Invesco Mortgage Capital Inc (IVR) 2023 Q2 法說會逐字稿

Welcome to Invesco Mortgage Capital Inc.'s Second Quarter 2023 Investor Conference Call. (Operator Instructions) As a reminder, this call is being recorded.

歡迎參加 Invesco Mortgage Capital Inc. 2023 年第二季度投資者電話會議。 （操作員說明）謹此提醒，此通話正在錄音。

Now I'd like to turn the call over to Greg Seals, Investor Relations. Mr. Seals, you may begin.

現在我想將電話轉給投資者關係部門的 Greg Seals。海爾斯先生，您可以開始了。

Thanks, operator, and to all of you joining us on Invesco Mortgage Capital's quarterly earnings call. In addition to today's press release, we have provided the presentation that covers the topics we plan to address today. Press release and presentation are available on our website, invescomortgagecapital.com. This information can be found by going to the Investor Relations section of the website.

感謝運營商以及大家參加景順抵押資本的季度財報電話會議。除了今天的新聞稿外，我們還提供了涵蓋我們今天計劃討論的主題的演示文稿。新聞稿和演示文稿可在我們的網站 invescomortgagecapital.com 上獲取。您可以通過訪問網站的投資者關係部分找到此信息。

Our presentation today will include forward-looking statements and certain non-GAAP financial measures. Please review the disclosures on Slide 2 of the presentation regarding these statements and measures as well as the appendix for the appropriate reconciliations to GAAP.

我們今天的演講將包括前瞻性陳述和某些非公認會計準則財務指標。請查看演示文稿幻燈片 2 上有關這些聲明和措施的披露信息，以及根據 GAAP 進行適當調節的附錄。

Finally, Invesco Mortgage Capital is not responsible for and does not edit nor guarantee the accuracy of our earnings teleconference transcripts provided by third parties. The only authorized webcasts are located on our website.

最後，景順抵押資本不對第三方提供的收益電話會議記錄的準確性負責，也不編輯或保證其準確性。唯一授權的網絡廣播位於我們的網站上。

Again, welcome, and thank you for joining us today. I'll now turn the call over to John Anzalone. John?

再次歡迎並感謝您今天加入我們。我現在將把電話轉給約翰·安扎龍。約翰？

Hi. Good morning, and welcome to Invesco Mortgage Capital's Second Quarter Earnings Call. I will give some brief comments before turning the call over to our Chief Investment Officer, Brian Norris, to discuss the current portfolio in more detail. Also joining us on the call are President, Kevin Collins; our CFO, Lee Phegley; and our COO, Dave Lyle.

你好。早上好，歡迎參加景順抵押資本公司第二季度財報電話會議。在將電話轉給我們的首席投資官 Brian Norris 之前，我將發表一些簡短的評論，以更詳細地討論當前的投資組合。加入我們電話會議的還有總裁凱文·柯林斯 (Kevin Collins)；我們的首席財務官 Lee Phegley；以及我們的首席運營官戴夫·萊爾 (Dave Lyle)。

Financial conditions improved throughout the second quarter as equity markets rallied and credit spreads tightened given the swift resolution of the U.S. debt ceiling negotiation and increased market expectations of a soft landing for the U.S. economy. The positive environment across most risk assets was further spurred by continued moderation in most inflation measures, led by the decrease in the headline Consumer Price Index to 3%.

由於美國債務上限談判迅速解決以及市場對美國經濟軟著陸的預期增加，股市上漲、信貸利差收緊，整個第二季度金融狀況有所改善。大多數通脹指標持續溫和，主要消費者價格指數下降至 3%，進一步刺激了大多數風險資產的積極環境。

Interest rates were sharply higher during the quarter, largely reversing the rallies spurred by the uncertainties surrounding the regional banking system that we saw during Q1. Agency mortgage performance generally improved during the second quarter as lower coupon valuations recovered the majority of their underperformance in the first quarter, while high coupon valuations improved modestly as short-dated interest rate volatility remained relatively elevated.

本季度利率大幅上漲，很大程度上扭轉了我們在第一季度看到的圍繞區域銀行體系的不確定性引發的反彈。由於較低的息票估值彌補了第一季度表現不佳的大部分，第二季度代理抵押貸款業績普遍有所改善，而由於短期利率波動仍然相對較高，高息票估值略有改善。

In addition, premiums on specified pool collateral declined as a result of higher mortgage rates as the payment protection became less valuable. Increased demand for risk assets by mortgage investors is largely offset by faster-than-anticipated sales of failed bank assets, particularly specified pool collateral by the FDIC and the increased supply caused by stronger housing seasonals.

此外，由於支付保護的價值降低，抵押貸款利率上升，指定池抵押品的溢價下降。抵押貸款投資者對風險資產的需求增加在很大程度上被失敗的銀行資產（特別是 FDIC 指定的池抵押品）銷售速度快於預期以及住房季節性走強導致的供應增加所抵消。

Against this backdrop, our book value per common share ended the quarter at $11.98, representing a decline of 5% from March 31, and when combined with our $0.40 per share common dividend produced an economic return of negative 1.8% for the quarter. Despite the negative impact on book value, IVR's earnings available for distribution was resilient, decreasing slightly to $1.45 from $1.50 last quarter.

在此背景下，本季度末我們的每股普通股賬面價值為11.98 美元，較3 月31 日下降了5%，加上每股0.40 美元的普通股股息，本季度的經濟回報為負1.8% 。儘管賬面價值受到負面影響，但 IVR 的可供分配收益仍具有彈性，從上季度的 1.50 美元小幅下降至 1.45 美元。

Our focus on higher-yielding, higher-coupon mortgages in combination with the hedging strategy that continues to benefit from low-cost, pay-fixed swaps drove the strength of EAD. Over the coming quarters, we expect EAD to remain well supported as we continue to hedge nearly all of our [legal] borrowings.

我們對高收益、高息票抵押貸款的關注，加上繼續受益於低成本、固定支付掉期的對沖策略，推動了 EAD 的實力。在接下來的幾個季度中，我們預計 EAD 將繼續得到良好的支持，因為我們將繼續對沖幾乎所有的[合法]借款。

Importantly, these hedges refined benefit for the long term as the weighted average maturity of our pay-fixed swap portfolio is approximately 7 years.

重要的是，這些對沖提高了長期效益，因為我們的固定支付掉期投資組合的加權平均期限約為 7 年。

ROEs on new investments have also been a positive contributor to EAD, benefiting from attractive spreads, favorable funding in our legacy swaps. Our debt-to-equity ratio ended the second quarter at 5.9x, up marginally from 5.8% as of March 31st. As of the end of the quarter, substantially all of our $5.5 billion investment portfolio was invested in agency mortgages, and we maintained a sizable balance of unrestricted cash and unencumbered investments totaling $492 million.

新投資的淨資產收益率也對 EAD 做出了積極的貢獻，受益於有吸引力的利差以及我們傳統互換中有利的資金。第二季度結束時，我們的債務股本比率為 5.9 倍，略高於截至 3 月 31 日的 5.8%。截至本季度末，我們 55 億美元的投資組合基本上全部投資於機構抵押貸款，並且我們保持著總計 4.92 億美元的大量非限制性現金和未支配投資餘額。

The FOMC's monetary policy tightening cycle is expected to conclude by the end of the year with perhaps one more 25 basis point increase in the federal funds rate reflected in the futures market. While the timing remains uncertain, the potential decline in interest rate volatility, in conjunction with the end of the monetary policies tightening cycle, should be supported for higher-coupon agency mortgage valuations.

FOMC 的貨幣政策緊縮週期預計將在今年年底結束，期貨市場上反映出的聯邦基金利率可能會再上調 25 個基點。儘管時機仍不確定，但利率波動性的潛在下降，加上貨幣政策緊縮週期的結束，應該會支持較高息票機構抵押貸款的估值。

Further, agency mortgage supply and demand technicals are expected to improve in the second half of the year as the liquidation of assets from the FDIC uses conclusion and high mortgage rates limit supply. Commercial bench should also gain greater clarity on the regulatory environment as capital requirements are finalized. This could encourage further deployment of capital away from loans and into lower risk-weighted assets such as agency mortgages.

此外，隨著 FDIC 資產清算結束以及高抵押貸款利率限制供應，機構抵押貸款供需技術預計將在下半年有所改善。隨著資本要求的最終確定，商業銀行也應該對監管環境更加清晰。這可能會鼓勵進一步將資本從貸款中轉移到機構抵押貸款等風險加權較低的資產上。

Finally, valuations and production coupon mortgages remain historically attractive, and funding capacity is robust. Taken together, we believe the decline in industry volatility and improving technical environment, combined with compelling valuations and favorable funding conditions, should represent an attractive investment opportunity in agency mortgages for the remainder of 2023.

最後，估值和生產息票抵押貸款仍具有歷史吸引力，且融資能力強勁。總而言之，我們認為行業波動性的下降和技術環境的改善，再加上令人信服的估值和有利的融資條件，應該會在2023 年剩餘時間內為機構抵押貸款帶來有吸引力的投資機會。

I'll stop here, and Brian will go through the portfolio.

我就講到這裡，布萊恩將瀏覽一下我的作品集。

Thanks, John, and good morning to everyone listening to the call.

謝謝約翰，祝所有收聽電話的人早上好。

I'll begin on Slides 4 and 5, which provide an overview of the interest rate and agency mortgage markets over the past year. As John mentioned and as shown in the upper-left chart of Slide 4, yields on U.S. treasuries largely reversed their move in the first quarter, ending the second quarter sharply higher across the yield curve as the regional bank crisis dissipated, the debt ceiling was swiftly resolved and the economy proved resilient despite persistent tightening of monetary policy.

我將從幻燈片 4 和 5 開始，它們概述了過去一年的利率和機構抵押貸款市場。正如約翰所提到的，如幻燈片4 左上角的圖表所示，美國國債收益率在第一季度基本逆轉了走勢，隨著地區銀行危機的消散，美國國債收益率在第二季度末大幅走高，債務上限也大幅上升。儘管貨幣政策持續收緊，但問題很快得到解決，經濟表現出韌性。

Short-term rates rose in line with further increases in the Fed funds rate as the Federal Reserve raised the benchmark rate an additional 50 basis points during the quarter. Pricing in the Fed funds futures market reflected the higher-for-longer policy stance by the Federal Reserve, pushing the expectations for cuts into the first half of 2024.

短期利率隨著聯邦基金利率的進一步上漲而上漲，因為美聯儲在本季度將基準利率額外提高了 50 個基點。聯邦基金期貨市場的定價反映了美聯儲長期走高的政策立場，將降息預期推至 2024 年上半年。

As shown in the lower-right chart, U.S. commercial banks further reduced their holdings of Agency MBS during the quarter, concurrent with runoff of the Federal Reserve's balance sheet, resulting in increased reliance on money manager and foreign investments to support valuations.

如右下圖所示，美國商業銀行在本季度進一步減少了機構 MBS 的持有量，同時美聯儲資產負債表也出現縮減，導致對資金管理公司和外國投資來支持估值的依賴增加。

In addition, organic net supply of agency mortgages to the market increased during the quarter as housing seasonals improved, while over 60% of the Agency RMBS held by the FDIC as a result of recently failed banks were liquidated by the end of the quarter. The FDIC liquidation has been executed on a significantly faster time line than the original 8- to 10-month expected time frame and could conclude in roughly half that time.

此外，隨著住房季節改善，本季度市場機構抵押貸款的有機淨供應量有所增加，而 FDIC 由於最近破產的銀行而持有的機構 RMBS 的 60% 以上在本季度末已被清算。 FDIC 清算的執行時間明顯快於最初 8 至 10 個月的預期時間範圍，並且可能會在大約一半的時間內完成。

Slide 5 provides more detail on the Agency RMBS market. In the upper-left chart, we show 30-year current coupon Agency RMBS performance versus U.S. treasuries over the past 12 months, highlighting the second quarter in gray. Performance in production coupons was volatile during the quarter as the sharp move higher in interest rates in May kept short-term volatility elevated; while the decline in volatility in June, coinciding with the debt ceiling resolution, resulted in a positive environment for valuations.

幻燈片 5 提供了有關代理 RMBS 市場的更多詳細信息。在左上角的圖表中，我們顯示了過去 12 個月中 30 年期利息機構 RMBS 與美國國債的表現，以灰色突出顯示了第二季度。由於 5 月份利率大幅上升，導致短期波動加劇，本季度生產券表現波動較大；而 6 月份波動性下降，恰逢債務上限決議，為估值帶來了積極的環境。

Current coupon valuations ended the quarter mixed versus hedges, modestly outperforming treasuries, while lagging interest rate swap hedges. As shown in the lower-left chart, valuations remain attractive for current coupon MBS as uncertainty regarding monetary policy keeps interest rate volatility elevated and bank demand remains tepid.

本季度結束時，當前的息票估值與對沖估值不同，表現略好於國債，但落後於利率掉期對沖估值。如左下圖所示，由於貨幣政策的不確定性導致利率波動加劇且銀行需求依然不溫不火，當前息票抵押貸款支持證券的估值仍然具有吸引力。

As indicated in the upper-right chart, specified pool pay-ups ended the quarter lower as higher interest rates resulted in lower premiums from prepayment protection; while implied financing and dollar roll market for TBA securities remains unattractive, as shown in the lower-right chart.

如右上圖所示，由於利率上升導致提前還款保護的保費降低，指定池繳款額在本季度末有所下降；而 TBA 證券的隱含融資和美元展期市場仍然沒有吸引力，如右下圖所示。

Slide 6 provides detail on our Agency RMBS investments and the changes in the portfolio during the quarter. We remain focused in more attractively priced higher coupons, which are largely insulated from direct exposure to assets held by the FDIC and on the Federal Reserve's balance sheet.

幻燈片 6 詳細介紹了我們的代理 RMBS 投資以及本季度投資組合的變化。我們仍然關注價格更具吸引力的高息票，這些票券在很大程度上不受 FDIC 持有的資產和美聯儲資產負債表的直接敞口影響。

In addition, we have no exposure to the deterioration in the dollar roll market for TBA securities as we are invested exclusively in specified pools. We continue to focus on specified pool allocation on pools that are expected to perform well in both a premium and discount environment and modestly improved the quality of our specified pool holdings by increasing our allocation of loan balance stories given more attractive valuations during the quarter.

此外，由於我們只投資於特定池，因此我們不會受到 TBA 證券美元展期市場惡化的影響。我們繼續關注預計在溢價和折價環境下表現良好的特定池配置，並通過增加貸款餘額故事的分配來適度提高特定池持有的質量，因為本季度估值更具吸引力。

Although we anticipate elevated interest rate volatility to persist as the fixed income market continues to reflect uncertainty in near-term monetary policy, we believe current valuations on production coupon Agency RMBS largely priced in this lack of clarity and represent attractive investment opportunities with current gross ROEs in the mid- to high-teens.

儘管我們預計，由於固定收益市場繼續反映近期貨幣政策的不確定性，利率波動性將持續上升，但我們認為，生產息票機構RMBS 目前的估值很大程度上反映了這種不確定性，並且就當前的總股本回報率而言，代表著有吸引力的投資機會在十幾歲左右。

Our remaining credit investments are detailed alongside our Agency CMO allocation on Slide 7. Our credit allocation was unchanged during the quarter at $45 million and remains high quality with 87% rated single-A or higher. Although we anticipate limited near-term price depreciation, we believe these assets are attractive holdings as they are held on an unlevered basis and provide favorable yields.

我們剩餘的信貸投資與我們的機構CMO 分配一起在幻燈片7 上進行了詳細說明。本季度我們的信貸分配保持在4500 萬美元不變，並且保持高質量，87% 的評級為單A 或更高。儘管我們預計近期價格貶值有限，但我們認為這些資產具有吸引力，因為它們是在無槓桿的基礎上持有的，並提供有利的收益率。

Our allocation to agency interest-only securities, detailed on the right side of Slide 7, remain largely unchanged as well, totaling $78 million at quarter end. These holdings also provide an attractive unlevered yield and benefit from the current slow prepayment environment given minimal housing turnover and limited refinance activity.

我們對機構只付息證券的分配（詳見幻燈片 7 右側的詳細信息）也基本保持不變，截至季度末總計 7800 萬美元。鑑於房屋周轉率極低和再融資活動有限，這些持有的資產還提供了有吸引力的無槓桿收益率，並受益於當前緩慢的預付款環境。

Slide 8 details our funding book at quarter end. Repurchase agreements collateralized by Agency RMBS increased to $5 billion, given the modest increase in our specified pool holdings as a result of the deployment of proceeds from our common stock ATM program. And our weighted average repo cost increased to 5.2%, consistent with changes in short-term funding rates due to tightening monetary policy.

幻燈片 8 詳細介紹了我們季度末的融資賬簿。鑑於我們的普通股 ATM 計劃收益部署導致我們的指定池持有量略有增加，由機構 RMBS 抵押的回購協議增加至 50 億美元。我們的加權平均回購成本上升至 5.2%，與緊縮貨幣政策導致的短期融資利率變化一致。

Positively, we also increased the hedges associated with those borrowings, $4.7 billion net notional of current pay fixed to receive floating interest rate swaps, increasing our hedge notional to 95% of borrowings and largely mitigating the impact of higher borrowing rates on the earnings power of the company.

積極的一面是，我們還增加了與這些借款相關的對沖，固定當前支付的名義淨額47 億美元用於接收浮動利率掉期，將我們的對沖名義借款增加到95%，並在很大程度上減輕了借款利率上升對盈利能力的影響。公司。

In order to hedge additional exposures further out the yield curve, at quarter end, we held $200 million net notional of forward-starting interest rate swaps. These forward-starting swaps became effective in July and increased our hedge ratio to 99%. Our economic leverage ended the quarter largely unchanged at 5.9x debt to equity versus 5.8x at the end of March, reflecting our positive outlook on higher-coupon Agency RMBS, given historically attractive valuations and a likely end to the monetary policy tightening cycle in the second half of 2023.

為了對沖收益率曲線之外的額外風險，截至季度末，我們持有 2 億美元的遠期利率掉期名義淨額。這些遠期啟動掉期於 7 月生效，並將我們的對沖比率提高至 99%。本季度結束時，我們的經濟槓桿率基本保持在5.9 倍，而3 月底為5.8 倍，這反映出我們對高息票機構RMBS 的樂觀前景，因為估值具有歷史吸引力，而且貨幣政策緊縮週期可能結束。 2023 年下半年。

Lastly, Slide 9 provides further detail on our interest rate swap portfolio. At the end of the second quarter, we held $6.3 billion notional of low-cost, pay-fixed swaps and $1.6 billion notional of received fixed swaps. Because the balance of our low-cost, pay-fixed swaps exceed our repo balance, we have an opportunity to grow our investment portfolio through purchases of Agency RMBS, hedged with swap rates notably below current market rates, resulting in significantly improved ROEs versus hedging at current market rates. Further, the weighted average maturity of our pay-fixed interest rate swaps, including foreign starters, is over 7 years, providing substantial benefit for the foreseeable future.

最後，幻燈片 9 提供了有關我們的利率掉期投資組合的更多詳細信息。截至第二季度末，我們持有 63 億美元的名義低成本、支付固定掉期和 16 億美元的名義已收固定掉期。由於我們的低成本、支付固定掉期的餘額超過了回購餘額，因此我們有機會通過購買代理RMBS 來擴大我們的投資組合，並以明顯低於當前市場利率的掉期利率進行對沖，從而與對沖相比，淨資產收益率顯著提高按目前的市場價格。此外，我們的支付固定利率掉期（包括國外首發）的加權平均期限超過 7 年，在可預見的未來提供了巨大的好處。

To conclude our prepared remarks, the second quarter of 2023 resulted in an improved environment for Agency RMBS as interest rate volatility declined modestly, while the attractiveness of the asset class remained elevated. We believe our bias for more attractively priced, higher-coupon specified pools leaves us well positioned for the second half of the year, given the potential for a further decline in interest rate volatility as the Federal Reserve seeks to conclude monetary policy tightening.

總結我們準備好的發言，2023 年第二季度，機構 RMBS 的環境有所改善，因為利率波動性溫和下降，而該資產類別的吸引力仍然較高。我們認為，鑑於美聯儲尋求結束貨幣政策緊縮，利率波動性可能進一步下降，我們對價格更具吸引力、息票更高的指定池的偏好使我們在今年下半年處於有利地位。

Further, earnings remain well supported given a high hedge ratio on our funding costs, and our liquidity position is robust as leverage remains well below historical averages for an Agency RMBS-focused strategy. While we anticipate potential near-term volatility as monetary policy tightening concludes, we believe current valuations provide a supportive backdrop for long-term investment.

此外，鑑於我們對融資成本的高對沖比率，盈利仍得到良好支持，而且我們的流動性狀況強勁，因為槓桿率仍遠低於以機構 RMBS 為重點的策略的歷史平均水平。雖然我們預計隨著貨幣政策收緊結束，近期可能出現波動，但我們認為當前估值為長期投資提供了支撐背景。

Thank you for your continued support for Invesco Mortgage Capital, and now we will open the line for Q&A.

感謝您一直以來對景順抵押資本的支持，現在我們將開通問答專線。

(Operator Instructions) And our first question comes from Doug Harter with Credit Suisse.

（操作員說明）我們的第一個問題來自瑞士信貸銀行的 Doug Harter。

You referenced the economic leverage at 5.9x. I guess, what is the current leverage to common? And which do you view as kind of the more of a gating factor in terms of your portfolio size?

您提到的經濟槓桿為 5.9 倍。我猜，目前的普通槓桿是多少？就您的投資組合規模而言，您認為哪一個因素更為重要？

Doug, it's Brian. Yes, I think our leverage to common is right around 10x at this point. So I think, yes, that's typically the number that we look at as far as measuring the risk in the portfolio.

道格，這是布萊恩。是的，我認為目前我們的普通股槓桿約為 10 倍。所以我認為，是的，這通常是我們在衡量投資組合風險時所關注的數字。

Got it. And I guess just with that, do you have -- to the extent that we continue to go through bouts of volatility, I guess, do you have the ability to kind of hold on to portfolio size if this first few days of August continues? Or do you kind of need to risk manage the portfolio down? Just I guess, how do you think about that?

知道了。我想，就這一點而言，如果我們繼續經歷一輪又一輪的波動，如果八月的前幾天持續下去，您是否有能力保持投資組合規模？或者您是否需要對投資組合進行風險管理？我只是猜測，你對此有何看法？

Yes. I mean that number 10 has drifted a little bit higher here in the first part of August, and that's our current number. So at that level, we still have ample liquidity and have no need to readjust the portfolio. And I think that still gives us plenty of room as volatility declines to add to leverage as we see fit.

是的。我的意思是，8 月上旬，數字 10 有所上升，這就是我們當前的數字。所以在這個水平上，我們的流動性還是充裕的，沒有必要重新調整投資組合。我認為，隨著波動性下降，這仍然為我們提供了足夠的空間，可以在我們認為合適的情況下增加槓桿。

Great. And then just on that, I mean I guess how do you view the current risk/reward, kind of how much more widening could we see from here given the wide starting levels? And what's your outlook as to how much spreads might tighten as volatility -- as or if volatility comes down?

偉大的。然後就這一點，我的意思是，我猜你如何看待當前的風險/回報，考慮到廣泛的起始水平，我們可以從這裡看到多少擴大？您對隨著波動性（波動性下降或波動性下降）利差可能收緊的程度有何看法？

Yes. Spreads on kind of higher coupon or production coupons are, call it, between 175 and 200 versus SOFR swaps. And at this point, given the underperformance that we've seen here over the last week, we're getting pretty close to the lives that we saw in March and in October of last year. So at maybe, call it, another 10 basis points wider, we saw a pretty significant demand come in from the money manager community. So we would expect, if volatility were to kind of fade from current levels, that we would see that amount of support again.

是的。與 SOFR 掉期相比，較高息票或生產息票的利差在 175 至 200 之間。在這一點上，考慮到上週我們看到的表現不佳，我們已經非常接近去年三月和十月的生活了。因此，也許，再擴大 10 個基點，我們看到資金經理社區出現了相當大的需求。因此，我們預計，如果波動性從當前水平有所減弱，我們將再次看到如此多的支撐。

Our next question comes from Trevor Cranston with JMP Securities.

我們的下一個問題來自 JMP 證券公司的特雷弗·克蘭斯頓 (Trevor Cranston)。

Can you guys talk about where you see the current duration gap on the portfolio and how much net exposure you have to steepening of the yield curve? And then I guess, as a second part of the question, could you just give us an update on where you're seeing book value currently this quarter?

你們能否談談目前投資組合的久期差距在哪裡，以及您對收益率曲線陡化的淨敞口有多大？然後我想，作為問題的第二部分，您能否向我們介紹一下本季度目前賬面價值的最新情況？

Yes, I'll take the first part of that on duration gap. We typically target between 0.5 year and 1 year, and that number will move around as interest rates change. So given the selloff that we've seen, we're probably towards the higher end of that range.

是的，我將討論持續時間差距的第一部分。我們的目標通常是 0.5 年到 1 年，這個數字會隨著利率的變化而變化。因此，考慮到我們所看到的拋售，我們可能正在接近該範圍的高端。

From a yield curve perspective, we try to stay relatively neutral. The swap book that we have, the reason that we have such longer-dated swaps is just given the profile of the mortgages that we own. So we stay relatively neutral from that perspective.

從收益率曲線的角度來看，我們盡量保持相對中性。我們擁有的互換簿，我們擁有如此長期互換的原因只是考慮到我們擁有的抵押貸款的概況。因此，從這個角度來看，我們保持相對中立。

And then from a book value, we put a range out for the end of July, which showed relatively unchanged from quarter end. And there has been some underperformance certainly as we started the month of August here as rates have moved higher, and this volatility has also increased mortgages and underperformed.

然後從賬面價值來看，我們給出了 7 月底的範圍，與季末相比相對沒有變化。當我們從八月份開始時，隨著利率走高，肯定會出現一些表現不佳的情況，這種波動也增加了抵押貸款並表現不佳。

I'm showing no further questions in queue.

我在隊列中沒有顯示任何其他問題。

Okay. Well, thank you, everybody, for joining us on the call, and we look forward to speaking again next quarter. Thanks.

好的。好的，謝謝大家加入我們的電話會議，我們期待下個季度再次發言。謝謝。

Thank you. And that concludes today's conference. You may all disconnect at this time.

謝謝。今天的會議到此結束。此時你們都可以斷開連接。