Armour 住宅房產信托 (ARR) 2025 Q2 法說會逐字稿

Good morning and welcome to ARMOUR Residential REIT's second-quarter 2025 earnings conference call. (Operator Instructions)

早安，歡迎參加ARMOUR Residential REIT 2025年第二季業績電話會議。 （操作員指示）

Please note, this event is being recorded.

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.

現在我想將會議交給史考特·烏爾姆。請繼續。

Good morning and welcome to ARMOUR Residential REIT's second-quarter 2025 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 ARMOUR Residential REIT 2025 年第二季電話會議。今天上午，我們的財務長 Gordon Harper 以及聯合首席資訊長 Sergey Losyev 和 Desmond Macauley 也和我一起出席了會議。

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

我現在將電話轉給戈登來介紹財務結果。戈登。

Thanks, Scott. By now everyone has access to ARMOUR's earnings release, which can be found on ARMOUR's website, www.armourreitcom.

謝謝，斯科特。現在每個人都可以存取 ARMOUR 的收益報告，可以在 ARMOUR 的網站 www.armourreitcom 上找到。

This conference call includes forward-looking statements 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 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.

本次電話會議包括前瞻性陳述，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。

Those periodic filings can be found on the SEC's website at www.sec.gov. All of today's forward-looking statements are subject to change without notice. We disclaim any obligation to update them unless required by law.

這些定期文件可在美國證券交易委員會網站 www.sec.gov 上查閱。今日所有前瞻性聲明如有更改，恕不另行通知。除非法律要求，我們不承擔任何更新這些內容的義務。

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.

此外，今天的討論還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。這次電話會議的線上重播將很快在 ARMOUR 的網站上提供，並將持續一年。

ARMOUR's Q2 GAAP net loss related to common stockholders was $78.6 million, or $0.94 per common share. Net interest income was $33.1 million. Distributed earnings available to common stockholders was $64.9 million, or $0.77 per common share. Those non-GAAP measures, 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 waived a portion of their management fees, waiving $1.65 million for the Q2, which offsets operating expenses.

ARMOUR 第二季度普通股股東相關 GAAP 淨虧損為 7,860 萬美元，或每股 0.94 美元。淨利息收入為3,310萬美元。分配給普通股股東的收益為 6,490 萬美元，即每股 0.77 美元。這些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，再減去淨營運支出。ARMOUR Capital Management 免除了部分管理費，免除了第二季度的 165 萬美元，這抵消了營運費用。

During Q2, ARMOUR raised approximately $104.6 million of capital by issuing approximately 6.3 million shares of common stock through an at-the-market offering program. Since June 30, we have raised approximately $58.8 million of capital by issuing approximately 3.5 million shares of common stock through an at-the-market offering program. We currently have outstanding 91.5 million common shares.

第二季度，ARMOUR 透過市場發行計畫發行約 630 萬股普通股，籌集了約 1.046 億美元的資金。自 6 月 30 日以來，我們透過市場發行計畫發行了約 350 萬股普通股，籌集了約 5,880 萬美元的資金。我們目前已發行 9,150 萬股普通股。

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. We aim to pay an attractive dividend that is appropriate in context and stable over the medium term. On July 30, 2025, a cash dividend of $0.24 per outstanding common share will be paid to holders of record on July 15, 2025.

ARMOUR 每月支付每股普通股股息 0.24 美元，本季總計 0.72 美元。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。2025 年 7 月 30 日，將向 2025 年 7 月 15 日登記在冊的股東支付每股 0.24 美元的現金股利。

We have also declared a cash dividend of $0.24 per outstanding common share payable August 29 to the holders of record on August 15, 2025. Quarter-ending book value was $16.90 per common share. Our estimated book value as of Monday, July 21, was $16.81 per common share, reflective of the accrual of the July common dividend.

我們也宣布向 2025 年 8 月 15 日登記在冊的股東派發每股 0.24 美元的現金股息，派發日期為 8 月 29 日。季度末帳面價值為每股 16.90 美元。截至 7 月 21 日星期一，我們的估計帳面價值為每股普通股 16.81 美元，反映了 7 月份普通股股息的應計。

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

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

Thanks, Gordon.

謝謝，戈登。

Hey, just a note to the team, I had a connectivity problem a second ago, so if I disappear, just continue with what we have to say here but we should be just fine.

嘿，只是想告訴團隊，我剛剛遇到了連接問題，所以如果我消失了，就繼續我們在這裡要說的話，但我們應該沒問題。

Well, thanks, all. As we enter the second half of 2025, the debate around US fiscal sustainability, Fed independence, and trade dynamics continues to weigh on the macro landscape. While we don't expect these issues to be resolved quickly, markets appear to have digested much of the initial shock as rates and spreads have settled into stable ranges and volatility has drifted lower.

好的，謝謝大家。隨著我們進入 2025 年下半年，圍繞美國財政可持續性、聯準會獨立性和貿易動態的爭論繼續影響宏觀格局。雖然我們不認為這些問題很快就會解決，但隨著利率和利差穩定在穩定區間且波動性下降，市場似乎已經消化了大部分最初的衝擊。

On the monetary policy front, incoming US economic data indicates solid economic growth that's supportive of the Fed's wait-and-see approach. While Fed policy rates remain on hold, elevated short-term yields are absorbing investor liquidity. However, we believe that a resumption of the Fed cutting cycle this year should reignite the flow of liquidity into agency MBS.

在貨幣政策方面，即將公佈的美國經濟數據顯示經濟成長穩健，支持聯準會的觀望態度。儘管聯準會政策利率保持不變，但短期收益率上升正在吸收投資者的流動性。然而，我們認為，聯準會今年重啟降息週期應該會重新引發流動性流入機構MBS。

Current coupon MBS spreads have retraced from April's historically distressed levels, supported by declining volatility. The MBS to SOFR spreads have consolidated back towards an average of the spread levels observed in 2025. They widen by approximately 10 basis points over quarter and remain historically cheap.

受波動性下降的支撐，當前 MBS 票面息差已從 4 月的歷史低點回落。MBS 與 SOFR 利差已回升至 2025 年的平均利差水準。該利率較上一季擴大了約 10 個基點，並且仍處於歷史低點。

The 30-year fixed mortgage rate was near 6.75% through late June and early July, effectively dampening refinancing activity and keeping net mortgage supply muted. This tightening backdrop, while a challenge for borrowers, continues to create compelling opportunities for investors in high-carry production agency MBS.

截至 6 月底和 7 月初，30 年期固定抵押貸款利率接近 6.75%，有效抑制了再融資活動並導致淨抵押貸款供應量低迷。這種緊縮的背景雖然對借款人來說是一個挑戰，但卻為高票利率生產機構 MBS 的投資者創造了極具吸引力的機會。

At the policy level, the US housing finance system remains a central topic in D.C. The FHFA Director, Bill Pulte, has begun to implement reforms aimed at streamlining the GSEs, Fannie Mae and Freddie Mac, with administration officials signaling support for retaining an implicit government guarantee for the GSEs. While public rhetoric hints at an eventual need to end conservatorship, we view these developments as constructive, yet not imminent.

在政策層面，美國住房金融體系仍是華盛頓的中心議題。聯邦住房金融局局長比爾·普爾特已開始實施旨在精簡政府支持企業（房利美和房地美）的改革，政府官員表示支持保留政府對政府支持企業的隱性擔保。儘管公眾言論暗示最終需要結束監護制度，但我們認為這些發展具有建設性，但並非迫在眉睫。

I'll now turn it over to Desmond for more detail on our portfolio. Desmond?

現在我將把話題交給戴斯蒙德，讓他詳細介紹我們的作品集。戴斯蒙？

Thank you, Scott. Our most estimated net portfolio duration and implied leverage are closely managed at 0.46 years and eight terms, respectively. Our total liquidity is strong at approximately 52% of the total capital as of July 21.

謝謝你，斯科特。我們最估計的淨投資組合期限和隱含槓桿分別嚴格控制在 0.46 年和 8 個期限。截至 7 月 21 日，我們的總流動性強勁，約佔總資本的 52%。

Our hedge book reflects a balanced view of duration with a bias for further Fed easing. Hedges are composed of about 33% in Treasury shorts and futures, with the remainder in OIS and SOFR swaps as measured on a DV01 basis.

我們的對沖帳簿反映了對期限的平衡看法，並傾向於聯準會進一步放鬆政策。對沖由大約 33% 的國債空頭和期貨組成，其餘部分由以 DV01 為基礎衡量的 OIS 和 SOFR 掉期組成。

While SOFR swaps are cheaper hedges, Treasuries have proven to be a more effective hedge instrument for mortgages as of late. ARMOUR is invested 100% in agency MBS, agency CMBS, and US Treasuries. Our MBS portfolio remains concentrated in production MBS, with ROEs in the 18% to 20% range. The portfolio remains well diversified across the 30-year coupon stack, GNMAs and Indos, whose positive convexity and short-duration attributes offer better value over comparable 15-year MBS pools.

儘管 SOFR 掉期是較便宜的對沖工具，但最近事實證明，國債是更有效的抵押貸款對沖工具。ARMOUR 100% 投資於機構 MBS、機構 CMBS 和美國國債。我們的 MBS 投資組合仍集中在生產型 MBS，ROE 在 18% 至 20% 之間。該投資組合在 30 年期息票組合、GNMA 和 Indos 方面保持了良好的多元化，其正凸性和短期屬性比同類 15 年期 MBS 池具有更高的價值。

Portfolio MBS repayment rates have averaged 7.7 CPR in Q2 and are trending at around 8.3 CPR so far in Q3. We see no signs of material acceleration unless mortgage rates drop significantly. We continue to favor higher cut loan balance and credit-specified pools with favorable convexity and repayment profiles to TBA and generic collateral.

投資組合 MBS 償還利率在第二季平均為 7.7 CPR，而第三季迄今趨於 8.3 CPR 左右​​。除非抵押貸款利率大幅下降，否則我們看不到任何實質加速的跡象。我們繼續青睞更高額度的貸款餘額和特定信貸池，這些資金池對 TBA 和通用抵押品具有良好的凸度和償還狀況。

Our TBA exposure is light at $300 million and remains a tactical tool to manage MBS coupon positioning. ARMOUR funds 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 at an average gross haircut of 2.75%.

我們的 TBA 敞口較小，為 3 億美元，並且仍然是管理 MBS 息票定位的戰術工具。ARMOUR 透過其附屬公司 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，從而為 ARMOUR 提供最佳融資機會，平均總折扣率為 2.75%。

Overall, MBS repo funding remains ample and competitively priced, ranging at around SOFR plus 15 to 17 basis points. We are increasingly optimistic that structural demand for MBS may improve later this year. Evolving regulatory clarity around banking reform and a resumption of the Fed easing policy could act as meaningful catalysts for increasing banking demand. This, combined with constrained mortgage supply, sets up a highly constructive technical backdrop for agency MBS, while historically widespread signals strong risk to reward incentive to all mortgage assets.

整體而言，MBS 回購資金仍充足且價格具競爭力，約為 SOFR 加 15 至 17 個基點。我們越來越樂觀地認為，今年稍後 MBS 的結構性需求可能會改善。圍繞銀行業改革的監管日益明確以及聯準會恢復寬鬆政策可能成為增加銀行業需求的有效催化劑。再加上抵押貸款供應受限，這為機構 MBS 建立了高度建設性的技術背景，同時從歷史上看，所有抵押貸款資產都具有強大的風險回報激勵。

I'll turn it over back to you, Scott.

我會把它交還給你，斯科特。

Thanks, Desmond. ARMOUR's approach remains unchanged. Grow and deploy capital thoughtfully during spread dislocations maintain robust liquidity and provide a strong base for new investments. ARMOUR's approach remains unchanged.

謝謝，德斯蒙德。ARMOUR 的方法保持不變。在利差錯位期間慎重地增加和部署資本，保持強勁的流動性，並為新的投資提供堅實的基礎。ARMOUR 的方法保持不變。

We are committed to providing a robust base for new investments. Grow and deploy capital thoughtfully during spread dislocations, maintain robust liquidity, and dynamically adjust hedges for discipline risk management. We're confident in our positioning, strategy, and ability to deliver value for shareholders.

我們致力於為新投資提供堅實的基礎。在利差錯位期間慎重地增加和部署資本，保持強勁的流動性，並動態調整對沖以規範風險管理。我們對我們的定位、策略和為股東創造價值的能力充滿信心。

As you know, we determine our dividend based on a medium-term outlook. We view our current dividend as appropriate for this environment and the returns available.

如您所知，我們根據中期前景確定股息。我們認為當前的股息適合當前環境和可獲得的回報。

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並關注 ARMOUR。我們很高興現在回答您的問題。

(Operator Instructions) Doug Harter, UBS.

（操作員指示）Doug Harter，瑞銀。

Thanks and good morning. Hoping you could just talk about your philosophy for managing spread duration risk as you go through a volatile period like you did in April and the second quarter in total and kind of just give us a little more on the thought process?

謝謝，早安。希望您能談談您在經歷 4 月份以及整個第二季度這樣的動盪時期時管理利差期限風險的理念，並能給我們多介紹一下您的思考過程嗎？

Yes. Hi, Doug. On spread risk, I can start with just our leverage, which we are very comfortable with at this point. We think that the spread risk is a very important factor in managing spread risk. I can start with just our leverage, which we are very comfortable with at this point.

是的。你好，道格。關於利差風險，我可以從我們的槓桿開始，目前我們對此非常滿意。我們認為利差風險是管理利差風險的一個非常重要的因素。我可以從我們的槓桿率開始，目前我們對此非常滿意。

We think that spreads remain historically attractive, and for that reason, we could potentially look to even modestly increase our leverage here. Currently, we are around just a little bit below the average over the last 6 to 12 months -- our own average over the last 6 to 12 months.

我們認為利差在歷史上仍然具有吸引力，因此，我們可能會考慮適度提高我們的槓桿率。目前，我們的水平略低於過去 6 至 12 個月的平均值——我們自己過去 6 至 12 個月的平均水平。

In terms of duration, we manage it dynamically. We've recently increased our hedges in longer duration assets, longer duration beyond the 10-year point, to adjust for what we saw in Q2, where there was steepness of the curve in 10-year maturities and beyond.

在持續時間方面，我們進行動態管理。我們最近增加了對長期資產（即 10 年期以上的長期資產）的對沖，以適應我們在第二季度看到的情況，當時 10 年期及以後的期限的曲線陡峭化。

Trevor Cranston, JMP Securities.

特雷弗·克蘭斯頓（Trevor Cranston），JMP證券。

Looking at the portfolio data, it looks like the allocation to higher coupons, like 6s and above, declined during the second quarter. Can you guys just comment on where you're seeing the best value in the coupon stack and where you guys are deploying marginal dollars as you raise capital? Thanks.

從投資組合數據來看，第二季對 6 票及以上票息較高債券的配置似乎有所下降。你們能否評論一下，你們認為優惠券堆疊中哪裡最有價值，以及你們在籌集資金時將邊際美元部署在哪裡？謝謝。

Good morning, Trevor. This is Sergey. Yeah, I think we might have talked about it on the last earnings call. There was a little utility during the first half of April. That's probably where the sizes might have been reduced. But overall, we remain favorable of 5.5% and 6% coupons. These are the highest ROE coupons that we are currently modeling. With the prepayment environment, it remains very benign. This remains our focal point for the portfolio. We don't really expect large changes near term.

早上好，特雷弗。這是謝爾蓋。是的，我想我們可能在上次財報電話會議上討論過這個問題。四月上半月有一點實用性。這可能是尺寸減小的原因。但總體而言，我們仍然看好 5.5% 和 6% 的優惠券。這些是我們目前正在建模的最高 ROE 票面利率。在預付款環境下，情況仍然非常良好。這仍然是我們投資組合的重點。我們確實不期望近期會出現大的變化。

Got it. Okay. And I guess the other notable thing there was the new line item for the long treasury position. Can you just comment on kind of the what the role of that is within the portfolio?

知道了。好的。我想另一件值得注意的事情是長期國債部位的新項目。您能否評論一下它在投資組合中的作用是什麼？

Yeah, so as you know, we view five-year point on the yield curve as a very important pivotal point for managing overall portfolio, duration risk, and just responding to the monetary policy all across the yield curve.

是的，如您所知，我們認為殖利率曲線上的五年點是管理整體投資組合、期限風險以及響應整個殖利率曲線上的貨幣政策的一個非常重要的關鍵點。

So five-year treasury serves as part of that hedging strategy, but it also is used as a proxy for our agency CMBS position. As we know, we hold slightly just below maybe 5% of our portfolio. And we are very tactical about that market.

因此，五年期國債不僅是該對沖策略的一部分，而且還可用作我們機構 CMBS 頭寸的代理。我們知道，我們持有的資產約佔投資組合的 5% 以下。我們對該市場非常有策略。

We tend to go in when spreads widen and reduce our allocations when we see spreads on the more richer side. And five-year treasuries help us kind of hedge that position and be able to rotate among those asset classes.

當利差擴大時，我們傾向於入場，而當利差較大時，我們則減少配置。五年期國債幫助我們對沖這個頭寸，並且能夠在這些資產類別之間輪調。

Randy Binner, B. Riley.

蘭迪·賓納、B.萊利。

I just have one on the model and total expenses after fees waived reported in the quarter was $14.3 million That was just a little bit higher than what trend was and what we were looking for. Was there anything unusual in that line item this quarter or seasonal? Or is that a level we would expect going forward?

我剛剛拿到一個模型，報告顯示本季度扣除費用後的總支出為 1430 萬美元，這比趨勢和我們所期望的略高一些。本季或本季的該項目有異常嗎？還是這是我們未來期望的水平？

I wouldn’t say it’s a level we’d expect going forward. We had a bit more professional fees than we had probably in the first quarter just on things that we were working on. But as we explained in the 10-Q, some of that can just vary quarter to quarter, but not expecting sort of the same run rate on expenses.

我不會說這是我們未來所期望的水平。我們在正在進行的工作上支付的專業費用可能比第一季要多一些。但正如我們在 10-Q 中所解釋的那樣，其中一些可能每個季度都會有所不同，但預計費用的運行率不會相同。

And that’s helpful. And then just to be, I guess, 100% clear, line item, that if you had higher hedge costs or volatility there because of interest rates moving around in April, that would be netted that would not be in that line item. That would be elsewhere, correct?

這很有幫助。然後我想，為了 100% 明確起見，如果由於 4 月份利率變動而導致對沖成本或波動性增加，那麼這將被扣除，而不會包含在該項目中。那應該是在其他地方，對嗎？

Yes. That’s up in the derivatives.

是的。這是衍生品。

Jason Stewart, Janney.

傑森史都華、詹妮。

Just big picture, as you think about constructing the hedge portfolio and the coupon stack, how do you balance total return versus carry as we start to see some of these dislocations in swaps versus treasuries?

從整體來看，當您考慮建立對沖投資組合和票面利率時，當我們開始看到掉期與國債之間的一些錯位時，您如何平衡總回報與利得？

So hi, Jason. So in terms of our portfolio, on the hedge side, we mentioned our duration. We are positioned for a bullish steepener, and we adjust our hedges appropriately. And it’s pretty dynamic. It’s our view of the macroeconomic environment.

你好，傑森。因此，就我們的投資組合而言，在對沖方面，我們提到了我們的期限。我們已做好迎接看漲勢頭的準備，並適當調整了對沖。而且它非常有活力。這是我們對宏觀經濟環境的看法。

We like to stay diversified across the coupon stack. The lower coupons would benefit if we do see rate rally. We expect that a rally could take place when the Fed resumes normalization, which we are expecting later on this year to the fall in the fall or later.

我們希望保持優惠券的多樣化。如果利率確實上漲，較低的票息將會受益。我們預計，當聯準會恢復正常化時，可能會出現反彈，我們預計反彈將在今年晚些時候出現，並在秋季或更晚的時候出現。

The higher coupons could benefit in a steepener, wherein any steepener scenario, the CPRs projected CPRs could be slower, and those could benefit the -- on the higher coupons. We’re looking to reinvest muscle in production coupon 5.5% and 6%. These are specified pools. They have the prepayment characteristics that we talked about in our prepared remarks. And that is supposed to improve the overall convexity of our portfolio.

利率較高的優惠券可能會在利率陡峭化的情況下受益，在任何利率陡峭化的情況下，CPR 預測的 CPR 可能會更慢，而利率更高的優惠券可能會受益。我們希望將生產優惠券再投資 5.5% 和 6%。這些是指定的池。它們具有我們在準備好的評論中談到的預付款特徵。這應該會提高我們投資組合的整體凸度。

And last, of course, we also have DOS securities with even positive convexity. So to stay best to stay diversified across the coupon stack and looking to add more in production coupons in terms of reinvesting paydowns and also reinvesting any equity capital raises.

最後，當然，我們還有具有正凸度的 DOS 證券。因此，最好保持優惠券堆疊的多樣化，並尋求在再投資償還和再投資任何股權資本籌集方面增加更多的生產優惠券。

And just to add on the hedge book side, as we mentioned, we’re on a DBO1 basis, we’re about 33% in treasuries. On a notional basis, it’s, closer to [20.80%]. We still like to, use interest rate swaps, as the main hedge instrument. It’s a cheaper hedge. Obviously, from a total return, treasuries have been a more effective hedge as of late.

補充一下對沖帳簿方面，正如我們所提到的，我們以 DBO1 為基礎，國債佔比約為 33%。從理論上講，它更接近[20.80%]。我們仍然喜歡使用利率互換作為主要的避險工具。這是一種更便宜的對沖方法。顯然，從總回報來看，國債最近已成為更有效的避險工具。

So we’re keeping these, the balance of the hedge book right where we feel like it provides both the carry and the total return opportunity from both sides.

因此，我們將對沖帳簿的餘額保持在我們認為既能為雙方提供套利機會又能提供總回報的機會的水平。

Okay. So does the 18% to 20% range keep the hedge book in with the same composition that you have right now in [20.80%] notional?

好的。那麼 18% 到 20% 的範圍是否會使對沖帳簿的組成與現在的 [20.80%] 名目構成保持一致？

So 18% to 20% would be, for like our production coupon 5.5% and 6%. In terms of, that would if you look at it from a total return perspective, then the hedge like if we use swap hedges and we run swap hedges to forwards, the total return would be roughly zero in that case.

因此，對於我們的生產優惠券而言，利率為 5.5% 和 6%，即 18% 到 20%。就此而言，如果從總回報的角度來看，那麼如果我們使用掉期對沖並將掉期對沖運行到遠期，那麼在這種情況下總回報將大約為零。

So a 20% return on production coupons, it’s pretty much doesn’t matter whether we use swaps or treasury futures. So in that framework, 18% to 20%, I should also point that, that’s in the base case, right? We think spreads are really attractive at this point.

因此，對於生產票息的 20% 回報率，我們使用掉期還是國債期貨都無關緊要。因此，在那個框架下，18% 到 20%，我還應該指出，這是基本情況，對嗎？我們認為目前的利差確實很有吸引力。

So if we take, for example, we see a 10 basis points tightening in OAS, that can add another 4% to that number. And also keep in mind as well that the repo rate has been stable throughout the entire year. The Fed has not cut this year. If we do see resumption in normalization, we can expect, even in the base case, for those returns to look even more attractive. But as it is right now, they are more attractive.

舉例來說，如果我們看到 OAS 收緊 10 個基點，那麼這個數字就會再增加 4%。還要記住的是，回購利率全年一直保持穩定。聯準會今年尚未降息。如果我們確實看到正常化的恢復，我們可以預期，即使在基本情況下，這些回報也會看起來更具吸引力。但就目前而言，它們更具吸引力。

Okay. That’s helpful color. Thank you for that. And then just on the ATM program quarter to date in 3Q, could you give us an idea of how that was raised relative to book and where book was today?

好的。這是很有幫助的顏色。謝謝你。然後就第三季迄今為止的 ATM 計畫季度而言，您能否向我們介紹一下相對於帳面而言，該季度的銷售額是如何成長的，以及今天的帳面銷售額是多少？

I don’t have book value for you as of today, but book is, as we said, was $16.81 as of Monday. And the issuances were just mildly dilutive, just a couple of cents per share.

截至今天，我還沒有您的帳面價值，但正如我們所說，截至週一，帳面價值為 16.81 美元。這次發行的稀釋性只是輕微的，每股只有幾美分。

[Matthew Warner], Jones Trading.

[馬修華納]，瓊斯貿易公司。

Just a quick one for me. You guys talked on leverage a little bit with it running back up quarter to date still below those historical levels. What exactly are you looking for to take leverage up? Is it more clarity from the Fed? Is it kind of a little more stability on the long end of the curve? Would just like your thoughts there.

對我來說只是一個快速的步驟。你們談到了槓桿率，本季迄今槓桿率已回升，但仍低於歷史水準。您究竟在尋找什麼來提高槓桿？聯準會是否給了更明確的解釋？曲線的長端是否更穩定一些？只是想聽聽您的想法。

(multiple speakers) Go ahead, Desmond.

（多位發言者）說吧，德斯蒙德。

Okay. Yeah. So first, I should just our leverage strategy is it’s very flexible. And it’s designed to reflect our view on the attractiveness of spreads, our view on market volatility, and just where we want our liquidity to be. So we took our leverage down tactically quarter to date. Spreads are tightened locally, and we saw volatility also come up significantly since early April.

好的。是的。首先，我應該說我們的槓桿策略非常靈活。它旨在反映我們對利差吸引力的看法、對市場波動的看法以及我們希望的流動性水平。因此，我們在本季度迄今為止策略性地降低了槓桿率。局部利差收窄，且自 4 月初以來波動性也顯著上升。

So in addition, there were swirling headlines around Fed independence, and those headlines have now subsided. So given that spreads are still near historically wide levels and liquidity conditions are now stable, we are comfortable modestly increasing our leverage from where we are. So does that answer your question?

此外，有關聯準會獨立性的新聞頭條不斷，但這些新聞現在已經平息。因此，鑑於利差仍接近歷史高點且流動性狀況目前穩定，我們可以適度提高槓桿。這回答了你的問題嗎？

Yeah, a little bit but I guess going forward over the next three months when you guys are expecting the Fed cut, are you going to pull leverage on in front of that as you go into that event kind of thing?

是的，有一點，但我想，在接下來的三個月裡，當你們期待聯準會降息時，你們會在遇到這種事件時利用這種槓桿嗎？

Yeah. I’ll just say we think about all this stuff and -- but are generally not in the try not to be in the business of putting big bets on.

是的。我只想說，我們考慮過所有這些事情，但通常不會嘗試不去做大賭注的事情。

What’s behind your question is exactly right. It’s a view that there’s more stability across all the axes that we look at. And to the degree that -- and of course that’s a reflection of how stable we feel liquidity is going to be, which is really the driver behind what leverage you’re comfortable with. And we’ll react accordingly.

您的問題背後的含義完全正確。從我們所觀察的所有軸來看，都更加穩定。當然，這在某種程度上反映了我們對流動性穩定性的預期，而這才是決定你願意接受多少槓桿的真正驅動因素。我們將做出相應反應。

I think you could probably expect us not to take a big bet, but as you see elements of greater stability come into the market across those axes, there may well be a pretty good case for going up a little bit. Remember historically, leveraging this sort of business model, if you go back decades, was a lot higher. And generally, people have been keeping their head down, which has served everybody pretty well, frankly. Less volatility, more stability means that the model can take a little more leverage.

我想你可能希望我們不要下大賭注，但當你看到更穩定的因素在這些方面進入市場時，很可能會有相當好的理由上漲一點。回想一下歷史，如果回顧幾十年前，利用這種商業模式的效益要高得多。總體來說，人們一直保持低調，坦白說，這對每個人都有好處。波動性越小，穩定性越高，意味著模型可以承受更大的槓桿作用。

Yeah, that’s helpful. Thanks for the comments. Sorry, go ahead.

是的，這很有幫助。感謝您的評論。抱歉，請繼續。

Just and as a catalyst, of course, the big elephant in the room is bank demand so far year to date and has probably disappointed most industry investors. And we are closely watching developments on the regulation front.

當然，作為催化劑，今年迄今為止最大的問題是銀行需求，這可能會讓大多數行業投資者感到失望。我們正在密切關注監管方面的進展。

Just yesterday, there was the first Fed's capital framework conference that a lot of color came out of that industry wide participants are looking to speed up and agree that currently capital framework is too confusing, too stringent.

就在昨天，聯準會召開了第一次資本框架會議，會上出現了許多不同意見，業內各界參與者都希望加快步伐，並一致認為目前的資本框架過於混亂、過於嚴格。

Banks are sitting on record excess capital. So we feel like it’s just a question of if not when we start to see greater participation from the banks and this will be the tailwind that we outlined in our script as well.

銀行擁有創紀錄的過剩資本。因此，我們覺得這只是一個問題，當我們開始看到銀行更參與其中時，這也將成為我們在腳本中概述的順風。

Yeah, I definitely agree there.

是的，我絕對同意。

Eric Hagen, BTIG.

BTIG 的 Eric Hagen。

Sticking on this conversation around hedging. I mean, do you think there’s any value at this point in hedging the short end of the yield curve? I mean, how attractive do you think it is to buy swaptions at this point, just considering volatility has come down a little bit?

繼續圍繞對沖進行討論。我的意思是，您認為目前對沖殖利率曲線的短端有任何價值嗎？我的意思是，考慮到波動性已經略有下降，您認為此時購買掉期選擇權有多大的吸引力？

Hi, Eric. Yeah. So I mean, look, the two-year yield has been extremely stable over the last year. Obviously, the talk of hikes are not on the table at this point.

你好，埃里克。是的。所以我的意思是，你看，兩年期殖利率在過去一年裡一直非常穩定。顯然，目前還未討論升息問題。

But we express that in our bulls keep in our bias of our yield curve hedging. Whatever front end hedges we have on, they’re there for kind of the risk management to express that exposure. We currently don’t play in the swaptions market. We always evaluate it.

但我們表示，我們的多頭仍保持著對殖利率曲線對沖的偏見。無論我們擁有什麼前端對沖，它們都是為了某種風險管理來表達這種風險敞口。我們目前不參與掉期選擇權市場。我們總是對其進行評估。

But from where mortgages are trading and how wide the spreads are, we feel like that the better tradeoff is to express the view on volatility through the current coupon basis, for example.

但從抵押貸款交易的情況和利差大小來看，我們認為更好的權衡是透過目前的息票基礎來表達對波動性的看法。

Yeah. That’s helpful. I mean, maybe continuing on that theme. I mean, you guys offer good information and color on your duration gap. I mean, so just looking at these current coupons specifically, do you maybe have an estimate for what your duration gap would extend to if mortgage rates backed up, let’s call it, like 50 basis points? And in that extension scenario, would you be more likely at this point to let your leverage run a little higher? Or would you look to sell assets in that scenario?

是的。這很有幫助。我的意思是，也許繼續這個主題。我的意思是，你們提供了有關持續時間差距的很好的資訊和色彩。我的意思是，僅從目前的息票來看，如果抵押貸款利率回升，比如說 50 個基點，您是否可以估計一下您的期限缺口會擴大到多少？在這種延長的情況下，您是否更有可能讓您的槓桿率稍微增加一點？或者在這種情況下你會考慮出售資產嗎？

Yeah, that’s a good question. We obviously run risk stress test scenarios. We can get some numbers for you. And do you mean sell off on the long end or on the front end since that was the initial question?

是的，這是個好問題。我們顯然會運行風險壓力測試場景。我們可以為您提供一些數字。您指的是長期拋售還是短期拋售，因為這是最初的問題？

Yeah. Maybe more on the long end, right, like that curve steepener you guys are positioned for.

是的。可能更多的是偏向長線，對吧，就像你們所定位的曲線變陡。

I think look, I think we hedge our curve exposure on dynamic basis. We don’t we’re not going to let duration extend over certain levels where we feel like would require rebalancing of duration. So from that standpoint, we stay very disciplined. And our risk metrics in the shock scenarios don’t pose, any large extension beyond which liquidity would be compromised.

我認為我們在動態基礎上對沖曲線風險。我們不會讓持續時間延長到我們認為需要重新平衡持續時間的某些水平。因此從這個角度來看，我們保持著非常自律的態度。我們在衝擊情境中的風險指標並不會導致流動性受到任何大幅損害。

Ladies and gentlemen, this concludes our question-and-answer session. I would like to turn the conference back over to Scott Ulm for any closing remarks. Thank you.

女士們、先生們，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。謝謝。

Thanks for joining us this morning. Please feel free to give us a ring at the office. Happy to catch up if other things occur as you’re thinking about what’s going on in mortgage land. Thank you for joining us this morning, and good morning to you.

感謝您今天上午加入我們。請隨時打電話給我們辦公室。當您思考抵押土地的情況時，如果發生其他事情，我很高興能了解情況。感謝您今天早上加入我們，祝您早安。

The conference is 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。