Invesco Mortgage Capital Inc (IVR) 2025 Q2 法說會逐字稿

Welcome to the Invesco Mortgage Capital second-quarter 2025 earnings call. (Operator Instructions) As a reminder, this call is being recorded.

歡迎參加 Invesco Mortgage Capital 2025 年第二季財報電話會議。（操作員指示）提醒一下，此通話正在被錄音。

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

現在我想將電話轉給投資者關係部的 Greg Seals。西爾斯先生，您可以開始通話了。

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

謝謝接線員，也謝謝各位參加 Invesco Mortgage Capital 季度財報電話會議。除了今天的新聞稿之外，我們還提供了一份演示文稿，涵蓋了我們今天計劃討論的主題。

The press release and presentation are available on our website, invescomortagecapital.com. This information can be found by going to the Investor Relations section of the website.

新聞稿和簡報可在我們的網站 invescomortagecapital.com 上查閱。您可以造訪網站的「投資者關係」部分以取得這些資訊。

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.

我們今天的演示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，以及附錄中與 GAAP 的適當對帳。

Finally, Invesco Mortgage Capital is not responsible for and does not edit or guarantee the accuracy of our earnings teleconference transcripts provided by third parties. The only authorized webcasts are located on our website.

最後，Invesco Mortgage Capital 不對第三方提供的我們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。唯一授權的網路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 Invesco's -- IPR's CEO, John Anzalone. John?

再次歡迎您並感謝您今天加入我們。現在我將電話轉給 Invesco 的 IPR 執行長 John Anzalone。約翰？

Thank you. Good morning, and welcome to Invesco Mortgage Capital's second-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, Dave Lyle; and our CFO, Mark Gregson.

謝謝。早安，歡迎參加 Invesco Mortgage Capital 第二季財報電話會議。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，我將提供一些簡短的評論。今天上午參加電話會議問答的還有我們的總裁 Kevin Collins、我們的營運長 Dave Lyle 和我們的財務長 Mark Gregson。

Financial conditions were quite volatile during the second quarter, initially driven by a sharply negative reaction to tariff announcements on April 2, which triggered a spike in interest rate volatility and a broad repricing of risk assets. Despite the early turbulence, financial conditions ended the quarter modestly accommodative as interest rate volatility declined and most risk asset valuations rebounded following the announcement of a delay in tariff implementation.

第二季的金融狀況相當不穩定，最初是由於 4 月 2 日關稅公告引發的強烈負面反應，導致利率波動加劇以及風險資產的廣泛重新定價。儘管初期出現動盪，但隨著利率波動性下降以及在宣布推遲實施關稅後大多數風險資產估值出現反彈，本季末的金融狀況仍略顯寬鬆。

Even with relatively stable inflation data during the quarter and a potential impact of higher tariffs, investor expectations for inflation have moderated as reflected in lower breakeven rates on Treasury inflation-protected securities. This shift partly reflected growing concerns about the long-term effects of trade policies and economic growth.

即使本季通膨數據相對穩定，且可能受到關稅上調的影響，投資人對通膨的預期已經有所緩和，這反映在國債通膨保值證券的盈虧平衡利率下降上。這種轉變在一定程度上反映了人們對貿易政策和經濟成長的長期影響日益增長的擔憂。

Meanwhile, labor market data continued to signal resilience as the economy added about 150,000 jobs per month during Q2 and the unemployment rate held steady at 4.1%. As the quarter progressed, stable employment data and declining recession risk led to a moderation in market expectations for near-term monetary policy action.

同時，勞動力市場數據持續顯示韌性，第二季經濟每月增加約 15 萬個就業崗位，失業率穩定在 4.1%。隨著本季的進展，穩定的就業數據和下降的經濟衰退風險導致市場對近期貨幣政策行動的預期有所緩和。

Federal funds futures market expectations now reflect approximately two rate cuts by year-end, an additional two to three cuts in 2026. Interest rates declined across the front end of the Treasury yield curve during the second quarter, while long-end rates moved higher, reflecting expectations for accommodative policy from the FOMC alongside concerns about potential increases in Treasury issuance over the coming years.

聯邦基金期貨市場目前的預期是，到今年底將有大約兩次降息，到 2026 年將再降息兩到三次。第二季度，美國公債殖利率曲線前端利率下降，而長期利率上升，這反映出市場對聯邦公開市場委員會 (FOMC) 寬鬆政策的預期，以及對未來幾年美國國債發行量可能增加的擔憂。

As a result of the spike in interest rate volatility and broad sell-off in risk assets, agency mortgages sharply underperformed treasuries in April. However, following the announced delay in tariffs, interest rate volatility subsequently declined in May and June, ending the quarter modestly below its starting level. Performance in agency mortgages and agency CMBS, along with broader risk assets, followed a similar trajectory, recovering meaningfully by quarter-end after a weak start in April.

由於利率波動加劇和風險資產普遍拋售，4 月機構抵押貸款表現大幅遜於國債。然而，在宣布推遲徵收關稅後，5 月和 6 月利率波動性隨後下降，本季末利率略低於起始水準。機構抵押貸款和機構商業抵押貸款支援證券以及更廣泛的風險資產的表現也遵循了類似的軌跡，在 4 月表現疲軟之後，到季度末出現了顯著復甦。

Finally, valuations on our interest rate swap hedges were negatively impacted as trade policy-related volatility combined with fiscal policy concerns drive swap spreads noticeably tighter. These factors resulted in an economic return for the quarter of negative 4.8%, consisting of our $0.34 dividend per common share and a $0.76 decline in our book value per common share.

最後，由於貿易政策相關的波動加上財政政策擔憂導致掉期利差明顯收緊，我們的利率掉期對沖的估值受到負面影響。這些因素導致本季經濟回報率為負 4.8%，其中包括每股普通股股息 0.34 美元以及每股普通股帳面價值下降 0.76 美元。

Our debt-to-equity ratio decreased from 7.1 times at the end of March to 6.5 times at the end of June, reflecting our belief that elevated near-term uncertainty regarding trade and monetary policy warrants a modestly more defensive posture. At quarter-end, our $5.2 billion investment portfolio consisted of $4.3 billion agency mortgages and $900 million agency CMBS, and we maintained a sizable balance of under-significant cash and unencumbered investments totaling $362 million.

我們的債務權益比從 3 月底的 7.1 倍下降到 6 月底的 6.5 倍，這反映出我們認為，短期內貿易和貨幣政策的不確定性加劇需要採取適度防禦的姿態。截至本季末，我們 52 億美元的投資組合包括 43 億美元的機構抵押貸款和 9 億美元的機構 CMBS，並且我們維持了相當可觀的低額現金和無抵押投資餘額，總額達 3.62 億美元。

As of July 18, 2025, we estimate book value per common share to be between $7.99 and $8.31 as agency mortgages and agency CMBS both performed well into the beginning of the third quarter.

截至 2025 年 7 月 18 日，我們估計每股普通股帳面價值在 7.99 美元至 8.31 美元之間，因為機構抵押貸款和機構 CMBS 在第三季初均表現良好。

While our near-term outlook remains cautious, our long-term outlook for agency mortgages is favorable as we expect demand to improve and hire coupons given attractive valuations, continued stabilization in interest rate volatility, and a steeper yield curve. In addition, we remain positive on agency CMBS as limited issuance, strong fundamental performance, and stable cash flow profiles should provide favorable support for this sector.

雖然我們對短期前景仍持謹慎態度，但我們對機構抵押貸款的長期前景看好，因為我們預計需求將改善，並且鑑於估值具有吸引力、利率波動持續穩定以及收益率曲線趨於陡峭，息票將得到租用。此外，我們仍然看好機構 CMBS，因為有限的發行量、強勁的基本面表現以及穩定的現金流狀況應該會為該行業提供有利的支持。

Now I'll turn the call over to Brian for more details.

現在我將把電話轉給 Brian 以了解更多詳細資訊。

Thanks, John, and good morning to everyone on the call. I'll begin on slide 4, which provides an overview of the interest rate and agency mortgage markets over the past year.

謝謝，約翰，各位電話裡的各位早安。我將從第 4 張幻燈片開始，該幻燈片概述了過去一年的利率和機構抵押貸款市場。

During the second quarter, the US Treasury yield curve steepened as financial markets adjusted to increased uncertainty regarding trade, monetary, and fiscal policy. Futures markets priced in additional monetary policy easing amid softening US economic growth expectations and persistent trade policy uncertainty, pushing short-term yields lower.

第二季度，隨著金融市場適應貿易、貨幣和財政政策不確定性的增加，美國公債殖利率曲線趨於陡峭。在美國經濟成長預期減弱和貿易政策持續存在不確定性的情況下，期貨市場消化了進一步放鬆貨幣政策的預期，從而壓低了短期收益率。

In contrast, expectations for a sizable fiscal package and potential tariff-driven inflation pressures lifted long-term yields. While the 10-year Treasury yield was little changed over the quarter, the two-year yield declined 16 basis points and the 30-year yield increased 20 basis points. This steepening brought the [June 30] spread to its deepest level in nearly three and a half years.

相較之下，對大規模財政刺激計畫的預期以及潛在的關稅驅動的通膨壓力提升了長期收益率。雖然 10 年期公債殖利率在本季幾乎沒有變化，但 2 年期公債殖利率下降了 16 個基點，30 年期公債殖利率上升了 20 個基點。這種趨陡使得[6月30日]利差達到近三年半以來的最高水準。

As depicted in the chart on the bottom left, as of June 30, Fed funds futures now anticipate five to six cuts by the end of 2026, one more cut than they were pricing in as of March 31 and nearly four more cuts than were priced in a year ago.

如左下角的圖表所示，截至 6 月 30 日，聯邦基金期貨目前預計到 2026 年底將降息五到六次，比 3 月 31 日的預期多一次，比一年前預期多近四次。

The chart in the upper right reflects changes in short-term funding rates over the past year. Positively, the funding market for our assets remained relatively stable through the volatility in April, with financing capacity robust, haircuts unchanged, and one-month repo spreads remaining between SOFR plus 15 to 18 basis points.

右上角的圖表反映了過去一年短期融資利率的變化。積極的一面是，在 4 月的波動中，我們資產的融資市場保持相對穩定，融資能力強勁，折扣率保持不變，一個月回購利差保持在 SOFR 加 15 至 18 個基點之間。

Lastly, the bottom-right chart details agency mortgage holdings by the Federal Reserve and US banks. As announced by the FOMC at its March meeting, the Federal Reserve began reducing the pace of balance sheet runoff in April.

最後，右下角的圖表詳細顯示了聯準會和美國銀行持有的機構抵押貸款。正如聯邦公開市場委員會在3月會議上宣布的那樣，聯準會從4月開始降低資產負債表縮減的速度。

Treasury runoff declined from $25 billion to $5 billion per month, while the cap on agency RMBS runoff remained unchanged at $35 billion per month. However, actual agency RMBS runoff has consistently ranged between $15 billion to $20 billion per month since early 2023, well below the stated cap. Given the reduced pace of Treasury runoff, quantitative tightening is now expected to conclude in 2026, a year later than previously expected.

國債流出量從每月 250 億美元下降至 50 億美元，而機構 RMBS 流出量上限維持不變，仍為每月 350 億美元。然而，自 2023 年初以來，實際機構 RMBS 流失量一直在每月 150 億美元至 200 億美元之間，遠低於規定的上限。鑑於國債縮減速度放緩，量化緊縮政策預計將於 2026 年結束，比先前的預期晚了一年。

US banks essentially reinvested paydowns in the second quarter, but we expect bank demand for agency RMBS to increase in the second half of the year, as deregulation, a steeper yield curve, and further easing of monetary policy provides an attractive environment for deployment of deposits into securities.

美國銀行在第二季基本上對償還的款項進行了再投資，但我們預計，由於放鬆管制、收益率曲線趨於陡峭以及貨幣政策進一步放鬆，為將存款配置為證券提供了有利的環境，銀行對機構 RMBS 的需求將在下半年增加。

Slide 5 provides more detail on the agency mortgage market. In the upper-left chart, we show 30-year current coupon performance versus US Treasuries over the past year, highlighting the second quarter in gray.

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，我們展示了過去一年 30 年期當前票面利率與美國國債的表現，其中第二季以灰色突出顯示。

The quarter began with a sharp decline in valuations as interest rate volatility spiked higher in response to trade policy developments, leading to a broad sell-off in financial markets. However, interest rate volatility declined notably after the 90-day pause in tariff implementation and trended lower through the end of the quarter, providing an attractive environment for risk assets as the uncertainty regarding trade and fiscal policy diminished.

本季開始時，由於貿易政策發展導致利率波動加劇，估值急劇下降，進而引發金融市場普遍拋售。然而，在關稅實施暫停 90 天后，利率波動性顯著下降，並在本季度末呈下降趨勢，隨著貿易和財政政策的不確定性減少，為風險資產提供了有吸引力的環境。

Performance across the 30-year coupon stack rebounded, with most coupons ultimately outperforming. Treasury hedges by a modest 20 to 30 basis points for the quarter. However, tariff trade unwinds and fiscal uncertainty resulted in significantly tighter swap spreads on the quarter, resulting in negative hedge returns for agency mortgages versus swaps despite their modest outperformance relative to treasuries.

30 年期息票債券的表現均反彈，大多數息票債券最終表現出色。本季國債對沖規模適度增加 20 至 30 個基點。然而，關稅貿易的解除和財政的不確定性導致本季掉期利差大幅收緊，儘管機構抵押貸款相對於國債的表現略有好轉，但其對沖收益卻為負。

Positively, specified pool pay-ups rebounded from April's poor performance to end the quarter largely where they began, while funding via the dollar-oil market for TBA securities remained largely unattractive for most 30-year coupons.

積極的一面是，指定資金池支付額從 4 月份的糟糕表現中反彈，在本季度末基本恢復到年初水平，而通過美元石油市場為 TBA 證券提供的融資對於大多數 30 年期票面利率而言仍然缺乏吸引力。

Overall, we prefer specified pools over TBA, given more attractive and stable funding and our more predictable prepayment behavior. But we will continue to take advantage of attractive alternatives in the dollar-oil market when available.

總體而言，我們更喜歡指定資金池而不是 TBA，因為其資金更具吸引力且更穩定，而且我們的預付款行為也更可預測。但我們將繼續利用美元石油市場上可能出現的有吸引力的替代品。

Slide 6 details our agency RMBS investments and summarizes investment portfolio changes during the quarter. Our agency RMBS portfolio decreased 15% quarter over quarter as we managed risk in the beginning of April as markets navigated trade policy uncertainty.

投影片 6 詳細介紹了我們的機構 RMBS 投資並總結了本季的投資組合變化。由於我們在 4 月初管理風險，同時市場應對貿易政策不確定性，我們的機構 RMBS 投資組合較上季下降了 15%。

We sold higher coupons and low pay-up specified pools, given their elevated sensitivity to potential increases in interest rate volatility. Despite the sales in April, we remained focused on higher coupon agency RMBS, which benefit from more attractive valuations and an expected further decline in interest rate volatility, while demand from banks, overseas investors, and mortgage rates should offset supply through year-end.

我們出售了較高票息和較低償付額的指定資金池，因為它們對利率波動的潛在增加具有較高的敏感性。儘管 4 月出現了銷售，但我們仍然關注票面利率更高的機構 RMBS，這類債券受益於更具吸引力的估值和預期的利率波動進一步下降，而銀行、海外投資者和抵押貸款利率的需求應該會在年底前抵消供應。

We continue to focus our specified pool allocation on prepayment characteristics that are expected to perform well in both premium and discount environments, with our largest concentration in lower loan balance collateral, given more predictable prepayments relative to lower pay-up pools.

我們繼續將指定的資金池配置重點放在預計在溢價和折扣環境下均表現良好的預付款特徵上，其中，我們最大的集中度在於較低的貸款餘額抵押品，因為相對於較低的支付池，預付款具有更可預測性。

Although we are cautious on agency RMBS overall in the near term, given recent outperformance and the potential for a modest reversal in the trend of lower interest rate volatility, we believe levered gross ROEs in the low 20s on higher coupons represent a very attractive entry point for agency mortgage investors with longer investments grades.

儘管我們短期內對機構 RMBS 總體持謹慎態度，但考慮到近期的優異表現以及利率波動性降低趨勢可能出現溫和逆轉，我們認為，對於投資期限較長的機構抵押貸款投資者而言，20% 以下的槓桿總 ROE 在較高票面利率下代表著一個非常有吸引力的切入點。

Slide 7 provides detail on our agency CMBS portfolio. Given the sharp underperformance in agency RMBS in April, the relative value between agency CMBS and agency RMBS became unattractive, which resulted in no new purchases for the quarter.

投影片 7 詳細介紹了我們的機構 CMBS 投資組合。鑑於 4 月份機構 RMBS 表現大幅不佳，機構 CMBS 和機構 RMBS 之間的相對價值變得缺乏吸引力，導致本季沒有新的購買。

However, despite the lack of new purchases, the decline in our agency RMBS portfolio caused a modest increase in our allocation to agency CMBS with the overall portfolio, which increased, which increased from 15% at the end of the first quarter to just over 17% as of June 30.

然而，儘管缺乏新的購買，我們的機構 RMBS 投資組合的下降導致我們對機構 CMBS 的配置隨著整體投資組合的增加而小幅增加，從第一季末的 15% 增加到 6 月 30 日的 17% 以上。

We believe agency CMBS offers many benefits, mainly through its prepayment protection maturities which reduce our sensitivity to interest rate volatility. Levered gross ROEs are in the low to mid-teens, and we have been disciplined on adding exposure only when the relative value between agency CMBS and agency RMBS accurately reflects their unique risk profiles.

我們認為機構 CMBS 有許多好處，主要是透過其提前還款保護期限來降低我們對利率波動的敏感度。槓桿總 ROE 處於低至中等水平，並且我們嚴格遵守紀律，只有當機構 CMBS 和機構 RMBS 之間的相對價值準確反映其獨特的風險狀況時，才會增加風險敞口。

Financing capacity has been robust as we continue to finance our purchases with multiple counterparties at attractive levels. We will continue to monitor the sector for opportunities to increase our allocation as the relative value becomes attractive, recognizing the overall benefits of the portfolio as the sector diversifies risks associated with an agency RMBS portfolio.

由於我們繼續以有吸引力的水平向多個交易對手提供採購融資，因此融資能力一直很強勁。隨著相對價值變得有吸引力，我們將繼續監控該行業，尋找增加配置的機會，並認識到隨著該行業分散與機構 RMBS 投資組合相關的風險，投資組合的整體收益。

Slide 8 details our funding and hedge book at quarter end. Repurchase agreements collateralized by our agency RMBS and agency CMBS investments declined from $5.4 billion to $4.6 billion, consistent with a decrease in our total assets; while the notional of our hedges declined from $4.5 billion to $4.3 billion as we actively increased our hedge ratio from 85% to 94%. The table on the right provides further detail on our hedges at quarter end.

投影片 8 詳細介紹了我們季度末的融資和對沖帳簿。由我們的機構 RMBS 和機構 CMBS 投資抵押的回購協議從 54 億美元下降到 46 億美元，與我們的總資產下降一致；而隨著我們積極將對沖比率從 85% 提高到 94%，我們的對沖名義金額從 45 億美元下降到 43 億美元。右側的表格提供了季度末對沖的更多詳細資訊。

Our composition of hedges remain largely unchanged quarter over quarter. Approximately 80% of our hedge is consisting of interest rate swaps on a notional basis, while on a dollar duration basis, the allocation remained near 70%, given a higher allocation to interest rate swaps at the front end of the yield curve.

我們的對沖結構與上一季相比基本上保持不變。我們的對沖中約有 80% 是由名目上的利率互換組成，而以美元久期計算，由於殖利率曲線前端的利率互換配置較高，因此配置仍維持在 70% 左右。

Our allocation to interest rate swaps negatively impacted book value during the second quarter as carry trade unwinds and heightened concerns over fiscal policy led to sharply tighter swap spreads, ranging from 6 basis points tighter in the front end to 10 to 12 basis points tighter in the long end.

由於套利交易的平倉和對財政政策的擔憂加劇，導致掉期利差大幅收緊，從前端收緊 6 個基點到長期收緊 10 至 12 個基點，我們對利率掉期的配置在第二季度對賬面價值產生了負面影響。

Slide 9 provides detail on our capital structure and highlights the improvements we've made in recent quarters to reduce our cost of capital. Further improvement in the capital structure remains the focus of our management team, as we seek to maximize shareholder returns.

投影片 9 詳細介紹了我們的資本結構，並強調了我們最近幾季為降低資本成本所做的改進。我們尋求最大化股東回報，進一步改善資本結構仍是我們管理團隊的重點。

To conclude our prepared remarks, financial market volatility increased sharply at the beginning of the second quarter amidst heightened trade policy uncertainty, but declined notably after the 90-day pause in tariff implementation on April 9.

總結我們的準備好的評論，由於貿易政策不確定性加劇，金融市場波動在第二季度初急劇增加，但在 4 月 9 日暫停實施關稅 90 天後顯著下降。

From that point, volatility generally trended lower through quarter end, providing a supportive backdrop for risk assets, which rebounded after sharp underperformance in early April. Agency RMBS ultimately modestly outperformed Treasury hedges on the quarter, but underperformed swap hedges given significant tightening of swap spreads.

從那時起，波動性在整個季度末總體呈下降趨勢，為風險資產提供了支撐背景，風險資產在 4 月初表現大幅不佳後出現反彈。本季度，機構 RMBS 的表現最終略優於國債對沖，但由於掉期利差大幅收緊，其表現遜於掉期對沖。

Although increased volatility, swap spread tightening, and agency mortgage underperformance negatively impacted our book value in April, positively, financial markets have since stabilized. And as of July 18, we have made our book value per share to be up a little more than 1% since the end of the second quarter.

儘管波動性加劇、掉期利差收緊以及機構抵押貸款表現不佳對我們的四月份帳面價值產生了負面影響，但從積極方面來看，金融市場已經趨於穩定。截至 7 月 18 日，我們的每股帳面價值自第二季末以來上漲了 1% 多一點。

We believe our liquidity position provides substantial cushion for further potential market stress, while also providing capital to deploy to our target assets as the investment environment improves.

我們相信，我們的流動性狀況為進一步的潛在市場壓力提供了實質的緩衝，同時隨著投資環境的改善，我們也提供了部署到目標資產的資本。

While near-term uncertainty warrants a somewhat cautious approach, we believe further easing of monetary policy will lead to a steeper yield curve and an eventual further decline in interest rate volatility, both of which will provide a supportive backdrop for agency mortgages over the long term, as they should result in increased demand from commercial banks, overseas investors, money managers, and mortgage rates.

雖然短期的不確定性需要採取一些謹慎的態度，但我們認為進一步放鬆貨幣政策將導致收益率曲線更加陡峭，並最終導致利率波動進一步下降，這兩者都將在長期內為機構抵押貸款提供支撐背景，因為它們將導致商業銀行、海外投資者、基金經理的需求增加，以及抵押貸款利率上升。

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

感謝您對 Invesco Mortgage Capital 的持續支持。現在我們將開放問答熱線。

(Operator Instructions) Jason Weaver, Jones Trading.

（操作員指示）Jason Weaver，Jones Trading。

Hey, Brian. Maybe for you first. Taking your comments into account on the preference for high coupon RMBS here, how do you think about the relative risk versus reward just due to the possible lower rates, pre-payment exposure? And I think TBA 6%s have about 1 point of premium; 6.5% is about 3 points. How do you think about relative value here?

嘿，布萊恩。也許對你來說首先是如此。考慮到您對高票 RMBS 的偏好，您如何看待僅因可能的較低利率和預付款風險而產生的相對風險與回報？我認為 TBA 6% 的溢價約為 1 點；6.5% 的溢價約為 3 點。您如何看待這裡的相對價值？

I think the spread accurately reflects that risk, so we see notably wider nominal spreads in higher coupons. And we think that that will help cushion any potential increases.

我認為利差準確地反映了這種風險，因此我們看到，在較高的票面利率下，名目利差明顯較大。我們認為這將有助於緩解任何潛在的成長。

We did reduce our 30-year 6.5% exposure during the quarter, and that's largely reflective of what you're talking about there. I think 6.5% and higher are probably a bit more exposed than the rest of our coupon stack. So I think our allocation to specified pools certainly addresses that as well.

我們確實在本季度減少了 30 年期 6.5% 的風險敞口，這在很大程度上反映了您所說的內容。我認為 6.5% 及更高的利率可能比我們其他的優惠券利率風險更大一些。所以我認為我們對指定池的分配肯定也解決了這個問題。

So we have a fair amount of low balance exposure in those coupons as well as some of the other stories that help protect us. We don't own any TBA as of quarter end, so I feel like we're pretty well protected to the extent that we do see notably lower rates.

因此，我們在這些優惠券中擁有相當多的低餘額風險，以及其他一些有助於保護我們的故事。截至季末，我們沒有任何 TBA，因此我覺得我們受到了很好的保護，因為我們確實看到了明顯較低的利率。

Our expectation is that -- or at least our house view is that the Fed will cut a couple times here at the end of 2025 and then a few more times in 2026. But really, we think that that will result in just a notably steeper curve and not necessarily a significant decline in 10-year, which is where the mortgage rate is keyed off of.

我們的預期是——或者至少我們內部的觀點是，聯準會將在 2025 年底降息幾次，然後在 2026 年再降息幾次。但實際上，我們認為這只會導致曲線明顯陡峭，而不一定會導致 10 年期抵押貸款利率大幅下降，而 10 年期抵押貸款利率正是以此為基礎的。

So we're not anticipating a significant decline in mortgage rates here, so we think that certainly, 5%, 5.5%, and 6% are still pretty well inflated just given the repayment protection that we own in our pools.

因此，我們預計抵押貸款利率不會大幅下降，因此我們認為，考慮到我們在貸款池中擁有的還款保護，5%、5.5% 和 6% 的利率仍然相當高。

And you mentioned a lot of risk events are seemingly behind us. Obviously, the amount of monetary easing is still very much in question here. Right now, what's your comfort zone on leverage? And any events upcoming that may affect your ability to take that higher?

您提到很多風險事件似乎已經過去了。顯然，貨幣寬鬆的幅度仍是一個很大的問題。目前，您對槓桿的舒適區是多少？即將發生的任何事件可能會影響您實現更高目標的能力嗎？

Yeah. I mean, we're certainly pretty comfortable. I think we're about a half a turn lower than where we were during the first quarter. And the good news is that with spreads as wide as they are, particularly versus swaps, gross ROEs are very attractive, certainly able to cover the dividend from an earnings perspective.

是的。我的意思是，我們確實很舒服。我認為我們比第一季的水平低了大約半圈。好消息是，儘管利差如此之大，特別是相對於掉期而言，但總淨資產收益率非常有吸引力，從盈利角度來看，肯定能夠覆蓋股息。

And so we don't feel like we need to take leverage higher in order to meet our goals from our current perspective. And so we're very comfortable with where we are right now.

因此，從目前的角度來看，我們認為不需要提高槓桿率就能實現我們的目標。因此，我們對目前的狀況感到非常滿意。

Certainly, tail risk events have declined -- or the potential for tail risk has declined over the course of the second quarter. So as we move into the third quarter, we still think that there are -- there's still a fair amount of uncertainty about monetary policy.

當然，尾部風險事件已經減少——或者說尾部風險的可能性在第二季度已經下降。因此，隨著我們進入第三季度，我們仍然認為貨幣政策仍然存在相當大的不確定性。

And ultimately, as tariffs are starting to hit the economy here in the third quarter more substantially, the impact that that will have on inflation and the direction of monetary policy as well. So we're pretty comfortable with where we are.

最終，隨著關稅在第三季開始對經濟產生更大衝擊，其影響也將對通膨和貨幣政策方向產生影響。所以我們對目前的狀況很滿意。

As the Fed starts to cut and that path becomes a bit more certain, what we'll probably see is rate fall will come down, mortgage spreads will tighten a little bit, and then that would provide more of an environment that we could potentially take leverage a little bit higher.

隨著聯準會開始降息，而降息路徑變得更加確定，我們可能會看到利率下降，抵押貸款利差將略微收緊，這將為我們可能稍微提高槓桿率提供更多的環境。

Trevor Cranston, Citizens JMP.

特雷弗·克蘭斯頓 (Trevor Cranston)，公民 JMP。

You talked about the impact of swap spreads, obviously, in the second quarter. Could you give us an update on your outlook for how you think swap spreads are likely to behave going forward and how that relates to your comfort level around the mix of hedges you guys currently have in place?

您顯然談到了第二季掉期利差的影響。您能否向我們介紹一下您對未來掉期利差走勢的展望，以及這與您對目前所採用的對沖組合的舒適度有何關係？

Yeah. Hey, Trevor. It's Brian. Certainly, I mentioned we're 80% notional on interest rate swaps relative to Treasury futures, and I think that's reflective of our stance on where swap spreads are right now. I think that that, certainly from an ROE perspective, is very attractive to hedge with swaps at this point.

是的。嘿，特雷弗。我是布萊恩。當然，我提到我們在利率互換方面相對於國債期貨的名目利率為 80%，我認為這反映了我們目前對互換利差的立場。我認為，從 ROE 的角度來看，此時用掉期進行避險是非常有吸引力的。

And we think that the ultimate direction of swap spreads will be wider, which will be beneficial as well. And so we're probably at max allocation to interest rate swaps.

而我們認為掉期利差的最終走向會是更寬，這也是有利的。因此，我們可能已將最大配置投入到利率互換中。

And as we see the environment start to normalize, then we would move more into Treasury futures. What that ultimate level looks like is a bit uncertain at this point.

當我們看到環境開始正常化時，我們就會更轉向國債期貨。目前，最終水平如何還不太確定。

But we think that ROEs are very attractive now, hedging swaps and the direction. The anticipated direction of swap spreads is wider, so that's also beneficial. So we're at our max allocation to swaps. And then as that changes, we would rotate a little bit more into futures.

但我們認為，現在的 ROE 非常有吸引力，對沖掉期和方向。掉期利差的預期方向較寬，因此這也是有利的。因此，我們對掉期的分配已達到最大限度。然後隨著這種變化，我們會更多地轉向期貨。

Doug Harter, UBS.

瑞銀的道格·哈特。

It's actually Melissa Lovell on for Doug. I'm hoping you could speak to your views on the trajectory of current earnings and what it means for the dividend.

實際上是梅麗莎·洛弗爾 (Melissa Lovell) 代替道格 (Doug)。我希望您能談談您對當前盈利走勢的看法以及它對股息的意義。

Yeah. Like I said, I mean, I think ROEs are very attractive at this moment. So we don't really anticipate -- I think mortgage spreads, generally speaking, have been wide for a while, and that's been very supportive of the earnings of the portfolio. And there's a lot of different reasons for that.

是的。就像我說的，我的意思是，我認為 ROE 目前非常有吸引力。因此，我們實際上並不預期——我認為，總體而言，抵押貸款利差在一段時間內一直處於較大水平，這對投資組合的收益非常有利。造成這種情況的原因有很多。

There's technical reasons. Clearly, the Fed has been running off their portfolio for a couple of years now. Banks have been notably quiet over the last couple of years as well. And so we don't anticipate that dynamic changing considerably.

有技術原因。顯然，聯準會幾年來一直在運行其投資組合。過去幾年裡，銀行也顯得十分安靜。因此我們預計這種動態不會發生重大變化。

Banks will likely start to add here, but the Fed's going to continue to roll off. And money managers have been overweight for a while now as well, and so they're really dependent on slows.

銀行可能會開始增持，但聯準會將繼續減持。而且基金經理現在也已經增持一段時間了，所以他們確實依賴放緩。

So we think that spreads should be relatively attractive for quite a long period. And so we anticipate -- like I said, leverage is where it needs to be in order to produce the earnings that we are comfortable with, and so we don't really anticipate that changing in the near term.

因此我們認為，利差在相當長的一段時間內應該會相對具有吸引力。因此我們預期——就像我說的，為了產生我們滿意的收益，槓桿是必要的，因此我們並不認為這種情況在短期內會發生變化。

Jason Stewart, Janney Montgomery Scott.

傑森史都華、珍妮蒙哥馬利史考特。

So a conceptual question here in terms of leverage and total return. I think, from my perspective, I would expect leverage to move higher when the return opportunities are the highest. But it sounds like you're managing this to cover the dividend and mitigate risk.

這裡有一個關於槓桿和總回報的概念性問題。我認為，從我的角度來看，當回報機會最高時，我預期槓桿率會更高。但聽起來你這樣做是為了支付股息並降低風險。

Am I thinking about that the right way? I mean, otherwise, would you not want to increase leverage when total return opportunities are the highest and reduce it the opposite way?

我這樣想對嗎？我的意思是，否則，當總回報機會最高時，您是否不想增加槓桿，而當總回報機會最高時，您是否不想減少槓桿？

Yeah. Hey, Jason. It's Brian. Yeah. I mean, it's certainly -- every environment is different, and so it's challenging to make a blanket statement like that. I think ultimately, when spreads are the widest and ROEs are the most attractive, that is also -- there's reasons for that, right?

是的。嘿，傑森。我是布萊恩。是的。我的意思是，每個環境都是不同的，因此很難做出這樣的概括性陳述。我認為，最終，當利差最大且 ROE 最具吸引力時，這也是有原因的，對吧？

There's heightened uncertainty, heightened interest rate volatility. And so it's really just managing within that environment as it comes up.

不確定性加劇，利率波動加劇。因此，它實際上只是在出現時在該環境中進行管理。

I think you're right. I mean, as ROEs become even more attractive, then it would behoove us to increase our leverage in that scenario. But also what happens is as spreads are widening, book value is likely declining and leverage is increasing on its own.

我認為你是對的。我的意思是，隨著 ROE 變得更具吸引力，在這種情況下我們應該會增加我們的槓桿率。但同時發生的情況是，隨著利差擴大，帳面價值可能會下降，而槓桿率則會自行上升。

So it's really just a -- it's a fine line, but it's a balancing act between trying to take advantage of opportunities as they arise without taking risk beyond where we're comfortable.

所以這其實只是一條微妙的界限，但它是一種平衡行為，既要努力抓住出現的機會，又要避免超出我們舒適範圍的風險。

Right. And it's not all leverage either. I mean, because we -- as Brian mentioned, we are more exposed to swap spreads now because swap spreads are very wide. So there's places to do that without necessarily increasing leverage.

正確的。而且這也不全然是槓桿。我的意思是，因為我們——正如布萊恩所提到的，我們現在更容易受到掉期利差的影響，因為掉期利差非常大。因此，有些地方可以做到這一點，而不必增加槓桿。

Yeah, okay. And then just, Brian, on your -- I missed part of this -- levered gross ROEs. Was that based on a coupon or on a blended -- on a portfolio basis? You said low 20s, but I missed if it was blended or on a coupon.

嗯，好的。然後，布萊恩，關於你的——我錯過了其中的一部分——槓桿總淨資產收益率。這是基於優惠券還是基於混合投資組合？你說的是 20 多美元，但我不知道它是混合的還是在優惠券上。

Yeah, on higher coupons, probably 5.5% and 6.5%.

是的，對於更高的優惠券，可能是 5.5% 和 6.5%。

Okay. And then -- so your point is with leverage where it is today, in higher coupons, given your swap book, you feel comfortable on a carry basis earning the dividends. I get that.

好的。然後 — — 所以你的觀點是，在今天的槓桿率下，在更高的息票率下，考慮到你的掉期賬簿，你會覺得以套利的方式賺取股息很舒服。我明白。

And then from a -- just another conceptual question. From a total return versus carry standpoint, is it fair to say that you're leaning more towards carry rather than total return at this point? Is that the driving factor of how you're allocating on the asset and the liability side, hedge side?

然後從另一個概念性問題來看。從總回報與持有收益的角度來看，是否可以說您現在更傾向於持有收益而不是總回報？這是您在資產、負債和對沖方面進行分配的驅動因素嗎？

Yeah, I think that mortgage spreads and mortgages have performed pretty well certainly since April. And that's because interest rate volatility has trended lower during that time.

是的，我認為自 4 月以來抵押貸款利差和抵押貸款表現相當不錯。這是因為在此期間利率波動趨勢較低。

And so at this point, without banks coming back, which doesn't appear to be a real near-term event, I think notable tightening from here is limited. So that also plays into us looking at this more as a carry trade at this point until we get a little bit more clarity on the path of monetary policy and the impact of tariffs.

因此，目前來看，如果銀行不回歸（這似乎不是真正的短期事件），我認為從現在開始顯著的緊縮政策是有限的。因此，這也促使我們將其更多地視為套利交易，直到我們更清楚地了解貨幣政策的走向和關稅的影響。

Eric Hagen, BTIG.

BTIG 的 Eric Hagen。

I actually have a question on the CMBS position. I mean, how do you guys feel like CMBS spreads could behave when the Fed cuts rates? Do you think there's a lot of room for spreads to tighten in that market anymore? And do you feel like conditions in the repo market are stable enough to handle a spread widening event with CMBS markets?

我實際上對 CMBS 職位有一個疑問。我的意思是，當聯準會降息時，你們覺得 CMBS 利差會如何表現？您認為該市場的利差還有很大的縮小空間嗎？您是否認為回購市場的狀況足夠穩定，可以應對 CMBS 市場利差擴大的事件？

Sure, yeah. I'll take the last one first, I think. Financing markets for that -- for agency CMBS has been robust, even probably better than what we initially anticipated when we started investing. And so we have no real concerns about that market deteriorating in a widening event.

當然，是的。我想我會先選擇最後一個。機構 CMBS 的融資市場一直很強勁，甚至可能比我們開始投資時最初預期的還要好。因此，我們並不真正擔心市場在擴大事件中會惡化。

It did not in early April. So we feel very, very comfortable about that. And the first question, agency CMBS spreads, I think for the most part, they follow lower coupon agency RMBS spreads, but with a lower beta.

四月初卻沒有。因此我們對此感到非常非常放心。第一個問題，機構 CMBS 利差，我認為在大多數情況下，它們遵循較低的票面利率機構 RMBS 利差，但貝塔係數較低。

So we feel again pretty comfortable there. We do think that as the Fed starts to cut and agency RMBS likely tightens as a result of that, that we'll see agency CMBS fall soon as well.

所以我們在那裡再次感到非常舒服。我們確實認為，隨著聯準會開始降息，機構 RMBS 可能因此收緊，我們很快就會看到機構 CMBS 下跌。

Got it. Is the CMBS position a fully levered position or is there any liquidity that you can draw from that position at this point?

知道了。CMBS 頭寸是否為完全槓桿頭寸，或者此時您可以從該頭寸中提取任何流動性嗎？

Yeah, I mean, it's levered to the extent that the rest of our book is levered.

是的，我的意思是，它的槓桿作用與我們書的其餘部分一樣大。

Thank you. As that was our last question, I now would like to turn it back to management for any closing remarks.

謝謝。由於這是我們的最後一個問題，現在我想將其交還給管理層，請他們做最後的總結發言。

Yeah, I'd like to thank everyone for joining us on the call, and we look forward to talking again next quarter. Thanks.

是的，我要感謝大家參加電話會議，我們期待下個季度再次交談。謝謝。

That concludes today's event. Thank you for your participation. You may please disconnect at this time.

今天的活動到此結束。感謝您的參與。您現在可以斷開連線。