Dynex Capital Inc (DX) 2023 Q4 法說會逐字稿

Hello, and thank you for standing by. My name is Regina, and I will be your conference operator today. At this time, I would like to welcome everyone to the Dynex Capital fourth quarter and full-year 2023 earnings results conference call. (Operator Instructions)

您好，感謝您的支持。我叫雷吉娜，今天我將擔任你們的會議操作員。此時此刻，我歡迎大家參加Dynex Capital第四季及2023年全年獲利業績電話會議。（操作員說明）

I would now like to turn the conference over to Alison Griffin, Vice President of Investor Relations. Please go ahead.

現在我想將會議交給投資者關係副總裁艾莉森‧格里芬 (Alison Griffin)。請繼續。

Good morning. Thank you for joining us for Dynex Capital's fourth quarter and full-year 2023 earnings call. The press release associated with today's call was issued and filed with the SEC this morning, January 29, 2024. You may view the press release on the home page of the Dynex website at dynexcapital.com, as well as on the SEC's website at sec.gov.

早安.感謝您參加 Dynex Capital 的 2023 年第四季和全年財報電話會議。與今天的電話會議相關的新聞稿已於 2024 年 1 月 29 日上午發布並提交給 SEC。您可以在 Dynex 網站 dynexcapital.com 主頁以及 SEC 網站 sec.gov 上查看新聞稿。

Before we begin, we wish to remind you that this conference call may contain forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. The words believe, expect, forecast, anticipate, estimate, project, plan, and similar expressions identify forward-looking statements that are inherently subject to risk and uncertainties, some of which cannot be predicted or quantified. The company's actual results and timing of certain events could differ considerably from those projected and/or contemplated by those forward-looking statements as a result of unforeseen external factors or risks. For additional information on these factors or risks, please refer to our disclosures filed with the SEC, which may be found on the Dynex website, under Investor Center, as well as on the SEC's website.

在開始之前，我們想提醒您，本次電話會議可能包含 1995 年《私人證券訴訟改革法案》含義內的前瞻性陳述。「相信」、「期望」、「預測」、「預期」、「估計」、「項目」、「計劃」和類似表達方式均表示前瞻性陳述，這些陳述本質上受到風險和不確定性的影響，其中一些風險和不確定性是無法預測或量化的。由於不可預見的外部因素或風險，公司的實際結果和某些事件的時間安排可能與這些前瞻性陳述的預測和/或預期有很大差異。有關這些因素或風險的更多信息，請參閱我們向 SEC 提交的披露信息，這些信息可以在 Dynex 網站的投資者中心以及 SEC 網站上找到。

This conference call is being broadcast live over the internet with a streaming slide presentation which can be found through a webcast link on the home page of our website. The slide presentation may also be referenced under quarterly reports on the Investor Center page.

此次電話會議透過網路進行現場直播，並提供串流幻燈片演示，可透過我們網站主頁上的網路廣播連結找到該演示。幻燈片簡報也可以在投資者中心頁面的季度報告中引用。

Joining me on the call is Byron Boston, Chairman and Chief Executive Officer; Smriti Popenoe, President and Chief Investment Officer; and Rob Colligan, Executive Vice President, Chief Financial Officer.

與我一起參加電話會議的是董事長兼執行長拜倫波士頓 (Byron Boston)； Smriti Popenoe，總裁兼首席投資長； Rob Colligan，執行副總裁兼財務長。

It is now my pleasure to turn the call over to Byron.

現在我很高興將電話轉給拜倫。

Thank you, Alison. Let me start by saying a few words about our Board member, friend, and great teammate, Dave Stevens, who we lost this month. Dave was a true champion of the United States housing finance system and also the American homeowner. For me personally, we worked together for over 20 years, three organizations, always locking arms to achieve a common goal. It never feels good to see a friend exit the road of life. We will miss Dave, a great teammate, friend, and most importantly, an absolutely wonderful human being.

謝謝你，艾莉森。首先讓我談談我們的董事會成員、朋友和偉大的隊友戴夫史蒂文斯（Dave Stevens），我們本月失去了他。戴夫是美國住房金融體系的真正擁護者，也是美國房主。就我個人而言，我們三個組織一起工作了 20 多年，始終緊密合作以實現共同目標。看到朋友退出人生道路從來都不是一件好事。我們會想念戴夫，他是一位偉大的隊友、朋友，最重要的是，他是個非常棒的人。

While that was tough news to contend with earlier this year, I am proud of the remarkable work that team Dynex continues to achieve. As an active manager, our team navigated historic volatility with skill. We came into the year with excess capital and deployed the capital in a disciplined manner throughout the year to position us to generate solid, long-term economic returns. As a result, Dynex shareholders have enjoyed industry-leading returns in the current decade, one full of surprises and immense volatility.

雖然今年早些時候這是一個艱難的消息，但我為 Dynex 團隊繼續取得的出色工作感到自豪。作為一名積極主動的管理者，我們的團隊憑藉著技巧應對了歷史性的波動。我們帶著過剩的資本進入這一年，並在全年中以嚴格的方式部署資本，以使我們能夠產生穩定的長期經濟回報。因此，Dynex 股東在近十年中享受了領先業界的回報，這是一個充滿驚喜和巨大波動的回報。

Our total shareholder return was 12% last year. Since the start of 2020 through the fourth quarter of 2023, our total shareholder return has been over 10%. This compares to the aggregate bond index ETF which experienced losses of over 3%. We believe our ethical stewardship of shareholder capital continues to meet investors' needs and produce differentiated results versus peers and other income alternatives.

去年我們的股東總回報率為 12%。自 2020 年初到 2023 年第四季度，我們的股東總回報率超過 10%。相比之下，綜合債券指數 ETF 的損失超過 3%。我們相信，我們對股東資本的道德管理將繼續滿足投資者的需求，並產生與同業和其他收入選擇不同的結果。

I study history, and I can tell you that today's market presents a historic and persistent opportunity in Agency mortgage-backed securities. Non-economic buyers like the Fed and the GSEs have stepped away from the asset class. Private capital like Dynex now has the ability to earn more returns in this government-guaranteed asset. I'm confident in our team's ability to navigate today's dynamic macroeconomic conditions and produce compelling shareholder returns.

我研究歷史，我可以告訴你，今天的市場為代理抵押貸款支持證券提供了歷史性的、持久的機會。聯準會和政府支持企業等非經濟買家已經退出該資產類別。像 Dynex 這樣的私人資本現在有能力在這種政府擔保的資產中賺取更多回報。我對我們的團隊有能力應對當今動態的宏觀經濟狀況並產生令人矚目的股東回報充滿信心。

I am coaching them to incorporate the evolving landscape in 2024. We have major elections throughout the world, including here in the US. As the chairman and CEO, I am focused on navigating our company through gyrations in government policies. The outcome of elections will change the power structure and political dynamics in Washington.

我正在指導他們適應 2024 年不斷變化的情況。我們在世界各地舉行重大選舉，包括美國。身為董事長兼首席執行官，我專注於帶領公司應對政府政策的變化。選舉結果將改變華盛頓的權力結構和政治動態。

I've been pounding on the table that surprises are highly probable. We have seen that very clearly each year since the pandemic. The team factors this into their scenario preparation and thought process. This is why we believe investing in Agency RMBS is the most compelling risk-reward.

我一直在敲桌子，認為意外的可能性很高。自大流行以來，我們每年都清楚地看到這一點。團隊將這一點納入他們的場景準備和思考過程中。這就是為什麼我們相信投資代理 RMBS 是最引人注目的風險回報。

The liquidity and quality of Agency MBS are needed to navigate this environment. As Smriti will describe in detail, the sector's fundamental and technical backdrop is improving. While we have the capability to invest across sectors, and our balance sheet has been diversified in the past, we have a strong global risk opinion that keeps the bulk of our capital in Agency MBS.

應對這種環境需要機構 MBS 的流動性和品質。正如 Smriti 將詳細描述的那樣，該行業的基本面和技術背景正在改善。雖然我們有能力進行跨行業投資，而且我們的資產負債表在過去已經多元化，但我們擁有強烈的全球風險觀點，這使得我們的大部分資本保留在機構 MBS 上。

Dynex has a unique value proposition. We have a seasoned team, a strong track record in extracting long-term returns from the mortgage market, and a liquid and tradable vehicle with a tax advantage structure. We plan to continue to grow our business to offer our value proposition to more shareholders as demographics drive more investors to seek income. More of the global population will need an ethical management team to deliver the returns they need.

Dynex 擁有獨特的價值主張。我們擁有一支經驗豐富的團隊，在從抵押貸款市場獲取長期回報方面擁有良好的記錄，以及具有稅收優惠結構的流動性和可交易工具。隨著人口結構推動更多投資者尋求收入，我們計劃繼續發展我們的業務，為更多股東提供我們的價值主張。全球更多的人將需要一個有道德的管理團隊來提供他們所需的回報。

I'll now turn it over to Rob and Smriti to give you the details.

現在我將把它交給 Rob 和 Smriti，讓他們向您提供詳細資訊。

Thank you, Byron, and good morning. Dynex delivered a solid quarter with an economic return of 11.8% and 1% for the entire year, and total shareholder return was 12% for 2023. Over the year, we added to our portfolio, managed our hedge book, and raised new capital.

謝謝你，拜倫，早安。Dynex 季度業績表現穩健，全年經濟回報率分別為 11.8% 和 1%，2023 年股東總回報率為 12%。在這一年裡，我們增加了投資組合，管理了對沖帳簿，並籌集了新資本。

Last year was another historic year for bond markets. We experienced the highest yields since 2007, a major banking crisis, and continued geopolitical unrest with a major new war in the Middle East. Against this backdrop, we started the year with leverage of 6.1 times and assets of $5.9 billion, as well as excess capital from our capital-raising activities in 2022. We had an explicit strategy of holding higher levels of liquidity versus capital and borrowing.

去年對債券市場來說又是歷史性的一年。我們經歷了 2007 年以來的最高殖利率、一場重大銀行危機以及中東新一場重大戰爭帶來的持續地緣政治動盪。在此背景下，我們年初的槓桿率為 6.1 倍，資產達到 59 億美元，以及 2022 年融資活動產生的超額資金。我們有一個明確的策略，即保持較高水準的流動性而不是資本和借款。

Spreads widened dramatically several times during the year, driven by the failure of Silicon Valley Bank and other financial institutions in the first quarter, the debt ceiling crisis in the second quarter, portfolio sales of Agency RMBS by the FDIC, which lasted through the third quarter, and macro volatility in October and November. As volatility increased and spreads widened, we opportunistically added to our portfolio, methodically increasing our portfolio from $5.9 billion to $7.4 billion.

受第一季矽谷銀行和其他金融機構倒閉、第二季債務上限危機以及持續到第三季的 FDIC 代理 RMBS 投資組合銷售的推動，利差在年內數次急劇擴大。 ，以及10月和11月的宏觀波動。隨著波動性的增加和利差的擴大，我們機會主義地增加了我們的投資組合，有條不紊地將我們的投資組合從 59 億美元增加到 74 億美元。

In addition, as pricing between TBAs and mortgage pools collapsed from the FDIC sales, we took the opportunity to rotate our portfolio from about 50% pools and 50% TBAs to 80% pools and 20% TBAs going into yearend. This improved our convexity profile and helped us lock in attractive yields on higher coupon-specified pools.

此外，隨著 FDIC 銷售導致 TBA 和抵押貸款池之間的定價崩潰，我們趁機將我們的投資組合從大約 50% 池和 50% TBA 輪換到年底的 80% 池和 20% TBA。這改善了我們的凸度狀況，並幫助我們鎖定了更高優惠券指定池的有吸引力的收益率。

Last year, we increased our marketing and investor relations outreach and selectively raised capital throughout the year at a modestly accretive price-to-book ratio, which we also deployed during periods of wider spreads. We expect to continue our marketing and investor outreach efforts in 2024. Our decision to opportunistically add to the portfolio throughout 2023 and maintain our invested position in the fourth quarter was a very clear benefit to book value, which increased over 20% from the lows we discussed on our last quarterly earnings call.

去年，我們加強了行銷和投資者關係推廣，並在全年有選擇地以適度增長的市淨率籌集了資金，我們也在價差擴大期間進行了部署。我們預計在 2024 年將繼續進行行銷和投資者宣傳工作。我們決定在2023 年期間機會主義地增加投資組合並在第四季度維持我們的投資頭寸，這對賬面價值來說是一個非常明顯的好處，賬面價值比我們在上一季度財報電話會議上討論的低點增長了20% 以上。

Given the volatility experience throughout the year and especially in the fourth quarter, we maintained our hedge portfolio and positioned for a steeper yield curve environment. The portfolio hedge cost was recognized immediately in book value, although we expect to receive a benefit of lower financing costs in the future as is currently priced into the market.

鑑於全年尤其是第四季度的波動經歷，我們維持了對沖投資組合，並為更陡峭的殖利率曲線環境做好了準備。投資組合對沖成本立即在帳面價值中確認，儘管我們預計未來將獲得較低融資成本的好處，正如目前市場定價的那樣。

As I've mentioned on previous earnings calls on the topic of hedging, hedge gains and losses are a component of REIT-taxable income. They'll be part of our distribution requirement with other ordinary gains and losses. This quarter, we added to our realized hedge gains and will carry a benefit into 2024 and future years. As we move into 2024, we expect the hedge gains will support earnings. Please see the table on page 6 in the earnings release for more detail. Finally, as you'll notice, we reduced our G&A expenses this year by actively focusing on expense management.

正如我在先前關於對沖主題的財報電話會議中提到的那樣，對沖收益和損失是房地產投資信託基金應稅收入的組成部分。它們將與其他普通損益一起成為我們分配要求的一部分。本季度，我們增加了已實現的對沖收益，並將把收益延續到 2024 年及未來幾年。進入 2024 年，我們預計對沖收益將支撐獲利。有關更多詳細信息，請參閱收益報告第 6 頁的表格。最後，您會注意到，我們今年透過積極關注費用管理來減少一般管理費用。

I'll now turn the call over to Smriti.

我現在將把電話轉給 Smriti。

Thank you, Rob, and good morning, everyone. I'll begin with a brief discussion of the critical decisions made in 2023 before providing thoughts on the investment environment and outlook.

謝謝你，羅布，大家早安。我將首先簡要討論 2023 年做出的關鍵決策，然後提供有關投資環境和前景的想法。

As Rob mentioned, we executed our strategy of adding to our portfolio at wider spread throughout 2023. Post the SVB crisis, during the debt ceiling crisis, over the summer as the FDIC executed pool sales, and most importantly, we held our positions through the volatility in late October. Overall, we grew our exposure to Agency RMBS over the years by 30%, increasing our leverage to common by the same proportion. Our investment team exercised a great deal of patience and discipline.

正如 Rob 所提到的，我們執行了在 2023 年擴大投資組合的策略。SVB 危機之後，在債務上限危機期間，在 FDIC 執行資金池銷售的整個夏天，最重要的是，我們在 10 月底的波動中保持了頭寸。總體而言，多年來我們對代理 RMBS 的敞口增加了 30%，從而將我們的槓桿率提高了相同比例。我們的投資團隊表現出極大的耐心和紀律。

During the October volatility, we leaned into our liquidity and risk management to pull us through instead of selling assets at losses as many others were compelled to do. These decisions position shareholders to capture significant upside returns from tightening Agency MBS spreads to treasuries.

在 10 月的波動期間，我們依靠流動性和風險管理來渡過難關，而不是像許多其他公司被迫那樣虧本出售資產。這些決定使股東能夠透過收緊機構MBS與國債的利差來獲取顯著的上行回報。

Turning to the macro environment, we continue to construct our strategy for an environment with widely distributed outcomes. The markets are focused on the Fed's monetary policy and the potential for substantially lower policy rates as realized inflation falls towards the Fed's 2% target. Currently, the markets are pricing in 150 basis points of rate cuts of 2024. These would have a direct and very positive impact on our future financing costs, as we carry about $7 billion in financing relative to about $4 billion in long-term hedges.

談到宏觀環境，我們繼續建構具有廣泛分佈結果的環境的策略。市場關注聯準會的貨幣政策以及隨著實際通膨率跌向聯準會 2% 目標而大幅降低政策利率的可能性。目前，市場預計 2024 年降息 150 個基點。這些將對我們未來的融資成本產生直接且非常積極的影響，因為我們的融資規模約為 70 億美元，而長期對沖規模約為 40 億美元。

For every 25 basis points of realized lower financing costs, our total economic return improves by 2%, all else being equal. In addition to substantial benefits to financing costs, we believe the eventual lowering of rates would result in nominal Agency MBS spread tightened to longer term equilibrium levels between 100 and 140 basis points over the seven-year treasury yield. We have already seen the re-entry of banks into the sector in the fourth quarter, and we expect their participation to increase as regulatory uncertainty from the [bouts of the lending rules] and the path of Fed policy rates are clarified.

在其他條件相同的情況下，融資成本每降低 25 個基點，我們的總經濟報酬率就會提高 2%。除了對融資成本帶來實質好處外，我們認為利率的最終降低將導致名目機構 MBS 利差收緊至比七年期公債殖利率高 100 至 140 個基點的長期均衡水準。我們已經看到銀行在第四季度重新進入該行業，隨著[貸款規則的爆發]帶來的監管不確定性和聯準會政策利率路​​徑的明確，銀行的參與度預計將會增加。

To the extent this scenario materializes, we believe any decline in realized volatility, which we are already experiencing in 2024, would also provide the impetus for tighter MBS spreads. While we believe these factors position us to capture significant upside in the medium term, we remain very respectful of the significantly different global environment that we operate in. We base our long-term economic view on the interaction between rising human conflict, changing demographics, a rapidly evolving technological landscape including the deployment of AI, rising global debt levels, and unsustainable fiscal dynamics in the US and major developed economies.

如果這種情況成為現實，我們相信，我們在 2024 年已經經歷過的實際波動率的任何下降，也將推動 MBS 利差收緊。雖然我們相信這些因素使我們能夠在中期獲得顯著的上漲空間，但我們仍然非常尊重我們所處的截然不同的全球環境。我們的長期經濟觀點是基於不斷加劇的人類衝突、不斷變化的人口結構、快速發展的技術格局（包括人工智慧的部署）、不斷上升的全球債務水平以及美國和主要發達經濟體不可持續的財政動態之間的相互作用。

In our view, the geopolitical world order has permanently shifted to alter the structural economic set-up for the coming decade. Nationalism, protectionism, and regional conflicts contribute to rising friction costs. Conflict-driven supply shocks can translate to higher volatility, impacting inflation and interest rates. As aging populations demand more healthcare and retirement support, costs to provide those services are rising. This is manifesting as a massive budget gap in the US. We view the widening US fiscal gap as a significant factor in driving the level of yield and value of the US dollar over the next two to five years.

我們認為，地緣政治世界秩序已經發生永久性轉變，將改變未來十年的結構性經濟格局。民族主義、保護主義和地區衝突導致摩擦成本上升。衝突引發的供應衝擊可能會導致波動加劇，進而影響通膨和利率。隨著人口老化需要更多的醫療保健和退休支持，提供這些服務的成本正在上升。這表現為美國巨大的預算缺口。我們認為，美國不斷擴大的財政缺口是未來兩到五年推動美元殖利率和價值水準的重要因素。

The US economy also remains exposed to significant policy risk in the upcoming election year and beyond. We're also watching for known/unknowns in China, Japan, and Europe as these economies evolve and their government policy response. As always, we plan for alternative scenarios and exogenous shock and remain open to adjusting our strategy.

在即將到來的選舉年及以後，美國經濟仍面臨重大政策風險。隨著中國、日本和歐洲經濟的發展及其政府的政策反應，我們也關注這些已知/未知的情況。像往常一樣，我們為替代情況和外部衝擊做好計劃，並對調整我們的策略保持開放。

The broader factors I've just described continue to support the majority of our capital being invested in Agency RMBS which offer a historically accretive investment opportunity. We believe MBS will perform well in a soft landing, outperform risky assets in a hard landing. We expect equilibrium spreads to be in a tighter, lower range, further supporting new terms.

我剛剛描述的更廣泛的因素繼續支持我們將大部分資本投資於代理 RMBS，這提供了歷史上增值的投資機會。我們相信MBS在軟著陸時將表現良好，在硬著陸時跑贏風險資產。我們預期均衡利差將處於更窄、更低的範圍內，進一步支持新條款。

Finally, I want to acknowledge the loss of an avid supporter of Dynex and fellow Board member Dave Stevens. I will miss him, and he will be missed by all of us at the company.

最後，我要感謝 Dynex 的一位熱心支持者和董事會成員 Dave Stevens 的去世。我會想念他，公司所有人也會想念他。

I will now turn it over to Byron for his final comments.

現在我將把它交給拜倫徵求他的最後意見。

Thank you, Smriti. I'd like to leave you with the following thoughts. The investment opportunity in Agency RMBS is historic, and Dynex is uniquely positioned to take advantage of it with our experience and focus on risk management. Our investments last year put us in excellent position to generate solid returns in the coming years.

謝謝你，斯姆里蒂。我想給您留下以下想法。Agency RMBS 的投資機會是歷史性的，Dynex 憑藉我們的經驗和對風險管理的關注，擁有獨特的優勢來利用這一機會。去年的投資使我們處於有利地位，可以在未來幾年產生豐厚的回報。

I'm also excited to promote greater collaboration between our executive leadership team and the Board in my new role as Board Chairman. Alongside Dr. Julia Coronado, our Lead Independent Director, and other Board members, we'll work closely together to strategically manage our business and shareholders' capital with consideration of the evolving macroeconomic environment. While visibility is limited to the very near-term, we consider multiple exogenous factors that can widen the distribution of outcomes.

我也很高興能夠在擔任董事會主席的新職位上促進我們的執行領導團隊與董事會之間加強合作。我們將與我們的首席獨立董事 Julia Coronado 博士和其他董事會成員一起密切合作，根據不斷變化的宏觀經濟環境對我們的業務和股東資本進行策略管理。雖然可見性僅限於近期，但我們考慮了多種可以擴大結果分佈的外生因素。

Book value preservation is a focus of how the team will generate total economic return. Importantly, ethical stewardship remains at the core of everything we do. Thank you for your support, and we look forward to discussing our results with you next quarter.

帳面價值保值是團隊如何產生總經濟回報的重點。重要的是，道德管理仍然是我們所做一切的核心。感謝您的支持，我們期待下個季度與您討論我們的結果。

I'll now turn the call over to you, operator, for questions.

現在我將把電話轉給接線員您詢問問題。

(Operator Instructions) Trevor Cranston, JMP Securities.

（操作員指示）Trevor Cranston，JMP 證券。

Looking at the rate positioning slide as of 12/31, it looks like you guys were set up to generally do better if rates moved higher particularly at the longer end of the yield curve. And that has obviously come to pass so far as we sit in January today. So I was wondering if you could maybe update us as we sit today on your rate positioning and your view on the up-rate risk versus down-rate risk where we sit today?

看看截至 12 月 31 日的利率定位下滑，如果利率走高，特別是在殖利率曲線較長的一端，你們似乎通常會做得更好。就我們今天一月而言，這顯然已經成為現實。因此，我想知道您是否可以在我們今天就您的利率定位以及您對利率上調風險與利率下調風險的看法進行更新？

Thank you for the question. So, yes, you're right. The hedges are concentrated in the back end of the yield curve, and we are positioned to benefit from a steepening yield curve where front-end rates go down and back-end rates either remain the same or go higher. So a lot of this is driven by the macroeconomic view that we described during the prepared remarks. And really recognizing that while we may have some level of market pricing in the front-end, as I mentioned, there's 150 basis points of cuts already priced in to the front-end of the yield curve which will really benefit our financing costs, in the long-term, we feel like it makes more sense given a number of other factors to have hedges concentrated in the backend of the curve.

感謝你的提問。所以，是的，你是對的。對沖集中在殖利率曲線的後端，我們可以從殖利率曲線陡峭中受益，其中前端利率下降，後端利率要么保持不變，要么走高。因此，這在很大程度上是由我們在準備好的發言中所描述的宏觀經濟觀點所驅動的。並真正認識到，正如我所提到的，雖然我們可能在前端有一定程度的市場定價，但收益率曲線前端已經計入了 150 個基點的降息，這將真正有利於我們的融資成本，從長遠來看，考慮到許多其他因素，我們認為將對沖集中在曲線的後端更有意義。

So in general, we're positioned actually to benefit from a steeper yield curve. And that's what's reflected in the hedge positioning. And then just in terms of just an update from your end, I believe the book value is up about 1% or so to $13.50 area.

因此，總的來說，我們實際上可以從更陡峭的殖利率曲線中受益。這就是對沖頭寸所反映的。然後就您的最新情況而言，我相信帳面價值上漲了約 1% 左右，達到 13.50 美元。

Got it. Okay, that's very helpful. And then, as you look across the portfolio, particularly in the higher coupon exposures, if we were to get a rally in rates from here, say, down another 50 basis points or something, can you talk about what kind of prepay response you'd expect, like for example in 5.5% and what kind of protection you have on those pools?

知道了。好的，這非常有幫助。然後，當你審視整個投資組合時，特別是在較高的息票敞口中，如果我們要從這裡開始利率上漲，比如說再下降50 個基點或其他什麼，你能談談你會採取什麼樣的預付反應嗎？ d 期望，例如 5.5%，您對這些池有什麼樣的保護？

Yeah, absolutely. Yeah, one of the big things we did last year was rotate into higher coupon-specified pools, and there was a pretty significant collapse in those pay-ups over the summer. So we have gone into prepayment-protected pools in those coupons. Having said that, right, if you get a serious rally back down to where mortgage rates are down to 4% or lower, a lot of that protection will be compromised just simply because these will be -- there'll be new lows in mortgage rates, and it would be -- we'd expect to see pretty fast speeds.

是的，絕對是。是的，我們去年做的一件大事就是輪換到更高的優惠券指定池中，而整個夏天這些支付額出現了相當大的崩潰。因此，我們在這些優惠券中加入了受預付款保護的池。話雖如此，如果抵押貸款利率大幅回落至 4% 或更低，那麼許多保護措施將受到損害，因為抵押貸款將創下新低率，而且我們預計會看到相當快的速度。

Given the primary rate that would really create a lot of prepayment risk in the 5.5% is anything below 6.5%. So that's what you'd have to go through in order to really create a big prepayment response. We still think that the convexity protection that we have is a deal, and we'd have a benefit from it. The reason we've stayed in the low pay-up-specified pool is that to the extent that you don't see it, right, we would not have lost a significant amount of pay-up. And in general, diversified coupon positioning, you can see we actually have less of the 5.5%% and 6% coupons than we do of the lower coupons, is because we're respecting the fact that quick drop down in rates could create a pretty significant response in those coupons.

鑑於 5.5% 的主要利率真正會產生大量提前還款風險的是低於 6.5% 的利率。所以這就是你必須經歷的事情才能真正產生巨大的預付款反應。我們仍然認為我們擁有的凸性保護是一筆交易，我們會從中受益。我們留在低付款指定池中的原因是，在你看不到的範圍內，我們不會損失大量的付款。總的來說，多元化的優惠券定位，你可以看到，我們實際上擁有的5.5% 和6% 優惠券比我們的低優惠券要少，是因為我們尊重這樣一個事實，即利率的快速下降可以創造一個相當不錯的利率。這些優惠券反應顯著。

Got it. Okay, that makes sense.

知道了。好吧，這是有道理的。

Sure.

當然。

Doug Harter, UBS.

道格·哈特，瑞銀集團。

You talked about the ongoing attractiveness of the agency market. Do you envision yourselves raising additional capital to try to take advantage of it? Could leverage move higher? Just how are you thinking about possibly expanding the portfolio in this environment?

您談到了代理市場的持續吸引力。您是否打算籌集更多資金來利用它？槓桿能否走高？您是如何考慮在這種環境下擴大產品組合的？

Look, I think Byron mentioned that this is a historic opportunity, and it's a persistent opportunity. We remain in that environment, and so to benefit our shareholders in this kind of investing environment, it makes a lot of sense for us to raise and deploy capital. So that was our strategy. At the end of '22, we had -- I think in '22, we raised over $250 million in capital. That capital got invested in '23. We raised a little bit more in '23, I think that continues.

看，我認為拜倫提到這是一個歷史性的機會，而且是一個持久的機會。我們仍然處於這種環境中，因此為了在這種投資環境中使我們的股東受益，我們籌集和部署資本非常有意義。這就是我們的策略。在 22 世紀末，我們—我想在 22 年，我們籌集了超過 2.5 億美元的資金。這筆資金於 23 年投入。我們在 23 年籌集了更多資金，我認為這種情況仍在繼續。

So raising and deploying when we have accretive investment opportunity is a good strategy in the long-term for our shareholders. We're going to continue to do that. I think to the extent that environment continues, we will keep doing it. The returns are still in the mid-teens ROE, so we feel very, very good about that right now.

因此，從長遠來看，當我們擁有增值投資機會時進行融資和部署對於股東來說是一個很好的策略。我們將繼續這樣做。我認為只要環境持續下去，我們就會繼續這樣做。回報率仍處於十幾歲左右的股本回報率，所以我們現在對此感覺非常非常好。

And can you just remind us how you think about when you say accretive, how you think about that? Is that accretive to book, is that accretive to returns, and the thought process you go through before deciding to raise capital?

您能否提醒我們，當您說「增值」時，您是如何看待這個問題的？這是否會增加帳面價值，是否會增加回報，以及您在決定籌集資金之前所經歷的思考過程？

Absolutely. I mean, we think about everything you described. One is, what is the immediate price-to-book impact of any kind of capital raising. We think about mostly the long-term return potential in the capital invested relative to the cost of capital, right? Right now, you're able to earn a double-digit return from the carried-on mortgages relative to hedges without incorporating any kind of spread tightening.

絕對地。我的意思是，我們會考慮你所描述的一切。一是任何類型的融資對市淨率的直接影響是什麼。我們主要考慮的是投資資本相對於資本成本的長期回報潛力，對吧？目前，相對於對沖，您可以從結轉抵押貸款中獲得兩位數的回報，而無需採取任何形式的利差收緊。

So when you add the spread tightening potential into the future, you're really looking at high-teens, low-20s, long-term returns. So when you view those types of returns in the context of our marginal dividend yield being in the 12%, these are great investments. So that's how we think about it. In the long-term, will our shareholders benefit from us raising and deploying the capital? And we believe the answer is, yes, and in that case, we're making the decision to raise them on that.

因此，當你考慮到未來利差收緊的潛力時，你真正關注的是高十幾歲、低二十歲的長期回報。因此，當您在我們 12% 的邊際股息殖利率的背景下看待這些類型的回報時，這些都是很棒的投資。這就是我們的想法。從長遠來看，我們的股東會從我們籌集和部署資本中受益嗎？我們相信答案是肯定的，在這種情況下，我們決定向他們提出這個問題。

Hey, and Doug, just to add a little color to that, you also asked about leverage. We do have the ability, if we see an opportunity, to take leverage up and then add to our capital base at a different time. I do think the market, given our performance, will give us opportunities to raise and grow. But sometimes it's not exactly the right timing, right?

嘿，道格，為了增加一點色彩，您也詢問了槓桿作用。如果我們看到機會，我們確實有能力提高槓桿率，然後在不同的時間增加我們的資本基礎。我確實認為，鑑於我們的表現，市場將為我們提供提升和成長的機會。但有時時機並不完全正確，對嗎？

Over time, our price to book has gotten smaller or that gap has gotten smaller. The market is understanding our performance. We will have the ability to grow. But if it's not exactly at the right time, we'll temporarily take leverage up and backfill it with capital and be very judicious about that throughout the year and going forward.

隨著時間的推移，我們的預訂價格變得越來越小，或者說差距變得越來越小。市場正在了解我們的表現。我們將有能力成長。但如果不是在正確的時間，我們將暫時提高槓桿率並用資本回填，並在全年和未來對此保持非常明智的態度。

Bose George, KBW.

博斯·喬治，KBW。

I just wanted to ask about hedging, just with the rotation more into pools versus TBAs, does that change anything in terms of how you view the use of treasuries versus swaps or, yeah, just thoughts on that?

我只是想問一下有關對沖的問題，只是隨著資金池與 TBA 的輪換更多，這是否會改變您如何看待國債與掉期的使用，或者，是的，只是對此的想法？

Hi, Bose. Not really. We still see the capital cost of using interest rate swaps to be about twice as much as using treasury futures. On a capital-adjusted basis, those are really expensive hedges, and they limit flexibility in times of stress. So our macro view really drives the selection of the hedges. Having us be in pools really doesn't make a difference, yet you will have a different type of financing that you're hedging in the repo markets relative to the studio, but we still feel like we're in the right hedge structure.

嗨，博斯。並不真地。我們仍然認為使用利率掉期的資本成本大約是使用國債期貨的兩倍。在資本調整的基礎上，這些對沖確實是昂貴的，而且它們限制了壓力時期的靈活性。因此，我們的宏觀觀點確實推動了對沖的選擇。讓我們加入資金池確實沒有什麼區別，但相對於工作室，你將在回購市場上對沖不同類型的融資，但我們仍然覺得我們處於正確的對沖結構中。

Okay, great. And then, Smriti, you mentioned the benefit of rates going down to your spread. Can you just go over that again, and is that a benefit to the economic return or to GAAP EPS? Or, yeah, just a little more detail on that would be great.

好的，太好了。然後，Smriti，您提到了利率下降對您的利差的好處。您能再回顧一下這個問題嗎？這對經濟回報或 GAAP 每股盈餘有好處嗎？或者，是的，如果能提供更多細節就更好了。

Yeah, the long term -- so you know how we think in total economic return drops, right? And if you want to decompose that, it's really we think in terms of like the benefit of the financing cost. So all of these equal, if the financing costs go down by 25 basis points and nothing else changes, you'll see the shape of the yield curve doesn't change and our investment mix doesn’t change. The positive benefit would be 2% in economic return. So you could just think of just financing costs going down is about 2% on the total economic return.

是的，從長期來看——所以你知道我們如何看待總經濟回報下降，對嗎？如果你想分解它，我們實際上是從融資成本的好處來考慮的。因此，所有這些都是相同的，如果融資成本下降 25 個基點，並且其他方面沒有變化，您會看到殖利率曲線的形狀不會改變，我們的投資組合也不會改變。正面效益為 2% 的經濟回報。因此，您可以認為僅融資成本下降就相當於總經濟回報的 2% 左右。

Okay, great. And then just one last one. What are your expectations just for longer term mortgage spreads? You talked about spread tightening, just thoughts on where it goes and the cadence?

好的，太好了。然後只有最後一張。您對長期抵押貸款利差的預期是什麼？您談到了價差收緊，只是考慮了它的方向和節奏？

Yeah, look, I think there's something very important happened in the fourth quarter, right? The Fed's stance on monetary policy changed in December. You can call it a pivot. But once that happened, stocks, corporate bonds, and Agency MBS, they all benefit from that change in stance. So that's the first one, right?

是的，看，我認為第四季度發生了一些非常重要的事情，對吧？聯準會的貨幣政策立場在 12 月發生了變化。您可以將其稱為樞軸。但一旦發生這種情況，股票、公司債和機構MBS，它們都會從這種立場的變化中受益。所以這是第一個，對嗎？

Last year, banks were a net seller. They sold about $250 billion in mortgages. The Fed net sold about $300 billion in mortgages. All of that is shifting because if the Fed now goes from being a tightening stance to a neutral stance and potentially even an easing stance, you have the possibility of banks starting to come back in, right? That has already happened. If you looked at BofA's results this past quarter, they were a net buyer of about $17 billion in mortgages. All of that shift the technicals within the mortgage market, right?

去年，銀行是淨賣家。他們出售了約 2500 億美元的抵押貸款。聯準會淨出售了約 3,000 億美元的抵押貸款。所有這一切都在發生變化，因為如果聯準會現在從緊縮立場轉向中性立場，甚至可能採取寬鬆立場，銀行就有可能開始回歸，對嗎？這已經發生了。如果你看一下美國銀行上個季度的業績，你會發現他們淨購買了約 170 億美元的抵押貸款。所有這些都改變了抵押貸款市場的技術，對吧？

And then we've also seen housing activity in terms of turnover is starting to pick back up again. We've seen that in existing home sales numbers. So turnover activity is starting to rise again. All of this to us points to equilibrium spreads more in like the 100 to 140-basis-point range over the seven-year treasury relative to the 140 to 190 basis points that we're sitting in right now.

然後我們也看到房地產活動的成交量開始再次回升。我們在現有房屋銷售數據中看到了這一點。因此，營業額活動開始再次上升。對我們來說，所有這些都表明，七年期國債的均衡利差範圍在 100 到 140 個基點之間，而我們現在處於 140 到 190 個基點之間。

Now, is it going to happen today, tomorrow? This all could happen, right, if you get a decline in front of yields because the Fed is easing all of that. So we're not saying it will happen. We're saying there's a real possibility that it could happen. There's factors in play now where the fundamentals and technicals have shifted.

現在，這會發生在今天、明天嗎？如果由於聯準會正在放鬆所有這些措施而導致收益率下降，那麼這一切都可能發生，對吧。所以我們並不是說這會發生。我們是說這確實有可能發生。現在，基本面和技術面已經改變的因素正在發揮作用。

So the range of spread is actually lower, if you will, in the sense that instead of being from 140 to 190 basis points, maybe we're sitting in the 120 to 160 basis points kind of range. So that's how we're thinking about it. But in the long term, as banks come back in, the CMO market gets active, the curve steepens. All of these things are supportive of tighter and lower spreads on an equilibrium basis.

因此，如果您願意的話，利差範圍實際上較低，從某種意義上說，我們可能不是在 140 到 190 個基點之間，而是在 120 到 160 個基點之間。這就是我們的想法。但從長遠來看，隨著銀行回歸，CMO 市場變得活躍，曲線變得陡峭。所有這些因素都支持均衡基礎上利差收緊和降低。

Okay, great.

好的，太好了。

Matthew Erdner, Jones Trading.

馬修‧艾德納，瓊斯貿易公司。

Can you talk about the relative attractiveness of TBAs versus cash at the moment? And looking at the balance sheet, you guys have a lower cash position since 2020, so can you talk about that and just where you've been deploying that across the coupon stack?

您能談談目前 TBA 相對於現金的相對吸引力嗎？從資產負債表來看，自 2020 年以來你們的現金頭寸較低，所以您能談談這一點以及您在優惠券堆疊中的部署情況嗎？

Yeah, I think - so our TBAs versus pools, the relative attractiveness?

是的，我想 - 那麼我們的 TBA 與池相比，相對吸引力如何？

Yes.

是的。

Okay. So right now, I would say the story in TBAs depends on the coupon. The higher coupons are still financing at a level that is lower than -- actually, no. The higher coupons are financing at a rate that is about equal or slightly higher than pools. In the belly coupons, like the 4% and 4.5%, those are actually trading very special relative to pools. So it actually behooves you to have a TBA position in those coupons.

好的。所以現在，我想說 TBA 中的故事取決於優惠券。較高的息票融資水平仍然低於——實際上，沒有。較高的票面利率以大約等於或略高於資金池的利率進行融資。在腹部優惠券中，例如 4% 和 4.5%，相對於池而言，這些優惠券的交易實際上非常特殊。因此，您實際上應該在這些優惠券中擁有 TBA 位置。

In the lowest coupons, it's actually very difficult to figure out just because there's no production in the 2%, 2.5%, et cetera. So that just depends on what's happening in the lowest coupon. But right now, the specialness in the role is actually limited to the 4% coupon and the 4.5% coupon. Everything else is either trading on top of pools or slightly above pools.

在最低的優惠券中，實際上很難弄清楚，因為 2%、2.5% 等沒有生產。因此，這僅取決於最低優惠券中發生的情況。但現在，角色的特殊性其實僅限於4%優惠券和4.5%優惠券。其他一切要么在資金池頂部進行交易，要么略高於資金池。

In terms of cash versus unencumbered assets, I think that was your other question. We've continued to keep a fairly big allocation to our liquidity position. And Rob can give you the exact number of what we closed the year at. But you know what? I mean cash earns close to 5.5% here. So it's not as big a drag on earnings as it was when we wait for a deal which at that point you would be more inclined to hold pools or assets that yielded higher. So at this point with cash rates so high, we don't hesitate to hold cash if that was where your question was going.

就現金與未支配資產而言，我認為這是你的另一個問題。我們繼續為流動性部位保留相當大的配置。羅布可以告訴你我們今年結束時的確切數字。但你知道嗎？我的意思是這裡的現金收益接近 5.5%。因此，它對獲利的拖累並不像我們等待交易時那麼大，那時你會更傾向於持有收益率更高的資金池或資產。因此，在現金利率如此之高的情況下，如果這就是您的問題所在，我們會毫不猶豫地持有現金。

Yeah, that's helpful. And then talking about the supply and demand technicals with the Fed getting towards the end of QT, do you guys have an opinion on if the Fed gets back in the market and when that might occur?

是的，這很有幫助。然後談論聯準會在 QT 即將結束時的供需技術面，你們對聯準會是否重返市場以及何時可能重返市場有何看法？

Look, we can only go by what the Fed is communicating -- has communicated with respect to QT. Lori Logan gave a speech in January that I think is what kicked a lot of us off. From what we can tell, they're interested in seeing quantitative tightening based on what they call the least comfortable level of reserves, right? The biggest part of QT, you really need to think about, is there’s -- it puts a floor on QT ending, puts a floor on lots of things. It puts a floor on the amount of duration coming into the market. And that in and of itself, I think, is very supportive for mortgage spreads.

看，我們只能遵循聯準會所傳達的訊息——就 QT 所傳達的訊息。洛里洛根 (Lori Logan) 一月份發表的演講讓我們很多人興奮不已。據我們所知，他們有興趣看到基於他們所謂的最不舒服的儲備水平的量化緊縮，對吧？QT 中最重要的部分，你真正需要考慮的是——它為 QT 的結尾設定了一個下限，為很多事情設定了一個下限。它為進入市場的期限設定了下限。我認為，這本身就非常有利於抵押貸款利差。

Even if they reinvest only in treasuries, it takes out a yielding asset out of the market. It creates crowding out of private capital, and that creates a demand for safe securities. And that's, I think, very supportive. The other possible outcome of the end of QT is that delivered volatility goes down, because the Fed's back in buying securities in the market. That's also really supportive of mortgage spreads. And that -- those are the things that I think just add to the idea that there has been a shift in the technicals in the mortgage market.

即使他們僅再投資於國債，也會將收益資產從市場中剔除。它造成私人資本被擠出，產生對安全證券的需求。我認為這是非常支持的。量化寬鬆結束的另一個可能結果是交付波動性下降，因為聯準會重新購買市場證券。這也確實支持了抵押貸款利差。我認為這些事情只是增加了抵押貸款市場技術轉變的想法。

That's helpful.

這很有幫助。

(Operator Instructions) Eric Hagan, BTIG.

（操作員說明）Eric Hagan，BTIG。

Hope you're doing well. Do you guys feel like there's good liquidity in the funding market to put on longer-dated repo right now to take advantage of what's priced into the forward curve? And what's the shortest that you can envision running the repo book if conviction builds around the Fed cutting maybe sooner rather than later?

希望你做得很好。你們是否認為融資市場上有良好的流動性，可以立即進行較長期的回購，以利用遠期曲線的定價？如果人們對聯準會降息的信念建立起來，那麼你可以想像運行回購協議的最短時間是多少？

So really the way we think about financing, number one I'll tell you, availability of financing is not an issue. We continue to have counterparties offer us financing. We're able to fund out the term. I think we reported our weighted average term to maturity, original term to maturity is like 78 days. We're not having any trouble running longer, longer dated financing, anything like that.

因此，實際上我們考慮融資的方式，第一，我會告訴你，融資的可用性不是問題。我們繼續有交易對手向我們提供融資。我們有能力資助這個期限。我認為我們報告了加權平均到期期限，原始到期期限約為 78 天。我們在運行時間更長、期限更長的融資等方面沒有遇到任何問題。

So availability has been just fine. There has been pressure around quarter ends, as you've seen, right? Like since September, there was a little pressure. December, there was a little pressure. So in general, we try to manage around those by funding out terms. So that hasn't been a problem for us.

所以可用性一直都很好。正如你所看到的，季度末左右一直存在壓力，對吧？從九月開始，就有一點壓力。12月，壓力有點小。因此，總的來說，我們嘗試透過資助條款來解決這些問題。所以這對我們來說不是問題。

So yes, there is the ability to lock in financing to the extent that we want, and we disagree with the market's pricing, et cetera, et cetera. You've seen us manage this book for a long time, Eric, and we're always balancing two things. One is whether there will be quarter-end pressure and balance sheet pressure or event-driven pressure versus the risk of running an overnight/shorter maturity book. And we land somewhere in the middle. Some of our financing is going to be locked up and termed. Some of it is going to be not locked up and maybe rolling a little sooner.

所以，是的，我們有能力將融資鎖定在我們想要的範圍內，我們不同意市場的定價等等。艾瑞克，你已經看到我們管理這本書很長一段時間了，我們總是在平衡兩件事。一是是否會存在季末壓力和資產負債表壓力或事件驅動的壓力與運行隔夜/較短期限帳簿的風險。我們落在中間的某個地方。我們的一些融資將被鎖定並到期。其中一些不會被鎖定，並且可能會更快地滾動。

Typically, we have not been an overnight funder. And we've very rarely taken our financing lower than 30 days out. So we are looking to take term at opportunistic levels when we see that in the marketplace. In general, we tend to be more focused on avoiding funding disruptions than trying to make money off the financing book. It's a risk that we just don't feel like it's good for us to expose our shareholders to.

通常情況下，我們並不是隔夜資助者。我們的融資期限很少少於 30 天。因此，當我們在市場上看到這種情況時，我們希望在機會主義層面上採取行動。一般來說，我們往往更注重避免融資中斷，而不是試圖從融資帳上賺錢。我們只是覺得讓股東接觸這種風險對我們沒有好處。

So we end up actually just really respecting where we get our financing and making sure that it's locked up before we -- if there's any kind of economically turned benefit that we can get from thinking about the Fed expectation versus not, we would be using hedges to help us take advantage of that.

因此，我們最終實際上只是真正尊重我們獲得融資的地方，並確保它在我們之前被鎖定——如果我們可以通過考慮美聯儲的預期與否而獲得任何經濟上的好處，我們將使用對沖來幫助我們利用這一點。

Yeah. Appreciate that response. We're still a full-year away, actually a little bit more than full year, but how are we thinking about the fixed floating rate preferred stock rolling into the floating leg next year and maybe how you think about the cost of the capital structure overall if spreads are tighter or wider and what the Fed's going to do?

是的。感謝您的回應。我們還需要一整年，實際上比全年多一點，但我們如何考慮明年固定浮動利率優先股進入浮動階段，也許你如何考慮資本結構的成本總體而言，利差是否收窄或擴大，美聯儲將採取什麼行動？

Yeah, I mean, don't forget, a big part of that, if not all of it, is part of the hedging that we do on the liability side, right? So from an economic perspective, we feel really good about the fact that, that entire issue is hedged with our futures position. In general, again, it's going to be a question of what are the available opportunities? Where can we refinance should we want to? We'll go through the exact thought process as we approach the call date.

是的，我的意思是，不要忘記，其中很大一部分（如果不是全部）是我們在負債方面進行的對沖的一部分，對吧？因此，從經濟角度來看，我們對整個問題都透過我們的期貨部位進行對沖這一事實感到非常滿意。總的來說，這又是一個問題：有哪些可用的機會？如果我們願意的話，我們可以在哪裡進行再融資？當我們接近呼叫日期時，我們將經歷確切的思考過程。

Yeah. Appreciate it.

是的。欣賞它。

We have no further questions at this time. I'll turn the call back to Byron Boston for any closing remarks.

目前我們沒有進一步的問題。我會將電話轉回拜倫·波士頓，讓其結束語。

Thank you very much for joining our call today. Just remember we have a long-term view, skilled risk management, disciplined allocation of capital, a very experienced team, and, most of all, we take a very ethical approach as to how we manage our business. So thank you for joining us, and we look forward to speaking to you again next quarter. Thank you.

非常感謝您今天加入我們的電話會議。請記住，我們擁有長遠的眼光、熟練的風險管理、嚴格的資本分配、經驗豐富的團隊，最重要的是，我們在管理業務方面採取非常道德的方法。感謝您加入我們，我們期待下季度再次與您交談。謝謝。

That will conclude today's meeting. Thank you all for joining and you may now disconnect.

今天的會議到此結束。感謝大家的加入，現在可以斷開連線了。