Invesco Mortgage Capital Inc (IVR) 2024 Q3 法說會逐字稿

Welcome to the Invesco Mortgage Capital third-quarter 2024 earnings call. (Operator Instructions)

歡迎參加 Invesco Mortgage Capital 2024 年第三季財報電話會議。（操作員指令）

Also, as a reminder, this call is being recorded. Now would like to turn the call over to Greg Seals, in Investor Relations. Mr. Seals, you may begin.

另外，提醒一下，本次通話正在錄音。現在我想將電話轉給投資者關係部的 Greg Seals。西爾斯先生，您可以開始啦。

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 a presentation that covers the topics we plan to address today. The 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.

感謝接線員，也感謝參加 Invesco Mortgage Capital 季度收益電話會議的所有人。除了今天的新聞稿之外，我們還提供了一份演示文稿，涵蓋我們今天計劃討論的主題。新聞稿和簡報可在我們的網站 invescomortgagecapital.com 上找到。您可在網站的「投資者關係」部分找到此資訊。

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.

我們今天的介紹將包括前瞻性陳述和某些非公認會計準則財務指標。請查看簡報第 2 張投影片中有關這些報表和措施的揭露內容以及附錄中與 GAAP 的相應對帳。

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

最後，Invesco Mortgage Capital 不對第三方提供的收益電話會議記錄負責，也不編輯或保證其準確性。唯一授權的網路廣播位於我們的網站上。再次歡迎您並感謝您今天的參與。現在我將電話轉給我們的執行長 John Anzalone。

Thanks, Greg. Good morning and welcome to Invesco Mortgage Capital's third quarter earnings call. I'll provide some brief comments before turning the call over to our Chief Investment Officer, Brian Norris to discuss our portfolio in more detail. Also joining us on the call this morning for Q&A is our President, Kevin Collins; our COO, David Lyle; and our recently appointed interim CFO, Mark Gregson. So welcome, Mark.

謝謝，格雷格。早安，歡迎參加 Invesco Mortgage Capital 第三季財報電話會議。在將電話轉交給我們的首席投資長 Brian Norris 更詳細地討論我們的投資組合之前，我將發表一些簡短的評論。今天上午參加電話會議問答的還有我們的總裁凱文‧柯林斯 (Kevin Collins)；我們的營運長 David Lyle；以及我們最近任命的臨時財務長Mark Gregson。歡迎您，馬克。

During the quarter, interest rates dropped sharply across the curve as investors reacted to cooling inflation and the potential for slower economic activity signaled by a weakening labor market. These factors also led to a repricing of the market's expectations of future monetary policy.

本季，由於投資人對通膨降溫以及勞動市場疲軟預示的經濟活動可能放緩做出反應，全線利率大幅下降。這些因素也導致市場對未來貨幣政策預期的重新定價。

Following the FOMC'S initial 50 basis point reduction in its benchmark rate in September, the Federal funds futures market reflected an expectation that the target rate would be reduced by an additional 50 to 75 basis points during the balance of 2024, with another 100 to 125 basis points worth of cuts priced into 2025.

繼9月聯邦公開市場委員會首次將基準利率下調50個基點後，聯邦基金期貨市場反映出這樣一種預期，即目標利率將在2024年剩餘時間內進一步下調50至75個基點，另外100至125個基點的降息將被計入2025年的預期。

Against this backdrop, agency mortgages outperformed treasuries during the third quarter. Moderating industry volatility and the steeping of the yield curve spurred demand for agency mortgages with lower coupons performing better than higher coupons as a sharp decline in interest rates mitigated demand for coupons trading at a premium to par.

在此背景下，第三季機構抵押貸款表現優於國債。產業波動性緩和以及殖利率曲線趨陡刺激了對機構抵押貸款的需求，由於利率大幅下降緩解了對溢價交易的票息需求，低票息表現優於高票息。

Overall, prepayment speeds remained at very low levels given limited housing activity and elevated mortgage rates, but speeds increased notably on higher coupons in September as the decline in mortgage rates over the summer led to a surge in refinancings in more recent originations.

總體而言，由於住房活動有限和抵押貸款利率上升，預付款速度仍然處於非常低的水平，但由於夏季抵押貸款利率下降導致近期再融資激增，9 月份票息較高，預付款速度明顯加快。

Given the decline in mortgage rates and upward pressure on prepayments, premiums on higher coupon specified full collateral increased modestly, while implied volatility via the dollar roll market -- our implied financing via the dollar roll market for TBA investments remained relatively unattractive throughout the quarter. Agency CMBS risk premiums move modestly wider. Increasing the relative value versus agency mortgages.

鑑於抵押貸款利率下降和預付款上行壓力，指定全額抵押品的較高票息溢價小幅上漲，而透過美元展期市場隱含的波動性——我們透過美元展期市場為 TBA 投資提供的隱含融資在整個季度仍然相對缺乏吸引力。機構 CMBS 風險溢酬小幅擴大。相對於代理抵押貸款，增加相對價值。

The positive environment for mortgages contributed to a 1.1% increase in book value per common share to $9.37. Combined with our $0.40 common stock dividend, this resulted in an economic return of 5.4% for the quarter.

抵押貸款的利好環境推動每股普通股帳面價值上漲 1.1% 至 9.37 美元。加上我們的0.40美元普通股股息，本季的經濟報酬率達 5.4%。

As we enter the fourth quarter, uncertainty around the US elections and the future path of monetary policy has caused a sharp increase in both treasury yields and interest rate volatility which has put heavy pressure on mortgage valuations. As of last night, our estimated book value is down approximately 5.8% since [9/30].

進入第四季度，美國大選和未來貨幣政策走勢的不確定性，導致國債殖利率和利率波動性大幅上升，給抵押貸款估值帶來巨大壓力。截至昨晚，我們估計帳面價值自[9/30]。

Our debt-to-equity ratio ended the second quarter at 6.1 times up from 5.6 as of June 30. While our economic debt to equity ratio increased from 5.9 times to 6.1 times quarter over quarter.

我們的負債權益比在第二季末為 6.1 倍，高於 6 月 30 日的 5.6 倍。我們的經濟負債與股權比率則從上一季的5.9倍增加到6.1倍。

As of the end of the quarter, our $5.9 billion investment portfolio primarily consisted of $5.2 billion of agency mortgages and $0.7 billion of agency CMBS. And we continue to maintain a sizable balance of unrestricted cash and unencumbered investmfents totaling $520 million.

截至本季末，我們 59 億美元的投資組合主要包括 52 億美元的機構抵押貸款和 7 億美元的機構 CMBS。我們繼續保持相當大的無限現金餘額和無抵押投資餘額，總額達到 5.2 億美元。

For the quarter, earnings available for distribution per common share was $0.68 compared to $0.86 in the second quarter. This decrease primarily reflects reduction in our effective net interest income related to changes in the size and composition of our hedging portfolio.

本季每股普通股可供分配收益為 0.68 美元，而第二季為 0.86 美元。這一減少主要反映了與我們的對沖組合規模和組成變化有關的有效淨利息收入的減少。

Yesterday, we announced our intention to redeem our series B preferred shares on December 27, which will help optimize our capital structure and reduce our dividend obligations going forward.

昨天，我們宣布了在12月27日贖回B系列優先股的意圖，這將有助於優化我們的資本結構並減少我們未來的股利義務。

Looking ahead, the recent disinflationary trend in economic data suggests that the Federal Reserve can continue to ease monetary policy in the coming months as the need for restrictive monetary policy declines.

展望未來，近期經濟數據的通貨緊縮趨勢表明，隨著限制性貨幣政策需求下降，聯準會可以在未來幾個月繼續放鬆貨幣政策。

This easing combined with the end of the US election cycle, should lead to a steeper yield curve in lower industry volatility, creating a favorable environment for agency mortgage investments. However, if this inflationary trend versus the labor market and economic growth improved expectations for monetary policy shift, posing a near term risk.

這種放鬆政策加上美國大選週期的結束，應該會導致產業波動性較低的情況下殖利率曲線更加陡峭，為機構抵押貸款投資創造有利的環境。然而，如果這種通膨趨勢與勞動市場和經濟成長改善的預期相悖，貨幣政策將發生轉變，從而帶來短期風險。

Additionally, short term funding pressures into yearend could impact many of the sector. Despite these near-term risks, we are constructive on the sector as agency mortgage performance stands to benefit from normalization of monetary policy given attractive valuations in support of supply and demand technicals.

此外，年底的短期融資壓力可能會影響該行業的許多領域。儘管存在這些短期風險，但我們對該行業持建設性看法，因為鑑於供需技術面支持的具有吸引力的估值，機構抵押貸款業績將受益於貨幣政策正常化。

We also remain constructive on agency CMBS as we expect a gradual increase in new issuance to be met with adequate investor demand, as the sector offers value relative to other fixed income investments, given its attractive prepayment protection and return profiles.

我們對機構 CMBS 仍持建設性態度，因為我們預計新發行量將逐步增加，以滿足足夠的投資者需求，因為考慮到其具有吸引力的提前還款保護和回報狀況，該行業相對於其他固定收益投資具有價值。

Now I'll turn the call over to Brian to go through the portfolio.

現在我將把電話轉給布萊恩來審查作品集。

Thanks, John, and good morning to everyone listening to the call. I'll begin on slide 4, which provides an overview of the interest rate and mortgage markets. As shown on the chart in the upper left, US treasury yields declined across the yield curve during the third quarter. As two-year yields were 111 basis points lower, while 10 year and 30-year yields declined 61 and 44 basis points respectively.

謝謝，約翰，各位聽眾早安。我將從幻燈片 4 開始，該幻燈片概述了利率和抵押貸款市場。如左上圖所示，第三季美國公債殖利率全線下降。兩年期公債殖利率下降 111 個基點，而 10 年期和 30 年期公債殖利率分別下降 61 個基點和 44 個基點。

The chart on the bottom left provides Fed funds futures market pricing since yearend. Due to ongoing disinflation and a weakening labor market, investors priced in two more 25 basis point cuts in the Fed funds rate for 2024 and 2025 by the end of the third quarter compared to the end of the second quarter.

左下方的圖表提供了自年底以來的聯邦基金期貨市場定價。由於持續的通貨緊縮和勞動力市場的疲軟，與第二季末相比，投資者在第三季末已經預期到聯邦基金利率將在 2024 年和 2025 年再兩次下調 25 個基點。

By the end of October, investor expectations moderated due to a stronger than expected September employment report, raising concerns that monetary policy may remain tighter for longer. Elevated monetary policy uncertainty and the strength of the economy has caused interest rate volatility to rise sharply leading to agency mortgage underperformance in October.

10月底，由於9月就業報告強於預期，投資人預期會緩和，引發人們對貨幣政策可能在較長時間內維持緊縮的擔憂。貨幣政策不確定性上升和經濟強勁導致利率波動性急劇上升，導致十月份機構抵押貸款表現不佳。

The chart in the upper right reflects changes in short term funding rates since yearend. During the third quarter, funding rates declined in line with expectations for near term monetary policy easing. But repo rates exhibited its substantial volatility at quarter end, given heavy US treasury supply and increased demand for repo. Positively the repo market normalized in October, although spreads have remained modestly wider given concerns regarding future treasury supply, election, and monetary policy uncertainty, and the risk of renewed funding pressures into yearend.

右上角的圖表反映了自年底以來短期融資利率的變化。第三季度，融資利率隨著近期貨幣政策放寬的預期而下降。但由於美國公債供應充足，回購需求增加，回購利率在季末呈現大幅波動。積極的一面是，回購市場在 10 月恢復正常，儘管由於對未來國債供應、選舉和貨幣政策不確定性的擔憂，以及年底再度出現融資壓力的風險，利差仍然略有擴大。

Lastly, the bottom right chart details agency mortgage holdings by the Federal Reserve and US banks. Runoff of the Fed's balance sheet continues, with agency mortgages declining by approximately $15 billion to $20 billion per month, while US banks added modestly to their balance sheets. We expect bank demand for Agency CMBS to rise as monetary policy eases and the finalization of the Basel III guidelines, likely by late 2024 or early 2025 provides banks with greater regulatory clarity.

最後，右下方的圖表詳細顯示了聯準會和美國銀行的機構抵押貸款持有情況。聯準會資產負債表的縮水仍在繼續，機構抵押貸款每月減少約 150 億至 200 億美元，而美國銀行的資產負債表則略有增加。我們預計，隨著貨幣政策的放鬆和巴塞爾協議 III 準則的最終確定（可能在 2024 年底或 2025 年初為銀行提供更清晰的監管規定），銀行對機構 CMBS 的需求將會上升。

Slide 5 provides more detail on the agency mortgage market. In the upper left chart, we show 30-year current coupon performance versus US treasury since yearend, highlighting the third quarter in gray. Current coupons outperformed during the quarter as interest rate volatility declined and the yield curve steepened, improving investor demand.

幻燈片 5 提供了有關代理抵押貸款市場的更多詳細資訊。在左上角的圖表中，我們展示了自年底以來 30 年期現行票息相對於美國國債的表現，並以灰色突出顯示第三季。由於利率波動性下降、殖利率曲線趨陡，投資者需求改善，當前票面利率在本季表現優異。

Since the end of the quarter however, increased interest rate volatility and a bare flattening yield curve led to sharp underperformance in the sector. Nominal spreads on current coupons return to year-to-date wides and remain historically attractive as ongoing interest rate volatility is limiting demand. Specified pool pay ups improved in the third quarter due to the decline in mortgage rates. But have partially reversed as the abrupt increase in interest rates has led to less demand for prepayment protection.

然而，自本季末以來，利率波動加劇和殖利率曲線趨平導致該產業表現大幅不佳。由於持續的利率波動限制了需求，當前票面利率的名目利差回到年初至今的水平，並保持歷史吸引力。由於抵押貸款利率下降，第三季指定資金池償付有所改善。但由於利率急劇上升導致提前還款保護需求減少，此趨勢已部分逆轉。

Lastly, as shown in the lower right chart, the dollar roll market for TBA securities became relatively unattractive again with implied funding rates higher than silver for most coupons. We continue to prefer specified pools over TBA, given their more predictable prepayment behavior and favorable funding levels.

最後，如右下圖所示，TBA 證券的美元展期市場再次變得相對缺乏吸引力，大多數息票的隱含融資利率高於白銀。我們仍然青睞指定資金池而非TBA，因為它們的預付款行為更可預測且資金水準有利。

Slide 6 details our agency RMBS Investments and summarizes investment portfolio changes during the quarter. Our agency RMBS portfolio increased 12% quarter over quarter as we invested proceeds from ATM issuance into higher coupons. We continue to rotate a portion of our lower coupons into agency CMBS as the relative value improved, given tighter spreads and discount agency RMBS.

投影片 6 詳細介紹了我們的機構 RMBS Investments，並總結了本季的投資組合變更。由於我們將 ATM 發行收益投資於更高的票，我們的機構 RMBS 投資組合比去年同期成長了 12%。由於利差收窄及機構 RMBS 折扣，相對價值有所提高，我們繼續將部分較低票面轉入機構 CMBS。

Overall, we remain focused in higher coupon agency RMBS which should see greater benefit from a decline in interest rate volatility and are largely insulated from direct exposure to assets held by commercial banks, and on the federal reserve balance sheet.

整體而言，我們仍關注票面利率較高的機構 RMBS，這類債券應能從利率波動性下降中獲益更多，而且基本上不會直接受到商業銀行持有的資產以及聯準會資產負債表的影響。

We focused our specified pool allocation on prepayment characteristics that are expected to perform well in both premium and discount environments with our largest concentration on lower loan balance collateral given more predictable prepayments.

我們將指定資金池分配重點放在預計在溢價和折價環境下均表現良好的預付款特徵上，其中，在更可預測的預付款情況下，我們最集中的是較低的貸款餘額抵押品。

In addition, during the quarter, we rotated our $200 million notional TBA position into higher coupon specified pools and implied funding levels in the dollar roll market deteriorate.

此外，在本季度，我們將 2 億美元名目 TBA 部位輪換至票面利率較高的指定池，美元展期市場的隱含融資水準下降。

Although we anticipate interest rate volatility to remain moderately elevated in the near term, we believe current valuations on production coupon agency RMBS largely reflect this risk, and represent attractive investment opportunities, with current gross ROEs in the mid- to high-teens.

儘管我們預計短期內利率波動仍將保持適度高位，但我們認為生產息票機構 RMBS 的當前估值在很大程度上反映了這種風險，並且代表著有吸引力的投資機會，當前總 ROE 處於中高水平。

Slide 7 provides detail on our agency CMBS portfolio. We purchased $214 million in the third quarter, bringing our exposure to approximately 12% of our total investment portfolio.

投影片 7 詳細介紹了我們的機構 CMBS 投資組合。我們在第三季購買了 2.14 億美元，使我們的投資曝險達到我們總投資組合的約 12%。

We believe Agency CMBS offers many benefits, mainly through its prepayment protection and fixed maturities which reduce our sensitivity to interest rate volatility. Gross ROEs on our new purchases were in the low double digits ROEs, and we have been disciplined on adding exposure only when the relative value between agency CMBS and Agency RMBS accurately reflects their different risks.

我們認為機構 CMBS 具有諸多優勢，主要是透過其提前還款保護和固定期限來降低我們對利率波動的敏感度。我們新購買資產的總 ROE 處於兩位數的低位，並且只有當機構 CMBS 和機構 RMBS 之間的相對價值準確反映其不同的風險時，我們才會增加風險敞口。

Financing capacity has been robust as we have been able to finance our purchases with multiple counterparties at attractive levels. We will continue to monitor the sector for opportunities to increase our allocation as they become available. Recognizing the overall benefits to the portfolio as the sector diversifies risks associated within our Agency RMBS portfolio.

由於我們能夠以具有吸引力的水平向多個交易對手提供採購資金，因此融資能力一直很強勁。我們將繼續監控該行業，尋找增加分配的機會。隨著該行業分散了與我們機構 RMBS 投資組合中相關的風險，我們認識到投資組合的整體利益。

Our agency CMO allocation is detailed alongside our remaining credit investments on slide 8. Our allocation to both agency interest only and credit security remained unchanged. $73 million allocated to Agency [CMO] and all $18 million allocated to credit at quarter end. Although we anticipate limited near-term price appreciation in these investments, we believe they provide attractive yields for unlevered holdings with returns in the high single digits.

我們的機構 CMO 分配與我們剩餘的信貸投資一起詳細說明在第 8 頁的幻燈片上。我們對代理機構僅付利息和信用證券的分配保持不變。 7,300 萬美元分配給代理機構 [CMO]，所有 1,800 萬美元均在季度末分配給信貸。儘管我們預期這些投資的短期價格升值有限，但我們相信它們將為無槓桿持有的資產提供頗具吸引力的收益，回報率達到高個位數。

Slide 9 details our funding in hedge book at quarter end repurchase agreements collateralized by Agency CMBS increased from $4.3 billion to $5.2 billion, reflecting the increase in our equity base and assets. And our notional pay fixed interest rate swaps increased as well from $3.9 billion to $4.3 billion. Given the smaller increase in our hedge notional, the ratio of our hedge notional to borrowings decreased quarter over quarter to 83% from 92%, as we increased our position in longer duration treasury futures.

投影片 9 詳細說明了我們在季度末對沖帳簿中的資金，由機構 CMBS 擔保的回購協議從 43 億美元增加到 52 億美元，反映了我們的股本基礎和資產的增加。我們的名目支付固定利率掉期也從 39 億美元增加到 43 億美元。由於我們的對沖名目金額增幅較小，由於我們增加了較長期國債期貨的頭寸，我們的對沖名目金額與借款的比率從 92% 環比下降至 83%。

In addition, the sharp decline in interest rates led to further repositioning of the swap book as the interest rate sensitivity of our assets decreased, warranting a similar decrease in the weighted average maturity of our hedges.

此外，由於我們資產的利率敏感度降低，利率的急劇下降導致掉期帳簿的進一步重新定位，從而保證我們的對沖加權平均期限也相應減少。

Reflecting this change, the weighted average maturity of our swaps declined from 7.5 years at the end of the second quarter to 5.4 years. Resulting in an increase in the weighted average coupon on our pay fixed swaps from 1.22% to 1.37%.

反映這一變化，我們的掉期加權平均期限從第二季末的 7.5 年下降到 5.4 年。導致我們的支付固定掉期加權平均票面利率從 1.22% 增加到 1.37%。

Economic leverage ended the quarter at 6.1 times debt to total equity up from 5.9 times at the end of June. While our debt to common equity declined from nearly 9.5 times to 9.1 times at quarter end. The increase in our total equity leverage and decline in common equity leverage highlights the positive impact of our improving capital structure. Subsequent to quarter end, we announced our intention to call our series B preferred equity in late December which will further improve our capital structure as we enter 2025.

本季末，經濟槓桿率為負債與權益總額的 6.1 倍，高於 6 月底的 5.9 倍。而我們的債務與普通股權益之比在季末從近 9.5 倍下降到 9.1 倍。我們總股權槓桿的上升和普通股股權槓桿的下降凸顯了我們資本結構改善的正面影響。季度末之後，我們宣布了在 12 月下旬贖回 B 系列優先股的意圖，這將在進入 2025 年時進一步改善我們的資本結構。

To conclude our prepared remarks, despite strong results in the third quarter, financial markets have been quite volatile in recent weeks. as investors become increasingly concerned about the outcome of the election and its impact on near term fiscal policy, while also continuing to debate the path and magnitude of monetary policy easing. The sharp decline in interest rates reversed notably in October, increasing interest rate volatility and negatively impacting Agency RMBS valuations.

總結我們的準備好的發言，儘管第三季業績強勁，但最近幾週金融市場仍然相當動盪。投資者越來越關注選舉結果及其對近期財政政策的影響，同時也繼續爭論貨幣政策放鬆的路徑和幅度。10月份，利率急劇下降的勢頭出現明顯逆轉，加劇了利率波動並對機構RMBS估值產生了負面影響。

We believe IVR is well positioned to navigate current mortgage market volatility given our moderate leverage and robust liquidity as well as our increased allocation to Agency CMBS. We continue to selectively capitalize on historically attractive agency RMBS spreads and believe the sector is poised to perform well as the currently volatile election cycle type passes.

我們相信，鑑於我們適中的槓桿率和強勁的流動性以及我們對機構 CMBS 的配置增加，IVR 能夠很好地應對當前抵押貸款市場的波動。我們繼續有選擇地利用具有歷史吸引力的機構 RMBS 利差，並相信隨著當前動蕩的選舉週期類型的過去，該行業將表現良好。

Our liquidity position provides substantial cushion for further potential market stress while also providing capital to deploy into our target assets as the investment environment improves. In addition, we believe further easing of monetary policy will lead to a steeper yield curve and decline in interest rate volatility. Both of which provide a supportive backdrop for agency mortgages as they improve demand from commercial banks, overseas investors, money managers and [REITs]. Thank you for your continued support for Invesco Mortgage Capital. And now we will open the line for Q&A.

我們的流動性狀況為進一步的潛在市場壓力提供了巨大的緩衝，同時隨著投資環境的改善，我們也提供了資本來部署到目標資產。此外，我們認為進一步放鬆貨幣政策將導致殖利率曲線更加陡峭，利率波動性下降。兩者都為機構抵押貸款提供了支持背景，因為它們提高了商業銀行、海外投資者、基金經理和[房地產投資信託基金]。感謝您對 Invesco Mortgage Capital 的持續支持。現在我們將開通問答熱線。

We will now begin the question-and-answer session. (Operator Instructions)

我們現在開始問答環節。（操作員指令）

Jason Weaver, Jones Trading.

傑森‧韋弗，瓊斯貿易公司。

Hi, good morning. Thanks for taking my question. I want to bridge to your comments about the addition of the agency CMBS. I appreciate the fact that might dampen book value volatility, but does that change your approach to how you set leverage targets there? I.e. could you support higher leverage going forward.

嗨，早安。感謝您回答我的問題。我想回應您對增加 CMBS 機構的評論。我知道這可能會抑制帳面價值波動，但這會改變您設定槓桿目標的方法嗎？IE。您是否支持今後提高槓桿？

Hey, Jason, it's Brian. Yeah, thanks for the question. Yeah, I think, to the extent that our exposure to rate fall declines, that would allow us to increase (inaudible). I think, clearly, the month of October has been pretty challenging. But they put us in a pretty good position where spreads are attractive and as that volatility declines, it gives us more room to be able to add in the future.

嘿，傑森，我是布萊恩。是的，謝謝你的提問。是的，我認為，隨著利率下降，我們能夠增加（聽不清楚）。我認為，十月顯然是相當具有挑戰性的。但它們使我們處於一個相當有利的地位，即利差具有吸引力，而且隨著波動性的下降，它為我們提供了在未來增加更多空間。

You know, I'll point out also, this is John, the Agency CMBS has basically the same borrowing cost and haircuts as agency mortgages. So that doesn't impact leverage from that perspective either.

你知道，我還要指出，這是約翰，機構 CMBS 的借貸成本和折扣基本上與機構抵押貸款相同。從這個角度來看，這也不會影響槓桿率。

Got it. Thank you. That's helpful. And then I was curious about any sort of perspective change in positioning quarter to date, noting that you, you've raised quite a bit on your ATM in the third quarter.

知道了。謝謝。這很有幫助。然後我很好奇本季迄今的定位觀點是否有任何變化，我注意到，您在第三季已經在 ATM 上籌集了相當多的資金。

Yeah, quarter to date, nothing too significant changes wise. I think like I said, October was pretty volatile, and we came into it with a strong liquidity position, and moderate leverage. And so, our ability to kind of withstand that volatility allowed us to not have to make significant changes since quarter end.

是的，本季迄今為止，沒有什麼重大變化。我想就像我說的，十月相當動盪，我們以強大的流動性狀況和適度的槓桿率進入十月。因此，我們抵禦波動的能力使得我們自季度末以來無需做出重大改變。

Okay. That's helpful. Thank you.

好的。這很有幫助。謝謝。

(Operator Instructions)

（操作員指令）

Trevor Cranston, Citizens JMP.

特雷弗·克蘭斯頓 (Trevor Cranston)，公民 JMP。

Hey, thanks. You guys have historically mostly used swaps for hedging purposes and those have kind of underperformed relative to using treasury hedges over the last several months.

嘿，謝謝。你們歷史上主要使用掉期進行對沖，而過去幾個月，與使用國債對沖相比，掉期的表現有點不佳。

I was just curious if you guys have any kind of general thoughts about swaps versus treasuries? Why swap spreads have become so negative and if there's any sort of change in your thinking in terms of using either as a hedge instrument going forward.

我只是好奇你們對於掉期和國債有什麼整體看法嗎？為什麼掉期利差會變得如此負面，以及您在使用它們作為未來對沖工具方面的想法是否有任何改變。

Yeah. Hey, Trevor, it's Brian. Yeah. No, we certainly started in the third quarter to using treasury futures more prominently. Yeah, you're right. I mean, swap spreads have been moving tighter for quite a while now. And I think, the move from live board to SOFR kind of removed the credit component of swap spreads. And it's mostly more just about treasury supply at this point.

是的。嘿，特雷弗，我是布萊恩。是的。不，我們確實從第三季開始更加重視使用國債期貨。是的，你說得對。我的意思是，掉期利差現在已經持續縮窄一段時間了。我認為，從即時市場轉向 SOFR 在某種程度上消除了掉期利差的信用成分。目前，這主要與國庫供應有關。

And the expectation is that treasury supply has been robust and it's likely to continue to be robust. So we're a bit concerned that swap spreads won't be mean reverting. And so this tightening that we've seen could be relatively persistent. And so our idea is to increase our exposure, our hedge book, in treasury futures that will help mitigate our exposure to swaps reps.

預計國債供應一直強勁，並可能繼續保持強勁。因此，我們有點擔心掉期利差不會回歸平均值。因此，我們所看到的這種緊縮趨勢可能會相對持續。因此，我們的想法是增加我們在國債期​​貨中的風險敞口和對沖帳簿，這將有助於減輕我們對掉期交易的風險敞口。

Okay. Got it. That's helpful. Thank you.

好的。知道了。這很有幫助。謝謝。

Thank you.

謝謝。

Jason Stewart, Janney.

傑森斯圖爾特，詹妮。

Hi, thanks. Good morning. Just a quick clarification on the down 5.8 through [11-5.] Is that including a dividend accrual.

嗨，謝謝。早安.只是想快速澄清一下下降 5.8 至 [11-5]。

Correct. Yes. Yeah, that includes -- I'm sorry, well, it excludes the impact of the dividend.

正確的。是的。是的，這包括——抱歉，它不包括股息的影響。

Excludes the dividend. Okay. And then, obviously some big moves this morning with [10] sorts of approaching [450]. I was just wondering what your macro take was on where you think [10s] as a benchmark for mortgages are headed in terms of the news we got overnight and maybe how that coincides with your view of rate fall.

不包括股息。好的。然後，顯然今天早上有一些大動作，[10] 各種接近[450]。我只是想知道，根據我們隔夜得到的消息，您對[10年期]抵押貸款基準的走向有何宏觀看法，以及這與您對利率下降的看法如何相吻合。

Yeah, certainly a pretty fresh moves so far this morning. I think the move in treasure rates was largely expected based on the outcome of the election. And so that's not a surprise from that perspective. I think actually implied [vol] has come down so that's been a positive for mortgages, at least here initially. I haven't looked in the last 30 minutes or so. So clearly there have been, on the day after the election, some pretty big swings in markets, historically.

是的，今天早上到目前為止確實有相當新鮮的舉動。我認為國債利率的變動很大程度上是根據選舉結果而預期的。從這個角度來看，這並不奇怪。我認為實際上隱含的[vol]已經下降，這對抵押貸款來說是有利的，至少最初是這樣。我已經有 30 分鐘左右沒有看過了。因此，從歷史上看，選舉後的第二天市場顯然會出現相當大的波動。

But I do think that it's a question of implied volatility versus realized volatility. I think like I said, implied has come down now that we're kind of past this event. So that's a positive. As far as where treasury yields end up, that's a tough question. I think the expectation is kind of in that, 4.5 to 4, 3 quarters range here in the near term. So we could continue to see some pressure higher, but steeper curve and lower implied [vols] should both be relatively positive, particularly for higher coupon (inaudible).

但我確實認為這是一個隱含波動率與實際波動率的問題。我想就像我說的，既然我們已經度過了這個事件，暗示已經下降了。這是積極的。至於國債殖利率最終會走向何處，這是一個很難回答的問題。我認為短期內的預期是在 4.5 到 4.3 個季度之間。因此，我們可能會繼續看到一些更高的壓力，但更陡的曲線和更低的隱含波動率都應該是相對積極的，特別是對於更高的票面利率（聽不清楚）。

Yeah. Okay. That's helpful color. And then on the short end of the curve, I mean, the forward has taken out, about one great cut so far. Is your -- is the house view or your view and sort of the way you construct the portfolio take forward at their word or do you feel like when you look at underlying inflation trends that the Fed might be offsides on some of these moves and we'll see more forwards come out. And I guess net to that is, how important is 3.50% versus a 4% Fed funds rate if the curve remains steep to the strategy and the structure of the portfolio.

是的。好的。這是很有幫助的顏色。然後在曲線的短端，我的意思是，到目前為止，前鋒已經取得了一次重大的突破。您的——房屋觀點或您的觀點以及您構建投資組合的方式是否按照他們的說法行事，或者當您看到潛在的通膨趨勢時，您是否覺得美聯儲可能會在某些舉措上出現越位，我們將看到更多的前瞻性消息出爐。我想，如果曲線對於投資組合的策略和結構仍然很陡峭，那麼 3.50% 與 4% 的聯邦基金利率相比有多重要。

Yeah, like -- I think to your point, the overall level may be less important as opposed to the steepness of the curve and what it means for volatility going forward. Clearly, we prefer a steeper curve and lower fall. Yeah, our house view has been in that 5 to 6 cut range between now and the end of 2025. So I think based on last night again, I think that probably moves to the lower end of that range. But I think clearly there's been a lot of talk about the tariffs and tax cuts and so we'll have to just kind of see how that plays out here over the near term before we settle in on a specific number.

是的，就像——我認為就你的觀點而言，與曲線的陡度及其對未來波動性的意義相比，總體水平可能不那麼重要。顯然，我們更喜歡陡峭的曲線和較低的跌幅。是的，從現在到 2025 年底，我們的房屋價格預期一直處於 5 到 6 折的範圍內。因此，我認為再次基於昨晚的情況，我認為這可能會移至該範圍的低端。但我認為顯然關於關稅和減稅的討論已經很多了，所以我們必須先看看短期內這些措施將如何發揮作用，然後才能確定一個具體的數字。

Okay. Thanks for the color.

好的。謝謝你的顏色。

Thank you.

謝謝。

Eric Hagen, BTIG.

BTIG 的 Eric Hagen。

Hey, thanks, good morning. Maybe a couple of follow ups here. I mean, does retiring the preferred stock change the way that you think about your overall debt to equity leverage, and does the range for your leverage that you might explore change because of that different spread levels?

嘿，謝謝，早安。也許這裡有幾個後續問題。我的意思是，退出優先股是否會改變您對整體債務與股權槓桿的看法，而且您可能探索的槓桿範圍是否會因為不同的利差水平而改變？

Yeah. I think our overall debt to the common, it doesn't change our view on that. But the total debt to equity will move higher as the capital structure kind of normalizes.

是的。我認為我們對共同體的整體債務不會改變我們對此的看法。但隨著資本結構的正常化，總債務與股權比率將會上升。

Okay. Is there a target range for your leverage that you envision running with over the near term?

好的。您是否設想在短期內實現槓桿的目標範圍？

Yeah, that's a common you know, we've been pretty comfortable around that [9] area. I think we'll continue to kind of monitor, how the market evolved here over the near term. But I think nine has generally been a pretty kind of conservative/moderate, comfortable level where it gives us a lot of liquidity. And it allows us to maybe pick that up a notch higher if we see that all come down.

是的，這很常見，你知道，我們對那個[9]區域感覺很舒服。我想我們將繼續監控短期內市場的發展。但我認為 9 總體來說是一個相當保守/適中、舒適的水平，可以給我們帶來很大的流動性。如果我們看到所有這些都下降了，我們也許可以將其提高一個檔次。

Yeah. Okay. Another follow up on the kind of spread conversation, I mean, do you basically see more risk that spreads would widen at this point in a rate rally or a or a sell off? And as the yield curve steepens, I mean, how much appetite do you have to maybe extend your duration GAAP? I mean, are there any constraints that you see to extending your duration GAAP?

是的。好的。關於利差的另一種討論是，您是否認為在利率上漲或下跌的階段，利差擴大的風險會更大？隨著殖利率曲線變得陡峭，我的意思是，您對延長 GAAP 期限有多大的興趣？我的意思是，您認為延長 GAAP 期限是否有任何限制？

As far as the rates go. You know, we intend to keep that pretty close to zero? You know, mortgages have been trading pretty long versus rates over, well, really, since the curve has been inverted. And so what that means is they tend to outperformance as rates rally and underperformance as rates go off. And I think at least in the near term, we don't expect that to change too dramatically. But it -- like I said, it is dependent upon where implied volatility kind of moves from here. So sorry, I'm trying to remember what the first question was.

就利率而言。您知道嗎，我們打算將這一數字保持在接近零的水平？你知道，自從曲線倒掛以來，房貸交易相對於利率來說一直相當長的時間。所以這意味著當利率上升時，它們往往表現優異，而當利率下降時，它們往往表現不佳。我認為至少在短期內，我們預計這種情況不會有太大的變化。但正如我所說，這取決於隱含波動率從現在開始的變動。非常抱歉，我試著回想第一個問題是什麼。

No, I think you got it. I mean, it was just gauging the sensitivity to spread in a rally or a sell off. Thanks for the comments. I appreciate.

不，我想你明白了。我的意思是，它只是衡量上漲或下跌時價差的敏感度。感謝您的評論。我很感激。

Alright. Yeah, sure.

好吧。是的，當然。

(Operator Instructions)

（操作員指令）

Douglas Harter, UBS.

瑞銀的道格拉斯·哈特。

Thanks. Wondering if you could just touch on how you're thinking about the dividend and you know, especially in light of the more challenging start to 4Q.

謝謝。想知道您是否可以談談您對股息的看法，特別是考慮到第四季度開局更具挑戰性。

Yeah. Hey, Doug, it's John. Yeah. So as always, our board recommends a dividend or determines the dividend based on recommendations. So that said, what we're generally looking at is where available ROEs on our target assets are. I mean, that's the biggest driver of where we set dividend policy.

是的。嘿，道格，我是約翰。是的。因此，與往常一樣，我們的董事會建議派發股息或根據建議確定股息。所以說，我們通常關注的是目標資產的可用 ROE 在哪裡。我的意思是，這是我們制定股利政策的最大驅動因素。

So we'll kind of see where that goes. I mean that we have a -- in a month and a half until we have to make that decision. So lot can happen between now and then. And then we balance that with if you want to stay competitive, competitive within the space in line with industrial expectations. So it's kind of the things we look at. So yeah, that -- I mean that's where we're at right now. So a little early for that though.

所以我們會看看事情會如何發展。我的意思是，我們還有一個半月的時間來做這個決定。從現在到那時，可能會發生很多事情。然後，我們會在這一點上取得平衡，看看你是否想保持競爭力，在符合產業預期的領域內保持競爭力。這就是我們所關注的事情。是的，那——我的意思是，那就是我們現在所處的境地。但為此還有些早。

Understood and I get that the markets are moving around a fair bit but appreciate that answer, John.

我明白，我知道市場正在發生相當大的波動，但我還是很感謝你的回答，約翰。

Thank you. And at this time, I'm showing no further questions.

謝謝。此刻，我沒有其他問題。

Okay. Well, thanks everybody for joining us and we look forward to speaking to you next time. Thanks.

好的。好吧，感謝大家的加入我們，我們期待下次與您交談。謝謝。

Thank you. And that does conclude today's conference. We thank you for your participation. At this time, you may disconnect your lines.

謝謝。今天的會議到此結束。我們感謝您的參與。這時，你可以斷開你的線路。