Armour 住宅房產信托 (ARR) 2025 Q3 法說會逐字稿

Good day, and welcome to the ARMOUR Residential REIT Third Quarter 2025 Earnings Conference Call. (Operator Instructions) Please note this event is being recorded. I would now like to turn the conference over to Scott Ulm, Chief Executive Officer. Please go ahead.

各位好，歡迎參加ARMOUR Residential REIT 2025年第三季財報電話會議。 （操作說明）請注意，本次會議正在錄音。現在我將會議交給執行長Scott Ulm先生。請開始。

Scott Ulm CEO and Vice Chairman

Scott Ulm 執行長兼副董事長

Good morning, and welcome to ARMOUR Residential REIT's Third Quarter 2025 Conference Call. This morning, I'm joined by our Chief Financial Officer, Gordon Harper, as well as our Co-Chief Investment Officer, Sergey Losev and Desmond McAuley. I'll now turn the call over to Gordon to run through the financial results. Gordon?

早安，歡迎參加ARMOUR Residential REIT 2025年第三季業績電話會議。今天上午，與我一同出席的有我們的財務長戈登·哈珀，以及我們的聯合首席投資官謝爾蓋·洛謝夫和德斯蒙德·麥考利。現在我將把電話交給戈登，讓他介紹一下財務表現。戈登？

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. The Risk Factors section of ARMOUR's periodic reports filed with the Securities and Exchange Commission, describe certain factors beyond ARMOUR's control could cause actual results to differ materially from those expressed in or implied by these forward-looking statements.

謝謝Scott。現在，大家都可以造訪ARMOUR的網站www.armourreit.com查看其獲利報告。本次電話會議包含前瞻性陳述，這些陳述旨在受1995年《私人證券訴訟改革法案》安全港條款的保護。 ARMOUR向美國證券交易委員會提交的定期報告中的「風險因素」部分描述了某些超出ARMOUR控制範圍的因素，這些因素可能導致實際結果與這些前瞻性陳述中明示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. Also, today's discussion refers to certain non-GAAP measures. These measures are reconciled as 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 1 year.

這些定期報告可在美國證券交易委員會 (SEC) 網站 www.sec.gov 上查閱。今天所有前瞻性陳述均可能隨時更改，恕不另行通知。除非法律要求，否則我們不承擔更新這些陳述的義務。此外，今天的討論涉及某些非公認會計準則 (非GAAP) 指標。這些指標已在我們的獲利報告中與相應的GAAP指標進行了核對。本次電話會議的線上錄音將很快在ARMOUR網站上提供，並將保留一年。

ARMOUR's free GAAP net income available to common stockholders was $156.3 million or $1.49 per common share. Net interest income was $38.5 million. Distributable earnings available to common stockholders was $75.3 million or $0.72 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公司歸屬於普通股股東的自由GAAP淨利為1.563億美元，即每股1.49美元。淨利息收入為3850萬美元。歸屬於普通股股東的可分配收益為7,530萬美元，即每股0.72美元。此非GAAP指標的定義為：淨利息收入加上待定收益（TBA Drop Income），並根據利率互換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。

Total economic return for the quarter was 7.75%. Quarter end book value was $17.49 per common share, up 3.5% from June 30 and up 2.8% from August 8, the last date which we have reported book value. Our most recent current available estimate of book value is as of Tuesday, October 21, and was $17.50 per common share, which reflects the accrual of the October common dividend of $0.24 per share payable on October 30.

本季總經濟報酬率為7.75%。季度末普通股帳面價值為每股17.49美元，較6月30日成長3.5%，較8月8日（我們上次公佈帳面價值的日期）成長2.8%。我們目前可獲得的最新帳面價值估值截至10月21日（星期二）為每股17.50美元，其中已計提將於10月30日支付的每股0.24美元的10月份普通股股息。

During Q3, ARMOUR raised approximately $99.5 million of capital by issuing approximately 6 million shares of common stock through an after the market offering program. In August, we completed the sale of 18.5 million shares of common stock for proceeds of approximately $298.6 million, net of underwriting discounts and commissions. And in September, we repurchased 700,000 shares of common stock through our stock repurchase program. armor paid monthly common stock dividends per share of $0.24 per common share per month for a total of $0.72 for the quarter.

第三季度，ARMOUR透過場外發行計畫發行約600萬股普通股，籌集了約9,950萬美元資金。 8月份，我們完成了1850萬股普通股的出售，所得款項約為2.986億美元（扣除承銷折扣和佣金後）。 9月份，我們透過股票回購計畫回購了70萬股普通股。 ARMOUR每月派發每股0.24美元的普通股股息，本季共派發每股0.72美元的股息。

We end to pay an attractive dividend that is appropriate in context and stable over the medium term. On October 30, a cash dividend of $0.24 per outstanding common share will be paid to the holders of record on October 15. We have also declared a cash dividend of $0.24 per outstanding common share payable November 28, to holders of record on November 17, 2025.

我們將派發一份在當前情況下具有吸引力且中期穩定的股息。 10月30日，我們將向10月15日登記在冊的股東派發每股0.24美元的現金股利。此外，我們也宣布將於11月28日向2025年11月17日登記在冊的股東發放每股0.24美元的現金股利。

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

現在我將把電話交給 Scott Ulm，讓他來討論 ARMOUR 的投資組合和當前策略。

Thank you, Gordon. The third quarter unfolded against the backdrop of shifting macroeconomic currents. Downward revisions to employment data confirm that the U.S. labor market had been softer than earlier reports suggested. In response to Federal Reserve resumed its easing cycle, implementing a 25 basis point cut in September. (technical difficulty) Paul described the move as a risk management cut, reflecting growing caution around labor conditions, updated projections now signal 2 additional cuts by year-end, setting the stage for a constructive environment for Agency MBS as financing conditions continue to improve.

謝謝戈登。第三季是在宏觀經濟情勢不斷變化的背景下展開的。就業數據的向下修正證實，美國勞動市場比先前報告顯示的更為疲軟。作為回應，聯準會重啟了寬鬆週期，並在9月降息25個基點。 （技術故障）保羅將此舉描述為風險管理性降息，反映出對勞動市場狀況日益增長的謹慎態度。最新的預測顯示，到年底前還將有兩次降息，隨著融資環境的持續改善，這將為機構抵押貸款支持證券（MBS）的市場環境創造有利條件。

Markets responded positively to the Fed's pivot. Treasury yields declined, Agency MBS spreads tightened by roughly 20 basis points and volatility fell to its lowest level since 2022. These dynamics produced a total economic return of 7.75% for the quarter, as previously mentioned by Gordon. Following this strong performance, MBS spreads are now near the tightest levels of the year. Near-term consolidation is possible valuations remain compelling on a medium-term horizon.

市場對聯準會的政策轉向反應正面。國債殖利率下降，機構抵押貸款支持證券（MBS）利差收窄約20個基點，波動率降至2022年以來的最低水準。正如戈登先前所述，這些因素共同促成了本季7.75%的總經濟回報率。在強勁表現之後，MBS利差目前已接近年內最低水準。短期內可能出現盤整，但中期估值仍具吸引力。

As we entered the fourth quarter, macro and political visibility became more clouded. The federal government shutdown that began on October 1, delayed key data releases and introduced incremental uncertainty to growth forecast. Even so, the market continues to expect an easing bias through year-end. It's likely to redirect liquidity from the short end of the rate curve into agency MBS. Chair Powell's recent comments also indicated that quantitative tightening may conclude in the coming months. Although details are still evolving, the Fed's MBS runoffs are likely to continue with paydowns from MBS and treasuries expected to be reinvested in the treasury market.

進入第四季度，宏觀經濟和政治前景變得更加不明朗。始於10月1日的聯邦政府停擺導致關鍵數據發布延遲，並為經濟成長預測帶來了更多不確定性。即便如此，市場仍預期年底前將維持寬鬆政策傾向。流動性可能會從短期利率曲線轉向機構抵押貸款擔保證券（MBS）。鮑威爾主席近期的言論也表明，量化緊縮政策可能在未來幾個月內結束。儘管具體細節仍在不斷變化，但聯準會的MBS縮減計畫可能會繼續進行，償還的MBS和國債預計將重新投資於國債市場。

Together with a broader push toward banking deregulation, these shifts are aimed to ease balance sheet constraints and reinforce demand for treasuries and Agency MBS. Notably, SOFR treasury spreads have turned more positive in recent weeks, strengthening the effectiveness of pay fixed SOFR swaps as portfolio hedges. On the policy front, reports suggest that major banks are positioning to lead potential IPOs for Fannie Mae and Freddie Mac, collectively estimated around $30 billion although the process has been delayed by the U.S. government shutdown and the absence of a formal road map for privatization, administration officials have reiterated support for retaining an implicit government guarantee and outcome that could transform GSE reform from a potential headwind into a tailwind for MBS investors.

隨著更廣泛的銀行業放鬆管制進程推進，這些轉變旨在緩解資產負債表壓力，並提振對國債和機構抵押貸款支持證券（MBS）的需求。值得注意的是，近幾週來，SOFR國債利差轉為正值，增強了以固定利率SOFR互換作為投資組合對沖工具的有效性。在政策方面，有報告稱，各大銀行正準備牽頭房利美和房地美的潛在IPO，兩家公司IPO規模預計合計約300億美元。儘管由於美國政府停擺和缺乏正式的私有化路線圖，IPO進程有所延遲，但政府官員重申支持保留隱性政府擔保，這可能使政府支持企業（GSE）改革從潛在的阻力轉變為MBS投資者的順風。

An additional and somewhat unexpected source of demand could come from GSEs themselves. After years of balance sheet contraction under conservatorship, Fannie Mae and Freddie Mac now have roughly $250 billion of combined capacity to invest in mortgage loans and MBS should it align with GSE's earnings and valuation objectives. While no formal plan has been announced, recent disclosures point to greater flexibility within their investment mandates and to get a more dynamic approach to managing their portfolios than in the prior cycles.

另一個略顯意外的需求來源可能來自政府支持企業（GSE）本身。在經歷了多年的資產負債表緊縮和監管之後，房利美和房地美目前合計擁有約2500億美元的投資能力，可用於投資抵押貸款和抵押貸款支持證券（MBS），前提是這些投資符合GSE的盈利和估值目標。雖然尚未公佈正式計劃，但近期披露的資訊表明，它們的投資授權將更加靈活，並採取比以往週期更加動態的投資組合管理方式。

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

現在我把麥克風交給謝爾蓋，讓他詳細介紹一下我們的投資組合。謝爾蓋？

Thank you, Scott, and good morning. ARMOUR's most recent net duration and applied leverage were 0.2 years and 8.1x, respectively. A balance stands where the biostores further Fed easing. Roughly 87% of our hedges are in OIS and SOFR pay fixed swaps with the balance in treasury futures. Our liquidity remains robust at approximately 55% of total capital. The portfolio is invested entirely in Agency MBS, Agency CMBS and U.S. treasuries.

謝謝Scott，早安。 ARMOUR最近的淨久期和應用槓桿分別為0.2年和8.1倍。目前，生物製藥市場與聯準會進一步寬鬆政策之間存在平衡。我們約87%的避險策略為隔夜指數掉期（OIS）和SOFR固定利率互換，其餘為國債期貨。我們的流動性依然穩健，約佔總資本的55%。投資組合全部投資於機構抵押貸款支持證券（MBS）、機構商業抵押貸款支持證券（CMBS）和美國國債。

Our recent activity has centered on par to slight premium coupon mortgages for levered and hedged ROEs range from 16% to 18%. Higher premium pools continue to offer up to 19% returns though with greater sensitivity to prepayment risk. Diversification across 30-year coupon stack, Ginnie Mae and DUS Securities whose positive convexity ensure the duration provide relative value remain a key advantage.

我們近期的投資活動主要集中在槓桿化和對沖後淨資產收益率在16%至18%之間的、票息與利率持平或略高於利率的抵押貸款上。雖然高溢價貸款池仍能提供高達19%的回報，但對提前還款風險更為敏感。分散投資於30年期票息組合、吉利美(Ginnie Mae)和DUS證券（其正凸性確保久期提供相對價值）仍然是一項關鍵優勢。

During the second half of the year, 30-year mortgage rate briefly reached 6.15%, lowest level of this year. While rates remain just above 2024 lows, refinancing activity has already exceeded last year's pace, elevating prepayment concerns for TBA and generic premium MBS. This reinforces our long-standing focus on specified pools, which represent over 92% of the portfolio. Aggregate portfolio prepayment rate rose to 9.6% CPR in October compared with a third quarter average of 8.1 CPR, a 19% increase and consistent with our expectations.

今年下半年，30年期房貸利率一度短暫觸及6.15%，創下年內新低。儘管利率仍略高於2024年的低點，但再融資活動已超過去年同期水平，加劇了人們對TBA和普通優質MBS提前還款的擔憂。這進一步印證了我們長期以來對特定資產池的關注，這些資產池占我們投資組合的92%以上。 10月份，投資組合整體提前還款率升至9.6%，高於第三季平均8.1%，增幅達19%，與我們的預期相符。

We anticipate a similar uptick in November before prepayments stabilize towards the year-end as refinance volumes moderate. Should mortgage rates move down below 6%, levels we've not seen since early 2022. The MBS coupon stack offers a deep market of lower-priced coupons as a hedge against higher prepayments. Roughly 40% of our assets are already positioned in prepayment of protected Agency CMBS pools and discount MBS. As usual, we financed 40% to 60% of the MBS portfolio through BUCKLER Securities, distributing the balance across 15 to 20 additional repo counterparties.

我們預計11月還款量將出現類似上升趨勢，之後隨著再融資規模趨於緩和，還款量將在年底趨於穩定。如果抵押貸款利率降至6%以下（這是自2022年初以來的最低水平），抵押貸款支持證券（MBS）票息組合提供了一個價格較低的票息市場，可以對沖更高的還款風險。我們約40%的資產已配置於受保護的機構商業抵押貸款支持證券（CMBS）池和折現MBS的還款。與往常一樣，我們透過BUCKLER Securities為MBS投資組合的40%至60%提供融資，並將剩餘部分分配給15至20家其他回購交易對手方。

Average gross haircuts stand near 2.75%. Repo market liquidity remains healthy with only a modest 2 to 3 basis points increase in repo SOFR spreads versus Q3 average. More meaningfully, the spread between SOFR and Fed funds widened from 3 basis points in Q3 to roughly 10 basis points through October, muting the transmission of the Fed's recent cut to funding markets and by extension to broader economy. An increase in treasury bill issuance and a gradual decline in banking reserves means banks can lend cash at higher prices.

平均毛利率下調幅度接近2.75%。回購市場流動性依然健康，回購SOFR利差較第三季平均僅小幅上升2至3個基點。更重要的是，SOFR與聯邦基金利率之間的利差從第三季的3個基點擴大到10月份的約10個基點，削弱了聯準會近期降息對融資市場乃至整體經濟的傳導作用。國庫券發行量的增加和銀行準備金的逐步下降意味著銀行可以以更高的價格放款。

This makes repo funding a key area of focus heading into year-end, yet despite a recent bump in SOFR rates, we view funding conditions are stable with standing repo facility to supply liquidity if needed. Looking ahead, we expect structural demand for Agency MBS to continue to strengthen. Regulatory clarity around banking reform and resumed easing cycle have historically been a powerful catalyst for high-quality liquid assets like MBS while spreads have compressed, underlying fundamentals and market dynamics remain favorable.

這使得回購融資成為年底前的重點領域。儘管近期SOFR利率上調，但我們認為融資環境穩定，現有回購機制可在必要時提供流動性。展望未來，我們預期機構抵押貸款支援證券（MBS）的結構性需求將持續增強。歷史上，圍繞銀行業改革的監管明朗化以及寬鬆週期的重啟一直是推動高品質流動性資產（如MBS）價格上漲的強勁催化劑，同時利差收窄，基本面和市場動態依然有利。

Back to you, Scott.

史考特，該你了。

Thanks, Sergey. We executed a $300 million overnight underwritten bought deal in August, first one we've done this decade. While it was someone more expensive than our ATM execution, it allowed us to put a significant amount of capital to work at attractive spread levels. In fact, we estimate that the spread tightening from the newly purchased assets alone contributed about 0.6% to our increase in book value this quarter, along with a meaningful reduction in operating expenses per share.

謝謝謝爾蓋。我們在八月完成了一筆3億美元的隔夜包銷交易，這是我們十年來首次進行此類交易。雖然這筆交易的成本高於我們的ATM交易，但它使我們能夠以極具吸引力的利差水準投入大量資金。事實上，我們估計僅新購資產帶來的利差收窄就為本季帳面價值成長貢獻了約0.6%，同時每股營運費用也顯著降低。

We saw some weakness in our stock in mid-August. And as in the past, we repurchased some shares in the open market. We will continue to look at both sides, selling and buying in our equity account. As you know, we determined our dividend based on a medium-term outlook. We view our current dividend as appropriate for this environment and the returns available. ARMOUR's approach remains unchanged. Grow and deploy capital thoughtfully during spread these dislocations, maintain robust liquidity and dynamically adjust hedges for disciplined risk management.

我們在八月中旬觀察到股價出現疲軟。與以往一樣，我們在公開市場回購了部分股票。我們將繼續在股票帳戶中權衡買賣，保持平衡。如您所知，我們基於中期展望確定了股息。我們認為目前的股利水準與當前的市場環境和預期回報相符。 ARMOUR的投資策略保持不變：在市場動盪期間謹慎地成長和部署資本，保持穩健的流動性，並動態調整對沖策略，以實現穩健的風險管理。

We are confident in our positioning strategy and ability to deliver value for shareholders. Thank you for joining today's call and your interest in ARMOUR. We're happy to now answer your questions. Please open the line for some questions, please.

我們對我們的市場定位策略和為股東創造價值的能力充滿信心。感謝您參加今天的電話會議，並感謝您對ARMOUR的關注。現在我們很高興回答您的問題。請大家踴躍提問。

(Operator Instructions)

（操作說明）

Doug Harter, UBS.

道格·哈特，瑞銀集團。

Hoping you could talk a little bit about where you see current returns on incremental investments and kind of the importance of the hedge choice you make in that and how that factors into your view of the attractiveness of the market today.

希望您能談談您目前對增量投資的回報看法，以及您在其中做出的對沖選擇的重要性，以及這如何影響您對當前市場吸引力的看法。

Yes. Doug. So expected ROEs hedged ROEs in the 16% to 18% range. Obviously, a touch lower than where they were at the end of June, given the tightness in mortgage spreads. So over a short-term basis here, you can assume 8 tons of leverage and hedge to swaps. So that's also picking up the swap income. Now we are still constructive medium term, given the resumption of the normalization cycle and also because of spreads, while local types are still attractive over a longer time horizon.

是的，道格。預期對沖後的淨資產收益率在16%到18%之間。顯然，鑑於抵押貸款利差收窄，這比6月底的水平略低。因此，短期來看，你可以假設槓桿率為8噸，並且對沖了互換交易。這也包括了互換收益。鑑於正常化週期的恢復以及利差收窄，我們目前仍對中期前景持樂觀態度，而從長遠來看，本地投資仍然具有吸引力。

So if we see another 10 basis points of tightening that could add about 4% in return on equity to that base case of a 16% to 18% range for production coupon.

因此，如果我們看到利率再收緊 10 個基點，那麼在 16% 到 18% 的生產票息基本範圍內，股本回報率可能會增加約 4%。

I guess how do you think about what the outlook is for swap spreads? And then how do you think about the attractiveness if you looked at mortgage spreads on like an OAS basis?

我想問一下，您如何看待互換利差的前景？如果像老年保障金（OAS）那樣看待抵押貸款利差，您又如何看待其吸引力？

Doug, this is Sergey. Yes. So swap spreads have also had a big move since September meeting. We think swap spreads will continue to normalize. If you look at some of the average prior to liberation day, we see 10-year swap somewhere in the mid-30s, currently trading around 44%. So we've gone a long way from minus 60 earlier in Q2, and we feel like this is going to continue to be a tailwind for the portfolio as effect of more effective hedges to hedge MBS.

道格，我是謝爾蓋。是的。自9月份會議以來，互換利差也出現了大幅波動。我們認為互換利差將繼續趨於正常化。如果你看一下解放日之前的平均水平，你會發現10年互換利差在30%左右，目前交易價格在44%左右。因此，我們已經從第二季初的-60%大幅回升，我們認為，由於對沖抵押貸款支持證券（MBS）的手段更加有效，這將繼續對投資組合構成利好。

Currently, we have about 87% notional allocated to SOFR and OIS swaps. So that's a good positioning. We will probably tailor it if we do get back to those averages. But a lot of things have been lining up to see balance sheet expansion as well as potentially the Fed looking at changing the target policy rate from the Fed funds to SOFR or another repo measure, and that will provide lower volatility to funding rates and potentially wider sulfur spreads as well.

目前，我們約有87%的名目資金配置於SOFR和OIS互換。這是一個不錯的部位配置。如果市場回落到平均水平，我們可能會調整部位配置。但許多因素表明，資產負債表將擴張，聯準會也可能考慮將目標政策利率從聯邦基金利率調整為SOFR或其他回購利率，這將降低融資利率的波動性，並可能擴大硫價差。

So a lot of tailwinds are lining up there.

所以那裡有很多有利因素。

Jason Weaver, Jones Trading.

Jason Weaver，Jones Trading。

Scott, along with your prepared remarks, if the administration is actively looking for ways to reduce borrower rates via GSE deregulation, do you have any thoughts on what the actual implementation looks like, whether that's manipulation, changes in LLPAs, underwriting guidelines?

史考特，除了你準備好的發言稿之外，如果政府正在積極尋求透過放鬆對政府支持企業（GSE）的管制來降低借款人利率的方法，你對實際實施情況有什麼看法？例如，是否涉及操縱、修改貸款期限協議（LLPA）或承銷準則？

There are a lot of levers they could pull. And we know we get a lot of leverage pulled these days that we may or may not expect. So I think -- and I think that probably fits somewhere on their agenda. So the broad answer is yes. I think we could see a lot of things move around here. And particularly, if -- but particularly, I think you have to put it through the lens, if they are thinking about capital raise here for the GSEs. They're going to want to configure the GSEs to be as attractive a proposition as they can.

他們有很多手段可以利用。而且我們知道，如今很多事情都會被施壓，有些是我們意想不到的。所以我認為——而且我認為這很可能在他們的議程中。所以總的來說，答案是肯定的。我認為我們可能會看到很多事情發生改變。特別是，如果他們正在考慮為政府支持企業（GSE）籌集資金，那麼他們肯定會想辦法讓GSE更具吸引力。

So that may put the brakes on a couple of things as well. So there's a balance there I have no further insight into it other than just note that there are 2 competing things going there. One is, undoubtedly, they'd like to see lower mortgage rates, but they also want to see the GSEs as an attractive investment proposition.

所以這可能也會對一些事情造成阻礙。這裡存在著一種平衡，我對此沒有更深入的了解，只能指出這裡有兩種相互競爭的因素。一方面，毫無疑問，他們希望看到抵押貸款利率下降，但另一方面，他們也希望政府支持企業（GSE）仍然是有吸引力的投資選擇。

Great. That's helpful. And then noticing the hedge ratio ticked down quite a bit from Q2. Is that more of a timing issue? Or just along with the greater confidence in the pace of easing activity, you can be a bit more directional here?

太好了，這很有幫助。另外，我注意到對沖比率較第二季大幅下降。這更多是時機問題嗎？還是說，隨著對寬鬆政策步伐的信心增強，您可以做出更明確的方向性判斷？

There are a lot of things going on in that. Sergey doesn't maybe you want to give a little more color on that, but there's a lot that goes into the way that ratio in itself works. Sergey, does -- do you want to get a little more color on that?

這裡面有很多因素。謝爾蓋，也許你想再詳細解釋一下，但這個比例本身就有很多講究。謝爾蓋，你想再詳細解釋一下嗎？

Jason, so I mean the way we kind of look at hedges, it's really to hedge our duration across the entire curve, right? So as we said earlier, our duration of 0.2%, we are taking a balanced view with a bias towards more Fed easing. So our goal is to -- most of that point to duration is actually in the front end of the curve, whereas in the back end, we aim to stay flat. And ultimately, we move our hedges around to accomplish our duration targets across the curve.

傑森，我的意思是，我們看待對沖的方式，實際上是為了對沖整個殖利率曲線的久期，對吧？就像我們之前說的，我們的久期是0.2%，我們採取的是平衡策略，但更傾向於聯準會的寬鬆政策。所以我們的目標是——大部分久期實際上集中在殖利率曲線的前端，而後端，我們的目標是保持穩定。最終，我們會調整對沖策略，以實現我們在整個殖利率曲線上的久期目標。

Trevor Cranston, Citizens JMP.

Trevor Cranston，Citizens JMP。

All right. There was a pretty significant drop in interest rate volatility in the third quarter, which had a carryover impact to MBS, obviously. Can you guys share your thoughts on kind of how you think volatility evolves going forward? And is it being priced significantly lower today, how that factors into your the potential to maybe add some swaptions or options into the hedge portfolio?

好的。第三季利率波動性顯著下降，這顯然對抵押貸款支持證券（MBS）產生了延續性影響。各位能否分享一下對未來波動性趨勢的看法？目前利率波動性定價是否顯著偏低？這又將如何影響你們在對沖投資組合中加入互換選擇權或選擇權的可能性？

Yes. ever. So in terms of volatility hedging, you can think of 2 approaches to it. One, obviously, you can use actions. We have used swaptions in the past. We continue to look at hedges even those that are not in our balance sheet. But the other approach is actually through asset selection, right? So you can pick assets that have low optionality about 40% of our book, as we said in our prepared remarks, is in shorter -- lower coupons and also do securities. And these actually have very low optionality and another benefit of these securities is that their convexity in some cases, is even positive.

是的，一直都是。就波動率對沖而言，你可以考慮兩種方法。第一種，顯然是使用選擇權。我們過去曾使用過互換選擇權。我們一直在尋找對沖工具，即使是那些不在我們資產負債表上的資產。但另一種方法實際上是透過資產選擇，對吧？你可以選擇選擇權性低的資產。正如我們在準備好的演講稿中所提到的，我們大約40%的資產組合是短期、低利率債券。這些債券的選擇性非常低，而且這些證券的另一個優點是，在某些情況下，它們的凸性甚至是正的。

So they act as a good offset to the negative convexity that you see in our production coupons. Now one more point on volatility is that, yes, volatility has come down a lot so far this year. But if you expand the time scale if you go back and look at other periods that are similar to this one, you can pick 2019. That was a period when the Fed had resumed normalization. They had started flowing back not buying mortgage-backed securities. That period of time, volatility was actually lower than where they are right now.

因此，它們可以很好地抵消我們生產票中出現的負凸性。關於波動性，還有一點要指出，是的，今年迄今波動性已經大幅下降。但如果您擴大時間尺度，回顧與當前類似的時期，例如2019年。當時聯準會恢復了貨幣政策正常化，開始停止購買抵押貸款支持證券。那段時間的波動性其實低於目前的水平。

If you take, for example, obviously, it's an entire volatility surface, but if you look at the swaptions or 1 year by tenure, today is about 82 basis points, the average over that period was about 64 basis points. So still we are still about 18 basis points higher. If the Fed continues normalization, we can expect that the tail risk around rates will become compressed. And for that reason, we can see volatility in the medium term continue to decline, right?

例如，顯然，我們來看的是整個波動率曲面，但如果你看一下互換期權或一年期合約，今天的波動率約為 82 個基點，而該時期的平均波動率約為 64 個基點。因此，我們仍然高出約 18 個基點。如果聯準會繼續正常化，我們可以預期利率尾部風險將會收窄。因此，我們可以看到中期內波動率將繼續下降，對嗎？

Now that's not going to prevent short-term out. But over the medium term, we can see volatility decline. And if you are long options, then the valuation of options would decline if volatility declines. So yes, I mean, we always -- it's a very dynamic position. We're always looking at our hedges. But for now, we think just keeping low optionality assets is the better approach.

當然，這並不能阻止短期內出現波動。但從中長期來看，我們可以看到波動率下降。如果你持有選擇權多頭頭寸，那麼波動率下降時，選擇權的估值也會下降。所以，是的，我的意思是，我們始終——這是一個非常動態的頭寸。我們一直在關注我們的對沖策略。但就目前而言，我們認為持有低選擇權資產是更好的選擇。

Timothy DeAugustino, B. Riley Securities.

Timothy DeAugustino，B. Riley Securities。

Just one for me. Regarding economic net interest margin, it seems like it's widened about 1 basis point quarter-over-quarter. Looking forward to year-end and maybe to halfway through 2026, what would we need to see for this trend to kind of continue and if not pick up pace?

我個人只關心一個問題。關於經濟淨利差，似乎較上季擴大了約1個基點。展望年底，或許到2026年中，我們需要看到什麼才能讓這個趨勢持續下去，甚至加速發展？

Well, I guess you're going to -- it really depends on our portfolio and where continued cuts in the Fed rate, and that will imply how it impacts on our financing costs. And we think we've constructed a very good portfolio. And I think the returns that we're generating, I think, are reasonable under the circumstance. I don't know, Sergey and Desmond doesn't have other things to add to that. I don't want to think of the horizon, but we don't normally give too much forward-looking statements on where we think earnings are going to be in the future, but it's really going to be dependent on how fast the rates got and also how the market reacts to that.

嗯，我想這主要取決於我們的投資組合以及聯準會持續降息的程度，而這將直接影響我們的融資成本。我們認為我們已經建立了一個非常優秀的投資組合。我認為，在目前的情況下，我們所獲得的利益是合理的。我不知道，謝爾蓋和德斯蒙德對此也沒有其他補充。我不想過度考慮未來，我們通常不會對未來的獲利情況做出太多預測，但這確實取決於利率下降的速度以及市場對此的反應。

But we think we've constructed a very good portfolio for the future.

但我們認為我們已經建立了一個非常好的未來投資組合。

Yes. Yes. So just on that to continue God's comment there, yes. So we kind of typically just look at forward ROEs as well. Another way to look at the same. We are looking at things, so 16% to 18% in production coupons. Our dividend yield, weighted average dividend yield of preferred and common plus operational expenses all in is about 18%. So that could be sort of as a hurdle rate. We already have the assets we are buying that are at 18%. There are others that are slightly lower than that, but as we said, we're still constructive medium-term here, so just a few more basis points of tightening. And those assets would need to exceed our hurdle rate.

是的。是的。所以，接著God剛才的評論，是的。我們通常也會關注預期淨資產收益率（ROE）。換個角度來看，我們正在考察一些項目，例如生產票面利率在16%到18%之間。我們的股息收益率，包括優先股和普通股的加權平均股息收益率加上營運費用，約為18%。這可以算是一個門檻收益率。我們目前收購的資產收益率已經達到18%。還有一些資產的收益率略低於這個水平，但正如我們所說，我們目前的中期預期仍然比較樂觀，所以只需要再收緊幾個基點。這些資產的收益率就需要超過我們的門檻收益率。

(Operator Instructions)

（操作說明）

Eric Hagen, BTIG.

Eric Hagen，BTIG。

Maybe following up on some of this conversation here. I mean what do you think is priced into MBS spreads with respect to the Fed cutting rates? Like right now, it looks like there's 125 basis points of cuts priced into the forward curve through the end of next year. Do you feel like spreads would widen if those expectations got walked back for any reason? And do you feel like spreads would actually have room to tighten once they actually deliver those cuts?

或許可以接著剛才的討論繼續探討。我的意思是，您認為聯準會降息對抵押貸款支持證券（MBS）利差的影響有多大？例如現在，遠期曲線似乎已經反映了到明年年底前降息125個基點的預期。如果這些預期因為任何原因被打消，您認為利差會擴大嗎？您又認為一旦聯準會真正降息，利差還有收窄的空間嗎？

Eric, this is Sergey. Yes, to both. Definitely, a pause in the easing cycle or something that would cause them to walk back their projections would be a potential source of volatility in the market. But in terms of delivering cuts to the market, I think a lot of the bank demand will get unlocked there. If you look at the current coupon mortgages versus yields on money markets or T-bills is compressed again over the course of the year, closer to 100 basis points.

艾瑞克，我是謝爾蓋。是的，兩個問題我都同意。當然，寬鬆週期的暫停，或任何導致他們撤回預測的情況，都可能引發市場波動。但就向市場提供減息而言，我認為銀行的大部分需求將會被釋放。如果你觀察目前的抵押貸款利率與貨幣市場或國庫券收益率之間的關係，你會發現，今年以來，兩者的收益率差距再次收窄，接近100個基點。

So I think as we get closer to 152% on the spread of mortgage yields versus cash you start to see more and more engagement from other players in the market that we've seen -- we haven't seen as much demand as expected earlier this year. So I think that kind of answer is yes to both scenarios. And we know in our prepared remarks that spreads have tightened significantly over the course of the quarter. We do see upside, but I think it's overall macro picture, the lack of government economic data coming through that's given us a little bit of pause here. But over medium-term horizon, that's a clear positive for -- to have lower Fed funds rates.

所以我認為，隨著抵押貸款收益率與現金收益率的利差接近152%，我們會看到市場其他參與者的參與度越來越高——而今年早些時候，我們並沒有看到像預期那樣強勁的需求。因此，我認為兩種情況的答案都是肯定的。我們在準備好的發言稿中提到，本季利差已顯著收窄。我們確實看到了上漲空間，但我認為，整體宏觀經濟狀況以及政府經濟數據的缺失讓我們對此持謹慎態度。但從中長期來看，聯準會基金利率走低顯然是一個利多因素。

Yes. Got you. That's good color. The move to raise capital and buy back stock in the quarter. Can you kind of share the rough level of your stock valuation when you did those transactions? And like what's the best way to compare the value from having done each of those deals, transactions?

是的，明白了。這顏色不錯。本季你們採取了籌集資金和回購股票的措施。您能否大致透露一下進行這些交易時的股票估值水準？還有，比較每筆交易的價值，最好的方法是什麼？

Yes. So Gordon maybe give me the -- if we can pull up the level where we bought back, but look, we're committed to being on both sides. And when we get a dislocation, we'll buy back some stock. And when we see good valuations, we'll sell stock. Stock buybacks are always fraught because they happen when a bunch of other things are going on, it's always expensive to get the stock back out there as well. But we had a pretty good spread between where we executed both of those. And Gordon, you have those numbers to hand?

是的。所以戈登，也許你可以告訴我——如果我們能把價格拉回到我們回購的水平，但你看，我們致力於在買賣雙方都保持立場。當市場出現錯位時，我們會回購一些股票。當我們看到合適的估值時，我們會賣出股票。股票回購總是充滿風險，因為它通常發生在許多其他因素交織的情況下，而且重新發行股票的成本也很高。但我們在執行這兩項操作時，價格區間相當不錯。戈登，你手邊有這些數據嗎？

Yes, I know it off hand, we -- when we did the buybacks, it was about a couple of cents accretive on the days, and it was in the '14 -- just get you the right number. Got it. We were buying them back at -- yes, it was in the (technical difficulty) handle around that on the days average out. So you can see we bounced back since those days. Then we bought back to stock.

是的，我記住了，我們當時回購股票的時候，每天大概能漲幾美分，那是2014年──我得把具體數字記下來。找到了。我們當時回購的價格──是的，大概在（技術難度）那個價位附近，日均價就是那個水準。所以你可以看到，從那時起我們的股價反彈了。然後我們又回購了股票。

Is that useful?

這有用嗎？

Yes, that was helpful. I appreciate you guys.

是的，這很有幫助。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.

問答環節到此結束。現在我把會議交還給史考特·烏爾姆，請他作閉幕致詞。

Thanks for joining the call today. We appreciate it. Any further questions occur to you, give a ring at the office, and we'll be back to you as soon as we can. Very good. Thank you, and have a nice day.

感謝您今天參加電話會議。非常感謝。如果您還有其他問題，請致電辦公室，我們會盡快回覆您。好的。謝謝，祝您愉快。

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

會議已結束。感謝您參加今天的報告。您可以斷開連線了。