Orchid Island Capital Inc (ORC) 2025 Q3 法說會逐字稿

Good day, and thank you for standing by. Welcome to the Orchid Island Capital third quarter 2025 earnings conference call. (Operator Instructions) Please be advised that today's conference is being recorded.

您好，感謝您的耐心等待。歡迎參加蘭花島資本2025年第三季財報電話會議。（操作人員指示）請注意，今天的會議正在錄音。

I would now like to hand the conference over to your first speaker today, [Melissa Alfonso]. Please go ahead.

現在我謹將會議交給今天的第一位發言人。[梅麗莎·阿方索]請繼續。

Good morning, and welcome to the third quarter 2025 earnings conference call for Orchid Island Capital. This call is being recorded today, October 24, 2025. At this time, the company would like to remind the listeners that statements made during today's conference call relating to matters that are not historical facts are forward-looking statements subject to the safe harbor provisions of the Private Securities Litigation Reform Act of 1995.

早安，歡迎參加蘭花島資本2025年第三季財報電話會議。本次通話於2025年10月24日進行錄音。在此，本公司謹提醒各位聽眾，今天電話會議中涉及非歷史事實的陳述均為前瞻性陳述，受 1995 年《私人證券訴訟改革法案》安全港條款的約束。

Listeners are cautioned that such forward-looking statements are based on information currently available on the management's good faith, belief with respect to future events and are subject to risks and uncertainties that could cause actual performance or results to differ materially from those expressed in such forward-looking statements. 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.

聽眾請注意，此類前瞻性陳述是基於管理層對未來事件的誠信信念和當前可獲得的信息，但存在風險和不確定性，可能導致實際業績或結果與此類前瞻性陳述中表達的內容存在重大差異。可能導致此類差異的重要因素已在公司向美國證券交易委員會提交的文件中進行了描述，包括公司最新的 10-K 表格年度報告。

The company assumes no obligation to update such forward-looking statements to reflect actual results, changes in assumptions or changes in other factors affecting forward-looking statements.

本公司不承擔更新此類前瞻性聲明以反映實際結果、假設變更或影響前瞻性聲明的其他因素變更的義務。

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，我謹將會議交給公司董事長兼執行長羅伯特‧考利先生。請繼續，先生。

Thanks, Melissa. Good morning. I hope everybody is doing well, and I hope everybody has had a chance to download our deck. As usual, that's what we will be focusing on this morning. And also, as usual, I'll start with page 3, just to give you an outline of what we'll do.

謝謝你，梅麗莎。早安.希望大家一切都好，也希望大家都有機會下載我們的牌組。像往常一樣，這就是我們今天上午的重點。另外，像往常一樣，我將從第 3 頁開始，為大家概述我們將要做的事情。

The first thing we'll do is have our Controller, Jerry Sintes, go over our summary financial results. I'll then walk through the market developments and try to discuss what happened in the quarter and how that affected us as a levered mortgage investor. Then Hunter -- I will turn it over to Hunter who'll go through the portfolio characteristics and our hedge position and trading activity, and then we'll kind of go over our outlook going forward. And then we will turn it over to the operator and you for questions.

首先，我們將請財務總監 Jerry Sintes 審閱一下我們的財務表現概要。接下來，我將回顧市場發展情況，並嘗試討論本季發生的事情以及這些事情對我們作為槓桿抵押貸款投資者的影響。然後，我會把這個任務交給亨特，他會介紹投資組合的特色、我們的對沖部位和交易活動，然後我們會一起探討未來的展望。然後我們會將問題交給操作員和您解答。

So with that, turn to slide 5, Jerry.

那麼，傑瑞，請翻到第5張投影片。

Thank you, Bob. So on slide 5, we'll go over the financial highlights real quickly. For Q3, we reported net income of $0.53 a share compared to $0.29 loss in Q2. Book value at 9/30 was $7.33 compared to $7.21 at June 30. Q3 total return was 6.7% compared to negative 4.7% in Q2, and we had a $0.36 dividend for both quarters.

謝謝你，鮑伯。因此，在第 5 張投影片中，我們將快速瀏覽財務要點。第三季度，我們報告每股淨收入為 0.53 美元，而第二季度虧損為 0.29 美元。截至 9 月 30 日，帳面價值為 7.33 美元，而 6 月 30 日為 7.21 美元。第三季總報酬率為 6.7%，而第二季為 -4.7%，兩季我們都派發了 0.36 美元的股息。

On page 6, our average portfolio balance was $7.7 billion in Q3 compared to $6.9 billion in Q2. Our leverage ratio at 9/30 was 7.4% compared to 7.3% at 6/30. Prepayment speeds were at 10.1% for both Q3 and Q2. And our liquidity was 57.1% at 9/30, up from 54% at June 30.

第 6 頁顯示，我們第三季的平均投資組合餘額為 77 億美元，而第二季為 69 億美元。截至 9 月 30 日，我們的槓桿率為 7.4%，而截至 6 月 30 日，該槓桿率為 7.3%。第三季和第二季的預付款速度均為 10.1%。截至 9 月 30 日，我們的流動性為 57.1%，高於 6 月 30 日的 54%。

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

這樣，我就把麥克風交還給鮑伯了。

Thanks, Jerry. I'll start on slide 9 with market developments. What we see here on the top left and right are basically the cash treasury curve on the left and the SOFR swap curve on the right, there are three lines in each, red line just represents the curve at June 30. The green line is as of 9/30 and then the blue line is as of last Friday. And on the bottom, we just have the three month treasury bill versus the 10 year note.

謝謝你，傑瑞。我將從第 9 張投影片開始，講解市場發展。我們看到左上角和右上角的曲線基本上分別是現金國債殖利率曲線（左）和SOFR互換殖利率曲線（右），每條曲線都有三條線，紅線代表6月30日的曲線。綠線代表截至 9 月 30 日的數據，藍線代表截至上週五的數據。最下面一層，我們只看到三個月期國庫券與十年期公債的比較。

So what I want to point out though, basically the curve is just slightly steeper for the quarter, just reflecting the fact that with the deterioration in labor market, the market is pricing in Fed cuts and so the front end of the curve has moved. If you look at basically the movements on these two lines, and it's the same for both. From the red to the green line, that just reflects the deterioration of the labor market. Ironically, the way the quarter started, the first event of the quarter was really on the July 4, when President Trump signed a new law, the One Big Beautiful Bill Act. And initially, the market sold off, 10 years point slipped, sold off by about 25 basis points.

不過我想指出的是，基本上本季的曲線只是略微陡峭了一些，這反映出隨著勞動市場的惡化，市場正在消化聯準會降息的預期，因此曲線的前端發生了變化。如果你觀察這兩條線上的走勢，你會發現它們基本上相同。從紅線到綠線，這恰恰反映了勞動市場的惡化。諷刺的是，本季伊始，本季的第一件大事實際上是在7月4日，當時川普總統簽署了一項新法律——《一個美好的大法案》。最初，市場出現拋售，10 年期基準點下跌了約 25 個基點。

And at the end of July at the Federal Open Market Committee meeting, the Chairman was actually fairly hawkish, that was on July 30. But then quickly on the August 1, the nonfarm payroll number came out, it was weak, but also it was very meaningful downward revisions and that kind of started a string of events, which started to paint a very clear picture of a deteriorating labor market, the QCEW, which are the revisions to prior payroll numbers through the first quarter of 2025 were much more negative than expected. And then, in fact, ADP in the last two months were negative. So that changed the picture, that changed the way the Fed looked at the world. And then the market started to price in Fed easing, and that's what you see here.

7 月底的聯邦公開市場委員會會議上，主席的立場其實相當鷹派，那是 7 月 30 日。但隨後在 8 月 1 日，非農就業數據公佈，雖然疲軟，但同時也出現了意義重大的下調，這引發了一系列事件，開始清晰地描繪出勞動力市場惡化的景象。截至 2025 年第一季的 QCEW（對先前就業數據的修正）比預期要負面得多。事實上，過去兩個月的 ADP 為負值。這改變了局面，也改變了聯準會看待世界的方式。然後市場開始消化聯準會寬鬆政策的預期，這就是你現在看到的。

What you've seen between the green and the blue line, so to speak, is what's happened since the end of the quarter. Basically, the government shutdown, absent today's data, we basically have had very little data to go on. And basically, you see really what would be described as just a graph for yield. There are a few securities that offer a yield north of 4% and the long end of the treasury curve has seen pretty good performance quarter-to-date. The bid continues.

可以說，你看到的綠線和藍線之間的區域，就是本季末以來發生的事情。基本上，由於政府停擺，加上今天沒有數據，我們基本上沒有任何數據可以參考。基本上，你看到的其實就是一張產量圖。有一些證券的殖利率超過 4%，而且本季迄今為止，國債殖利率曲線的長期部分錶現相當不錯。競標仍在進行中。

In fact, that's even present in the investment-grade corporate market, where in spite of the fact that credit spreads are very tight, you're still seeing strong demand. And it's probably just because there's a lack of alternative investments that you can buy with that kind of a yield. But I guess if I had to summarize it, from our perspective, it was actually on net a very quiet quarter, rates were essentially unchanged. And importantly, vol was down, and I'll get to that more in a minute. And then of course, the Fed is in place. So a steepening curve, low interest rate volatility, always good for mortgage investors.

事實上，即使在投資等級企業債市場，儘管信用利差非常小，但需求依然強勁。這很可能是因為缺乏其他收益率能與之匹敵的投資選擇。但我想如果要我總結一下，從我們的角度來看，這實際上是一個非常平靜的季度，利率基本上保持不變。更重要的是，成交量下降了，我稍後會詳細說明。當然，聯準會也已到位。因此，曲線陡峭化、利率波動性低，對抵押貸款投資者來說總是好事。

Turning to slide 10. On the top, you see the current coupon mortgage spread in the 10 year, and then on the bottom, we have two charts that just kind of give you some indication of mortgage performance. The 10 year treasury is a typical benchmark people look at when they think of a current coupon mortgage or to kind of appraise mortgage attractiveness, and this makes it look like the luster is off the rose to a large extent because, for instance, if you look at where we were in May of 2023, that spread was 200 basis points and it's halved since then, it's 100. But I think you have to keep in mind that the 10 year treasury is a great benchmark over very long periods of time.

翻到第10張投影片。上方顯示的是 10 年期抵押貸款的當前票息利差，底部有兩個圖表，可以大致反映抵押貸款的表現。10 年期公債是人們在考慮當前票息抵押貸款或評估抵押貸款吸引力時通常會參考的基準，這使得它在很大程度上失去了光彩，因為例如，如果你看看 2023 年 5 月的情況，當時的利差是 200 個基點，而從那以後，利差已經減半，現在只有 100 個基點了。但我認為你必須記住，10 年期公債殖利率是衡量很長一段時間內經濟狀況的一個很好的基準。

But the current coupon mortgage does not have a duration anywhere close to the 10 year. In fact, it's about half. Most street shops use a hedge ratio for the current coupon, somewhere around in the area of a five year -- or five or half of the 10 year. So a more appropriate benchmark might actually be a five year treasury and of course, swaps. We have some charts in the appendix.

但目前的息票抵押貸款期限遠未達到 10 年。事實上，大約是一半。大多數街頭商店使用對沖比率來計算目前的票息，大約在五年期左右，或十年期的一半。因此，更合適的基準或許應該是五年期公債，當然還有互換合約。附錄中有一些圖表。

For instance, if you look on page 27, and you look at the spread of the current coupon mortgage to the seven year swap in particular, and I'm just going to go there now, if you don't mind. But on slide 27, I just want to give you a more accurate picture of what we're looking at. The blue line there just represents the spread to the seven year swap. That's kind of the center point for our hedges, and this is a three year look back. And I just want to point out that if you look at this chart, you see that we're currently at the low end of the range, but we're still in the range.

例如，如果你翻到第 27 頁，特別是看看當前票息抵押貸款與七年期互換之間的利差，我現在就去看一下，如果你不介意的話。但是，在第 27 張投影片上，我只想更準確地向你們展示我們正在看到的內容。那條藍線代表的是七年期互換的利差。這算是我們樹籬的中心點，這是對過去三年的回顧。我只想指出，如果你看一下這張圖表，你會發現我們目前處於範圍的低端，但我們仍在範圍內。

Whereas with respect to the 10 year, we've broken through that. I think that just reflects the fact that the curve is modestly steep, and you're basically benchmarking a five year asset against a 10 year benchmark. And so it looks like it's tightening when, in fact, it really isn't. And the other thing I would point out to, and we've talked about this in the past as well. If you look at slide 28, I think this is important because what this shows are the dollar amount of holdings of mortgages.

而就十年期目標而言，我們已經突破了這一瓶頸。我認為這只是反映了曲線略微陡峭的事實，你基本上是用五年期資產與十年期基準進行比較。所以看起來好像在收緊，但實際上並沒有。還有一點我想指出，我們以前也討論過這個問題。如果你看第 28 張投影片，我認為這很重要，因為它顯示的是抵押貸款的美元持有量。

The red line represents the Federal Reserve. And of course, they're going through QT. So that number just continues to decline, but the blue line is holdings by bank, and they are the largest holder of mortgages that there are. And you could see this line, while it's increasing, is very, very modest. In fact, from what we hear, most of their purchases are just in structured product, floater and the like.

紅線代表美聯儲。當然，他們正在進行隔離。所以這個數字一直在下降，但藍線代表的是銀行的持有量，而銀行是最大的抵押貸款持有者。你可以看到這條線雖然在上升，但幅度非常非常小。事實上，據我們了解，他們的大部分採購都集中在結構化產品、浮動利率產品等方面。

And I think until they get meaningfully involved, mortgages are not going to screen tighter. And so there is still some attractiveness, if you will, in the mortgage market. And I suspect that that's going to stay, as I said, until the banks get involved. If you look at the bottom left, you kind of see the performance. And as you saw, we did tighten.

我認為，在他們真正參與之前，抵押貸款的審查不會更加嚴格。因此，抵押貸款市場仍然具有一定的吸引力。正如我所說，我懷疑這種情況會持續下去，直到銀行介入為止。如果你看左下角，就能大致了解一下表演狀況。正如你所看到的，我們確實收緊了。

And if you look at this chart on the left, what it is, this one, I show every time, it's normalized prices for four select coupons. So all you do is you take the price at the beginning of the period, you set it to 100. And you can see most of the move upward was in early September. And the reason I point this out is if you think of it this way, but with the banks absent, the marginal buyer of mortgages are basically either money managers or REITs. And what we saw around that period were in addition to the prolific ATM issuance by REITs, we also saw two preferred offerings by some of our peers and a secondary by another of ours.

如果你看一下左邊的這張圖表，它顯示的是四張精選優惠券的標準化價格，我每次都會展示這張圖表。所以你只需要取該週期開始時的價格，並將其設定為 100。你可以看到，大部分上漲行情都發生在9月初。我之所以指出這一點，是因為如果你這樣想，但如果沒有銀行，抵押貸款的邊緣買家基本上就是資金管理人或房地產投資信託基金。在那段時間裡，除了 REITs 大量發行 ATM 債券外，我們還看到一些同業發行了兩份優先股，另一家同業發行了一份二級市場債券。

So those were kind of chunky issuances. And I think that's what drove that kind of spike tighter. If you were to look at the spread of our current coupon mortgage to the five year treasury, you see a spike down right around that day. It was over about a two week period. But since then, we've kind of plateaued.

所以那些都是規模較大的發行。我認為正是這一點加劇了這種尖峰效應。如果你看一下我們目前抵押貸款債券與五年期國債的利差，你會發現就在那一天前後出現了一個急劇下降的峰值。整個過程持續了大約兩週。但從那以後，我們的發展就停滯不前了。

And so mortgages have still retained some attractive carry. Hunter is going to get into that in more detail. I don't want to rain on his parade, but I just want to point out that mortgages, while we had a good quarter, are still reasonably attractive. On the right, you see the dollar roll market. Generally, dollar rolls are impacted by anticipated speeds with the rally in the market.

因此，抵押貸款仍然保留了一些有吸引力的收益分成。亨特接下來會更詳細地講解這一點。我不想給他潑冷水，但我只想指出，雖然我們上個季度表現不錯，但抵押貸款仍然相當有吸引力。右邊是美元卷市場。一般來說，美元滾動會受到市場上漲預期速度的影響。

That's become a big issue. And I would just point out one of these. If you look at the little orange line, again, this is like a one year look back. That orange line represents the Fannie six roll. And you can see towards the end as we entered September, with the rally, that roll has come way off and the market's pricing in extremely high speeds.

這已經變成一個大問題了。我只想指出其中一點。如果你再看一下這條橘色的小線，這就像是對過去一年的回顧。那條橘色線代表房利美六期貸款。你可以看到，到了九月底，隨著反彈，這種滾動效應已經完全消失，市場對極高的速度進行了定價。

And as a result, spec pools, which are the beneficiary of their call protection and performed well in a rally have done extremely well. The cash window list that come out every month, in October, this month, they did very, very well, and I suspect they will probably continue to do so going forward. The next chart on page 11, again, this is very relevant for us as a levered mortgage investor since we're short prepayment options. And you can see on the top, this is just normalized vol. This is a proxy for volatility and interest rate market.

因此，受益於選擇權保護並在牛市中表現良好的投機池獲得了極大的成功。每月公佈的現金窗口名單，包括十月份的名單，都表現得非常好，我懷疑他們未來可能會繼續保持這種勢頭。第 11 頁的下一張圖表，同樣，這對我們這些槓桿抵押貸款投資者來說非常重要，因為我們缺乏提前還款選擇權。您可以在頂部看到，這只是標準化的銷售。這是波動性和利率市場的代表性指標。

The spike there, which was in early April, that was Liberation Day. And you can see since then, it's done nothing but come down -- continue to come down. In fact, if you look at the bottom chart, this is the same thing, but with a much longer look back period. And you can see the spike there around March of 2020, that was the onset of COVID. So obviously a very volatile event.

那裡的高峰出現在四月初，也就是解放日那天。從那以後，它就一直在下跌——持續下跌。事實上，如果你看一下下面的圖表，你會發現情況是一樣的，只是回顧期更長。你可以看到 2020 年 3 月左右出現了一個峰值，那就是 COVID-19 疫情爆發的時候。顯然，這是一場非常不穩定的事件。

But immediate after that, you had extremely strong QT on the part of the Fed buying treasuries and mortgages. So it's kind of like a rate suppression environment where they're buying up everything and driving rates down, which is a byproduct of that is that they drive volatility down. And as you can see on the right, we're getting near those levels. Now I don't think that means that rates are going to 0. But what we are seeing is interest rate vol being pushed down.

但緊隨其後，聯準會採取了非常強大的量化緊縮政策，購買國債和抵押貸款。所以這有點像是在抑制利率，他們大量買進資產，壓低利率，利率下降的副產品就是降低了市場波動。正如您在右側看到的，我們正在接近這些水平。我不認為這意味著利率會降至0。但我們看到的是利率波動性被壓低。

I think part of what's behind us is the fact that we all know that next year, the Fed Chairman is going to be replaced when his term ends in May. In all likelihood, that's going to be by someone who's pretty dovish. So the market expects kind of a very dovish outlook for Fed funds and rates in general. And of course, to the extent that, that happens and who's to say that it will, but it would also continue to be supportive for us as levered Agency MBS market because mortgages you would think would continue to do well in that environment.

我認為我們已經克服的部分障礙是，我們都知道，明年5月聯準會主席任期結束時，他將會被取代。很有可能，那會是一位立場相當鴿派的人寫的。因此，市場預期聯準會基金利率和整體利率前景將非常鴿派。當然，如果這種情況真的發生（誰能說它一定會發生呢），那麼它也將繼續對我們槓桿機構抵押貸款支持證券市場起到支撐作用，因為你會認為抵押貸款在這種環境下會繼續表現良好。

Turning to slide 12. This is a relatively important slide because this really is focused on the funding markets. And this is what's really become a hot topic, if you will. So what we see on the left are just swap spreads by tenor. And if you'll notice in the case of the purple one, which is the 10 year and the green one, which is the seven year, they've all kind of turned up. And in other words, they're less negative.

翻到第12張投影片。這張投影片比較重要，因為它主要關注融資市場。而這，可以說是真正成為了一個熱門話題。所以我們在左邊看到的只是按期限劃分的互換價差。如果你仔細觀察紫色的（代表 10 年）和綠色的（代表 7 年），你會發現它們都出現了。換句話說，他們的負面情緒較少。

So we would say they're widening even though it seems counterintuitive because the spread to the cash treasury is actually getting narrower, but it is what it is. What happened here was that the Chairman recently in the public, his comments mentioned that the end of QT was in the next few months. Most of the market participants were expecting that in the first, if not the second quarter of 2026. So that was news. And more importantly, what we've seen since, especially this month, is that SOFR has traded outside of the 25 basis points range for Fed funds, which is between 4% and 4.25%.

所以我們會說它們正在擴大，儘管這似乎有悖常理，因為與現金國債的利差實際上正在縮小，但事實就是如此。事情的起因是，董事長最近在公開場合表示，QT制度將在未來幾個月內結束。大多數市場參與者預計，這種情況會在 2026 年第一季度，甚至第二季度出現。這就是新聞。更重要的是，我們從上個月，特別是本月，看到SOFR的交易價格已經超出了聯邦基金利率25個基點的區間（4%至4.25%）。

In fact, it's been consistently well outside that range, which points to potential funding issues and the Fed will, in all likelihood, address that and quite possibly at the meeting next week. What that means if they end QT is that the runoff in their portfolio, which we saw in that chart in the appendix is going to stop. It will just plateau. But they'll likely do, and I don't know this, of course, with certainty, but I suspect is the case that treasury paydowns will be reinvested back into treasuries and mortgage paydowns since they don't want to hold mortgages long term, will also be invested -- reinvested in the treasuries, probably more so in bills. And what that means then is going forward, given that the government is running large deficits is that the treasurer -- that the Fed will become a buyer of treasuries.

事實上，聯準會的利率一直遠低於該區間，這表明可能存在資金問題，而聯準會很可能會解決這個問題，而且很可能在下週的會議上就會討論這個問題。這意味著如果他們結束量化緊縮，那麼他們在附錄圖表中看到的投資組合的縮水將會停止。它只會停滯不前。但他們很可能會這樣做，當然，我不能肯定，但我懷疑償還國債的資金會重新投資於國債，而償還抵押貸款的資金，因為他們不想長期持有抵押貸款，也會被投資——重新投資於國債，可能更多地投資於短期國債。這意味著，鑑於政府財政赤字巨大，聯準會將成為國債的買家。

As a result, the cash treasuries will not continue to cheapen as they have and swap spreads, which have gotten really negative, have gone the other way. And that just reflects the anticipation by the market that the Fed as a buyer of treasuries is going to keep issuance in check and keep issuance from flooding the market and driving spreads wider and term premium higher. And that is significant for us because if you look at the right-hand chart, this is our hedge positions pie chart, obviously, by DV01, in other words, the sensitivity of our hedges to movements in rates. And as you can see, 73.1% of our hedges are in swaps by DVO1. So obviously, this movement has been beneficial to us, to the extent it continues, of course, it will continue to be beneficial.

因此，現金國債不會像之前那樣繼續貶值，而已經變得非常負的互換利差則朝著相反的方向發展。這正好反映了市場的預期，即聯準會作為國債買家，將控制國債發行量，防止國債發行量過大，從而避免利差擴大和期限溢價上漲。這對我們來說意義重大，因為如果你看一下右邊的圖表，這是我們的對沖頭寸餅圖，顯然，它是按 DV01 劃分的，換句話說，就是我們的對沖對利率變動的敏感度。正如你所看到的，我們73.1%的對沖都是按DVO1進行的互換交易。顯然，這場運動對我們是有益的，只要它繼續下去，當然也會繼續有益。

In fact, I just looked at swap spreads before I came in on the call today. And if you look at pretty much every tenor outside of three years, every one of them on a one, three and six month look back is at their wides, after we pegged 100% of the wide. So that's a significant movement. That being said, as we did mention, there has been some issues with the funding market with SOFR being outside of the range and spreads -- funding spreads to SOFR have been a little bit elevated. We typically used to be in the mid-teens.

事實上，我今天參加電話會議之前剛剛查看了掉期價差。如果你觀察三年以外的幾乎所有男高音，你會發現，在回顧過去一個月、三個月和六個月的時間裡，他們的表現都達到了巔峰，而我們已經確定了巔峰的 100%。所以這是一個意義重大的轉變。話雖如此，正如我們之前提到的，融資市場出現了一些問題，SOFR 超出了預期範圍，而且利差——SOFR 的融資利差略有上升。我們通常都在十幾歲中期。

It's there to the high teens now. But the fact that the Fed is very much on top of this is good for us because it means they're going to be attentive to it and keep us from repeating what we saw, for instance, in 2019. The next slide is 13, refinancing activity. This kind of paints a very benign picture, frankly. And I just want to talk about it.

現在它已經達到十幾歲了。但聯準會非常重視此事，這對我們來說是件好事，因為這意味著他們會密切關注此事，防止我們重蹈覆轍，例如在 2019 年發生的情況。下一張投影片是第 13 頁，再融資活動。坦白說，這描繪了一幅非常祥和的景象。我只是想談談這件事。

If you look at the top left, you can see the mortgage rates in the red line, the refi index. And while rates have come down some, the refi index has bumped up, it's not much. In fact, if you look at the left axis, you can see we were at a 5,000 level in December of 2020, and we're far below that. The second chart on the right just shows primary-secondary spreads, and they've just been very choppy. There's really not a story to be told from that.

如果你看一下左上角，你可以看到紅色線條代表的抵押貸款利率，也就是再融資指數。雖然利率下降，再融資指數也有所上升，但幅度不大。事實上，如果你看一下左側的縱軸，你會發現我們在 2020 年 12 月達到了 5000 點，而現在我們遠低於這個水平。右側第二個圖表顯示的是一級市場和二級市場之間的價差，而且價差波動非常劇烈。這其實沒什麼故事好講。

But what I want to focus on is the bottom chart. And what this shows is the percentage of the mortgage universe that's in the money. That's the gray shaded area. And then you have the refi index. And as you can see on the right-hand side of this chart that this is -- there's some gray area there, but it's very modest.

但我更想關注的是底部的圖表。這表明，在所有抵押貸款中，有償付能力的貸款所佔的比例是多少。那是圖中灰色陰影部分。然後還有再融資指數。正如你在這張圖表的右側所看到的——那裡有一些灰色地帶，但非常有限。

So again, it paints a very benign picture, but it's misleading. And the reason it is so is because this is the entire mortgage universe. Most of the mortgages in existence today or a large percentage of them were originated in the immediate years after COVID. So they have very low coupons, 1.5, 2, 2.5, 3, and they're out of the money. But if you were to do the same chart for just '24 and '25 originated mortgages, it would be an entirely different picture.

所以，它描繪了一幅非常良性的圖景，但這具有誤導性。之所以如此，是因為這涵蓋了整個抵押貸款領域。目前存在的大多數抵押貸款，或者說其中很大一部分，都是在新冠疫情爆發後的幾年內發放的。所以他們的優惠券額度很低，只有 1.5、2、2.5、3，他們已經沒錢了。但如果你只針對 2024 年和 2025 年發放的抵押貸款製作相同的圖表，結果將完全不同。

It would be a much higher percentage of the mortgage universe in the money, probably be north of 50%. And since we, as investors in the space and like our peers, we own a fair number of '24 and '25 originated mortgages. In fact, we own, to some extent, somewhat of a barbell in the sense that most of our discounts are very old and most of our newer mortgages, the higher coupons are lower vol. And so that really means security selection is important. And in a moment here, I will turn the call over to Hunter.

這將使抵押貸款總額的獲利比例大幅提高，可能超過 50%。而且，作為該領域的投資者，我們和同業一樣，持有相當數量的 2024 年和 2025 年發放的抵押貸款。事實上，在某種程度上，我們擁有某種「槓鈴」結構，因為我們的大部分折扣都是很久以前的，而我們大部分新的抵押貸款，較高的票息，較低的波動率。所以說，選擇合適的安全措施非常重要。稍後，我將把電話交給亨特。

He will talk about what we've done in that regard in great depth. But I just want to point out this picture that this chart is somewhat misleading. And before I turn it over to Hunter, as always, I'd like to just say a bit about slide 14. It's a very simple picture. There are two lines on this chart.

他會非常深入地談談我們在這方面所做的工作。但我只想指出，這張圖表在某種程度上具有誤導性。在我把麥克風交給亨特之前，像往常一樣，我想簡單談談第 14 張幻燈片。這是一幅非常簡單的圖畫。這張圖表上有兩條線。

The blue line just represents GDP in dollars, and the red line is the money supply. And what it points out is the continuing fact that the government or fiscal policy, if you will, is still very stimulative. The government is running deficits between $1.5 trillion and $2 trillion. That's in excess of 5% of GDP. And the takeaway is that in spite of what might be happening with respect to tariffs or the weakness in the labor market or geopolitical events, the government is supplying a lot of stimulus to the economy, and you can't forget that looking forward. And that's probably why in spite of the tariffs, among other reasons, obviously, but why the economy really has not weakened materially.

藍線代表以美元計的GDP，紅線代表貨幣供給量。這表明，政府或財政政策（如果可以這麼說的話）仍然具有很強的刺激性。政府財政赤字在1.5兆美元至2兆美元之間。這超過了國內生產毛額的5%。由此可見，儘管關稅、勞動力市場疲軟或地緣政治事件等因素可能會帶來一些問題，但政府正在為經濟提供大量刺激措施，這一點在展望未來時不容忽視。這或許就是為什麼儘管有關稅等其他原因，但經濟實際上並沒有真正惡化的原因。

And with that, I will turn it over to Hunter.

接下來，我將把麥克風交給亨特。

Thanks, Bob. I'd like to talk to you a little bit about our portfolio of assets evolved over the course of the quarter. Our experience in the funding markets, our current risk profile. Our portfolio is impacted by uptick in prepayments and give a little bit of my outlook, I suppose, going forward. So coming out of a volatile second quarter, we took advantage of attractive entry point by raising $152 million in equity capital and deploying it fully during the quarter.

謝謝你，鮑伯。我想和大家談談我們本季資產組合的變化。我們在融資市場的經驗，以及我們目前的風險狀況。我們的投資組合受到提前還款增加的影響，我想，這也能稍微反映出我對未來的看法。因此，在經歷了動盪的第二季度之後，我們抓住了一個有吸引力的入場點，籌集了 1.52 億美元的股權資本，並在本季度將其全部投入使用。

The investing environment allowed us to buy Agency MBS at historically widespread levels. During the second half of the quarter, equity rate has slowed, but our -- but the assets we purchased in the third quarter were tightened sharply during that second half of the third quarter. As discussed on our last earnings call, our focus has been on 30-year 5.5, 6s and to a lesser extent, 6.5 coupons. And those didn't tighten quite as much as the belly coupons, but we feel like they offer superior carry potential going forward. The portfolio remains 100% Agency RMBS with a heavy tilt towards call protected specified pools.

目前的投資環境使我們能夠以歷史上普遍存在的水平買入機構抵押貸款支持證券。第三季後半段，股票殖利率有所放緩，但我們在第三季購買的資產在第三季後半段大幅縮水。正如我們在上次財報電話會議上所討論的，我們的重點一直是 30 年期 5.5、6 票息債券，以及在較小程度上 6.5 票息債券。雖然這些優惠券的收支幅度不如腹部優惠券那麼大，但我們覺得它們在未來具有更優異的持有潛力。該投資組合仍100%為機構RMBS，並大量投資於有贖回保護的特定資產池。

These pools help insulate the portfolio from adverse prepayment behavior and reinforce the stability of our income stream. Newly acquired pools this quarter, all had some form of prepayment protection. 70% were backed by credit-impaired borrowers like low FICO Scores or loans with high GSE Mission Density Scores. 22% were from states experiencing home price depreciation or where refi activity is structurally hindered. Those pools were predominantly Florida and New York geographies.

這些資金池有助於保護投資組合免受不利的提前還款行為的影響，並增強我們收入流的穩定性。本季新收購的資產池均設有某種形式的提前還款保障。其中70%的資產池由信用受損的借款人擔保，例如FICO信用評分低或GSE（政府支持企業）任務密度評分高的貸款。 22%的資產池來自房價下跌或再融資活動受結構性限制的州。這些游泳池主要分佈在佛羅裡達州和紐約州。

8% were loan balance pools of some flavor. As a result of these investments, our weighted average coupon increased from 5.45 to 5.53, effective yield rose from 5.38 to 5.51, and our net interest spread expanded from 2.43 to 2.59. Across the broader portfolio, pool characteristics remain very diverse and defensive towards prepays. Exposure -- 20% of the portfolio now is backed by credit-impaired borrowers, 23% Florida pools, 16% New York pools, 13% investor property pools and 31% have some form of loan balance story, if you will. We have virtually no exposure to generic or worse-to-deliver mortgage securities, and we were net short TBAs at 9/30.

8% 是各種類型的貸款餘額池。由於這些投資，我們的加權平均票息從 5.45 增至 5.53，有效收益率從 5.38 增至 5.51，淨利差從 2.43 擴大至 2.59。在整個投資組合中，資金池的特徵仍然非常多樣化，並且對提前償付具有防禦性。風險敞口－目前投資組合中有 20% 由信用受損的借款人擔保，23% 為佛羅裡達州資產池，16% 為紐約州資產池，13% 為投資者房地產資產池，31% 存在某種形式的貸款餘額問題。我們幾乎沒有持有任何普通或交付能力較差的抵押貸款證券，並且在 9 月 30 日持有淨空頭 TBA。

Overall, we improved the carry of our -- the carry and prepayment stability of our portfolio while maintaining conservative leverage posture and staying entirely within the Agency MBS universe. Turning to slide 17. You can see sort of visual representation of what I just discussed, you can clearly see the shift in the graphs, the concentration building in the 5.5s and 6 coupon buckets across the three graphs. These production coupons remain the core of our portfolio and continue to offer the best carry profile in the current environment. And I'd like to discuss a little bit about the funding markets.

總體而言，我們提高了投資組合的收益——收益和提前償付穩定性，同時保持保守的槓桿水平，並完全保持在機構抵押貸款支持證券 (MBS) 領域內。翻到第17張幻燈片。你可以看到我剛才討論的內容的某種視覺表現形式，你可以清楚地看到圖表的變化，在三個圖表中，5.5 和 6 張優惠券的集中度都在增加。這些生產優惠券仍然是我們產品組合的核心，並且在當前環境下繼續提供最佳的持有情況。我想稍微談談融資市場。

The repo lending market continues to function very well, and Orchid maintains capacity well in excess of our needs. That said, we observed friction building in the funding markets, particularly in the -- during the weeks of heavy treasury bill issuance and settlement. These dynamics have led to spikes in overnight SOFR and the tri-party GC rates relative to the interest paid by the Federal Reserve on reserve balances, particularly around settlement dates. This is largely attributable to declining reserve balances and continued heavy bill issuance. Orchid typically funds through the term markets, which has helped insulate us from some of the overnight volatility, but still term pricing has been impacted.

回購貸款市場持續運作良好，Orchid 的產能遠遠超過我們的需求。儘管如此，我們觀察到融資市場摩擦不斷加劇，尤其是在國庫券大量發行和結算的幾週內。這些動態導致隔夜 SOFR 和三方 GC 利率相對於聯準會為準備金餘額支付的利息出現飆升，尤其是在結算日附近。這主要是由於儲備餘額下降和持續大量發行國債造成的。Orchid 通常透過定期市場進行融資，這有助於我們免受隔夜波動的影響，但定期定價仍然受到了影響。

We borrowed roughly SOFR plus 16 basis points for most of the year, but in recent weeks, that spread has drifted up a couple of basis points, say, SOFR plus 18 more recently. Looking ahead, we expect the Fed to end QT potentially as early as next week's meeting and begin buying treasury bills through renewed temporary market operations. If and when this occurs, it should provide positive tailwind for our repo funding costs, especially if it's paired with further rate cuts by the FOMC. This would help with the continued expansion of our net interest margin. Just wanted to make a brief note about this chart on this page.

今年大部分時間裡，我們的借款利率約為 SOFR 加 16 個基點，但最近幾週，這個利差已經上升了幾個基點，例如最近達到了 SOFR 加 18 個基點。展望未來，我們預計聯準會最快可能在下週的會議上結束量化緊縮政策，並透過重啟臨時市場操作開始購買國債。如果這種情況發生，應該會對我們的回購融資成本產生正面影響，尤其是在聯邦公開市場委員會進一步降息的情況下。這將有助於我們繼續擴大淨利差。我只想簡單說明一下本頁上的這張圖表。

It might seem a little bit counterintuitive. The blue line on the chart represents our economic cost of funds. This metric, as you can see, has kicked slightly higher in spite of the fact that rates are coming down. And this is really due to the fact that as we've grown, there's a diminishing impact of our legacy hedges on the broader portfolio. So recall that this metric economic cost of funds includes the cumulative mark-to-market effect of legacy hedges.

這似乎有點違反直覺。圖表中的藍線代表我們的資金經濟成本。如您所見，儘管利率正在下降，但該指標卻略有上升。這實際上是因為隨著我們的發展，我們傳統的對沖策略對更廣泛的投資組合的影響正在減弱。因此請記住，該指標所指的資金經濟成本包括遺留對沖的累積市值影響。

So it's sort of akin to the rate paid on taxable interest expense with the deferred hedge deductions factored in. On the other hand, the red line, which has been moving lower, represents our actual repo borrowing costs with no hedging effects. As the Fed cuts rates, any unhedged repo balances will benefit directly from this decline. As of June 30, 27% of our repo borrowings were unhedged, and that increased to 30% more recently, modestly enhancing the benefit to lower -- or potential benefit to lower funding rates. Turning to slides 19 and 20, speaking of hedges.

所以它有點像是將遞延對沖扣除額考慮在內，應稅利息支出的稅率。另一方面，不斷下移的紅線代表了我們實際的回購借款成本，沒有對沖效應。隨著聯準會降息，任何未對沖的回購餘額都將直接受益於利率的下降。截至 6 月 30 日，我們 27% 的回購借款未進行對沖，最近這一比例上升至 30%，略微增強了降低融資利率的益處——或者說降低融資利率的潛在益處。翻到第 19 和 20 張幻燈片，談樹籬。

On September 30, Orchid's total hedge notional stood, as I said, at $5.6 billion, covering about 70% of our repo funding liabilities. Interest rate swaps totaled $3.9 billion, covering roughly half the repo balance with a weighted average pay fixed rate of 3.31% and an average maturity of 5.4 years. Swap exposure is split between intermediate and longer-dated maturities, allowing us to maintain protection further out the curve while taking advantage of lower short-term funding costs. Short futures positions totaled $1.4 billion, comprised primarily of SOFR 5 year, 7 year and 10 year treasury futures as well -- I'm sorry, SOFR 5 year, 10 year, 7 year treasury futures as well as a very small position in ERIS swap futures. On a mark-to-market basis, our blended swap and futures hedge rate was 3.63% at 6/30 and 3.56% at 9/30.

正如我所說，截至 9 月 30 日，Orchid 的總對沖名目金額為 56 億美元，約占我們回購融資負債的 70%。利率互換總額達 39 億美元，約佔回購餘額的一半，加權平均固定利率為 3.31%，平均期限為 5.4 年。互換敞口分為中期和長期到期，使我們能夠在保持更長期限保護的同時，利用較低的短期融資成本。空頭期貨部位總計 14 億美元，主要包括 SOFR 5 年期、7 年期和 10 年期公債期貨——抱歉，是 SOFR 5 年期、10 年期、7 年期國債期貨，以及少量 ERIS 互換期貨頭寸。以市值計價，我們的混合掉期和期貨避險利率在 6 月 30 日為 3.63%，在 9 月 30 日為 3.56%。

You think of this metric as the rate we would pay if all of our hedges had a market value of 0 at each respective quarter end, a par rate, if you will. Our short TBA positions totaled $282 million, all of which were, I think, Fannie 5.5s. A portion of this short is really part of a bigger trade where we're long 15 year 5s and short 30-year 5.5s. So a 15/30 swap structured to provide protection against rising rates in a spread widening environment. The remainder of the short position was just executed in conjunction with some pool purchases late in the quarter following a period where spreads have tightened materially.

你可以把這個指標理解為，如果我們的所有對沖產品在每個季度末的市場價值都為 0，那麼我們將支付的利率，也就是面額利率。我們持有的TBA空頭部位總計2.82億美元，全部都是房利美5.5%的債券。其中一部分空頭部位其實是我們更大交易的一部分，該交易我們持有15年期5%債券的多頭部位和30年期5.5%債券的空頭部位。因此，這是一個15/30互換交易，旨在利差擴大的環境下對沖利率上升的風險。剩餘的空頭部位是在本季末與一些資金池購買作業一起執行的，此前一段時間價差已大幅收窄。

So we didn't want to take the basis exposure quite yet. Orchid held no swaptions during the quarter, which was fortuitous because there was a sharp decline in volatility. At June 30, approximately -- as I mentioned, approximately 27% of our repo borrowings were unhedged. That figure increased to 30% by September 30. This increase reflects the impact of the market rally and the corresponding shorter asset durations, which allowed Orchid to carry a higher unhedged balance while maintaining minimal interest rate exposure.

所以我們暫時不想承擔基差風險。Orchid 在本季沒有持有任何互換選擇權，這很幸運，因為波動性急劇下降。截至 6 月 30 日，正如我之前提到的，我們約有 27% 的回購借款沒有進行避險。到9月30日，這一數字上升至30%。這一增長反映了市場上漲和相應的資產久期縮短的影響，這使得 Orchid 能夠在保持最低利率風險敞口的同時，持有更高的未對沖餘額。

In other words, this shift does not indicate that the portfolio is less hedged. In fact, at June 30, our duration gap was negative 0.26 years. And by September 30, it had grown to negative 0.07 years. So still highlights a very flat interest rate profile. Speaking of which, slides 21 and 22 get a real pitch sense of our interest rate sensitivity.

換句話說，這種轉變並不意味著投資組合的對沖力度減弱。事實上，截至 6 月 30 日，我們的久期缺口為負 0.26 年。到 9 月 30 日，這一數字已增長至負 0.07 年。所以，利率走勢依然非常平穩。說到這裡，第 21 和 22 張投影片真正體現了我們對利率的敏感度。

Orchid's Agency RMBS portfolio remains well balanced from a duration standpoint with the overall rate exposure very tightly managed. Our modeled rate shock showed that a plus 50 basis points increase in rates would -- we estimate would result in a 1.7% decline in equity, while a 50 basis point decrease would reduce equity by 1.2%. So again, it's very low interest rate sensitivity, at least on a model basis. The combination of higher coupon assets and intermediate to long-term longer-dated hedges reflect our continued positioning that guards against rising rates and a steepening curve. This positioning is grounded in our view that a weakening economy and lower rates across the curve, while potentially introducing short-term volatility should be positive for Agency MBS and the broader sector in general as such environments are often accompanied by stress in equity and credit markets and investors often seek safety in fixed income and REIT stocks.

從久期角度來看，Orchid 的機構 RMBS 投資組合仍然保持良好的平衡，整體利率風險敞口也得到了非常嚴格的控制。我們的模型利率衝擊顯示，利率上升 50 個基點將導致權益下降 1.7%，而利率下降 50 個基點將導致權益下降 1.2%。所以再次強調，至少從模型來看，其對利率的敏感度非常低。高利率資產與中長期避險工具結合，反映了我們持續的投資組合策略，以防範利率上升和殖利率曲線陡峭化。這種定位是基於我們的觀點，即經濟疲軟和利率全線走低雖然可能會帶來短期波動，但對機構抵押貸款支持證券和整個行業而言應該是積極的，因為這種環境通常伴隨著股票和信貸市場的壓力，而投資者通常會在固定收益和房地產投資信託基金股票中尋求安全保障。

Conversely, if the economy remains strong or inflation proves sticky, we would expect a corresponding rise in rates and a basis widening in the belly of the coupon stack with outperformance shifting to shorter duration, high coupon assets, which are currently lagging due to prepayment exposure. And that's a perfect segue to slide 23, where we talk about our prepayment experience. This has been something that we've largely glossed over for the past couple of years other than a brief period of time following a 10 years brief run at 360 last September. In the third quarter, speeds released -- in the third quarter, including the September speeds released in early October, Orchid experienced a very favorable prepayment outcome across the portfolio. Lower coupons continue to perform exceptionally well.

反之，如果經濟維持強勁或通膨持續，我們預期利率將相應上升，票息結構中段的基差將擴大，表現優異的資產將轉向期限較短、票息較高的資產，這些資產目前由於提前償付風險而表現落後。這正好引出了第 23 張投影片，我們在那裡談論我們的預付款經驗。在過去的幾年裡，我們基本上對此事輕描淡寫地帶過了，除了去年九月在 360 短暫運營 10 年後的一段時間。第三季度，包括 10 月初發布的 9 月的房源在內，Orchid 在整個投資組合中獲得了非常有利的提前還款結果。折價券表現依然非常出色。

3s, 3.5s and 4s paid at 7.2, 8.3 and 8.1 CPR compared to TBA deliverables, significantly slower at 4.5, 2.9 and 0.7. 4.5s and 5s paid 11 and 7.5 CPR for the quarter versus 2.3 and 1.9 on comparable deliverables. Among our low premium assets, which are 5.5s largely throughout most of the quarter. These were largely in line with the deliverables, 6.2 was our experience, 6.2 CPR versus 5.9. However, in the most recent month, generic 5.5 jumped up to 9 CPR while our portfolio held steady at 6.3, really underscoring the benefit of pool selection and the relatively low vol of the portfolio.

3 秒、3.5 秒和 4 秒的收益率分別為 7.2、8.3 和 8.1 CPR，而 TBA 交付物則明顯低於 4.5、2.9 和 0.7 CPR。 4.5 秒和 5 秒的收益率在本季分別為 11 和 7.5 CPR，而可比較交付物的收益率分別為 2.3 和 1.9 CPR。在我們的低溢價資產中，大部分資產在本季大部分時間裡溢價為 5.5%。這些結果與預期基本一致，我們的經驗是 6.2，CPR 為 6.2，而其他藥物為 5.9。然而，在最近一個月，通用藥物的 CPR 從 5.5 躍升至 9，而我們的投資組合則穩定在 6.3，這真正突顯了池選擇的優勢和投資組合相對較低的波動性。

In the premium space, 6.5s -- 6s and 6.5s paid 9.5 and 12.2 CPR for the quarter compared to 13.8 and 29.5 on TBA deliverable. As refi activity spiked in September, the various forms of call protection embedded in our portfolio predicts very sharp divide though. In the most recent month, 6s paid -- our 6s paid 9.7% versus 27.8% for the generics and our 6.5s paid 13.9 versus a 42.8 CPR on the generics. So you can really see the benefit and potential carry above and beyond TBA for those coupons. Overall, the quarter's results highlight our disciplined pool selection where call protection -- where call protected specified collateral continues to deliver materially better prepaid behavior than the TBA deliverable, as I mentioned.

在高階領域，6.5分－6分和6.5分的價格在本季分別為9.5和12.2 CPR，而待定交付的價格分別為13.8和29.5 CPR。儘管9月再融資活動激增，但我們投資組合中嵌入的各種形式的贖回保護措施預示著會出現非常明顯的分化。在最近一個月，6 類藥物的支付率為 9.7%，而仿製藥的支付率為 27.8%；6.5 類藥物的支付率為 13.9%，而仿製藥的支付率為 42.8%。因此，您可以真正看到這些優惠券帶來的好處和潛在的額外收益，遠遠超過 TBA 的預期。總的來說，本季的業績突顯了我們嚴謹的資金池選擇，其中，有贖回保護的特定抵押品（有贖回保護的特定抵押品）繼續比 TBA 交付物帶來更好的預付行為，正如我所提到的。

Just a few concluding remarks from me. In summary, we experienced a sharp rebound in the third quarter, more than offsetting the mark-to-market damage done during the volatile Liberation Day widening in the second quarter. Orchid successfully raised $152 million during the quarter and deployed the proceeds into approximately $1.5 billion of high-quality specified pools. The pools were acquired at historically widespread levels and will serve as a meaningful driver of increased earning power for the portfolio in the coming quarters. While our skew towards high coupon specified pools and bear-steepening bias resulted in slight underperformance relative to our peers with more exposure to belly coupons.

最後我還有幾點要補充說明。總而言之，我們在第三季度經歷了強勁反彈，完全抵消了第二季度動盪的解放日期間按市值計價造成的損失。Orchid 在本季成功籌集了 1.52 億美元，並將所得款項投入了約 15 億美元的高品質指定資金池。這些資金池的收購價格處於歷史高位，將在未來幾季成為提升投資組合獲利能力的重要驅動力。雖然我們偏重於高額優惠券指定池和熊市陡峭化傾向，導致相對於更多接觸腹部優惠券的同行而言，業績略遜一籌。

We remain highly constructive on our current asset and hedge blend. We believe our positioning will continue to deliver great carry and be more resilient in a selloff, particularly given our call protection and limited convexity exposure. Looking ahead, we're very positive on the investment strategy, as I have mentioned, several factors that could provide significant tailwinds to the Agency RMBS market and our portfolio for the quarters ahead are continued Fed rate cuts, the anticipated end of QT, a renewed treasury open market operations to help stabilize the repo and bill markets, potential expansion of GSE retained portfolios, White House and treasury department that are openly supportive of tighter mortgage spreads. We also continue to see strong participation from money managers and the REITs, as Bob alluded to.

我們對目前的資產和對沖組合仍然非常看好。我們相信，鑑於我們的看漲期權保護和有限的凸性敞口，我們的倉位配置將繼續帶來良好的收益，並在拋售中更具韌性。展望未來，我們對投資策略非常樂觀。正如我之前提到的，未來幾個季度，有幾個因素可能會為機構RMBS市場和我們的投資組合帶來顯著的利好，包括聯準會持續降息、量化緊縮政策的預期結束、財政部重啟公開市場操作以幫助穩定回購和票據市場、政府支持企業保留投資組合的潛在擴張，以及白宮和財政部公開支持收緊抵押貸款利差。正如鮑伯所提到的，我們也持續看到資金​​管理人和房地產投資信託基金的積極參與。

There's potential for banks to reenter the markets more meaningfully as funding and regulatory capital conditions improve. Taken together, we believe the current opportunity in Agency RMBS is still among the most attractive in recent memory, and we're well positioned to capitalize on that.

隨著融資和監管資本狀況的改善，銀行有可能更有效地重返市場。綜上所述，我們認為目前機構RMBS的投資機會仍然是近年來最具吸引力的機會之一，我們已做好充分準備來把握這一機會。

With that, I'll turn it over to Bob.

這樣，我就把麥克風交給鮑伯了。

Thanks, Hunter. Great job. Just a couple of concluding remarks, and then we'll turn it over to questions. Basically, just to reiterate kind of our outlook. I think that it's kind of hard to say where we go from here in terms of the market and the economy.

謝謝你，亨特。幹得好。最後還有幾點要補充說明，接下來我們將進入提問環節。基本上，只是想重申我們的觀點。我認為，就市場和經濟而言，很難說我們接下來會走向何方。

I think that we're possibly at a crossroads. On the one hand, we've seen a lot of labor market weakness, and it's gotten the Fed's attention, and they appear ready to cut rates, which could lead to a prolonged low rate environment. We also see a lot of resiliency in the economy, very strong growth. Consumer seems to be in decent shape. And as I mentioned, the government is running large deficits, plus you have the benefits of AI and the CapEx build-out, all that tied into the One Big Beautiful Bill and the very favorable tax components of that.

我認為我們可能正處於一個十字路口。一方面，我們看到勞動市場疲軟，這引起了聯準會的關注，他們似乎準備降息，這可能導致長期低利率環境。我們也看到經濟展現出很強的韌性，成長非常強勁。消費者看起來身體狀況良好。正如我之前提到的，政府財政赤字巨大，再加上人工智慧和資本支出建設的好處，所有這些都與《一項宏偉法案》及其非常優惠的稅收條款聯繫在一起。

So I think the market in the economy could go either way. But the important thing is, as Hunter alluded to, is that the way the portfolio is constructed with the high coupon bias with hedges that are a little further out the curve and the call protected nature of the securities we own, I think that we can do well in either. So for instance, if we do stay in a low rate environment and speeds stay high, we have very adequate call protection. And to the extent that the opposite occurs and the economy restrengthens and we start going into a higher rate environment, we have most of our hedges further out the curve. And we have higher coupon securities that would do well in the sense they would have enhanced carry in that environment.

所以我認為經濟市場走向任何方向都有可能。但正如亨特所暗示的那樣，重要的是，該投資組合的構建方式是高息票偏好，對沖期限稍長一些，並且我們所持有的證券具有贖回保護性質，我認為無論哪種情況，我們都能取得好成績。例如，如果我們保持在低費率環境下，並且速度保持在較高水平，那麼我們的通話保護就非常充分。而如果出現相反的情況，經濟復甦，利率環境走高，我們的對沖策略大多著眼於更遠的殖利率曲線。我們還有一些票息較高的證券，在這種環境下，它們會表現良好，因為它們能帶來更高的收益。

So I guess one final comment is that we do expect now, especially after the data today that the Fed will likely cut a few times. And over the course of the next few months, we're probably going to potentially adjust our hedges to try to lock in some of that lower funding and maybe add a little up-rate protection because we think if the fact the Fed does ease a few times that in all likelihood, the move after that's a hike.

最後我想補充一點，尤其是在今天的數據公佈之後，我們預計聯準會可能會降息幾次。在接下來的幾個月裡，我們可能會調整對沖策略，以鎖定部分較低的融資額，並可能增加一些升息保護，因為我們認為，如果聯準會真的放鬆貨幣政策幾次，那麼之後很可能會升息。

So with all that said, we will now turn the call over to questions.

綜上所述，現在我們將把通話交給提問環節。

(Operator Instructions)

（操作說明）

Jason Weaver, JonesTrading.

Jason Weaver，JonesTrading。

Congrats on the results in the quarter and the growth. I guess, first, given the relatively consistent leverage and even greater liquidity now as well as sort of the positive development that you mentioned in the prepared remarks, especially lower vol. Is there anything particular on the horizon macro-wise that you'd be looking for to change overall risk positioning, maybe like -- notably like maybe leaning more into leverage?

恭喜本季取得的業績和成長。我想，首先，考慮到相對穩定的槓桿率和目前更大的流動性，以及您在準備好的發言稿中提到的積極發展，特別是較低的波動率。從宏觀角度來看，您認為有哪些特別的因素會影響整體風險配置，例如——尤其是像更多地利用槓桿這樣的因素？

Well, as I kind of said at the end, I don't know -- we could with leverage. I mean, like I said, there's two paths I see the market following. One is where we kind of stay where we are, the Fed continues to cut, rates stay low. In that environment, we're going to benefit, obviously, from the first few rate cuts because the percentage of our funding that is hedged is on the low side. I think in the event that we do see that, as I mentioned, I think we'll probably look to lock that in.

嗯，就像我最後說的那樣，我不知道——我們可以利用一些籌碼。我的意思是，就像我說的，我認為市場會走兩條路。一種情況是我們維持現狀，聯準會繼續降息，利率維持在低點。在這種情況下，我們顯然會從最初幾次降息中受益，因為我們對沖的資金比例較低。我認為，如果這種情況真的發生，正如我之前提到的，我們可能會考慮將其鎖定下來。

And if we do so, we probably would be comfortable taking the leverage up some. To the extent the market and the economy rebounds and we see a strengthening, which I think is very possible. Frankly, I would say I would take the under on the number of rate cuts between now and the end of next year. Then I would say we would not be taking leverage up. We would be looking to kind of protect ourselves, one, lock in funding and then look to protect ourselves on the asset side from extension and rate sell-off impact on mortgage prices.

如果我們這樣做，我們或許會樂意進一步提高談判籌碼。如果市場和經濟出現反彈並走強，我認為這是很有可能的。坦白說，我認為從現在到明年年底，降息次數不會太多。那我認為我們就不會採取槓桿措施了。我們一方面會尋求保護自己，鎖定資金，另一方面也會尋求在資產方面保護自己，避免延期和利率拋售對抵押貸款價格的影響。

Got it. That's helpful. And then second, referencing the remarks on the high coupon spec pools you purchased just as of late. Do you have any view on pay-ups upside potential here, especially if we see more refi momentum growing?

知道了。那很有幫助。其次，關於您最近購買的高額優惠券規格池的評論。您認為這裡的支付上漲潛力如何？尤其是在再融資勢頭增強的情況下？

We've really seen pay-ups ratchet higher in the beginning part of this quarter. This most recent cycle of the GSEs, we saw pay-ups increase sharply. A lot of that is attributable to the fact that there were people who were long TBAs as kind of a strategy when the roll markets were more healthy and that carry from those rolls has just completely evaporated. And so you've seen people who might have had heavier concentrations in TBAs really be forced to dive in and just start buying everything they could find to supplement that income. We fortunately didn't have that problem and most of the spec pools we bought was really in kind of the first half of the quarter.

本季度初，我們已經看到薪資水準顯著提高。在最近一輪政府支持企業（GSE）的融資週期中，我們看到支付額大幅增加。這很大程度上歸因於這樣一個事實：當展期市場更加健康時，有些人將做多待定合約作為一種策略，而這些展期合約帶來的收益已經完全消失了。因此，你會看到一些原本在 TBA 上投入較多資金的人，被迫開始大量購買他們能找到的一切來補充收入。幸運的是，我們沒有遇到這個問題，而且我們購買的大部分投機性股票池實際上都集中在季度的前半段。

So yeah, that's just to reiterate that point. I mentioned we had the spike tighter in mortgages in early September. And forgive me if you mentioned this, I missed it. But of the capital we raised in the quarter, 70% of that was deployed before then. So we benefited from that.

是的，我只是想重申這一點。我之前提到過，9月初抵押貸款市場出現了大幅收緊的高峰。如果您之前提到過這件事，請原諒我錯過了。但本季我們籌集的資金中，70% 在此之前就已經投入使用。所以我們從中受益了。

And then also, I just -- we talked about this at the end of the second quarter. At that time, the weighted average price of the portfolio was basically par, it was like $99.98. And most of what we added -- all of what we added were higher coupons. But that being said, the average price of the portfolio now is a little over $101, $101.07 and our average payoff is 33 ticks. So while we've been adding call protection, we're not paying up for the highest quality.

而且，我們在第二季末也討論過這個問題。當時，該投資組合的加權平均價格基本上與面值持平，約為 99.98 美元。而我們新增的大部分——或者說我們新增的所有——都是票息較高的股票。但即便如此，該投資組合目前的平均價格略高於 101 美元，即 101.07 美元，而我們的平均收益為 33 個點。所以，雖然我們增加了通話保護功能，但我們並沒有為最高品質的功能付費。

Frankly, we don't think that it's been warranted. Not get too into the weeds of what we own, but we've gotten, as you saw in our realized prepayment speeds, very good performance out of those securities without having to pay extremely exorbitant pay-ups. I don't know that we're ever going to get back to where we were in '20 or '21, just by comparison. Back then, our higher coupon, New York, whatever coupon they were, the pay-ups were multiple 4 and 5 points. I don't know that we're going to see that anytime soon, but it's -- we've done quite well without having to go anywhere near those kind of levels.

坦白說，我們認為沒有必要這樣做。我們不想過多地深入探討我們持有的證券，但正如你從我們實際的提前償付速度中看到的那樣，我們已經從這些證券中獲得了非常好的收益，而無需支付極其高昂的款項。僅從對比來看，我不知道我們是否還能回到 2020 年或 2021 年的水準。那時候，我們紐約的高額優惠券，不管是什麼優惠券，支付金額都是 4 點和 5 點的倍數。我不知道我們是否會在短期內看到這種情況，但是——我們無需達到那種水平就已經做得相當不錯了。

Eric Hagen, BTIG.

Eric Hagen，BTIG。

I think you guys have kind of talked a little bit around it. But are there scenarios where dollar roll specialness would return to the market in a more meaningful way? How do you feel like specialness would affect like trading volume and kind of market dynamics overall going forward?

我覺得你們已經稍微討論過這個問題了。但是，是否存在美元卷特殊性以更有意義的方式回歸市場的情況呢？您認為特殊性會對未來的交易量和整體市場動態產生怎樣的影響？

I don't know that -- I mean we saw that really in spades back in the early days of QE when the Fed was buying everything. I don't think we're going to see QE. In fact, it's been made pretty clear by the Fed that when they reinvest pay-downs with respect to mortgages, they're only going to be buying treasuries and probably bills. So I don't know -- I don't really see the specialness of the roll market coming back in a big way. We've historically not been big players in that regard, as you probably know. So I don't see it as a core. One, I don't think it's likely to happen; and two, I don't -- it's never been a core element of our strategy.

我不知道——我的意思是，我們在量化寬鬆政策初期，聯準會瘋狂買進所有資產的時候，就看到了這種情況。我認為我們不會看到量化寬鬆政策。事實上，聯準會已經非常明確地表示，當他們將償還抵押貸款的資金進行再投資時，他們只會購買國債，可能還會購買短期國債。所以我不知道——我真的不認為卷材市場會大規模地恢復其獨特性。正如你可能知道的那樣，我們歷來在這方面都不是主要參與者。所以我不認為它是核心。第一，我認為這不太可能發生；第二，我認為這從來都不是——它從來都不是我們的策略核心要素。

No. It's -- I think as long as -- especially in the upper coupon, that's really being driven by fear of prepayments and the speeds that are being delivered into these worse-to-deliver pools that are being delivered in the TBAs are pretty bad here. So -- and I would expect them to continue to be so for the next couple of months. So I think it's going to stay depressed, at least in that space until we pop out of this. We'll either pop out of this rate environment that we're in now. So turn back towards the top or middle of the recent rate range or until rates move meaningfully lower. But I think we're kind of in a spot here where we're not going to see too much in the roll space.

不。我認為，只要——尤其是在上層票息方面——這實際上是由對預付款的恐懼所驅動的，而且交付到這些交付速度較慢的資金池的速度，在TBA中交付的速度非常糟糕。所以——而且我預計在接下來的幾個月裡，這種情況還會持續下去。所以我認為它會繼續低迷，至少在走出困境之前會一直保持這種狀態。我們要嘛擺脫目前所處的這種利率環境。因此，利率應該會回落到近期利率區間的頂部或中部，或直到利率顯著下降為止。但我認為我們現在的情況是，在卷材領域不會有太多進展。

Okay. Yes. That was interesting. Can you talk through some of the -- what the supply and availability for longer-dated repo looks like right now? I mean do you see that as like an effective hedge for the Fed not cutting as much as what's currently anticipated?

好的。是的。那很有意思。您能否談談目前長期債券的供應和可用性？我的意思是，你認為這是否可以作為聯準會降息幅度不如預期那麼大的有效對沖措施？

We like to be doing so. We've looked into it a lot. Unfortunately, the spreads are just too wide. We've done some, and we will continue to do so. But as Hunter mentioned, we were historically in the mid-teens. We're approaching the higher teens, but you're getting above that when you start going out in terms. So we have done some just to try to lock in as much as we can. And we do it opportunistically. So for instance, if we were to see, let's say, the government reopens and you get some heinous non-farm payroll number and the market prices in 7 or 8 cuts that's when we try to do those things. So it opportunistically.

我們樂於這樣做。我們已經對此進行了許多調查。可惜的是，價差實在太大了。我們已經做了一些，而且會繼續這樣做。但正如亨特所提到的，我們歷史上曾處於十幾歲左右的水平。我們正在接近十幾歲的高位，但當你開始按學期計算時，你會超過這個數字。所以我們已經採取了一些措施，盡可能鎖定目標。我們這樣做是出於機會主義。例如，如果我們看到，比如說，政府重新開放，非農就業人數出現慘淡的局面，市場價格下跌了 7 到 8 次，那時我們就會嘗試採取這些措施。所以它伺機而動。

Yeah, it's been -- Eric, it's been more effective to do in future space for us, and we do so from time to time. I think I alluded to the fact that we have a pretty good chunk of the portfolio that is on hedged right now. So we can certainly have room to move in and do some shorter-dated short futures in the first year or 2 of the -- first couple of years of the curve or some kind of a swap or something like that with a relatively low duration. But we joke around that repo lenders are always very quick to price in hikes and very reluctant to price rate cuts. So that's been kind of the experience that's kept us from -- and you just think about the dynamics of what usually happens when the Fed gets involved and it has to cut 5 or 6 times. It usually coincides with a credit market rolling over or a weakening economy, and those are not particularly comfortable environments for repo lenders.

是的，埃里克，在未來的空間中這樣做對我們來說更有效，我們也會不時這樣做。我想我之前已經暗示過，我們目前有相當一部分投資組合都進行了對沖。因此，我們當然可以有空間進入市場，在曲線的前一兩年內進行一些短期期貨交易，或進行一些期限相對較低的互換交易或其他類似交易。但我們常開玩笑說，回購貸款機構總是很快就把升息計入價格，卻非常不願意把降息計入價格。所以正是這種經歷讓我們一直避免——你想想聯準會介入並不得不降息 5 到 6 次時通常會發生什麼。這通常與信貸市場疲軟或經濟走弱同時發生，而對於回購貸款機構來說，這些環境並不特別舒適。

Mikhail Goberman, Citizens JMP.

米哈伊爾‧戈伯曼，公民聯合軍事警察部隊。

Hope everybody is doing well. You guys talk about call protection. About what percentage would you say of your portfolio is covered with call protection and -- if rates were to go down, say, 50 basis points in a sharp manner?

希望大家都好。你們都在討論通話保護。您認為您的投資組合中大約有多少百分比受到選擇權保護？如果利率急劇下降，比如說下降 50 個基點，會怎麼樣？

Almost 100% of the portfolio has some form of call protection. We have little pockets of what we call our kind of lower pay-up stories like LTV, that sort of thing. We're still constructive on those in spite of the fact that they are relatively low in terms of pay-up. But we have housing market that's under pressure and borrowers going out with -- it's difficult for borrowers with high LTVs to turn around a refi at every opportunity. They will ultimately be able to do so, but it's not very cost effective for them.

幾乎100%的投資組合都採用了某種形式的贖回保護。我們有一些我們稱為低成本故事的小眾領域，像是 LTV 之類的。儘管這些項目的回報相對較低，但我們仍然對這些項目持建設性態度。但是，目前房屋市場面臨壓力，借款人貸款額度較高，因此，對於貸款價值比高的借款人來說，要抓住每一個機會進行再融資是很困難的。他們最終肯定能做到，但這對他們來說並不划算。

So a little -- it's not the lowest hanging fruit, I guess, the more generic stuff is. So yes, almost all of it is. We have some stuff that we keep around just in case we have a dramatic spread widenings and really low pay-up pools that we use if we ever have a situation where we need to quickly reduce leverage by just delivering something in the TBA. But the rest of the portfolio has got some form. And most of it's been working out really well for us.

所以，雖然有點難度——但我想，這不是最容易實現的目標，更通用的目標才是。是的，幾乎全部都是如此。我們保留了一些資料，以防出現價差急劇擴大和支付池非常低的情況，這樣我們就可以在需要快速降低槓桿率的情況下，透過在 TBA 中交付一些東西來使用這些資料。但其餘的投資組合都已初具規模。而且大部分情況下，這對我們來說都非常有效。

And as far as the rally, as I mentioned, our weighted average price at the end of the quarter was a little over $101. I think the average coupon is still high 5s. So we're -- it's premium, it's in the money, but it's not so extreme, so another 50 basis points rally gets you obviously, like a north of the 6, which is like a $102 or $103 price. So they're going to be faster. But with the call protection we have, I don't think the premium amortization is going to be so detrimental.

至於這波上漲行情，正如我之前提到的，我們季度末的加權平均價格略高於 101 美元。我認為平均優惠券價格仍然在5分以上。所以，它是溢價債券，它是價內債券，但又不是特別極端，所以再上漲 50 個基點，顯然就能突破 6，也就是 102 美元或 103 美元的價格。所以它們速度會更快。但有了贖回保護，我認為保費攤提不會造成太大不利影響。

In fact, I think our premium amortization for this quarter was very, very modest. So it was uptick obviously from there, but it's nothing like, for instance, what we saw in the immediate aftermath of COVID when those numbers were very, very large. Yes.

事實上，我認為我們本季的保費攤銷額非常非常低。所以很明顯，從那時起病例數量有所上升，但這與例如我們在新冠疫情爆發初期看到的病例數量非常非常大的情況完全不同。是的。

As we bounced around kind of this rate range, where we have bought the more expensive, I guess, or the higher quality stories has been kind of in that first discount space. And the rationale there is just they're relatively cheap at that point in time. So like when rates were a little bit higher 5s were $98, $99 handle. We bought a lot of New York 5s in the very beginning part of the quarter where rates were a little bit higher. And so those will do very well as -- if we continue to rally.

當我們在這個價格區間內徘徊時，我們購買的更昂貴的，或者說更高品質的故事，其實都處於最初的折扣區間。原因很簡單，它們在那個時候相對便宜。所以，當利率稍微高一些的時候，5 盎司的手柄是 98 美元、99 美元。本季初利率稍高的時候，我們買了許多紐約5年期公債。因此，如果我們繼續保持這種勢頭，這些股票將會表現得非常好。

That's helpful. And if I can ask one about the -- flesh out your comments a bit about the hedge portfolio. If swap spreads were to widen back out, how much benefit do you guys see to the portfolio?

那很有幫助。如果可以的話，我想請您詳細說明您對對沖投資組合的看法。如果互換利差再次擴大，你們認為這對投資組合會有多大好處？

You said, widen out, like they've been widening, right? I know it's unusual --

你說要擴大範圍，就像他們一直在擴大一樣，對吧？我知道這很不尋常。--

Actually, if they continue to widen, yeah.

實際上，如果它們繼續擴大，是的。

Yeah, continue to benefit from that. I mean it's -- I don't know if we have a dollar amount on it, but it was -- if you look at --

是的，繼續從中受益吧。我的意思是——我不知道我們有沒有具體的金額，但是——如果你看一下…--

It's around $2 million DV01, so you can think of it in those terms, yeah.

DV01 大約是 200 萬美元，你可以從這個角度來理解，是的。

So like, for instance, like the long end is like a negative 50. So let's say you went to 40, obviously, something like that. I don't know how much further you can go, though, because you could argue that the market is really priced in, the end of QT and the Fed stepping in to reinvest paydowns in the treasuries. I think in order for that to happen, you'd almost have to see QE, meaningful QE, not just reinvesting paydowns. But what Hunter said, so $2 million DV01, if you get like another 10 bps, what is that in cents? Something like $0.15 or something like that or $0.12 a book.

例如，長端是 -50。假設你到了 40 歲，顯然，諸如此類。不過，我不知道你還能走多遠，因為你可以說市場實際上已經消化了量化緊縮政策結束和聯準會介入將償還款項再投資於國債的預期。我認為，要實現這一點，幾乎必須實施量化寬鬆政策，有意義的量化寬鬆政策，而不僅僅是將償還的資金再投資。但如亨特所說，200萬美元的DV01，如果再增加10個基點，那相當於多少美分？大概每本書 0.15 美元左右，或 0.12 美元。

Fair enough. And if I could just squeeze in. Any update on current book value month-to-date?

很公平。如果我能擠進去就好了。本月至今的帳面價值有任何更新嗎？

It is up a hair basically. We don't audit that number every day because we get a dollar -- an amount every day, it's up very, very modestly from quarter end.

基本上就是稍微抬起一根頭髮。我們不每天都審核這個數字，因為我們每天都能收到一美元——這個金額比季度末略有增長。

Thank you. And I would now like to hand the conference back over to Robert Cauley for any further remarks.

謝謝。現在我謹將會議交還給羅伯特·考利，請他再作發言。

Thank you, operator. Thank you, everybody, for taking the time. As always, to the extent anybody has any questions that come up after the call or you don't get a chance to listen to the call live and you wish to reach out to us, we are always available. The number here is (772) 231-1400. Otherwise, we look forward to speaking to you at the end of the fourth quarter, and have a great weekend. Thank you. Bye.

謝謝接線生。謝謝大家抽出時間。像往常一樣，如果您在通話後有任何疑問，或者您沒有機會收聽直播通話並希望與我們聯繫，我們隨時為您服務。這裡的電話號碼是（772）231-1400。否則，我們期待在第四季末與您聯繫，並祝您週末愉快。謝謝。再見。

This concludes today's conference call. Thank you for participating. You may now disconnect. Everyone, have a great day.

今天的電話會議到此結束。感謝您的參與。您現在可以斷開連線了。祝大家今天過得愉快。