的回答。

Jason Weaver, Jones Trading.

傑森‧韋弗，瓊斯貿易公司。

Hey, good morning. Thanks for taking my question.

嘿，早安。感謝您回答我的問題。

Scott, I think in your initial comments you mentioned, you expect something like 18%, 19%, ROE on generics, concurrently. How does that compare with your actual deployments your -- the $2 billion of actual deployments here today. What are you expecting there?

斯科特，我認為在你最初提到的評論中，你預計仿製藥的 ROE 將同時達到 18% 和 19%。這與您今天的實際部署（20 億美元）相比如何？你在那裡期待什麼？

We've been able to deploy at what those expected numbers.

我們已經能夠按照預期的數字進行部署。

Okay, that's fair. I just wanted to verify.

好的，這很公平。我只是想驗證一下。

Yeah, I can't tell you what tomorrow brings, but we've been pretty encouraged by what we've been able to achieve in capital.

是的，我無法告訴你明天會發生什麼，但我們在資本方面所取得的成就讓我們備受鼓舞。

Got it. Thank you for that.

知道了。謝謝你。

And what we're seeing on the screen, at least year-to-date is mirroring your expectation of somewhat tighter spreads even in the face of some of these hotter inflationary prints. I was curious, tell me what are the biggest sort of risk factors you're concerned about for spread widening going forward?

而我們在螢幕上看到的情況，至少今年迄今為止反映了你的預期，即即使面臨一些通膨壓力，利差也會有所收窄。我很好奇，請告訴我，您擔心未來利差擴大的最大風險因素是什麼？

There's always stuff to worry about as you know, right? It starts with geopolitical stuff that's out there. It follows through GSE reforms a bit of a wild card as we said, look, I think that's going to be a heavy lift. It's been on the agenda for past Trump administrations and didn't quite get there and there is certainly headline risk there, comments on what could happen, but there's a lot of wood to chop on that one, but that could introduce some headline stuff there. You know we've got ongoing fiscal issues, treasury supply that might be there, and obviously, we've got this inflation story which continues to evolve, probably another couple of pages of things that we can come up with. There's always a lot to worry about something going bump in the night.

你知道，總會有需要擔心的事情，對吧？這一切都要從現有的地緣政治議題說起。正如我們所說，這是政府支持企業改革的後續，這是一個有點難以預測的結果，看，我認為這將是一項艱鉅的任務。這一直是川普歷屆政府的議程，但並未完全實現，而且這方面肯定存在頭條風險，對於可能發生的事情有評論，但在這方面還有很多工作要做，但這可能會引發一些頭條新聞。您知道，我們面臨持續的財政問題、可能存在的國庫供應問題，而且顯然，我們面臨持續發展的通膨問題，可能我們還能想出另外幾頁的內容。人們總是擔心晚上會發生一些意外。

Got it. Thanks for that color.

知道了。謝謝你這個顏色。

Jason Stewart, Janney Montgomery Scott.

傑森·斯圖爾特，詹妮·蒙哥馬利·斯科特。

Hey, good morning. Thank you.

嘿，早安。謝謝。

I wanted to follow up on the GSE reform topic. Thanks for the color and the comments there. Maybe you could put a finer point on how much you think is priced into the mortgage basis right now and as we go through that process and then we see headlines, what kind of widening you would expect to see in terms of basis points, and how you would position the portfolio and risk for that environment?

我想跟進 GSE 改革話題。感謝那裡的色彩和評論。也許您可以更詳細地說明一下，您認為目前抵押貸款基礎的價格是多少，當我們經歷這個過程，然後我們看到頭條新聞時，您預計基點會出現什麼樣的擴大，以及您將如何定位投資組合和風險？

That's a tough one. Look, I saw some research that said if the agencies were stood on their own, they'd be single A rated and you know that at 70 basis points or a point of additional spread required, that's a big number.

這是一個難題。你看，我看到一些研究表明，如果這些機構獨立存在，它們將只獲得 A 級評級，而且你知道，70 個基點或所需的額外利差點，這是一個很大的數字。

On the other hand, I think it's a little beyond the pale to think that after the better part of a century of enjoying an implicit government guarantee, now we obviously there's just making it explicit in law, but we've got to purchase stuff and 5 Treasury secretaries that say they back the agencies that we're going to walk away from the implicit support that we've got.

另一方面，我認為，在享受了近一個世紀的政府隱性擔保之後，現在我們顯然只是在法律上明確規定，但我們必須購買東西，而 5 位財政部長表示他們支持這些機構，我們將放棄我們已經得到的隱性支持，這種想法有點太過分了。

My bet is that you know we'll see efforts to exit conservancy and probably tie that with substantial private capital tied to the front bumper to protect the taxpayer but still leaving some version of what's been in place for a long time. How much is priced in today? I don't know a lot. I wouldn't say no because it's hard to say none, but I don't think there's a whole lot in right now.

我敢打賭，你知道我們會看到人們努力退出保護，並可能將其與大量私人資本掛鉤，以保護納稅人，但仍然保留一些長期存在的製度。今日價格是多少？我知道的不多。我不會說沒有，因為很難說沒有，但我認為現在沒有太多。

A good measuring tool for that are teeny tiny swaps which haven't really reacted to many of the headlines that you see in the equity markets so that kind of underlines, what Scott just mentioned, the steady growth of retained earnings could put them on the path to eventual exit. So, the new FHFA director could look to increase their profitability through certain ways like increasing the risk premiums on loans, and things like that. So, this could reshape the footprint of GSCs going forward, but we don't see an abrupt exit as the as the base case.

一個很好的衡量工具是微小的掉期，這些掉期實際上並沒有對您在股票市場上看到的許多頭條新聞做出反應，因此，正如斯科特剛才提到的，留存收益的穩步增長可能會使他們走上最終退出的道路。因此，新任聯邦住房金融局局長可以透過某些方式來提高獲利能力，例如增加貸款風險溢價等等。因此，這可能會重塑 GSC 未來的足跡，但我們不認為突然退出是基本情況。

Okay, that's helpful. So, the net takeaway for ARR would be debt to equity probably doesn't change much unless we get a material shift in in terms of the path forward. Okay, that was it for me. Thank you.

好的，這很有幫助。因此，除非我們在前進道路上發生重大轉變，否則 ARR 的淨收益將是債務與股權之比，可能不會發生太大變化。好的，對我來說就是這樣了。謝謝。

Mikhail Goldberman, Citizens JMP.

米哈伊爾·戈德伯曼（Mikhail Goldberman），公民 JMP。

Hey, good morning guys. Thanks for taking the question, sitting in for Trevor today.

嘿，大家早安。感謝您今天代替特雷弗回答這個問題。

Just curious what would you guys need to see to either increase or decrease leverage from this point on?

只是好奇從現在開始你們需要看到什麼來增加或減少槓桿？

Yes, hi, Mikhail.

是的，你好，米哈伊爾。

So, we are very comfortable with the current leverage. The last time we checked, we were somewhat above the average of our peers. So we like the leverage where it is today given the compelling returns, profile of assets that we purchase. Yet as we mentioned in our prepared remarks, there are some questions that we're looking to have answers in order for us to increase our leverage that is the GSE reforms, QT, the timing of any potential tapering of QT. These are the things that we're kind of looking for more clarity on in order to increase leverage from here.

因此，我們對目前的槓桿率非常滿意。上次檢查時，我們的成績略高於同行的平均。因此，考慮到我們所購買的資產的誘人回報和狀況，我們喜歡目前的槓桿率。然而，正如我們在準備好的發言中提到的那樣，我們希望得到一些問題的答案，以便我們能夠提高我們的影響力，即政府支持企業改革、量化緊縮以及任何可能縮減量化緊縮的時機。這些都是我們希望更清楚地了解的事情，以便從現在開始增加影響力。

In terms of potentially decreasing leverage, we don't see that in our base case. But if for example, we see the curve flattening for some reason, maybe more fare hikes get pricing, those could be the areas of concern that may cause us to reduce our leverage, but that's -- those are tail risks. We don't see that as base case.

就潛在降低槓桿率而言，我們的基本情況並未顯示這一點。但是，例如，如果我們看到曲線由於某種原因而趨於平緩，也許更多的票價上漲會導致定價，這些可能是令人擔憂的領域，可能會導致我們降低槓桿率，但這是尾部風險。我們不認為這是基本情況。

Got it, thank you. And what is your outlook on swap spreads for this year and the trade-off of using swaps versus treasuries for hedges?

知道了，謝謝。您對今年的掉期利差以及使用掉期與國債進行對沖的權衡有何看法？

Yes, so swaps have had quite a move this year. I think we moved more than 10 basis points from the site late December. This was all driven by the fact that Treasury Secretary Bessent's commentary and commitment to bringing term premium lower as well as some of the banking deregulation proposals by the Fed and potentially new Life Chair Michelle Bowman.

是的，今年掉期交易已經有了很大的變動。我認為我們在去年 12 月底從該網站轉移了超過 10 個基點。這一切都源於財政部長貝森特 (Bessent) 的評論和降低期限溢價的承諾，以及美聯儲和可能的新終身主席米歇爾鮑曼 (Michelle Bowman) 的一些銀行放鬆管制提案。

So, a lot has been priced in behind those comments already. I think the next pricing point is going to be what actions they're actually going to be taking. So, we use our swap position of 75% versus 25% in treasury. That's kind of very comfortable position where we're well positioned for the further widening and appreciation the swap spreads. But if things turn around, we do have a treasury position to diversify some of that risk.

所以，這些評論背後已經反映出了許多因素。我認為下一個定價點將取決於他們實際採取的行動。因此，我們的掉期部位為 75%，而國庫券部位為 25%。這是一種非常舒適的地位，我們為掉期利差的進一步擴大和升值做好了準備。但如果情況好轉，我們確實可以透過財務狀況來分散部分風險。

Great. Thank you for that color. And just to confirm on current book value, that's $19.18?

偉大的。謝謝你的色彩。只是為了確認當前的帳面價值，那是 19.18 美元？

Correct, $19.18.

正確，19.18美元。

Great. Thanks a lot. Best of luck all for you, guys. Thank you.

偉大的。多謝。祝大家好運。謝謝。

Christopher Nolan, Ladenburg Thalmann.

克里斯多福諾蘭，拉登堡塔爾曼。

Hey guys, first on the ATM $136.2 million, is that gross or net?

嘿夥計們，首先 ATM 機上的 1.362 億美元是毛額還是淨額？

Net.

網。

Okay. And then as memory serves last quarter, you guys -- basically, we're increasing our portfolio waiting to lower coupons, shorter term MBS on the expectations of further Fed rate cuts. Now, fast forward to the fourth quarter. Has your expectations of rate cuts changed with the outcome of the Presidential election, and are you positioning the portfolio more for a higher long end, or if you get a little color in terms of how your portfolio position has changed?

好的。然後，根據上個季度的記憶，大家 — — 基本上，我們正​​在增加我們的投資組合，等待降低票面利率，短期 MBS 以應對美聯儲進一步降息的預期。現在，快進到第四季。您對降息的預期是否隨著總統選舉的結果而改變？

Yes, thank you.

是的，謝謝。

So we followed the motto, don't fight the Fed. In December meeting, they've indicated that rates are still well restricted territory and that's well above the neutral rate. Now, since then, we did have new economic data releases including unemployment and CPI, so a lot of these things will continue to move the timing of further cuts. But we still firmly believe that there's more costs on the table, and more position for it. On duration and coupon stack positioning now, what the guy said in terms of ROE, the most attractive part in a coupon stack is in 5.5 and 6 higher coupon positioning, so we've been particularly active there.

因此我們遵循的座右銘是「不要與聯準會對抗」。在 12 月的會議上，他們表示利率仍處於嚴格限制的範圍內，遠高​​於中性利率。自那時以來，我們確實發布了新的經濟數據，包括失業率和消費者物價指數，因此許多這些數據將繼續影響進一步降息的時間。但我們仍然堅信，我們需要付出更多成本，但也要多做一些努力。關於期限和票息堆疊定位，就 ROE 而言，票面利率中最有吸引力的部分是 5.5 和 6 個更高的票面定位，因此我們在那裡特別活躍。

Okay, great. Thank you.

好的，太好了。謝謝。

(Operator Instructions)

（操作員指令）

Eric Hagen, BTIG.

BTIG 的 Eric Hagen。

Hey, thanks. Good morning.

嘿，謝謝。早安.

Another follow up on the asset selection. I mean, I think you mentioned liking higher coupon, specified pools. How are the pay ups right now relative to pay ups in the current coupon historically? And do you feel like pay ups maybe have as much value as they have historically, just given how aggressive the originators are and targeting borrowers for a [refi].

對資產選擇進行另一次跟進。我的意思是，我認為您曾提到喜歡更高的優惠券、指定的池子。目前的支付額與歷史上目前優惠券的支付額相比如何？您是否認為，鑑於發起人如此積極，並針對借款人進行償還，償還金額可能與歷史上一樣有價值？[再融資]。

Yeah, that's a good question, Eric.

是的，這是個好問題，艾瑞克。

A lot of the payups have appreciated over the last few months. We're seeing the theoretical break even on the payoffs versus the model, approaching close to 100%. So, this is why we've increased our positioning in TBA dollar rolls as well to kind of diversify away from full pay up premiums. So, that's been the strategy to -- you can wait out in some of the TBA positions to be able to swab back and specs when we see them more attractive.

過去幾個月裡，很多付款都升值了。我們看到，與模型相比，理論收益接近 100%。因此，這就是為什麼我們也增加了在 TBA 美元卷中的定位，以實現對全額支付保費的多元化。所以，這就是策略——你可以等待一些 TBA 職位，當我們看到它們更有吸引力時，可以重新審查和指定規格。

Okay, interesting.

好的，有趣。

Going over to repo market conditions, I mean, do you feel like the steeper yield curve is supportive for spreads and liquidity in the repo market? And how much demand do you guys see to extend repo, pick up term repo right now, thank you.

回顧回購市場狀況，我的意思是，您是否認為更陡的殖利率曲線有利於回購市場的利差和流動性？你們認為現在延長回購協議、提取定期回購協議的需求有多大，謝謝。

Yeah. So the repo curve, typically, we look at 1 to 2 months, is relatively flat. So you know, it's really more depends on kind of what the initiatives out of the Treasury Department are coming in terms of their funding and their financing and how that affects the calendar rates. But overall, repo market has been extremely well behaved. Since the year end, I think we're seeing kind of sulfur plus team type of spread and that part of the market is very beneficial to the agency MBS.

是的。因此，我們通常看到的 1 至 2 個月的回購曲線相對平坦。所以你知道，這實際上更取決於財政部在資金和融資方面採取的舉措，以及這些舉措如何影響日曆利率。但整體來看，回購市場表現極為良好。自年底以來，我認為我們看到了硫磺加團隊類型的傳播，這部分市場對機構 MBS 非常有利。

Okay. Thank you, guys, so much.

好的。非常感謝你們。

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。我想將會議交還給斯科特·烏爾姆 (Scott Ulm) 做最後發言。

Thank you so much for joining us this morning, and we look forward to speaking with you. Feel free to call us with any follow-ups you have. Thank you.

非常感謝您今天早上加入我們，我們期待與您的對話。如有任何疑問，請隨時致電我們。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。