Orchid Island Capital Inc (ORC) 2025 Q2 法說會逐字稿

Good morning and welcome to the second-quarter 2025 earnings conference call for Orchid Island Capital. This call is being recorded today, July 25, 2025.

早安，歡迎參加蘭嶼資本 2025 年第二季財報電話會議。本次通話於今天（2025 年 7 月 25 日）進行錄音。

At this time, the company would like to remind listeners that the statements made during today's conference call relating to matters that are not historical facts or forward-looking statements, subject to the Safe Harbor provisions of the Private Securities Litigation Reform Act of 1995. This is our caution that such forward-looking statements are based on information currently available on the company's management's good faith. Belief with respect to future events are subject to risk and uncertainties that could cause actual performance or results to differ materially from those expressed in such forward-looking statements.

此時，公司想提醒聽眾，今天電話會議所作的陳述並非歷史事實或前瞻性陳述，受 1995 年《私人證券訴訟改革法》安全港條款的約束。我們在此提醒您，此類前瞻性陳述是基於公司管理階層誠信目前掌握的資訊。對未來事件的信念受到風險和不確定性的影響，可能導致實際表現或結果與此類前瞻性陳述中表達的結果有重大差異。

Important factors that could cause such differences are described in the company's filings with the Securities and Exchange Commission, including the company's most recent annual report on Form 10-K. The company assumes no obligation to update such forward-looking statements to reflect actual results, changes in assumption, or changes in other factors affecting forward-looking statements.

該公司向美國證券交易委員會提交的文件中描述了可能導致此類差異的重要因素，包括該公司最新的 10-K 表年度報告。本公司不承擔更新此類前瞻性陳述以反映實際結果、假設的變化或其他影響前瞻性陳述的因素的變化的義務。

Now I would like to turn the conference over to the company's Chairman and Chief Executive Officer, Mr. Robert Cauley. Please go ahead, sir.

現在，我想將會議交給公司董事長兼執行長羅伯特·考利先生。先生，請繼續。

Thank you, operator, and good morning. As usual, we'll be going through our deck over the course of the call. Hopefully, you've had a chance to download that from our website. We placed it up there yesterday afternoon. With me today is Hunter Haas, our Chief Investment Officer and Chief Financial Officer; and Jerry Sintes, our Controller.

謝謝接線員，早安。像往常一樣，我們將在通話過程中仔細檢查我們的簡報。希望您有機會從我們的網站下載它。我們昨天下午就把它放在那裡了。今天和我一起的有我們的財務長兼財務長 Hunter Haas 和我們的財務長 Jerry Sintes。

As usual, following the table of contents, first thing we will do is go over our financial highlights. Jerry will handle that for us. I will go through the market developments and focus on what happened, how that impacted us, our performance, and our decision-making. And then Hunter will go over the portfolio characteristics in our hedge positions before we open up the call to questions.

像往常一樣，按照目錄，我們要做的第一件事就是回顧我們的財務亮點。傑瑞會為我們處理這件事。我將回顧市場發展情況，並專注於發生了什麼，以及這對我們、我們的業績和我們的決策有何影響。在我們開始提問之前，亨特將介紹我們對沖頭寸的投資組合特徵。

So with that, I will turn the call over to Jerry.

因此，我將把電話轉給傑瑞。

Thank you, Bob. If you turn to page 5, we'll start with the financial highlights of the quarter. During the quarter, we reported a loss of $0.29 per share compared to income of $0.18 per share in Q1. It should be noted that excluding realized and unrealized losses, that was the net income of $0.16 per share, which is the same as Q1.

謝謝你，鮑伯。如果您翻到第 5 頁，我們將從本季的財務亮點開始。本季度，我們報告每股虧損 0.29 美元，而第一季每股收益為 0.18 美元。值得注意的是，扣除已實現和未實現損失後，每股淨收入為 0.16 美元，與第一季相同。

Book value decreased from $7.94 per share at 3/31 to $7.21 at 6/30. Total return per quarter was negative 4.66% compared to 2.6% in Q1, and we reported $0.36 of dividends in both quarters.

帳面價值從 3 月 31 日的每股 7.94 美元下降至 6 月 30 日的每股 7.21 美元。每季總回報率為負 4.66%，而第一季為 2.6%，兩季的股息均為 0.36 美元。

Turning page 6, we're going portfolio highlights. We had average MBS during the quarter of $6.9 billion compared to just under $6 billion in Q1. We had our leverage ratio at 6/30 was 7.3, which is down from 7.8 at 3/31. Pre-payment speeds during Q2 was 10.1% compared to 7.8% in Q1, and our liquidity at 6/30 was up to 54% from 52%.

翻到第 6 頁，我們來看看投資組合的亮點。本季我們的 MBS 平均規模為 69 億美元，而第一季則略低於 60 億美元。我們的槓桿率在 6/30 時為 7.3，低於 3/31 時的 7.8。第二季的預付款速度為 10.1%，而第一季為 7.8%，6 月 30 日的流動性從 52% 上升至 54%。

On page 7 is our summarized financial statements. These are the same as what was in our earnings release last night, and we'll have more detail presented with our 10-Q that will be filed today.

第 7 頁是我們的總結財務報表。這些內容與我們昨晚發布的收益相同，我們將在今天提交的 10-Q 報告中提供更多詳細資訊。

So with that, I'll turn it back over to Bob.

因此，我將把話題交還給鮑伯。

Thanks, Jerry. I'll now go through the market developments for the quarter. And as we all know, there were two big events that occurred in the quarter, one much greater than the other.

謝謝，傑瑞。我現在將介紹本季的市場發展。眾所周知，本季發生了兩件大事，其中一件比另一件大得多。

The first of which was the reciprocal tariffs announced in early April, what was known as Liberation Day. Later in the quarter, the administration's what became known as the One Big Beautiful Bill was passed, it was signed into law on July 4, although the heavy lifting to get the bill to the point where it could be signed occurred late in the quarter, and it definitely had an impact on the market and outlook, although much less than what occurred early in the quarter.

第一個是四月初（即所謂的「解放日」）所宣布的互惠關稅。本季度後期，政府通過了一項被稱為「一項美麗大法案」的法案，並於 7 月 4 日簽署成為法律，儘管在該季度後期才完成了簽署該法案的繁重工作，但它肯定對市場和前景產生了影響，儘管影響遠小於本季度初的影響。

Obviously, what happened in early April was not quite as bad as the onset of COVID in March of 2020, but pretty significant. There was obviously a lot of forced deleveraging. and there was a lot of concern in the market about a host of things, the sanctity of the dollar and the flight of capital out of the US and so forth. So it was clearly a very chaotic period.

顯然，4 月初發生的事情並不像 2020 年 3 月 COVID 爆發時那麼糟糕，但影響卻相當重大。顯然存在大量強制去槓桿的情況，市場對一系列事情非常擔憂，例如美元的神聖性、美國資本外逃等。所以這顯然是一個非常混亂的時期。

That being said, given that we've been doing this for a while, we were quite well positioned for that. We had very high cash positions. Our leverage was on the low end of our range. As a result of that, we were able to limit the deleveraging or selling, if you will, to less than 10%. And we, in fact, actually bought back a little over 1.1 million shares early in the quarter at a substantial discount.

話雖如此，考慮到我們已經做了一段時間了，我們已經做好了充分的準備。我們的現金狀況非常良好。我們的槓桿率處於範圍的低端。因此，我們能夠將去槓桿或出售限制在 10% 以下。事實上，我們在本季初以大幅折扣回購了略多於 110 萬股的股票。

Once the dust settled in the quarter and we kind of basically grinded sideways, we were able to maintain a defensive position, but we were able to sell some shares. We actually did so at a slight discount to bulk, but we were able to generate a nice cushion, a cash cushion, if you will. As I mentioned, we were still defensively positioned. We kept the leverage at the low end of the range.

一旦本季的塵埃落定，我們基本上就會橫向磨合，我們能夠保持防禦地位，但我們能夠出售一些股票。事實上，我們這樣做時比批量銷售時只給了稍微折扣，但我們能夠產生一個很好的緩衝，一個現金緩衝，如果你願意的話。正如我所提到的，我們仍然處於防守地位。我們將槓桿率維持在較低水準。

Now I'll go through the deck and the slides and try to focus on the things that happened that were of most relevance to us. And there were two primary takeaways I want to focus on.

現在我將瀏覽簡報和幻燈片，並嘗試集中討論與我們最相關的事情。我想重點討論兩個主要要點。

On slide 9, you see the curve, the US Treasury curve and the swap curve. And obviously in the first -- the one thing I want to point out is if you look at that blue line there, that's where the curve was last Friday. The green line is June quarter end and then March quarter end. You can see the curve has been steepening, and that continued in this quarter. I'll have a fair amount more to say about that as we go on.

在第 9 張投影片上，您可以看到曲線、美國公債曲線和掉期曲線。顯然，首先——我想指出的一點是，如果你看那條藍線，那就是上週五的曲線所在位置。綠線代表六月季末和三月季末。您可以看到曲線一直在變陡，並且本季仍繼續保持這種趨勢。隨著我們繼續討論，我將會就此問題講更多。

But also note on the right side the SOFR swap curve. And I want to point out, if you look at these curves, the horizontal lines line up. So you could effectively put all of these curves on the same. And you can see the gap between the nominal curve, if you will, and the swap curve is wide and has been growing. And that's significant for us.

但也請注意右側的 SOFR 掉期曲線。我想指出的是，如果你看這些曲線，水平線是對齊的。因此你可以有效地將所有這些曲線放在同一條線上。您可以看到名義曲線與掉期曲線之間的差距很大，並且一直在擴大。這對我們來說意義重大。

So that's kind of the first takeaway. So swap spreads are becoming extremely negative. And for levered MBS investors who have to hedge their positions, using swaps is becoming a very attractive option for us because of the spreads that are available in the market as a result of that. So that's kind of point one.

這就是第一個收穫。因此掉期利差變得極為負面。對於必須對沖頭寸的槓桿 MBS 投資者來說，使用掉期交易對我們來說是一個非常有吸引力的選擇，因為這樣可以在市場上產生利差。這就是第一點。

If you go to point two, that's on slide 10. So here we show some of the mortgage metrics. The top is just the spread that we show. This is a lot of history, 15 years of history going back. Current coupon spread is a 10-year. That's a 10-year treasury, not a swap. As you can see, with respect to that spread, I mean, it's still wide by historical standards, but it's well off the extreme levels we saw in late 2023. But in the case of swaps, that's not the case.

如果你看第二點，那就是第 10 張投影片。這裡我們展示一些抵押貸款指標。頂部只是我們展示的傳播。這是一段很長的歷史，可以追溯到 15 年前。目前票息利差為 10 年。那是十年期公債，不是掉期債券。如您所見，就該價差而言，按照歷史標準來看，它仍然很大，但遠低於我們在 2023 年底看到的極端水平。但在掉期交易中，情況並非如此。

If you look at the bottom left, they show this every quarter. These are normalized prices for selection of Fannie Mae 30-year coupons. So all we do is we set the price equal to [100] at the beginning of the quarter. And as you can see, I want to point out that even though the return for the index, the mortgage index and the 30-year subcomponent were positive for the quarter, that's just because there's an income component of total return.

如果你看左下角，他們每季都會顯示這個。這些是房利美 30 年期優惠券選擇的標準化價格。因此，我們所做的就是在季度初將價格設定為 [100]。正如您所看到的，我想指出的是，儘管該指數、抵押貸款指數和 30 年期子成分的回報率在本季度為正，但這只是因為總回報率中包含了收入成分。

Price returns was negative or close to negative, in the case [barely but fairly indexes]. So you can see that prices just did not fully recover. And in fact, as we've entered the third quarter, they've continued to soften. So just keep that thought in mind for a second when you consider the following.

價格回報率為負或接近負，在這種情況下[勉強但公平索引]。所以你可以看到價格還沒有完全恢復。事實上，隨著我們進入第三季度，它們繼續走弱。因此，當您考慮以下內容時，請暫時記住這個想法。

When you look at slide 11, this is a picture of volatility. And in this case, we're using a pretty common measure, 3 months by 10 year normalized vol. This is what we would refer to as gamma. But notice that there's a lot of volatility. In this one-year look-back period, as you saw in early April, vol spiked, which is what you would expect. And so that was the high reading for this one-year period.

當您查看投影片 11 時，這是一張波動性的圖片。在這種情況下，我們使用一種非常常見的衡量標準，即 3 個月乘以 10 年標準化波動率。這就是我們所說的伽瑪。但請注意，波動性很大。在這一年回顧期內，正如您在四月初看到的那樣，交易量飆升，這正是您所預料的。這就是這一年期間的最高讀數。

But notice over the course of the quarter how much it fell. So we went from the local high to the local low over the course of one quarter. And if you look back in the middle of that graph, say late 2024 and 2025 when vol was also low, mortgages were doing very well. But you look at where we are now with vol at the lowest levels of this period, and they're not.

但請注意本季它下降了多少。因此，我們在一個季度內從局部高點跌到了局部低點。如果你回顧圖表的中間部分，例如 2024 年末和 2025 年，當時波動率也很低，抵押貸款表現非常好。但你看看我們現在的波動率處於這段時期的最低水平，但事實並非如此。

So that's the second takeaway, is this combination of relatively weak mortgage performance, even in the face of low volatility, which is counter to what we would expect. And so that means you have attractive assets to acquire and very effective ways to hedge them with the swap market. So those are the two primary takeaways I want to focus on.

因此，第二個要點是，即使在波動性較低的情況下，抵押貸款表現仍然相對較弱，這與我們的預期相反。這意味著您可以獲得有吸引力的資產，並可以透過掉期市場以非常有效的方式對其進行對沖。所以這就是我想要關注的兩個主要要點。

Continuing on with the rest of the deck, you look at slide 12. On the left-hand side, you see various swap ten years, sevens, fives -- sorry, two-year, five-year, seven-year, and ten-year. And as you can see in this graph, right around the early part of April, these things dropped down precipitously. But note how the fact that they didn't recover. They've trended sideways since.

繼續瀏覽本簡報的其餘部分，請看第 12 張投影片。在左側，您可以看到各種互換期限，有十年、七年、五年——抱歉，是兩年、五年、七年和十年。正如您在圖表中所看到的，大約在四月初，這些數字急劇下降。但請注意他們並沒有康復。自此以後，他們的走勢一直呈現橫向。

So what's driving this? And what is driving this is the following. With the government running persistent deficits, and the market anticipating continued deficits, especially after the passage of the One Big Beautiful Bill, that means that the market is in effect anticipating heavy treasury issuance.

那麼，是什麼原因導致這現象的發生呢？推動這一進程的因素如下。由於政府持續出現赤字，並且市場預期赤字將繼續存在，特別是在《一項偉大的美麗法案》通過之後，這意味著市場實際上預期將大量發行國債。

So in the face of very heavy treasury issuance, it's as if nominal treasuries are cheapening to what effectively has become the new risk-free asset, which is a swap yield. And so since the market expects this to continue, and I mentioned earlier that the One Big Beautiful Bill was passed, and while it's going to be very stimulative for the economy, it also -- if you look at it from a perspective of fiscal deficits, it's not likely to cause a shrinkage of those.

因此，面對大量國債發行，名目國債的價格似乎正在貶值，而實際上它已成為新的無風險資產，即掉期收益率。因此，由於市場預期這種情況會持續下去，而且我之前提到過，《一項偉大的美麗法案》已經通過，雖然它將對經濟產生很大的刺激作用，但如果從財政赤字的角度來看，它也不太可能導致財政赤字的縮減。

So a continuation of deficits, which means nominal treasuries have been cheapening relative to swap yields. And that appears to be something we expect to continue for quite some time.

因此，赤字持續存在，意味著名目國債相對於掉期殖利率而言一直在貶值。我們預計這種情況將持續相當長一段時間。

On the bottom right, we show the composition of our hedge book. weighted by DV01. And as you can see, swaps, the green area, are over or almost 80%, futures at 21%. Given what I've just said, we would expect that composition to shift going forward in favor of swaps more for the obvious reason.

右下角展示了對沖帳簿的組成，並以 DV01 加權。如您所見，掉期（綠色區域）已超過或接近 80%，期貨為 21%。鑑於我剛才所說的，我們預計，由於顯而易見的原因，未來的結構將更多地轉向掉期。

Moving on to slide 13, this is a picture of the mortgage refinancing and housing market. On the left, you can see the refi index versus mortgage rates. The song remains the same. The refi index is at historically low levels. Mortgage rates are high. For the reasons I've been discussing, I would expect that those would continue to stay high.

翻到第 13 張幻燈片，這是抵押貸款再融資和房屋市場的圖片。在左側，您可以看到再融資指數與抵押貸款利率的關係。歌曲保持不變。再融資指數處於歷史低點。抵押貸款利率很高。基於我已經討論過的原因，我預計這些數字將繼續保持高位。

And just to give you some added color, this last week, existing home sales were released. Home prices are at all-time highs. They continue to hit all-time highs. The inventory-to-sales ratio, which was at 4.7, typically 6 is considered kind of middle of the range. But that being said, that's the highest reading since 2016.

為了給您一些補充信息，上週，現房銷售情況已經公佈。房價處於歷史最高水準。它們不斷創下歷史新高。庫存銷售比率為 4.7，通常 6 被認為是中等水準。但話雖如此，這是自 2016 年以來的最高讀數。

So inventory levels are building. And when you consider that the consumer is relatively tentative given the uncertainty around tariffs and potential job losses, affordability is at multi-years, if not decade lows, and rates are high and likely to stay higher. And what does this mean? Well, refinancing activity is likely to stay quite low.

因此庫存水準正在上升。考慮到關稅和潛在失業的不確定性，消費者相對謹慎，負擔能力處於多年來甚至十年來的最低水平，而利率卻很高，並可能繼續保持高位。這是什麼意思？嗯，再融資活動可能會保持相當低的水平。

And what that means then for [carry], particularly higher coupons, is that carry could be very attractive. So I'm trying to paint a picture here that shows that based on what's going on in the market, the outlook for mortgage investing could be quite attractive.

這對 [carry] 來說意味著，特別是對於更高的票面來說，carry 可能非常有吸引力。因此，我試圖在這裡描繪一幅圖景，表明根據目前的市場狀況，抵押貸款投資的前景可能相當有吸引力。

A few more slides before I turn over to Hunter. Slide 14. I've been showing this one for years or at least quarters, rather. And you can see I just have on here the GDP of the US in dollars versus the money supply. And the red line, as you can see, is the government continues to run large deficits and it's keeping growth elevated. It's really buttressing growth.

在我把時間交給亨特之前，我再放幾張投影片。幻燈片 14。我已經展示這個好幾年了，或者至少是幾個季度了。你可以看到，我在這裡顯示的是美國的 GDP（以美元計）與貨幣供應量的關係。正如你所看到的，紅線表示政府繼續出現巨額赤字，但仍然保持著高成長。這確實有助於促進成長。

And when you look at, for instance, what happened in '22 and '23 when the Federal Reserve raised interest rates by over 500 basis points, yet the economy never really ran into recession. And even today in the face of these tariffs, the labor market appears resilient, the unemployment rate hasn't grown, and spending and consumer spending has remained at least resilient, if not very strong.

例如，當你看到 2022 年和 2023 年聯準會將利率提高了 500 多個基點時，經濟從未真正陷入衰退。即使在今天面對這些關稅的情況下，勞動力市場仍然表現出韌性，失業率沒有上升，支出和消費者支出即使不是非常強勁，也至少保持了韌性。

And what this really means is that you have this deficit spending which is really preventing the economy from slowing in the face of what would otherwise be typically slow the economy quite a bit, whether it's the uncertainty surrounding the tariffs or the Fed hikes. And so I expect that to continue, which means that the economy I would expect to continue to be quite robust.

這實際上意味著，赤字支出實際上阻止了經濟放緩，否則，無論是圍繞關稅的不確定性還是聯準會升息，經濟通常都會大幅放緩。因此我預計這種情況將會持續下去，這意味著我預計經濟將繼續保持強勁。

I want to go to a few slides in the appendix. I'll give you a moment to turn the page. If you look at slide 26, this is new. What we're showing is the term premium as measured by the ACM model. I am not an expert in the ACM model, but I can tell you that it is one widely used and well respected.

我想看一下附錄中的幾張投影片。我給你一點時間翻頁。如果你看第 26 張投影片，你會發現這是新的。我們展示的是 ACM 模型衡量的期限溢價。我不是 ACM 模型的專家，但我可以告訴你，它是被廣泛使用且備受推崇的模型。

And what you see in this data, this goes back 25 years, is that for a long period of time, up until around 2015, term premiums were positive, and in some cases quite high, up to 300 basis points. But then we entered a long period of where they were negative or rarely positive. But that's changed, and we're starting to see them move higher.

從這些數據中可以看出，過去 25 年來，在很長一段時間內，直到 2015 年左右，期限溢價都為正，在某些情況下甚至相當高，高達 300 個基點。但隨後我們進入了一段很長的時期，他們的表現都比較消極，或者很少是積極的。但情況已經改變，我們開始看到它們走高。

And for the reasons I've been discussing, I think that that's going to continue to be the case. And so, with respect to say, for instance, the curve shape, while we may not get as much Fed cuts, as many Fed cuts as the market anticipates, we may. But even if we don't, I think this upward pressure on longer-term rates is going to keep the curve steep, which is, again, attractive for investors such as ourselves.

基於我已經討論過的原因，我認為這種情況將會持續下去。因此，就曲線形狀而言，雖然我們可能不會像市場預期的那樣大幅降息，但我們可能會。但即使我們不這樣做，我認為長期利率的上行壓力也會使曲線保持陡峭，這對我們這樣的投資者來說再次具有吸引力。

On slide 27, another new slide, what we're showing here is the spread of a current coupon mortgage to both a seven-year swap in the case of a blue line and a 10-year swap versus a red line. As you can see, where we are now, we're in the neighborhood of 200 basis points for the current coupon mortgage to a seven-year swap. We haven't been at those levels since late 2023 when the Fed was just finishing up in a massive tightening cycle and mortgages had suffered mightily.

在投影片 27 上，另一張新投影片，我們在這裡展示的是當前息票抵押貸款與 7 年期掉期（藍線）以及 10 年期掉期（紅線）之間的利差。如您所見，我們現在的情況是，當前息票抵押貸款與七年期掉期利率的差距約為 200 個基點。自 2023 年底以來，我們還沒有達到過這樣的水平，當時聯準會剛結束大規模緊縮週期，抵押貸款遭受了巨大損失。

So here we are right back in those levels, and also, in conjunction with what I've been saying about the market generally speaking, all this paints a very attractive picture for mortgages.

因此，我們現在又回到了這些水平，而且，結合我對整個市場的看法，所有這些都為抵押貸款描繪了一幅非常有吸引力的圖景。

The final slide before I turn it over to Hunter is slide 28. I've been talking about this one as well for quite a while. What you see here are bank holdings of mortgages as well as the Federal Reserve. And as we can see in the red line, the Fed just continues to let the mortgages run off their balance sheet.

在我把它交給亨特之前的最後一張幻燈片是第 28 張。我已經談論這個問題有一段時間了。您在這裡看到的是銀行持有的抵押貸款以及美聯儲。正如我們在紅線中看到的，聯準會只是繼續讓抵押貸款從其資產負債表中流出。

Banks have been growing slowly, but very slowly. The rate of growth is minimal. and they represent one of the most, if not the most important marginal buyer of mortgages. If you look at the mortgage market today, obviously REITs have been growing, raising capital, but they're still not nearly as big as the bank community. The money manager community has been seeing inflows. They've been overweight mortgages for some time, so they're a good source of demand, but their flows can go both ways and be volatile.

銀行一直在緩慢地增長，但是非常緩慢。成長率很小。他們是抵押貸款最重要的邊際買家之一，即使不是最重要的。如果你看看今天的抵押貸款市場，顯然房地產投資信託基金一直在成長，籌集資金，但它們的規模仍然不如銀行業。基金經理人群體一直在看到資金流入。一段時間以來，他們一直持有過多的抵押貸款，因此他們是一個很好的需求來源，但他們的流動可能是雙向的，而且不穩定。

So what's really been missing is this big 800-pound gorilla, the banking community, from coming in and buying mortgages. And really, I think that's a big reason why mortgages have yet to perform well, and we still trade at these cheap levels.

所以，我們真正缺少的是銀行業這個重達 800 磅的大猩猩的介入和購買抵押貸款。事實上，我認為這是抵押貸款表現不佳以及我們的交易價格仍然處於低點的一個重要原因。

So going forward, what could change that? What could cause the banks to become more engaged? Well, one of the points mentioned often is these uncertainties surrounding tariffs. Hopefully that's behind us relatively soon. We'll see a regulatory relief. that's in the works, and then obviously Fed rate cuts, which would further steepen the curve. All of these could combine to cause the banks to be more engaged, and that would represent very much a big win in the sales of mortgages.

那麼展望未來，什麼可以改變這個現狀呢？什麼可以促使銀行更積極參與其中？嗯，經常提到的一點是圍繞關稅的不確定性。希望這一切很快就能過去。我們將看到監管放鬆。這正在進行中，然後顯然聯準會將降息，這將進一步使曲線變陡。所有這些因素結合起來可能會促使銀行更加積極參與，這將代表抵押貸款銷售的巨大勝利。

I guess the final one might be if the economy does get really strong and deposit growth grows, that the banks, they could buy more. But it definitely is a source of potential tightening, but we're just not sure when and if that's going to occur.

我想最後一個可能是，如果經濟確實變得強勁並且存款成長，那麼銀行就可以購買更多。但它肯定是潛在緊縮的一個來源，但我們只是不確定何時以及是否會發生。

But that's my synopsis of all the macro developments in the market and what those mean for us. And with that, I will turn it over to Hunter.

但這是我對市場所有宏觀發展及其對我們的意義的概述。說完這些，我將把麥克風交給亨特。

Thanks, Bob. If you're following along, we'll go back towards the investment portfolio section, starting on slide 16. During the second quarter, we continued to reposition our portfolio up in coupon. The weighted average coupon increased from 5 -- to 5.45% from 5.32% at the end of the first quarter. While a realized yield slightly declined from 5.41% to 5.38%, our economic interest spread remains healthy at 243 basis points.

謝謝，鮑伯。如果您一直在關注，我們將回到投資組合部分，從第 16 張投影片開始。在第二季度，我們繼續調整我們的投資組合以增加票面利率。加權平均票面利率從第一季末的5.32%上升至5.45%。雖然實際收益率從 5.41% 略微下降至 5.38%，但我們的經濟利差仍維持在 243 個基點的健康水準。

We rotated out of lower pay-up Fannie fours and fives, $334 million and $137 million respectively, and increased 5.5%, 6%, and 6.5% by $555 million, $145 million, and $86 million respectively. This marks a continued strategic shift away from our barbell approach towards a more concentrated production coupon bias. This has served us well in this recent curve-steepening environment that Bob has been discussing.

我們輪流出售了償還額較低的房利美四期債券和五期債券，分別為 3.34 億美元和 1.37 億美元，並分別增加了 5.55 億美元、1.45 億美元和 8,600 萬美元，增幅為 5.5%、6% 和 6.5%。這標誌著我們的策略持續轉變，從槓鈴式方法轉向更集中的生產優惠券偏見。在鮑伯所討論的近期曲線陡化環境中，這對我們來說非常有幫助。

Turning to slide 17, this slide shows the evolution of our coupon allocation over the past couple of quarters. You can see the meaningful decline in exposure to 3.5% through 4.5% coupons and the corresponding rise in 5.5% to 6.5% buckets. This shift is deliberate.

翻到第 17 張投影片，這張投影片展示了過去幾季我們的優惠券分配的變化。您可以看到 3.5% 至 4.5% 的優惠券曝光度顯著下降，而 5.5% 至 6.5% 的優惠券曝光度則相應上升。這種轉變是經過深思熟慮的。

Lower coupon pools, while theoretically easier to hedge, have shown elevated spread volatility during risk-off events, largely due to redemption-driven selling by the money manager community that Bob was just talking about.

較低的票息池雖然在理論上更容易對沖，但在避險事件期間卻表現出利差波動性上升，這主要是由於鮑勃剛才談到的基金經理群體贖回驅動的拋售。

The combination of the heightened spread volatility considerably lower realized yields and relatively higher hedge costs resulting from a steeper yield curve have all contributed to the rationale for us to shift away from the barbell into a more production coupon focus.

利差波動加劇、實際殖利率大幅下降以及殖利率曲線變陡導致對沖成本相對較高，這些因素共同促使我們將重點從槓鈴轉向生產票息。

Turning to slide 18, our repo funding remains very stable. We had a blended rate of 4.48% in the second quarter, which was basically unchanged from the first quarter. Our average maturity shortened slightly to 35 days. Our all-in economic cost of funds rose modestly from 2.83% to 2.95%, mainly due to swap portfolio dynamics. And we ended the quarter with our leverage at 7.3, down slightly from 7.5, reflecting our disciplined focus on keeping leverage stable in all the times.

轉到第 18 張投影片，我們的回購融資仍然非常穩定。我們第二季的綜合利率為4.48%，與第一季基本持平。我們的平均期限略微縮短至 35 天。我們的資金總經濟成本從 2.83% 小幅上升至 2.95%，主要歸因於掉期投資組合的動態。本季末，我們的槓桿率為 7.3，略低於 7.5，這反映了我們始終致力於保持槓桿率穩定的紀律性。

The funding environment remains very constructive with repo spreads relatively stable outside of period in tightness. And at June 30, 2025, and continuing into the third quarter, we had excess borrowing capacity with 24 active lenders and a few more sources of funding in the queue.

融資環境依然非常有利，回購利差在緊張時期之外相對穩定。截至 2025 年 6 月 30 日，並持續到第三季度，我們的借貸能力過剩，擁有 24 家活躍貸款機構和一些排隊中的資金來源。

Turning to slide 19. to briefly discuss our hedge positions. Our hedge ratio stood at 73% of our repo balance at quarter end, down slightly due to the asset mix shift that I discussed earlier. Going forward, we'll likely shorten the hedge mix and thereby increase the notional balance of the hedges commensurate with the shorter duration of the assets we've been adding.

翻到投影片 19，簡單討論一下我們的對沖部位。季度末，我們的對沖比率為回購餘額的 73%，由於我之前討論過的資產組合變化而略有下降。展望未來，我們可能會縮短對沖組合，從而增加對沖的名義餘額，以與我們增加的資產的較短期限相稱。

The book is still biased towards interest rate swaps, as discussed earlier, 78% of our DV01, in fact, and the rest is in futures, predominantly Treasury futures. Current configuration leaves us modestly positioned for a higher rate bias and a steeper curve. Mark-to-market on the hedges in the second quarter totaled $0.47 a share, $53.8 million, with the majority stemming from our swap positions.

如同先前所討論的，這本書仍然偏向利率互換，實際上占我們 DV01 的 78%，其餘的則是期貨，主要是國債期貨。目前的配置使我們適度地處於更高的利率偏差和更陡峭的曲線的位置。第二季對沖的市價總額為每股 0.47 美元，即 5,380 萬美元，其中大部分來自我們的掉期部位。

While both swaps and Treasury futures contributed to losses, the Treasury hedges outperformed our swap hedges, and this reflects the sharp tightening in swap spreads following April's hedge fund stop-outs when levered players were forced to unwind basis trades under stress and distorting the price of the Treasury curve.

雖然掉期和國債期貨都造成了損失，但國債對沖的表現優於我們的掉期對沖，這反映了 4 月份對沖基金止損之後掉期利差的急劇收緊，當時槓桿參與者在壓力下被迫平倉基差交易，扭曲了國債曲線的價格。

Going to slide 20, we have a couple points to make here. You'll see the full breakdown. This will show you a full breakdown of all of our hedges, swaps, futures, and TBA positions. Our swap book had a weighted average maturity of 5.7 years with an average fixed rate of 3.30%. Futures remain concentrated in 5, 7s, and 10s, so the FDs, the TYs, and the ultras. And at the end of the quarter, we didn't have any short TBAs or swap ship positions.

轉到幻燈片 20，這裡有幾點需要說明。您將看到完整的細目分類。這將向您顯示我們所有對沖、掉期、期貨和 TBA 頭寸的完整明細。我們的掉期帳簿的加權平均期限為 5.7 年，平均固定利率為 3.30%。期貨仍集中在 5、7 和 10，也就是 FD、TY 和 ultra。截至本季末，我們沒有任何短期 TBA 或掉期部位。

Slide 21 shows how a combination of the assets and the hedges lead to our current risk profile. This shows our interest rates. Page 21 shows our interest rate sensitivity by coupon. Our portfolio is now, as I mentioned, more weighted towards lower-duration assets, and we have maintained a slightly higher duration on our hedges, giving us the curve-steepening bias that I alluded to. We expect this current positioning to be resilient in a bear steepener or higher-rate scenario, while still capturing meaningful carry, because spreads of mortgage assets over swaps are very elevated at the moment.

投影片 21 顯示了資產和避險的組合如何導致我們目前的風險狀況。這顯示了我們的利率。第 21 頁顯示了我們的票息利率敏感度。正如我所提到的，我們的投資組合現在更加偏向於低期限資產，而我們的對沖期限保持得稍長一些，這導致了我所提到的曲線陡化偏差。我們預計，目前的部位在熊市加劇或利率上升的情況下仍將具有彈性，同時仍能獲得有意義的套利，因為目前抵押貸款資產與掉期之間的利差非常高。

Slide 22, our dollar DV01 for RMBS is $2.285 million, while the hedges is $2.492 million, leaving a modest negative duration gap of $207,000. This equates to 0.17% exposure in an up [50] parallel shock, which is very manageable. Our strategy keeps us agile across rate paths with modest exposure, as I alluded to, to curve shape and lower rates.

投影片 22，我們的 RMBS 美元 DV01 為 228.5 萬美元，而對沖為 249.2 萬美元，留下 207,000 美元的適度負久期缺口。這相當於在 [50] 平行衝擊中暴露出 0.17% 的風險，這是非常容易控制的。我們的策略讓我們在利率路徑上保持靈活，並適度暴露於曲線形狀和較低的利率，正如我所提到的。

Slide 23 is our pre-payment experience. Pre-payments remain pretty muted overall with a slight seasonal uptick, higher coupons. continue to see very modest speed increases, though most of them are still in kind of the mid-to-high single-digit range. And our deep discount positions continue to benefit from favorable prepay speeds, mostly in kind of the mid-to-upper single-digit range, which provides a consistent source of income.

投影片 23 是我們的預付款體驗。預付款總體上仍然保持相當低迷，只有輕微的季節性上漲和更高的優惠券。繼續看到非常溫和的速度成長，儘管其中大多數仍處於中高個位數範圍內。我們的深度折扣地位繼續受益於有利的預付速度，大部分處於中上個位數範圍，這提供了穩定的收入來源。

Just kind of wrapping things up and giving a little bit of an outlook. Q2 opened with a severe volatility reminiscent of March 2020. Tariff announcements triggered a violent risk-off move and widespread deleveraging. Thanks to our ample liquidity and strong hedge positioning, we avoided large-scale forced sales.

只是總結一下並給出一點展望。第二季開局就出現了劇烈波動，讓人想起了 2020 年 3 月的情況。關稅公告引發了劇烈的避險情緒和大範圍的去槓桿。由於我們充足的流動性和強大的對沖頭寸，我們避免了大規模的強制出售。

As the markets stabilized, we raised $140 million in new equity and deployed it into higher coupon-specified pools, expanding the portfolio modestly by quarter end. Mark-to-market hedge losses total $0.47 per share, or $53.8 million, with swaps accounting for the disproportionate share. Going back, this is due to the violent swap spread tightening move that we saw in April.

隨著市場穩定，我們籌集了 1.4 億美元的新股權，並將其部署到票面利率更高的特定池中，從而在季度末適度擴大了投資組合。以市價計價的對沖損失總計為每股 0.47 美元，即 5,380 萬美元，其中掉期交易占了不成比例的份額。回顧過去，這是由於我們在四月看到的掉期利差劇烈縮窄所致。

Portfolio shift towards higher coupons shortens overall duration and as a result, our hedge ratio as a percent of our repo balance declined slightly. Going forward, we may modestly narrow that gap.

投資組合向更高票息的轉變縮短了整體持續時間，因此，我們的對沖比率佔回購餘額的百分比略有下降。展望未來，我們可能會適度縮小這一差距。

Looking ahead, we believe the investment environment for agency RMBS remains extremely attractive. Production coupon spreads are currently 200 basis points roughly over swaps, which is a historically wide level that presents a very compelling total return potential. even without some sort of catalyst-driven basis recovery.

展望未來，我們相信機構RMBS的投資環境仍極具吸引力。目前，生產息票利差比掉期利率高出約 200 個基點，這是一個歷史性的寬幅水平，即使沒有某種催化劑驅動的基準復甦，也具有非常誘人的總回報潛力。

Our larger equity base and refined coupon allocation and reduced leverage also provide us with a lot of flexibility going forward to be opportunistic. Our higher coupon specified pools offer a lot of carry, and our hedge structure, by being biased towards slightly longer tenors, is designed to mitigate upward interest rate shocks, the effect of upward interest rate shocks in a steepening curve.

我們更大的股本基礎、更精細的息票分配以及更低的槓桿率也為我們未來抓住機會提供了巨大的靈活性。我們的較高票面利率指定池提供了大量的套利，而我們的對沖結構偏向於稍長的期限，旨在減輕上行利率衝擊，即上行利率衝擊在曲線變陡時產生的影響。

So with that, I will turn it back over to Bob for some concluding remarks.

因此，我將把發言權交還給鮑勃，請他發表一些總結性發言。

Thanks, Hunter. Just a couple of things I'll mention before we turn over to a question and answer. We didn't dwell a lot on funding.

謝謝，亨特。在我們進入問答環節之前，我只想提幾件事。我們並沒有過多考慮資金問題。

We have seen some volatility in funding spreads around month, quarter, and year end. 3, 4, or 5 basis points generally is the range. Otherwise, I would say funding has been stable. We've had no issues whatsoever adding repo counterparties when we need it. As we've seen, we've been growing. So if anything, the complaint we hear from our repo counterparties is they are asking for more bonds, not less.

我們發現融資利差在月末、季末和年末存在一些波動。一般在 3、4 或 5 個基點之間。除此之外，我想說資金一直都很穩定。當我們需要增加回購交易對手時，我們完全沒有遇到任何問題。正如我們所見，我們一直在成長。因此，如果有的話，我們從回購交易對手那裡聽到的抱怨是，他們要求發行更多債券，而不是更少。

So I would say characterize funding as ample for our asset class with spreads that are somewhat choppy around, period ends, but otherwise fairly stable. And then, I suspect you may hear this question, but I'll be glad to talk about it more.

因此，我認為我們的資產類別的資金充足，利差在期末有些波動，但除此之外相當穩定。然後，我想你可能會聽到這個問題，但我很樂意進一步談論它。

But with respect to GFC privatization, I think it's not on the immediate horizon. I think it could happen, but our basic takeaway is that with mortgage or housing affordability at multi-decade lows, anything that has any risk of causing mortgage spreads to widen is not something that's going to be pursued.

但就全球金融危機私有化而言，我認為這不會在短期內實現。我認為這種情況有可能發生，但我們的基本看法是，由於抵押貸款或住房負擔能力處於數十年來的最低水平，任何可能導致抵押貸款利差擴大的舉措都是不會被追求的。

And even if it does, the President has already stated, it's just a statement, not law, but saying that they would maintain the implicit guarantee of mortgages, so that would basically de-risk that if it were to occur. Again, who's to say if that actually became law, but at least with the perspective of the current administration, they would try to maintain that.

即使真的發生了，總統已經表示，這只是一份聲明，而不是法律，只是說他們會維持抵押貸款的隱性擔保，所以如果發生這種情況，這基本上會降低風險。再說了，誰也說不準這是否真的成為法律，但至少從現任政府的角度來看，他們會努力維持這一點。

So that's about it. Otherwise, I would just reiterate, we expect the market to stay favorable for mortgages. We talked about swap spreads being where they are. That could continue to erode. We'll see what is priced in the market. I think it's quite a bit, but it could potentially get worse. Otherwise, vol being low, curbs steep. and the mortgage is looking quite attractive from a carry perspective, all bodes well.

就是這樣。否則，我只想重申，我們預計市場將繼續有利於抵押貸款。我們討論了掉期利差的現況。這種情況可能會繼續惡化。我們將看看市場價格是多少。我認為情況相當嚴重，但可能會變得更糟。否則，波動率較低，限制措施較嚴格。並且從套利角度來看，抵押貸款看起來相當有吸引力，一切都預示著好兆頭。

So with that, I'll turn the call over to questions.

因此，我將把電話轉給提問者。

(Operator Instructions) Jason Weaver, JonesTrading.

（操作員指示）Jason Weaver，JonesTrading。

So I get a number of about $18.8 million increase in shares over the quarter. I guess that squares with the $140 million capital raised mentioned. I wonder what's your position towards raising additional capital here given the incremental ROE opportunity that you're seeing?

因此我得到的數字是本季股票增加了約 1,880 萬美元。我想這與提到的籌集的 1.4 億美元資金相符。我想知道，鑑於您所看到的增量 ROE 機會，您對在此籌集額外資本持什麼態度？

Well, it depends on where the stock trades. We would like to see it obviously higher. Let's just talk about ROEs. I would say obviously it depends on your coupon mix and leverage ratio. Let's just assume for the moment a leverage ratio of 8, which is above where we are, but it's a nice round number, and I think that increasing our leverage could be warranted in this environment given everything we've said.

嗯，這取決於股票在哪裡交易。我們希望看到它明顯更高。我們只討論 ROE。我想說這顯然取決於您的票面利率組合和槓桿率。我們暫時假設槓桿率為 8，高於我們現在的水平，但這是一個不錯的整數，而且我認為，考慮到我們所說的一切，在這種環境下提高槓桿率是合理的。

So let's just start with 8 in our current coupon mix. In other words, what we have in the portfolio today. I would say ROEs are 16, maybe 16.5. If you were to stretch the composition bias more up in coupon, you could probably get to about 18. So that's kind of the range, I would say, which is available in the market.

因此，我們就從目前的優惠券組合中的 8 張開始吧。換句話說，這就是我們今天的投資組合。我認為淨資產收益率（ROE）應該是16，或16.5。如果再考慮息票的構成偏差，大概可以達到18左右。所以我想說，這就是市面上可以買到的範圍。

And in terms of capital raising, it's a question of where the price is. We would accept slight dilution to book, which we did in the second quarter. given the chaotic nature of the market and the fact that spreads were so attractive. But going forward, ideally, we would like to be at book or better all the time. And these are still attractive levels, which we really haven't seen in a while.

就融資而言，問題在於價格在哪裡。考慮到市場的混亂性質以及利差如此誘人的事實，我們可以接受帳面價值的輕微稀釋，我們在第二季也這樣做了。但展望未來，理想情況下，我們希望一直維持現狀或更好。這些水平仍然很有吸引力，這是我們很久沒有見過的了。

Agreed. That's helpful. Thank you for that. I was also wondering, given the stance towards high coupon positioning, how you're thinking of the premium risk in those, say 6 and 6.5 pools. I see either a point or 3 points of premium today on generics. And maybe that just squares with your view that rates stay higher for longer in the long end.

同意。這很有幫助。謝謝你。我還想知道，鑑於高息票定位的立場，您如何看待那些 6 和 6.5 池中的溢價風險。我今天看到仿製藥的溢價為 1 點或 3 點。這或許正好符合你的觀點，利率將在長期維持在高水準。

Yeah, I would say so. And we tend to buy, and I'll let Hunter speak of this more like, we tend to buy lower pay-up pools and the pre-payment experience on those has been very good.

是的，我會這麼說。我們傾向於購買，我讓亨特更多地談論這一點，我們傾向於購買較低支付額的池子，而且這些池子的預付款體驗非常好。

The housing market is in a real challenging situation from a perspective of affordability and the ability for people to refinance. And with the curve staying the way it is, with deficits running the way they are, and the economy as strong and resilient as it is, it's really hard for me, absent some external shock, to see a big rally in the long run.

從人們的負擔能力和再融資能力的角度來看，房地產市場正面臨著真正的挑戰。如果曲線維持現狀，赤字維持現狀，經濟保持強勁和韌性，那麼除非出現一些外部衝擊，否則我很難看到長期出現大幅反彈。

Now, you could argue that's the obvious pay trade it is, but I think carry, absent, and a shock in higher coupons is very attractive.

現在，您可能會爭辯說，這顯然是一筆付費交易，但我認為，持有、缺席以及更高票面的衝擊非常有吸引力。

First of all, just to chime in on that, all of our premium-specified pools have some sort of a story to them, so that's the first line against some sort of a large rally and premium risk. So we've focused on stories that are relatively inexpensive. We try to kind of focus inside of an extra point. But those stories have held up really well as we've had these small kind of micro refi waves over the course of the last year or so.

首先，只是為了補充說明這一點，我們所有的溢價指定池都有某種故事，所以這是針對某種大幅反彈和溢價風險的第一道防線。因此，我們專注於相對便宜的故事。我們嘗試將注意力集中到一個額外的點上。但這些故事確實很有說服力，因為我們在過去一年左右經歷了這些小規模的微型再融資浪潮。

And so I think we're well-positioned. We still do have a decent portion of the portfolio in the discount coupon, so that always helps in that big rally scenario. We would expect to see those assets do very well while the higher coupons, specifically like the 6.5s and maybe even the 6s, underperform a little bit. And we've seen that happen as we've pushed towards the lower end of the rate range here in the last several months and the strategy seems to be working relatively well.

所以我認為我們處於有利地位。我們的投資組合中仍然有相當一部分是折價券，所以這在大幅反彈的情況下總是有幫助的。我們預計這些資產將表現良好，而票面利率較高的資產，特別是 6.5s 甚至 6s，表現會略遜一籌。我們看到這種情況發生，因為我們在過去幾個月中一直將利率推向低端，而且這一策略似乎效果相對較好。

We keep enough exposure to discounts, even if they're more recently just slight discounts, so like the 5s and the 5.5s, that I think we're pretty well diversified for both a little rally and refi wave as well as a sell-off. That's the other side of it is the 6 and 6.5s have done incredibly well as we push towards the higher end of the recent range. That's how we think about it.

我們保持足夠的折扣敞口，即使最近只是小幅折扣，例如 5s 和 5.5s，我認為我們對小幅反彈和再融資浪潮以及拋售都進行了相當好的多元化投資。另一方面，隨著我們向近期範圍的高端邁進，6 和 6.5 的表現非常好。我們就是這樣想的。

Got it. Thank you. And one more, if I may. Did you give an updated quarter-to-date book value? Apologies if I missed it during the prepared remarks.

知道了。謝謝。如果可以的話，我還要再說一句。您是否給出了更新後的本季至今的帳面價值？如果我在準備好的發言中錯過了這一點，我深感抱歉。

We did not. And as of last night, these numbers are not audited. Obviously, it's just our best guess estimate. We were down about $0.03 quarter-to-date. Not 3%, $0.03.

我們沒有。截至昨晚，這些數字尚未經過審計。顯然，這只是我們最好的猜測估計。本季度迄今為止，我們的虧損約為 0.03 美元。不是 3%，而是 0.03 美元。

Mikhail Goberman, Citizens JMP.

米哈伊爾·戈伯曼（Mikhail Goberman），公民 JMP。

Thanks, as usual, for the detailed slide deck. Just a quick question on pre-pay speeds. There was a bit of a spike up in the second quarter. What is your sort of outlook for the third quarter in terms of pre-pays?

一如既往，感謝您提供詳細的幻燈片。我只是想問一下關於預付費速度的問題。第二季出現了小幅上漲。就預付款而言，您對第三季的展望如何？

I would say very muted. Consider that the second quarter is typically the peak seasonal period. Now, that's not a premium story or a discount story. That's just the nature of the turnover. It was very muted given that.

我想說非常安靜。考慮到第二季度通常是季節性高峰期。現在，這不是一個優質故事或折扣故事。這就是營業額的本質。有鑑於此，它非常安靜。

And the brief refi spike was really just because of the rally that occurred early in the quarter. I don't expect that to continue much at all. And again, to the extent we continue to see pressure on longer-term rates, I don't really see how you can have that come back meaningfully. I would say I expect them to be muted.

而短暫的再融資飆升其實只是因為本季初出現的反彈。我根本不認為這種情況會持續下去。而且，如果我們繼續看到長期利率面臨壓力，我真的看不出這種壓力如何能有效回升。我想說我希望他們保持沉默。

Yeah, and we've added, part of that was just the natural seasoning of the portfolio in conjunction with a small refi opportunity similar to sort of what we saw at the end of, let's see, September, October of last year. pushing into December and January speeds. So I think going forward we should be in good shape.

是的，我們已經補充說，其中一部分只是投資組合的自然成熟，加上一個小的再融資機會，類似於我們在去年九月、十月底看到的情況，推動到十二月和一月的速度。所以我認為我們未來會處於良好的狀態。

And we've also added a lot of newer issue spec pools in the upper coupon range, so I should pull that weighted average speed down a little bit going forward.

而且我們還在較高票面利率範圍內增加了許多較新的發行規格池，因此我應該將加權平均速度稍微降低一些。

So I'll probably expect something with an [8] or a low [9] handle as opposed to almost [8] in the first quarter, you can say?

所以我可能會期待一個 [8] 或較低的 [9] 句柄，而不是第一季的幾乎 [8]，你可以這麼說嗎？

(inaudible)

（聽不清楚）

I don't know if we get to single digits in those coupons, but I think they will remain in teams, with possible exceptions of 7s. So I don't even load up mid-teens, I would think, by the end of the year. So I think that the carry in those is going to continue to be good.

我不知道我們是否會在這些優惠券中獲得個位數，但我認為他們會留在團隊中，可能有 7 個例外。所以我想，到今年年底，我甚至不會達到十幾歲的水平。所以我認為這些方面的收益將會繼續保持良好。

And the combination of relatively muted speeds and the dollar prices that we're looking at, the yields in those are in the mid to high 5s, I believe. I want to say, I don't know if you have that in here, but [6.5], I think they're in the [5.70, 5.65, 5.75] range. And I would expect that to be maintained.

而相對緩慢的速度和我們所關注的美元價格的結合，我相信，這些收益率將在 5% 左右。我想說，我不知道你這裡是否有這個，但是[6.5]，我認為它們在[5.70, 5.65, 5.75]範圍內。我希望這一點能夠維持下去。

Jason Stewart, Janney Montgomery Scott.

傑森史都華、珍妮蒙哥馬利史考特。

A quick one on the capital activity. for the share repurchases and the issuance. Do you have a number, how that impacted book in the quarter, either separately or together?

快速介紹一下資本活動。用於股票回購和發行。您能給出一個數字嗎？這對本季的圖書產生了怎樣的影響（單獨影響還是整體影響）？

I don't have one on the buybacks. On the issuance, it was somewhere around, and this is -- there's no precise way to measure this because you don't necessarily know what book value is at the moment you're selling shares. I tend to just look at end-of-day book to compare that to the issuance price, which I'm not going to [say] is absolutely the best way.

我沒有關於回購的任何資訊。就發行而言，它大約在某個地方，這是——沒有精確的方法來衡量它，因為你不一定知道你出售股票時的帳面價值是多少。我傾向於只查看收盤帳簿並將其與發行價格進行比較，但我不會說這絕對是最好的方法。

It was somewhere around $0.20 or $0.21 negative in the second quarter, and it was about a positive $0.21 or $0.22 in the first quarter. But we sold more shares in the second quarter, so the combination of the two was about 99.5% of book for the first six months of the year.

第二季約為負 0.20 美元或 0.21 美元，而第一季約為正 0.21 美元或 0.22 美元。但我們在第二季出售了更多股票，因此兩者加起來約佔今年前六個月帳面價值的 99.5%。

Meta fees.

元費用。

Yeah, meta fees using that methodology.

是的，元費用採用此方法。

Okay. All right. Thank you for that. And then just on the ROE range, relative to the dividend,. I know there's tax differences, but, I mean, if we think about the dividend today on a, let's use $7.24 for current book value, that's a [99] payout plus cost to operate.

好的。好的。謝謝你。然後僅討論相對於股息的 ROE 範圍。我知道存在稅收差異，但是，我的意思是，如果我們考慮今天的股息，讓我們以 7.24 美元作為當前賬面價值，那就是 [99] 的股息加上營運成本。

Relative to the ROE that you're talking about and the high teams, could you just help me think through how you put those two and how we should think about the tax versus economic return difference?

相對於您所談論的 ROE 和高階團隊，您能否幫助我思考如何將這兩者聯繫起來，以及我們應該如何看待稅收與經濟回報之間的差異？

Okay. Well, first of all, keep in mind that the mark-to-market of the portfolio affects the yield. So obviously, if you mark the portfolio down, the yield is going to go higher. And I think that's capturing a part of that.

好的。首先，請記住投資組合的市價會影響收益率。因此顯然，如果你降低投資組合的估值，收益率就會上升。我認為這抓住了其中的一部分。

And you also think of it this way. Whenever the mark-to-market of the portfolio occurs, you also have a realized or unrealized loss. So that dividend yield might be 20%, but you've also incurred a mark-to-market loss. Now, that doesn't impact the dividend per se, but when you think of it from a total return perspective, yeah, you're paying a higher dividend, but you've got a mark-to-market loss, so what's the net of that?

你也這麼想。每當投資組合以市價計價時，您也會有已實現或未實現的損失。因此股息收益率可能是 20%，但您也遭受了以市價計價的損失。現在，這本身並不影響股息，但是當你從總回報的角度考慮時，是的，你支付了更高的股息，但你卻遭受了按市價計價的損失，那麼淨額是多少呢？

And compare that to what you're earning on new capital. And also keep in mind that for tax purposes, when you close out a hedge, if the hedge is in the money, you are required by tax law to allocate that equity over the balance of the hedge period. So when you look at the dividend we pay, it's driven by taxable income. Some of that is a result of closed hedges.

並將其與您在新資本上的收益進行比較。還要記住，出於稅收目的，當您平倉對沖時，如果對沖是盈利的，則稅法要求您在對沖期餘額中分配該權益。因此，當您查看我們支付的股息時，它是由應稅收入驅動的。部分原因是由於對沖關閉。

So that cash isn't necessarily sitting in an escrow account. So if at any point in time you have a period where market moves and your hedges go into money and your mortgage assets go out of the money, you're going to get margin call activity.

因此現金不一定會存放在託管帳戶中。因此，如果在任何時間點，市場出現波動，您的對沖資產變為有價資產，而您的抵押資產變為無價資產，那麼您就會收到追加保證金通知。

So you're going to be sending out cash to your repo counterparties. You're going to be taking in cash from your hedge counterparties. The net of that could be zero. So your cash position could literally not change. Under tax law, you have to take that equity in those hedges.

因此，您將向回購交易對手方發送現金。您將從對沖交易對手那裡獲得現金。淨值可能為零。因此，您的現金狀況實際上不會改變。根據稅法，你必須在這些對沖中獲得該權益。

And let's say you closed your hedges, all of them, just for argument's sake, at the end of that period. All of that open equity would have to be used to reduce interest expense over the balance of the hedge period. So when you calculate your dividend for tax purposes, you offset interest expense incurred over that period and then reduce it by that open equity. But that cash doesn't exist. That's just an artifact of the tax law.

並且，為了便於討論，我們假設您在該期限結束時關閉了所有對沖。所有這些未平倉權益都必須用於減少對沖期餘額的利息支出。因此，當您為稅務目的計算股利時，您會抵銷該期間產生的利息費用，然後用未平倉權益減少該費用。但這些現金並不存在。這只是稅法的產物。

Now, under the tax law, you might have capital losses in that period. but those don't affect the dividend calculations generally. In fact, with respect to calculating, say, taxes on under distribution of REIT earnings, you ignore capital gains. So those are kind of thrown out the window for that purposes.

現在，根據稅法，您可能在該期間遭受資本損失，但這些通常不會影響股息計算。事實上，在計算房地產投資信託基金收益分配不足的稅時，你會忽略資本利得。因此，為了達到這個目的，這些東西就被拋到九霄雲外了。

So in our dividend, it's capturing those effects. So the one, you have this interest expense adjustment, but you also have the fact that your portfolio in this period went down in value. So now when you look at that yield, as a percentage of the current mark-to-market value of the portfolio. It appears very high. So when we give you a ROE, that's on a flatline basis. So from the perspective of total return, that's just the carry. When you look at the historical, it's a combination of carry and mark-to-market gains or losses.

因此，我們的股利就反映了這些影響。因此，一方面，你有利息費用調整，但事實上你的投資組合在此期間的價值下降了。現在，當您查看收益率時，它是投資組合當前市價的百分比。看上去很高。因此，當我們給你 ROE 時，這是基於固定基礎的。因此，從總回報的角度來看，這只是利差。從歷史數據來看，它是套利和以市價計算的收益或損失的組合。

All right, does that help?

好的，這有幫助嗎？

Yeah, that's helpful. So would it be fair to say that the dividend policy right now is sort of being driven by the taxable distribution requirement? And if that's right, how long until that converges with maybe go-forward economics?

是的，這很有幫助。那麼，是否可以公平地說，目前的股利政策在某種程度上是由應稅分配要求所驅動的？如果這是正確的，那麼多久才能與未來的經濟融合？

I don't have that in front of me. I'm going to say it's maybe a year or two more. The bulk of it will be gone by then.

我面前沒有這個。我想說可能還要一兩年的時間。到那時，大部分都會消失。

But that's also, keep in mind, keep in mind this is important. As we've grown, that's getting diluted. So the dollar amount a year ago and the impact it has on the July 2024 dividend and the July 2025 dividend, because we're larger on a per share basis, that dollar, that's going down.

但也要記住，記住這很重要。隨著我們的成長，這一點正在被削弱。因此，一年前美元金額及其對 2024 年 7 月股息和 2025 年 7 月股息的影響，由於我們每股金額較大，因此美元金額正在下降。

And so it depends on what happens to the size of the company in the next year or two, just the exact magnitude of that effect. If we were to continue to grow, that effect would become more and more diluted.

因此，這取決於未來一兩年公司規模的變化，以及這種影響的具體程度。如果我們繼續發展，這種影響就會變得越來越弱。

Yeah, I got you. Okay, that's really helpful. I appreciate that, Bob.

是的，我明白了。好的，這確實很有幫助。我很感激，鮑伯。

Jason, through the first seven months of this year, our taxable income projections are right on top of our dividend distribution.

傑森，今年前七個月，我們的應稅收入預測正好位於股利分配之上。

Got it. That makes sense.

知道了。這很有道理。

Eric Hagen, BTIG.

BTIG 的 Eric Hagen。

Just as a matter of clarity, the book value update, does that include the dividend, the accrual for the dividend, or no?

需要澄清的是，帳面價值更新是否包含股息、股息應計費用，還是不包括？

Yes. Yes.

是的。是的。

Okay. Okay. You guys are always so thoughtful around market conditions. I mean, do you expect MBS spreads are more likely to widen or tighten into an interest rate rally, specifically for the current coupons? Are there scenarios where you feel like we could get a curve steepener with lower rate fall? And how would you respond to that?

好的。好的。你們總是對市場狀況如此深思熟慮。我的意思是，您是否預計 MBS 利差更有可能擴大或收緊，從而引發利率上漲，特別是對於當前的票面利率而言？您是否認為在哪些情況下我們可以獲得曲線變陡且利率下降幅度較小的效果？您對此有何反應？

Mortgages have been directional of late. A meaningful rally depends on what drives it. I think if it's a classic sort of rolling over of credit, you would definitely see probably a pronounced widening into a rally like that, so economy starts to break and credit cycle rolls over. I don't know that that's our house view, but I think it's certainly a risk that we have to think about.

近期抵押貸款一直具有方向性。一場有意義的反彈取決於推動它的因素。我認為，如果這是典型的信貸展期，你肯定會看到這種明顯的擴大反彈，因此經濟開始崩潰，信貸週期開始展期。我不知道這是我們家的觀點，但我認為這肯定是我們必須考慮的風險。

But for a more orderly market, like we've had over the course of the last couple of years at least, I think we will push down -- as we push down to the lower end of the recent rate range, you'll see weakness in higher coupons, as we would expect and a little bit of a tightening in the slight discounts. I think those will continue to do well.

但對於一個更有序的市場，就像我們至少在過去幾年中所經歷的那樣，我認為我們會壓低利率——當我們壓低到近期利率範圍的低端時，你會看到較高息票的疲軟，正如我們所預期的那樣，小幅折扣也會略有收緊。我認為這些將繼續表現良好。

And the opposite is true if we continue to have a very strong economy, which is, I think, kind of the way we lean. We could see re-steepening of the curve from the front end as Fed cuts get pushed out of the very front end of the curve and some of the weakness that Bob talked about in the long run for the curve during his prepared remarks resulting from much higher Treasury issuance. I think we're seeing that continue to play out. We saw it in the swap spreads in April, and so we've got our eye on that.

如果我們繼續保持強勁的經濟，情況就正好相反，我認為這就是我們的傾向。隨著聯準會降息被推遲到曲線的最前端，我們可以看到曲線從前端重新變陡，而鮑勃在準備好的講話中談到的長期曲線疲軟是由於美國國債發行量大幅增加造成的。我認為我們會看到這種情況繼續發生。我們在四月份的掉期利差中看到了這一點，因此我們對此保持關注。

I know that wasn't specifically the risk you were addressing, but that's what we've been keeping our eye on.

我知道這並不是您要解決的具體風險，但這正是我們一直在關注的。

I don't see the potential for significant widening from here. And the way I'll approach it is just from the perspective of who the players are in the market. If you look at it, the marginal buyer, to a large extent, has been REITs and money managers.

我不認為現在有大幅擴大的潛力。我將僅從市場參與者的角度來探討這個問題。如果你看一下，你會發現邊際買家在很大程度上是房地產投資信託基金和基金經理人。

Fast money hedge funds are in and out all the time. Banks have not been involved much in what they tend to buy are floaters anyway. Still, for instance, if you have the economy roll over, and credit became a concern. I think money managers, if anything, are going to increase their allocation to mortgages.

快錢對沖基金總是進進出出。銀行對於他們傾向於購買的浮動債券並沒有太多的參與。不過，例如，如果經濟出現轉機，信貸就會成為一個問題。我認為，如果有的話，基金經理人將增加對抵押貸款的配置。

From the perspective of the meaningful steepening of the curve, let's say the economy weakens and the Fed now is going to aggressively cut, which I don't think is likely to happen, but if it did, I think you could see banks become a more meaningful marginal buyer.

從曲線明顯變陡的角度來看，假設經濟走弱，聯準會現在將大幅降息，我認為這不太可能發生，但如果真的發生了，我認為你會看到銀行成為更有意義的邊際買家。

But in any of these scenarios, whatever this perturbation is to the market, I think it results in more buying of mortgages, not less. We're pretty cheap here right now. It's just hard to see us really getting a lot cheaper. That shock, I don't know what that is, frankly.

但在任何一種情況下，無論對市場造成什麼擾動，我認為都會導致抵押貸款購買量增加，而不是減少。我們這裡現在相當便宜。只是很難想像我們真的能變得更便宜。坦白說，我不知道那種震驚是什麼。

But the house view generally is that you don't feel like MBS spreads really reflect the likelihood for the Fed to cut rates before year-end. and the Fed needs to deliver a cut and that's going to catalyze MBS spreads to be tighter?

但業界普遍認為，MBS 利差並不能真正反映聯準會在年底前降息的可能性。聯準會需要降息，這是否會催化 MBS 利差收緊？

Maybe. I mean, we've been talking about the Fed cuts for so long. We go all the way back to '23 and '24, or not '23, '24 and earlier this year, everybody's expecting the Fed to cut. It just keeps getting pushed out. The economy's too resilient.

或許。我的意思是，我們已經討論聯準會降息很久了。我們回顧 23 年和 24 年，或不是 23 年、24 年，以及今年早些時候，每個人都預計聯準會會降息。它只是不斷被推出去。經濟太有彈性了。

Here's my metaphor. You get one of these a year. So my metaphor is the economy is a car. It's driving down the road, and if the car goes too fast, if we grow too fast, the Fed intervenes to slow the economy. So in my metaphor, the driver of the car is the Fed, and they put on the brakes to slow the car. But then you have this government running these massive deficits, and that, in my metaphor, is a truck that's behind the car and just keeps pushing it.

這是我的比喻。每年你都會得到其中的一個。所以我的比喻是，經濟就像一輛車。它正在路上行駛，如果車速太快，如果我們成長太快，聯準會就會幹預以減緩經濟成長。所以在我的比喻中，汽車的駕駛是聯準會，他們踩下煞車來減慢汽車的速度。但是，這個政府卻存在著巨大的赤字，用我的比喻來說，這就像一輛卡車跟在汽車後面，不停地推著汽車。

So no matter how much the Fed tries to put on the brakes, these deficits just keep pushing it. and that's going to just continue to be the case.

因此，無論聯準會如何努力煞車，這些赤字仍會繼續推高經濟成長，而且這種情況還會持續下去。

Now, thinking about it, what's the potential growth rate of the US economy? 2%, 2.5%? And we're running deficits at multiples of that. So I just think the Fed's going to continue to be challenged containing inflation and everything in this Big Beautiful Bill is extremely stimulative. They're going to -- full expensing of factories, Trump's negotiating trade deals where all these countries have to agree to spend money in the US building.

現在我們來思考一下，美國經濟的潛在成長率是多少？2%、2.5%？而我們的赤字卻是這個數字的數倍。所以我認為聯準會將繼續面臨控制通膨的挑戰，而這項「美麗大法案」中的所有內容都具有極強的刺激作用。他們將全額承擔工廠的費用，川普談判的貿易協議要求所有這些國家都必須同意在美國建設上花錢。

The multiplier effects of these things are significant. CapEx has a greater impact on growth than the housing market in terms of a multiplier. And it's just all these factors combined. I just don't see how the economy does anything but stay strong, if not get stronger, and inflation stay the same or maybe even get worse.

這些事情的乘數效應是顯著的。從乘數角度來看，資本支出對成長的影響比房地產市場更大。這只是所有這些因素的綜合作用。我只是不明白經濟除了保持強勁（如果不是變得更強）之外還能做什麼，而通貨膨脹則保持不變甚至可能變得更糟。

So that's my personal view. How that leads to Fed cuts, I don't know. That being said, I think the curve can continue to even steepen just because the term premium continues to grow and Treasury issuance gets worse.

這就是我的個人觀點。我不知道這會如何導緻聯準會降息。話雖如此，我認為由於期限溢價持續增長和國債發行情況惡化，曲線可能會繼續變陡。

I think it's really a question of what is neutral, right? So if somebody at the Fed decides that rates are too high, in spite of all the things that we just discussed, then they may cut rates a couple times. I'm not sure that they need to, but they may do. They might revisit what neutral is. Decide that [4.5] is pretty close.

我認為這實際上是一個什麼是中立的問題，對嗎？因此，如果聯準會的某個人認為利率過高，儘管我們剛才討論了所有這些因素，他們還是可能會降息幾次。我不確定他們是否需要這樣做，但他們可能會這樣做。他們可能會重新思考中立的意義。決定[4.5]非常接近。

Hey, I appreciate your thoughtful responses as always.

嘿，我一如既往地感謝您的深思熟慮的回复。

And I'm not showing any further questions at this time. I'd like to turn the call back over to Robert Cauley for any further remarks.

我現在不想再問任何問題。我想將電話轉回給羅伯特·考利 (Robert Cauley)，讓他發表進一步的評論。

Thank you, operator. Thanks, everybody. If you have any questions that come up later or if you happen to miss the call and want to listen to the replay and then trigger that triggers a call, we'll be glad you know calls. Our number is 772-231-1400. Otherwise, we look forward to speaking with you next quarter. Thank you.

謝謝您，接線生。謝謝大家。如果您稍後有任何問題，或者您恰好錯過了電話並想听重播，然後觸發呼叫，我們會很高興您知道呼叫。我們的電話號碼是 772-231-1400。否則，我們期待下個季度與您交談。謝謝。

Well, ladies and gentlemen, that concludes today's presentation. You may now disconnect and have a wonderful day.

好了，女士們、先生們，今天的演講到此結束。現在您可以斷開連接並享受美好的一天。