Orchid Island Capital Inc (ORC) 2025 Q4 法說會逐字稿

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

各位朋友，大家好，感謝您的耐心等待。歡迎參加蘭花島資本2025年第四季財報電話會議。 （操作說明）請注意，本次會議正在錄音。

I would now like to hand the conference over to your speaker today, Mellisa Alfonso. Please go ahead.

現在我把會議交給今天的演講嘉賓梅莉莎·阿方索。請開始吧。

Thank you, Didi. Good morning, and welcome to the fourth-quarter 2025 earnings conference call for Orchid Island Capital. This call is being recorded today, January 30, 2026.

謝謝滴滴。早安，歡迎參加蘭花島資本2025年第四季財報電話會議。本次電話會議於2026年1月30日錄製。

At this time, the company would like to remind the listeners that statements made during today’s conference 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. Listeners are cautioned that such forward-looking statements are based on information currently available and 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. 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.

在此，本公司謹提醒各位聽眾，今天會議上所有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》安全港條款的保護。請各位聽眾注意，此類前瞻性陳述基於當前可獲得的資訊以及管理層對未來事件的誠信判斷，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有所描述，包括公司最新的10-K表格年度報告。本公司不承擔更新此類前瞻性陳述以反映實際結果、假設變更或其他影響前瞻性陳述的因素的義務。

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。請您發言，先生。

Thank you, Melissa, and good morning. I hope everybody has had a chance to download our deck off our website. As usual, that's what we will be using for basis of the call today. And again as usual, I will walk you through the deck. I'm joined here today by Jerry Sintes our Controller; and Hunter Haas, our Chief Financial Officer and Chief Investment Officer.

謝謝梅麗莎，早安。希望大家都已經從我們的網站下載了簡報。和往常一樣，我們將以此為基礎進行今天的電話會議。接下來，我將像往常一樣為大家講解簡報的內容。今天與我一起參加電話會議的還有我們的財務總監傑瑞辛特斯，以及我們的財務長兼首席投資長亨特哈斯。

Starting on the third page, I will just give you an outline. Jerry will quickly go through results and discuss our liquidity position. I will then go through the market developments which basically shape the market that we operated in and the impact that that had on both our results for the fourth quarter and also our outlook going forward into 2026. Then Hunter will spend some time discussing the portfolio, hedge positions, and so forth developments during the quarter, positioning in the portfolio as of today. And then, we'll have a few concluding remarks. We have some information in the appendices that we want to share with you, and then we will take your questions.

從第三頁開始，我將簡要概述一下。 Jerry會快速回顧業績並討論我們的流動性狀況。接下來，我將介紹影響我們所處市場格局的市場發展，以及這些發展對我們第四季業績和2026年展望的影響。之後，Hunter將花一些時間討論本季投資組合、避險部位等方面的變化，以及截至目前為止的投資組合配置。最後，我們會做一些總結性發言。附錄中還有一些資訊需要與大家分享，之後我們將回答大家的問題。

So with that, I will turn it over to Jerry.

那麼，接下來就交給傑瑞了。

Thank you, Bob. If we go turn to page 5, I will begin with the financial highlights for the fourth quarter. During the fourth quarter, we earned $103.4 million in net income, which equates to $0.62 per share compared to $0.53 in Q3. Our book value at the end of the quarter was $7.54 compared to $7.33 end of the Q3. Stockholders’ equity at the end of Q4 was approximately $1.4 billion. We paid dividends during the quarter of $0.36 which has been the same rate for a couple of years now. Total return for the quarter which takes into account the change in book value and the dividend at 7.8% for Q4 compared to 6.7% in Q3.

謝謝，鮑伯。我們翻到第5頁，我將從第四季的財務亮點開始。第四季度，我們實現淨利1.034億美元，相當於每股0.62美元，第三季為0.53美元。季末帳面價值為7.54美元，而第三季末為7.33美元。第四季末股東權益約14億美元。本季我們派發了每股0.36美元的股息，這水準已維持數年不變。考慮到帳面價值和股息的變化，本季總回報率為7.8%，而第三季為6.7%。

Turning now to page 6, we'll look at some of the portfolio highlights. During Q4, we had average MBS of $9.5 billion compared to $7.7 billion in Q3. At the end of the year, the actual balance was $10.6 billion, so we grew a lot, approximately 27% during the quarter. Our leverage for Q4 was 7.4 which is the same as Q3. Liquidity during the quarter -- at the end of the quarter was 57.7% and 57.1% at the end of Q3. That's a little higher than our historic norms which are usually around 50%. Reason for that is primarily because of low haircuts which were around 4% at the end of the year.

現在翻到第6頁，讓我們來看看投資組合的一些亮點。第四季度，我們的平均抵押貸款擔保證券（MBS）規模為95億美元，高於第三季的77億美元。年底實際餘額為106億美元，因此我們實現了顯著增長，季度內增長約27%。第四季的槓桿率為7.4，與第三季持平。季末的流動性為57.7%，而第三季末為57.1%。這略高於我們通常在50%左右的歷史平均值。主要原因是年末的資產減記率較低，約4%。

Prepayment speeds for the quarter were 15.7% compared to 10.1% in Q3. On pages 7 and 8 are our financial statements which you can read in the deck or in our earnings release last night.

本季預付款速度為15.7%，第三季為10.1%。第7頁和第8頁是我們的財務報表，您可以在簡報或昨晚發布的獲利報告中查看。

And now, I will turn it back over to Bob.

現在，我把麥克風交還給鮑伯。

Thanks, Jerry. I will start with the market developments on page 10. I always do. The top left is the treasury curve. This curve is actually a very good place to start because it basically encapsulates what went on during the quarter, recognizing that these three lines just represent snapshots, if you will, of the cash curve as of September 30, December 31, and January 23, or one week ago. In fact, rates were more or less steady throughout the quarter as rates traded in a very tight range, realized interest rate volatility obviously within were low, and implied vol in the swaption market was declined throughout the quarter and really has declined for quite some time.

謝謝，傑瑞。我會從第10頁的市場動態開始。我一直都是這麼做的。左上角是國債殖利率曲線。這條曲線其實是個很好的切入點，因為它基本上概括了本季的狀況。需要注意的是，這三條線只是9月30日、12月31日和1月23日（也就是一週前）現金殖利率曲線的快照。事實上，整個季度利率基本上保持穩定，利率在一個非常窄的區間內波動，實際利率波動率顯然很低，而互換期權市場的隱含波動率在整個季度都在下降，而且實際上已經下降了相當長一段時間。

What is behind this? Well, typically economic data for one as it comes out tends to drive interest rate movements. Prior to the quarter, the data was basically considered to be suspect because of, well, discussed issues at the various entities that collect the data. And then we had the government shutdown on October 1. So basically, we went from having suspect data to no data at all, and then when the government reopened, you had very much delayed data that was still considered suspect. So basically there was not much to drive interest rates other than geopolitical events and/or political events which did, but not meaningfully so.

這背後究竟是什麼原因呢？通常來說，經濟數據一公佈，就會影響利率走勢。在本季之前，由於各數據收集機構存在一些問題（大家都有討論），這些數據基本上都被認為不太可靠。然後，10月1日政府停擺。所以，我們基本上是從資料可疑一下子變成了完全沒有資料。政府重新開放後，我們得到的仍然是嚴重延遲且仍然被認為不太可靠的數據。因此，除了地緣政治事件和/或政治事件之外，幾乎沒有其他因素能夠真正影響利率走勢，儘管這些事件確實產生了一定的影響，但影響並不顯著。

If you look to the right, you can see the swap curve is fairly similar but it did move more, and that's all swap spreads, and I'll discuss in a few moments why that is. But we basically had swap spreads moving up as in less negative and that's why you see movement in the curve from the red line up to the blue and the green line. If you look at the spread between the three-month treasury and the 10-year below really has not changed much for over a year, but there's been movements elsewhere in the curve.

如果你看右邊，你會發現互換曲線雖然變化不大，但波動幅度更大，這都是互換利差造成的，我稍後會解釋原因。基本上，互換利差的負值有所減小，也就是向上移動，這就是為什麼你會看到曲線從紅線向上移動到藍線和綠線的原因。如果你看一下下面的三個月期國債和十年期國債之間的利差，你會發現一年多來變化不大，但曲線的其他部分確實發生了一些波動。

Moving on to slide 11, this is very germane to what's going on. The spread of the current coupon mortgage to the 10-year Treasury. As you can see, this is a very long lookback period. This goes all the way back to 2010, and the thing that sticks out very obviously is how much we have tightened of late and especially since year end. The most recent data point there is last Friday. You can see it's at about 80 basis points.

接下來是第11張投影片，這部分內容與目前情勢密切相關。這裡展示的是當前抵押貸款債券與10年期美國公債殖利率之間的利差。如您所見，這是一個非常長的回溯期，可以追溯到2010年。最明顯的一點是，我們近期，特別是自年底以來，貨幣政策收緊的幅度非常大。最新的數據點是上週五。您可以看到，利差約為80個基點。

If you look back to the period, say, between the taper tantrum in '13, up until the outbreak of the COVID pandemic, mortgages traded in a very tight range centered at approximately 75 basis points, say, and we're basically there. And obviously, the most recent development which becomes evident on the bottom left when you just look at these prices. This is again the same (inaudible) used. These are selection of 30year fixed rate mortgages, 3%, 4%, 5%, and 6%, and these are normalized prices. So these basically shows you the price movement relative to the starting point at the beginning of the quarter.

回顧一下，例如從2013年的縮減恐慌到新冠疫情爆發這段時間，抵押貸款利率一直在一個非常窄的區間內波動，大約在75個基點左右，而我們現在基本上也處於這個區間。顯然，最新的發展趨勢在左下角的價格圖中顯而易見。這裡使用的是相同的（聽不清楚）數據。這些是30年期固定利率抵押貸款的精選數據，利率分別為3%、4%、5%和6%，這些是標準化價格。所以，這些圖表基本上顯示了相對於本季初起始點的價格變動。

And as you can see, especially with respect to lower coupons, they had a very good quarter. And then if you focus in on what happened around January 8 when the administration announced that the GSEs would be buying up to $200 billion of mortgages, performance was affected. In the case of lower coupons, they moved materially higher. In the case of higher coupon, 6s, they gave up performance. And the reason is, remember, these are TBAs, not pools. And the reason that the higher coupon suffered is simply because the anticipation is that the administration’s goal is to lower mortgage rates, increase affordability of housing which would drive prepayments faster. So current market pricing as reflected in the roll market for any of the higher coupons, 5%, 5.5%, and 6% and above, are for very, very fast speeds, and lower coupons did very, very well.

如你所見，尤其是低息債券，它們本季表現非常出色。但如果你關注1月8日左右發生的事情，當時政府宣布政府支持企業（GSE）將購買高達2000億美元的抵押貸款，債券表現受到了影響。低息債券的價格大幅上漲，而高息債券（6%以上）則表現不佳。原因在於，請記住，這些是待定債券（TBA），而不是資產池。高利率債券表現不佳的原因很簡單，因為市場預期政府的目標是降低抵押貸款利率，提高房屋可負擔性，這將加速提前還款。因此，目前市場定價（反映在展期市場中）顯示，所有高利債券（5%、5.5%、6%及以上）的展期速度都非常快，而低利率債券的表現則非常出色。

Looking to the right, you can see in the roll market, especially the 4 roll and the 3.5, have been really much on fire, very strong. And this reflects relative value trading because these coupons are below par and not going to be cited as prepayments. And if the market rallies, these will be obviously the targets for purchases. So they have done extremely well. So the technical there is strong. And that being said, going forward into 2026, to the extent that plays out and those coupons are produced because rates are lower, then the supply will overwhelm the demand, and probably, relative performance will go away, but that very much remains to be seen.

往右看，你會發現展期市場，尤其是4期和3.5期展期債券，表現異常火爆，非常強勁。這反映了相對價值交易，因為這些債券的票息低於面值，不會被視為提前還款。如果市場反彈，這些債券顯然會成為買入目標。因此，它們的表現非常出色，技術面也十分強勁。話雖如此，展望2026年，如果這種情況持續下去，並且由於利率走低而發行這些債券，那麼供應將超過需求，相對錶現可能會消失，但這還有待觀察。

Moving on to slide 12. I talked a moment ago about swaption volatility. And you can see that this trend is very, very clear and strong. Past year end even today, vol continue to decline. The peak that you see there on the top left, that's Liberation Day, early April of 2025. We all know what happened that day. But vol has done nothing but come off and continues to do so.

接下來是第12張投影片。我剛才談到了互換選擇權的波動率。您可以看到，這個趨勢非常明顯且強勁。即使過了年底，波動率仍持續下降。您在左上角看到的峰值是2025年4月初的解放日。我們都知道那天發生了什麼事。但波動率此後一直在下降，並且仍在持續下降。

And if you kind of look at it in a historical context going on the bottom of the page, we go back to 10-plus years now, we're pretty much back to the levels that we were at back during the days of the Fed rate suppression regime when the Fed was using QE to keep rates artificially low. In doing so obviously, they suppressed volatility. And it was indeed suppressed very low for many years, and we're basically back to those levels.

如果從歷史角度來看，看看頁面底部，我們回顧十多年前的情況，就會發現我們現在已經基本回到了聯準會利率壓制時期的水平。當時聯準會利用量化寬鬆政策人為地壓低利率，顯然，這樣做抑制了市場波動。波動性確實被抑制了多年，而我們現在基本上又回到了那個水平。

What happens at this point on remains to be seen, but we are in a very low environment. And we know that mortgage is very much susceptible to implied volatility because it affects option values, especially in prepayment models and the like, and the option value is very low, then mortgages can do well. And in fact, they have.

接下來會發生什麼事還有待觀察，但我們目前處於非常低迷的市場環境中。我們知道，抵押貸款極易受到隱含波動率的影響，因為它會影響選擇權價值，尤其是在提前還款模式等方面。如果選擇權價值很低，抵押貸款的表現就會很好。事實上，情況確實如此。

Turning to the next slide on slide 13, we see a sample of swap spreads. The blue line is a two-year swap, and the purple line is a 10-year. And as you can see, going back through the quarter and really since the second half of the year, these have been moving higher or less negative. Why is that? Well, the Fed announced at the October meeting that they were going to end QT.

翻到第13張投影片，我們可以看到互換利差的範例。藍線代表兩年期互換，紫線代表十年期互換。正如您所看到的，回顧本季度，實際上從下半年開始，這些利差一直在上升或負值收窄。這是為什麼呢？因為聯準會在10月的會議上宣布將結束量化緊縮（QT）。

The market anticipated that. Swap spreads started to move. And then they announced in December at their meeting, reserve management program in which they are going to be buying up to $40 billion of bills. And so the logic behind that is a recognition on the part of the Fed that as the economy grows that their balance sheet should grow in proportionate fashion. As a result, they will be growing, so they're taking out bills, which also helps bring the Fed treasury holdings in line with the outstanding universe of treasuries because historically they have not owned bills.

市場對此早有預期。互換利差開始波動。隨後，聯準會在12月的會議上宣布了一項儲備管理計劃，計劃購買至多400億美元的國債。此舉背後的邏輯是，聯準會意識到隨著經濟成長，其資產負債表也應隨之成長。因此，聯準會的資產負債表規模將會擴大，所以他們購買國債，這也有助於使聯準會持有的國債規模與未償付國債的總額保持一致，因為歷史上聯準會並未持有國債。

And also has implications for the funding market because bills are an investment option for money market lenders and to the extent that the Fed is buying them, that allows more funding available for repo such as ourselves, repo borrowers.

這也對融資市場產生了影響，因為票據是貨幣市場貸款人的一種投資選擇，而聯準會購買票據的程度越高，就越能為像我們這樣的回購借款人提供更多資金。

Our hedge position, and Hunter will discuss this in greater detail later. But as you can see, we look at our hedge positions from the perspective of DV01. That's just our sensitivity of our hedge instruments to movements in rates. Then you can see, it's very heavily concentrated in swaps, and this is the reason why what we just discussed. We expect that this may continue for some time.

我們的對沖頭寸，亨特稍後會更詳細地討論。但如您所見，我們從DV01的角度來審視我們的對沖部位。 DV01衡量的是我們的避險工具對利率變動的敏感度。您可以看到，我們的對沖頭寸高度集中在互換交易上，這就是我們剛才討論的原因。我們預計這種情況可能會持續一段時間。

Moving on to slide 14. These are the same charts we've had for a while. As you can see, something has changed, but not much. On the top left, the red line is in the mortgage rate, but it's still at 6.38% and the refi index, while it's higher, it's not high. It's still quite low. And I think if you look on the right-hand chart, you get an idea why while mortgages have tightened substantially and we mentioned that the current coupon mortgage spread to the 10-year treasury was 80 or 90 basis points, the change is about 4.25.

接下來是第14張投影片。這些圖表和我們之前用過的一樣。正如你所看到的，情況有所變化，但變化不大。左上角的紅線代表抵押貸款利率，目前仍為6.38%；再融資指數雖然有所上升，但並不高，仍然很低。我認為，如果你看一下右側的圖表，就能明白為什麼抵押貸款利率雖然大幅收緊（我們之前提到過，目前抵押貸款利率與10年期國債的利差為80或90個基點），但實際變化只有大約4.25個基點。

And these spreads and available mortgage rates to borrowers are still north of 6. So the spread for the borrower, not for mortgage-backed security, but for the borrower is still relatively wide. It is not tight as much as mortgage-backed securities have. As a result, mortgage rates available to borrowers are still close to 200 off the 10-year, and therefore, refinancing activity, while it's picked up some, it's still not particularly high.

這些利差和借款人可獲得的抵押貸款利率仍然高於6%。因此，借款人（而非抵押貸款支持證券）的利差仍然相對較大，不像抵押貸款支持證券那麼緊密。因此，借款人可獲得的抵押貸款利率仍然比10年期利率低近200%，所以，儘管再融資活動有所回升，但仍然不算特別高。

Chart 15, just basically the same picture I like to show. The red line just shows you the supply of money into, and the blue line is just the economy, GDP in nominal terms. And as the chart implies, the economy is still awash in liquidity. While the takeaway from this, I believe, is that it's hard to say that financial conditions are overly tight. And if you look at the economy, the GDP data, retail sales, there's not really weakened precipitously, and this might be -- help explain why that might be.

圖表 15 基本上和我之前展示的圖表一樣。紅線代表貨幣供應量，藍線代表經濟，也就是名目 GDP。如圖表所示，經濟仍流動性充裕。我認為，由此可見，很難說金融環境過於緊縮。如果你觀察經濟數據，例如 GDP 和零售銷售，你會發現並沒有出現急劇下滑，這或許可以解釋一下原因。

With that, that's the end of my discussion of the macro backdrop, I will turn it over to Hunter to discuss the portfolio.

至此，我對宏觀背景的討論就結束了，接下來我將把討論投資組合的部分交給亨特。

Thanks, Bob. Turning to slide 17. Just a few highlights for the quarter. During the quarter, we purchased $3.2 billion of agency-specified pools. The breakdown of the purchases is $892 million in Fannie 5s, $1.5 billion in Fannie 5.5s; $600 million Fannie 6s; and $283 million Fannie 6.5s.

謝謝，鮑伯。翻到第17頁幻燈片。這裡簡單介紹一下本季的一些亮點。本季度，我們購買了32億美元的機構指定資產池。具體來說，購買了8.92億美元的房利美5期債券，15億美元的房利美5.5期債券，6億美元的房利美6期債券，以及2.83億美元的房利美6.5期債券。

All these pools had some form of call protection primarily lower loan balances, loans that were originated in refi challenged states like New York or Florida, and loans backed by borrowers with low credit scores, high LTVs, or high DTIs and the like, some sort of credit impairment that would keep them from being able to refinance as readily as borrowers that didn't have those constraints.

所有這些資金池都有某種形式的贖回保護，主要針對較低的貸款餘額、在紐約或佛羅裡達等再融資困難州發放的貸款，以及由信用評分低、貸款價值比高或債務收入比高的借款人擔保的貸款，這些借款人存在某種信用受損情況，使他們無法像沒有這些限制的借款人那樣輕鬆地進行再融資。

On the model yield, our acquisitions, we're in basically the low 5% range and we did sell some assets that were yielding mid-4s at the time we sold them. The model yield on -- I'm sorry, the repositioning enhanced our carry profile while mitigating our exposure to higher rates and spread widening as the higher coupon mortgages have much less spread duration sensitivity than the lower coupons that we sold.

就模型收益率而言，我們收購的資產收益率基本上在5%左右，我們也出售了一些當時收益率約4%的資產。模型收益率—抱歉，重新定位提升了我們的收益結構，同時降低了我們面臨利率上升和利差擴大的風險，因為高息抵押貸款的利差久期敏感性遠低於我們出售的低息抵押貸款。

Turning to slide 18, it's a new chart we just put in to recapture what happened throughout the course of the year. Over the course of 2025, we experienced substantial growth, doubling both our equity base and MBS portfolio. Important to note that this growth occurred at a time when the MBS spreads were at historic lives, allowing us to build a portfolio with strong long-term return potential. The line on the slide shows a time series of Morgan Stanley Index that attracts 0 volatility spread over the treasury curve for a hypothetical 30-year MBS priced at par.

翻到第18張投影片，我們新增了一張圖表，用來回顧過去一年的情況。在2025年，我們實現了顯著成長，股票基礎和抵押貸款支持證券（MBS）投資組合均翻了一番。值得注意的是，這一成長發生在MBS利差處於歷史高點之時，這使我們能夠建立一個具有強勁長期回報潛力的投資組合。投影片上的曲線顯示了摩根士丹利指數的時間序列，該指數假設一隻30年期MBS以面額定價，其波動率與國債殖利率曲線的利差為零。

And the green shaded area highlights the timing of our asset purchases during 2025 and into early 2026. Over 75% of the $7.4 billion in acquisitions that we made during the last year and a month or so occurred at a time when this index was well over 100 basis points. On average, the spread level of all of our purchases was 108 basis points. And that's the weighted average of the Morgan family index at the time we made the acquisitions, I should say.

綠色陰影區域標示了我們在2025年及2026年初的資產收購時間。在過去一年零一個月左右的時間裡，我們完成了74億美元的收購，其中超過75%的收購發生在該指數遠高於100個基點的時候。我們所有收購的平均利差為108個基點。需要說明的是，這是我們進行收購時摩根家族指數的加權平均值。

Turning to slide 19. As you can see, we talked about this in the past, our portfolio evolution as mortgage spreads tightened throughout the year, we increased our allocation to production in premium coupons, primarily 5s through 6.5s. This strategic shift reflects the fact that lower coupon MBS, which carry greater spread sensitivity, duration, significantly outperformed higher coupon assets during -- over the course of the last year. Initially, we executed this sort of strategic portfolio shift through acquisitions, deploying new capital into higher coupons. And then in mid-December, we took a more active portfolio management approach by actually selling lower-yielding 3s, 3.5s, and 4s, reallocating that into higher carrying lower duration and spread duration pools in the 5% to 6.5% range, as I previously discussed.

請看第19張投影片。如您所見，我們之前討論過，隨著抵押貸款利差在年內收窄，我們的投資組合也在不斷調整，我們增加了對高息債券（主要是5%至6.5%的債券）的投資配置。這一策略轉變反映了這樣一個事實：在過去一年中，低息MBS（抵押貸款支持證券）的表現顯著優於高息資產，因為它們對利差更為敏感，久期也更長。最初，我們透過收購來實現這種策略性的投資組合調整，將新增資金投入高利債券。然後在12月中旬，我們採取了更積極的投資組合管理策略，出售了收益率較低的3%、3.5%和4%的債券，並將資金重新配置到收益更高、久期更短、利差更短的債券池中，這些債券的久期在5%至6.5%之間，正如我之前所討論的。

Turning to slide 20, just to make a few quick notes about our funding costs. Our funding costs saw a meaningful improvement over the quarter, driven primarily by Federal Reserve policy actions. We benefited from two rate cuts and the Fed's announcement that it would begin purchasing $40 billion in treasuries per month, plus an additional roughly $15 billion tied to MBS paydowns through its reserve management purchase program.

接下來請看第20張投影片，簡單談談我們的融資成本。本季我們的融資成本顯著改善，這主要得益於聯準會的政策措施。我們受惠於兩次降息，以及聯準會宣布每月購買400億美元的國債，此外，聯準會還透過其儲備管理購買計畫購買了約150億美元的抵押貸款支持證券（MBS）償還款項。

Orchid's average repo rate declined from 4.33% at the beginning of the quarter to 3.98% by quarter end. After the December 10 FOMC meeting, SOFR initially settled into the upper 3.60s before spiking to 3.87 into year-end. During that time, repo spreads to SOFR also widened, pushing from the mid-teens into the low to mid-20 basis point range. So we had a little bit of funding pressure going into year-end.

Orchid的平均回購利率從季初的4.33%降至季末的3.98%。 12月10日聯邦公開市場委員會（FOMC）會議後，SOFR最初穩定在3.60%以上，隨後在年底飆升至3.87%。在此期間，回購利率與SOFR的利差也擴大，從十幾個百分點擴大到二十幾個百分點。因此，我們在年底前面臨一定的融資壓力。

Since year-end, the funding environment has improved markedly. SOFR settled in the 3.63 to 3.65 range, and Orchid's repo spreads have trended to the 14-basispoint area, call it. So we're kind of on track to turn over the repo booking sort of the 3.8% range going into the next few months. So we don't really expect any Fed cuts before the next governor is sworn in.

自年底以來，融資環境已顯著改善。 SOFR穩定在3.63至3.65區間，Orchid的回購利差也已趨於14個基點左右。因此，我們預計在未來幾個月內將回購利率降至3.8%左右。所以我們預計在新任聯準會理事就職前，聯準會不會降息。

Turning to slide 21. Just want to do an overview of the hedges. Our hedge notional remained relatively stable over the quarter. At the end of the quarter, we were 69% of outstanding repo, just slightly lower than the 70% it was at the end of the third quarter. The unhedged notional portion of the portfolio stands to benefit from a material decline in short-term rates and tighter repo funding spreads as monetary policy continues to ease. As rolls weakened and mortgage spreads tighten, we also adjust our hedge positions by increasing our TBA shorts, primarily in 5 through 6.5s. As mortgages tightened, we put on a little bit of basis hedge. It's not material, but just sort of lagging in as we saw mortgages had tightened for several months in a row. We added pay-fixed swaps on the very front end of the curve, further improving our downside rate protection.

翻到第21頁幻燈片。我想簡單概述一下對沖情況。本季我們的對沖名目金額保持相對穩定。季末，我們的對沖名目金額佔未償還回購合約的69%，略低於第三季末的70%。隨著貨幣政策持續寬鬆，短期利率大幅下降，回購融資利差收窄，投資組合中未對沖的名目金額部分可望從中受益。隨著展期放緩和抵押貸款利差收窄，我們也調整了對沖頭寸，增加了待兌現債券（TBA）的空頭頭寸，主要集中在5%至6.5%的期限。隨著抵押貸款利率收緊，我們進行了一些基差對沖。雖然規模不大，但由於抵押貸款利率連續幾個月收緊，我們還是略有滯後地採取了行動。我們在殖利率曲線的前端增加了固定利率互換，進一步增強了我們的下行利率保護。

Slide 22, in a little more detail, this slide helps visualize the hedge adjustments I just discussed. At the end of the third quarter, we have virtually no outright TBA hedges. The short positions you see here reflected a 15/30 coupon swap we had in place, which we've maintained for several months. Now as shown here, we're outright short 5.5s and 6.5s, and we put on a small short of 5s in early January.

第 22 張投影片更詳細地展示了我剛才討論的對沖調整。第三季末，我們幾乎沒有任何直接的待兌現債券（TBA）對沖部位。您在這裡看到的空頭部位反映了我們之前持有的 15/30 票互換合約，該合約我們已經維持了幾個月。現在，正如這裡所示，我們直接做空了 5.5 和 6.5 的債券，並在 1 月初建立了少量 5 的債券空頭部位。

On the treasury hedge side, we continue to reduce our exposure there. It's reflected in the top left table. And then as we acquired new specified pools, we hedge them almost entirely with interest rate swaps. And we were focused more on the very front end of the curve. As rates come down, the duration of the portfolio shortened, and we put these hedges on at a time when there were still several rate cuts baked into 2026, which has (inaudible) a little bit since.

在國債對沖方面，我們持續降低曝險，這體現在左上角的表格中。此外，隨著我們新增特定資產池，我們幾乎完全使用利率互換進行對沖。我們當時更關注殖利率曲線的前端部分。隨著利率下降，投資組合的久期縮短，而我們在2026年仍有多次降息預期時進行了這些對沖，但此後（聽不清）情況有所好轉。

Net of the unwinds that we did during the quarter, we added $950 million two-year pay fixed swaps, $800 million three years, $90 million five years, and $75 million in seven years. This strategy is aimed at locking in, as I said, market predicted rate cuts will fine tune the hedge book to account for the shorter net duration of the portfolio.

扣除本季進行的平倉操作後，我們新增了9.5億美元的兩年期固定利率互換、8億美元的三年期互換、9000萬美元的五年期互換以及7500萬美元的七年期互換。正如我之前所說，這項策略旨在鎖定市場預期的降息，並據此調整對沖組合，以適應投資組合較短的淨久期。

On slide 23, just going to quickly go over some of the risk metrics in the portfolio. We like to follow these measures. You'll notice the portfolio duration remains low at 2.08%. That's a direct result of our higher coupon SKU, which carries less duration exposure than the lower coupon alternatives.

在第23頁投影片中，我將快速回顧投資組合中的一些風險指標。我們傾向於關注這些指標。您會注意到，投資組合的久期仍然很低，為2.08%。這直接得益於我們較高的票息產品，其久期風險敞口低於票息較低的同類產品。

The shorter duration profile is a key part of our risk management strategy performed better in a sell-off or spread widening event, which we think could occur. It offers us more defensive positioning than the 3s, 3.5s, and 4s, which we sold in December.

較短的久期是我們風險管理策略的關鍵組成部分，在拋售或價差擴大的情況下表現更佳，我們認為這種情況可能會發生。與我們在12月賣出的3年、3.5年和4年久期債券相比，它為我們提供了更具防禦性的部位。

On the other hand, this profile is -- will benefit less from further tightening, which we've actually seen in January, which is consistent with our modestly lagging performance versus what some of the other -- some of the peer group has reported since Trump's announcement in January of having one of the GSEs to purchase $200 billion more MBS in their retained portfolios.

另一方面，這種投資組合——將較少受益於進一步的緊縮政策，而我們實際上在1月份已經看到了這種緊縮，這與我們自川普1月份宣布要求一家政府支持企業在其保留投資組合中再購買2000億美元的抵押貸款支持證券以來，與其他一些同行相比略微落後的表現是一致的。

Also, I just want to note the OES shown here. So for OES, the 5s to 6.5s remains quite attractive in the 50- to 60-basis-point range, reflecting our strong call protection in our portfolio. For comparison, when we published Q2 earnings call deck, the same OES levels were at least 20 basis points wider. This tightening reflects improved technical and more constructive talent and agency MBS markets but also speak to how well timed our 2025 purchases were.

另外，我想提一下這裡顯示的選擇權合約（OES）。目前，選擇權合約中5%至6.5%的合約在50至60個基點的區間內仍然頗具吸引力，這反映了我們投資組合中強有力的贖回保護。相較之下，當我們發布第二季財報電話會議資料時，同樣的選擇權合約水準至少高出20個基點。這種收緊反映了技術面的改善以及人才和機構抵押貸款支持證券（MBS）市場更加積極，同時也體現了我們2025年買入時機的精準把握。

Slide 24, I'll discuss the interest rate risk profile. And you see we continue to maintain a very flat interest rate profile. This portfolio has some negative convexity. This is reflected in the fact that both the plus 50 and minus 50 interest rate shocks show small mark-to-market losses. It's a natural result of hedging of convex agency MBS asset with more linear instruments like swaps and futures.

在第24張投影片中，我將討論利率風險狀況。您可以看到，我們繼續保持非常平穩的利率結構。該投資組合具有一定的負凸性。這體現在利率衝擊（正負50%）均只造成了較小的市值損失。這是使用互換和期貨等更線性的工具對凸性機構抵押貸款支持證券（MBS）資產進行對沖的自然結果。

In December 31, our DV01 stood at 122,000 long. As of now, more recently, it's increased slightly to 178,000. The duration gap also moved modestly throughout the fourth quarter. It was negative 0.7 years at September 30, positive 0.12 years at December 31, and currently sits at approximately 0.17 years.

截至12月31日，我們的DV01為12.2萬手。最近，該數值略微上升至17.8萬手。第四季久期缺口也略有變動。 9月30日為-0.7年，12月31日為+0.12年，目前約0.17年。

Turning to slide 25. Prepayment speeds were major focused during the fourth quarter, especially given the relative underperformance of up in coupon TPAs. However, as we've emphasized in the past, Orchid is exclusively invested in specified pools with call protection. And this positioning insulated us from the more dramatic impacts seen in the TBA markets. That said, speeds did trend a little bit higher in the quarter, particularly for 6s and higher coupons, which reduced carry slightly and trimmed yields in those positions.

翻到第25頁。第四季度，提前還款速度是關注的重點，尤其是在高利第三方支付機構（TPA）表現相對不佳的情況下。然而，正如我們之前所強調的，Orchid只投資於具有贖回保護的特定資產池。這種投資策略使我們免於待定債券市場（TBA）更劇烈的衝擊。儘管如此，本季提前還款速度確實略有加快，特別是對於票面利率6%及以上的債券，這略微降低了持倉成本，並減少了這些債券的收益率。

Looking forward, we expect prepay speeds to moderate modestly, which would improve carry, and we continue to closely monitor in light of the potential Fed actions and influence of related policy headlines that could put a little bit of upward pressure on speeds. But I think that most of that is probably baked in at this point.

展望未來，我們預計預付卡速度將略有放緩，這將有助於提高利率。我們將繼續密切關注聯準會的潛在行動以及相關政策新聞的影響，這些因素可能會對速度造成輕微的上行壓力。但我認為，目前大部分影響因素可能已經反映在市場上。

To wrap it up, 2025 was a great year for us. We took advantage of the dislocated market while staying very disciplined with respect to risk and liquidity. We raised capital when spreads were wide, put it to work in production coupons and call-protected pools that should deliver great carry with lower interest rate sensitivity.

總而言之，2025年對我們來說是碩果累累的一年。我們充分利用了市場動盪的機會，同時在風險和流動性方面保持了高度的自律。我們在利差較大時籌集了資金，並將其投入到生產性債券和保本期權基金中，這些基金預計將在較低的利率敏感度下帶來豐厚的收益。

We continue to manage our leverage tightly with a year -- we ended the year with a very flat duration profile and our hedging where we see the most risk, which has continued to be sort of into reignition of inflation type of bare steepening rate shock scenario. That's where we think that companies like ours get pinched the hardest.

我們繼續嚴格控制槓桿率，一年來，我們的久期結構非常平穩，我們對沖了我們認為風險最大的部分，即通膨重啟或利率急劇上升的衝擊情景。我們認為，像我們這樣的公司在這種情況下受到的衝擊最大。

So with that, I'll turn it back over to Bob for his concluding remarks.

那麼，接下來我將把發言權交還給鮑勃，請他做總結發言。

Thanks, Hunter. Thank you very much. Just a couple of things I want to go over. Just kind of spend a few moments just talking about our outlook. Hunter did a very good job of disclosing -- discussing how we're positioned and our hedge outlook and so forth.

謝謝，亨特。非常感謝。我只想簡單說明幾點。就花幾分鐘時間談談我們的展望。亨特已經很好地披露了我們的情況——討論了我們的倉位配置、對沖展望等等。

But it seems, even though mortgages have tightened quite a bit, based on what you see in the market and the sentiment in the market, it seems that it could continue, especially if you look at alternative assets available to multi-sector fixed income investors. Investment-grade corporate spreads are at or near the highest levels we've seen since the late '90s. High-yield spreads are tight as well. And there's at least a prospect of the GSEs becoming more active. I think it's debatable how much $200 billion per year represents in terms of an increase because what we see their current run rate is not far from that. But in any event, to the extent they become -- stay there or become more active, you could see mortgages tighten further from here.

但即便抵押貸款已經收緊了不少，從市場現狀和市場情緒來看，這種收緊趨勢似乎還會持續，尤其是在關注面向多元化固定收益投資者的另類資產時。投資等級公司債的利差目前處於或接近上世紀90年代末期以來的最高水準。高收益債券的利差也很窄。而且，政府支持企業（GSE）至少有可能變得更加活躍。我認為每年2,000億美元的增幅究竟有多大還值得商榷，因為它們目前的增幅與這個數字相差不遠。但無論如何，如果它們繼續保持目前的增幅或更活躍，抵押貸款可能會進一步收緊。

And then with respect to just the rate outlook, generally speaking, and what would be on the horizon that would make you think we're going to see a meaningful change, there isn't anything really there now, although, as you know, those are famous last words.

至於利率前景，總的來說，以及未來可能出現什麼跡象表明我們會看到有意義的變化，目前還沒有任何跡象，儘管，正如你所知，這些話往往是臨終遺言。

So to the extent we kind of stick around here and mortgages continue to grind tighter, the portfolio should do well. Everybody in our space has benefited from the benign rate environment in the fourth quarter and really through '25 generally. We could see a continuation of that. And until we get the next black swan event or shock, it should remain a decent environment. And certainly, compared to a year ago, mortgages aren't as attractive. But that being said, I don't think it's unrealistic to think we could see some further tightening.

所以，如果我們繼續維持目前的利率環境，抵押貸款利率持續收緊，那麼投資組合的表現應該會不錯。我們這個領域的每個人都受益於第四季以及整個2025年寬鬆的利率環境。我們預計這種情況還會持續。在下一個黑天鵝事件或衝擊出現之前，目前的市場環境應該會保持良好。當然，與一年前相比，抵押貸款的吸引力有所下降。但即便如此，我認為未來利率進一步收緊並非不切實際。

One thing I do want to point out though, which is, I think, very important. I want to turn your attention to slide 7, and we discussed this. Jerry went over this briefly. But what I want to point out, if you look on slide 7 in our balance sheet, you can see that the company basically doubled over the course of the year size-wise.

不過，我想指出一點，我認為這非常重要。請大家注意第7張投影片，我們之前也討論過。傑瑞也簡要地講解過。但我想強調的是，如果您查看第7張投影片上的資產負債表，您會發現公司規模在這一年基本上翻了一番。

So whether it's shareholders' equity or our total assets, they basically increased by a little over 100%. If you look at the income statement for the year on slide 8, you see that our expenses were up much less than 100%. Now you could argue that that's somewhat misleading because the growth occurred over the year. And what's more relevant is kind of your run rate at the end of the year, which would be consistent with the current size. That's a valid point.

所以，無論是股東權益還是總資產，基本上都成長了略高於100%。如果您查看第8頁的年度損益表，您會發現我們的支出成長遠低於100%。您可能會認為這有點誤導，因為成長發生在一年內。更重要的是年末的運行率，這與目前的規模相符。這確實是一個合理的觀點。

So if you look at the income statement on the prior page, page 7, for the fourth quarter, you compare the fourth quarter of '25 to the fourth quarter of '24, that should capture the lion's share of that growth. And indeed, our expenses did go up, but certainly far, far less than double. And so now I want to turn your attention to a slide in the appendix which is slide 33.

所以，如果您查看上一頁（第7頁）的損益表，也就是第四季度的損益表，將2025年第四季與2024年第四季進行比較，應該就能看出成長的大部分原因。的確，我們的支出有所增加，但遠遠沒有達到翻倍的幅度。現在，我想請您看一下附錄中的第33頁。

On slide 33, this is what we -- our expense ratio. So basically, this is all of our G&A expenses inclusive of our management fee in relation to our shareholders' equity. And as you can see back pre-COVID, we were running in the high 2s, close to 3%. Then we have the COVID breakout and then, of course, this prolonged Fed tightening cycle, which forced some deleveraging, and our expense ratio got up over 5. But now we're running -- our current run rate as of the end of 2025 is 1.7%.

第33頁幻燈片展示了我們的費用率。簡言之，費用率是指包括管理費在內的所有一般及行政費用與股東權益的比率。如您在新冠疫情爆發前所見，我們的費用率在2%以上，接近3%。隨後新冠疫情爆發，加上聯準會持續的緊縮政策，迫使我們進行去槓桿化，導致我們的費用率超過5%。但目前，截至2025年底，我們的費用率預計為1.7%。

I'm not going to name names, but we all know that there are two other agency REITs out there that are substantially larger than us, and their expense ratios are not meaningfully below that. So when you get our 10-K next month, you will see, for instance, that our management fee did go up, in fact, over the course of the year, but the rest of our G&A expenses only increased very marginally. So we have been controlling expenses and allowing the company to grow obviously. And this is the byproduct. This is the benefit of that is bringing the expense ratio down. So that just makes the company more profitable on a go-forward basis, all else equal.

我不打算點名，但我們都知道，還有兩個機構房地產投資信託基金的規模遠大於我們，但它們的費用率也沒有顯著低於我們。所以，下個月您收到我們的10-K報告時，您就會看到，例如，我們的管理費確實在過去一年中有所上漲，但其他一般及行政費用僅略有增長。顯然，我們一直在控製成本，並允許公司發展。而降低費用率正是這項策略的副產品，也是其帶來的好處。在其他條件不變的情況下，這將使公司未來的獲利能力更強。

And then the final thing I want to bring your attention is, given that it's year-end, on slide 42, this information has been lifted right off of our website. And on the bottom of the page or on the top of the page, you see the dividends for 2024 and 2025. And as you can see, for every month, the dividend was $0.12.

最後我想提醒大家注意的是，由於現在是年末，第42頁的資訊直接摘自我們的網站。在頁面底部或頂部，您可以看到2024年和2025年的股息。正如您所看到的，每個月的股息都是0.12美元。

The next column, tax total ordinary dividends, that's basically taxable income-derived dividends and then the nondividend distribution. And the second to last column, that is just the return of capital. So that basically tells you that in the case of 2024, that 95.2% of our dividends were derived from taxable income. And in the case of 2025, 95.0% were derived from taxable income. So the dividend was $0.12 per month for the year. And basically, we were distributing all of our taxable income.

下一列是“應稅普通股息總額”，基本上包括來自應稅收入的股息和非股息分配。倒數第二列是資本返還。所以，這基本上表明，2024 年，我們 95.2% 的股息來自應稅收入。 2025 年，這一比例為 95.0%。因此，該年的股息為每月 0.12 美元。基本上，我們分配了所有應稅收入。

Had the dividend been say, for instance, $0.11 instead of $0.12, we would have slightly underdistributed our taxable income and either had to make a special dividend at the end of the year or opted to potentially pay tax on the undistributed earnings.

例如，如果股息是 0.11 美元而不是 0.12 美元，那麼我們的應稅收入分配就會略微不足，要么需要在年底派發特別股息，要么選擇對未分配的收益繳納稅款。

So I just want to bring this to your attention, show you that the dividend policy does reflect current taxable income, both for the 2025 and 2024, and that our dividend in relation to the taxable income is very slightly overdistributed, less than 5% last year and 5% this year.

因此，我只想提請您注意，股息政策確實反映了當前的應稅收入，無論是 2025 年還是 2024 年，而且我們的股息相對於應稅收入而言略微超額分配，去年不到 5%，今年也不到 5%。

So with that, I will turn the call over to questions. Operator?

那麼，接下來我將把通話交給提問者。接線生？

(Operator Instructions) Mikhail Goberman, Citizens.

（操作說明）米哈伊爾·戈伯曼，公民。

A couple of questions. I guess we could start and forgive me if I missed this, I dialed in maybe three or four minutes after 10. Any update on current book value?

幾個問題。我想我們可以開始了，如果我錯過了什麼請見諒，我大概是10點剛過三、四分鐘才撥進來的。請問目前的帳面價值有更新嗎？

We do not give that. We have accrued and reflected a dividend in our current book. So our book is up just ever so slightly reflective of the dividend. Absent the dividend accrual, we'd be up, I think, 1.6%. We're basically off just slightly, inclusive of the accrual of the dividend.

我們不派發股息。我們已提列股息並反映在當前的帳面上。因此，我們的帳面收益略有成長，反映了股利的影響。如果不提股息，我認為我們的收益會成長1.6%。基本上，計入股息後，我們的收益與預期僅略有偏差。

Inclusive of the dividend. Okay. I was wondering if I could get your thoughts on prepays. Going forward, obviously, the CPR went up quarter-over-quarter given the portfolio construction, but also prepays with respect to your prepaid protected portfolio and what kind of premiums you guys are paying on those prepaid protected pools?

包含股息。好的。我想了解一下您對預付保值有何看法。展望未來，鑑於投資組合的構建，CPR 顯然環比上升，但您也想了解預付保值投資組合的預付情況，以及您為這些預付保值基金支付的保費是多少？

I'll say a few words, and then I'll turn it over to Hunter. I would say that the securities in the portfolio, we targeted par to slight premiums as you can see in the charts, 5% and 5.5%, 6% and lesser extent, 6.5%, but it's mostly 5.5s and 6s. And those are modest prepays, we're not paying up for the highest forms of protection. So the premiums have been -- mindful to keep the premiums kind of from being too high.

我先簡單說幾句，然後把麥克風交給亨特。我想說的是，正如您在圖表中看到的，我們投資組合中的證券目標是平價或略微溢價，溢價在5%到5.5%之間，6%左右，還有少量6.5%，但主要集中在5.5%和6%之間。這些都是適度的提前還款，我們並沒有為了最高等級的保障而支付過高的費用。所以，我們一直很注意保費的合理性，盡量避免保費過高。

I'll turn it over to Hunter, and I will say a few words about the prepay outlook beyond the next few months.

接下來我將把發言權交給亨特，並就未來幾個月的預付前景談談我的看法。

Yeah. So over the last couple of years, we've really tried to focus on, I'd say the bulk of our acquisitions have been just sort of like the first premium coupon or the first discount coupon. And we were at times able to even at 7s using that strategy. So from a historic cost perspective, we've always been very tight, not getting too far out in the premium land. And we focused really more on kind of the mid-tier call protection. We think that the old low loan balance, 85, 110ks, those are really expensive stories.

是的。所以過去幾年，我們一直專注於收購那些高利債券或低息債券。可以說，我們的大部分收購都集中在首批溢價債券或首批折價債券。有時，我們甚至能用這種策略收購到年利率7%的債券。從歷史成本角度來看，我們一直非常謹慎，避免在溢價債券領域投入過多資金。我們更關注的是中價位的贖回保護債券。我們認為，那些貸款餘額較低的債券，例如8.5萬美元或11萬美元的債券，價格實在太高了。

New York has gotten pretty expensive. We've been really focused a lot more on sort of leaning into this so-called K-shape recovery by focusing on more credit-sensitive borrowers. I think that they have a hard time refinancing, buying things like high LTV, first-time homebuyer type of pools. We've focused on geos like the State of Florida is great. There's a tax that's curative for refinancing, but also home price depreciation is really sort of helping out with the portfolio there.

紐約的房價已經相當高了。我們一直非常注重順應所謂的“K型復甦”，重點關注那些對信用狀況較為敏感的借款人。我認為他們很難進行再融資，也很難購買高貸款價值比（LTV）的房產，例如首次購屋者這類房產。我們關注的地區，像是佛羅裡達州，就很不錯。那裡有一項稅收政策可以緩解再融資的壓力，而且房價下跌也確實對我們的投資組合有所幫助。

So we've seen very good performance, especially after the Trump announcement about the GSEs that sort of the knee-jerk reaction was that the higher coupon MBS TBAs didn't perform very well at all. But once things kind of stabilized, we've really seen good appreciation in all of those specified pool stories underlying those coupons. And as I alluded to in my prepared remarks, we've taken advantage of the fact that rolls have weakened in order to shed a little bit of basis exposure because those rolls are so cheap now, it actually makes a little bit of sense to be short the TBA and long the specified pool. So that's kind of how we're thinking about things.

所以我們看到了非常好的表現，尤其是在川普宣布有關政府支持企業（GSE）的政策之後，當時的第一個反應是高利率抵押貸款支持證券（MBS）的短期債券（TBA）表現非常糟糕。但一旦市場趨於穩定，我們就看到所有支撐這些高利息債券的特定資產池都出現了顯著的增值。正如我在事先準備好的發言稿中提到的，我們利用了展期交易疲軟的契機，並降低了一些基差風險敞口。因為現在展期交易成本很低，所以做空短期債券（TBA）並做多特定資產池其實是有意義的。這就是我們目前的策略思路。

Yeah. Just to add some number to that. If you go to slide 34, and you can do this -- obviously try the numbers. You don't have to do it right now. But the weighted average current price at year-end was basically 1% or 2.5%. So that would be all-in price.

是的。再補充一些數據。如果你翻到第34頁，就可以進行計算──當然，你可以自己試試看這些數字。你現在不必馬上做。但年底的加權平均現價基本上是1%或2.5%。這就是最終價格。

By comparison, the price at the end of September was a little over 101, call it, 101-02 ticks, so we shifted the portfolio up in coupon. The weighted‑average coupon at the end of the third quarter was 5.50%. It is now 5.64%, so slightly higher, but of course the market has moved. So the price is at -- basically 102-18 is the price. So yeah, it’s a premium, but we’ve tried to avoid real high premiums.

相較之下，9月底的價格略高於101，大概在101-02個點左右，所以我們提高了投資組合的票息。第三季末的加權平均票息為5.50%。現在是5.64%，略有上升，但市場波動在所難免。所以價格基本上在102-18之間。是的，這算溢價，但我們盡量避免過高的溢價。

It’s just not that kind of market. I mean, going back to the post‑COVID, we were buying New York 3s with dollar prices of 110 and change, right? So we just don’t have that kind of premium in the marketplace now, owing to the relatively high nature of interest rates. So it will compress earnings to the extent that we see an acceleration in speeds.

現在的市場並非如此。我的意思是，回到新冠疫情之後，我們買紐約3年期公債的價格是110美元多一點，對吧？但現在市場上已經沒有那種溢價了，因為利率相對較高。因此，如果成長加快，獲利就會受到擠壓。

But I think the combination of the call protection we have in the portfolio and the fact that we just don't have huge premiums on is not going to really move the needle too much.

但我認為，我們投資組合中的選擇權保護措施，以及我們保費並不高的事實，並不會真正對結果產生太大影響。

Yeah, I would just add that if you look at the roll market, 5.5, 6s and 6.5s, the speeds implied in those roles for the next few months are extremely high, 55, 60 CPR. So that's fine for the next few months. But if you kind of step back and look at the balance of the year, a number of market participants, ourselves included, don't really think we're going to see a lot more Fed cuts. I think the economy is quite strong. The inflation is good. Now let's think about that.

是的，我還要補充一點，如果你看看展期市場，例如5.5、6和6.5年期債券，未來幾個月這些債券的隱含價格非常高，大約是55到60個CPR。所以未來幾個月應該沒問題。但如果放眼今年剩餘時間，包括我們自己在內的許多市場參與者都認為聯準會不會再大幅降息了。我認為經濟情勢相當強勁，通膨也處於良好水準。現在讓我們來仔細想想。

So the current Fed funds rate is 3.64% in the two-year yields like 3.54%. So if you don't think the Fed is going to cut rates much over the next two years, do you really think the two-year should be yielding lower than Fed funds? Second question you might ask is, given that, do you think that, for instance, 2s, 10s is going to invert? I don't think so.

所以，目前聯邦基金利率為3.64%，兩年期公債殖利率為3.54%。如果你認為聯準會未來兩年不會大幅降息，那麼你真的認為兩年期公債殖利率應該低於聯邦基金殖利率嗎？你可能會問的第二個問題是，有鑑於此，你認為例如2年期和10年期公債殖利率會出現倒掛嗎？我不這麼認為。

So the current 10 years at 4.25%, if the two-year moves higher, unless that curve flattens, the 10-year should also move higher. So now you come to two-year tenure is going from 4.25% to whatever, 4.50%, the current mortgage rate available to borrowers is 6 or low 6s., right? And so if rates are going to go higher over the next year, that rate is not going down unless mortgage rates -- borrowers tighten substantially, and I don't know how likely that is.

所以，目前10年期貸款利率為4.25%，如果兩年期貸款利率上升，除非兩年期利率曲線趨於平緩，否則10年期貸款利率也應該上升。現在，兩年期貸款利率從4.25%上升到4.50%左右，而目前借款人可獲得的抵押貸款利率在6%左右，對吧？因此，如果未來一年利率繼續上升，除非借款人大幅收緊還款，否則10年期貸款利率不會下降，而我不知道這種情況發生的可能性有多大。

So if you have the available borrowing rate at 6%, 6.5%, pushing up to 7%, a 6% mortgage-backed security implies basically a 7% gross WACC. That's not that in the money, especially if mortgage rates push to 6.50% and higher. So are they going to sustain 50 and 60 CPR? I don't know. But I think there's kind of an inconsistency in market pricing between the mortgage dollar roll market and the, say for instance, market pricing of Fed cuts.

所以，如果可用借貸利率在6%、6.5%甚至7%之間，那麼6%的抵押貸款支持證券就意味著其總加權平均資本成本（WACC）為7%。這並不划算，尤其是在抵押貸款利率升至6.5%甚至更高的情況下。那麼，他們能否維持50%或60%的利率水準呢？我不知道。但我認為，抵押貸款美元滾動市場與美聯儲降息等其他政策的市場定價之間存在某種不一致。

There's -- they don't seem to jive. Anyway, that's my two cents.

他們之間似乎不太合拍。總之，這就是我的看法。

That's very helpful. If I could squeeze in one more. I appreciate the good work done on getting expenses down. How much more the available capacity you guys have for driving that down further going forward, do you think?

這很有幫助。如果可以的話，我希望能再補充一點。我很欣賞你們在降低成本方面所做的努力。你們覺得未來還有多少能力可以進一步降低成本呢？

Well, it's the -- I know I should probably get you the numbers, maybe we'll try to work on it for the next quarter, but almost all of the increase in our expenses was management fee. Unfortunately, we don't have detailed line item expenses here. But from memory, reading through drafts, nonmanagement fee expenses were only up in the few hundred thousand dollars. So it's gotten to a point that pretty much it's the management fee, and our marginal management fee is 100 basis points, right? And our management fee is $250 million.

嗯，是這樣的——我知道我應該把具體數字給你，也許我們可以在下個季度努力解決這個問題，但我們幾乎所有支出成長都來自管理費。很遺憾，我們這裡沒有詳細的支出明細。但憑記憶，翻閱草稿後，非管理費支出只增加了幾十萬美元。所以現在基本上都是管理費，而我們的邊際管理費是100個基點，對吧？我們的管理費是2.5億美元。

The first layer is up to $250 million and there's a -- that's 150 basis points, then from $250 million to $500 million is 175, and everything over $500 million is 100. So now every dollar of capital we raise, the marginal management fee is 100 basis points, and the nonmanagement fee expenses are going up very modestly in low percentage points. So just if we double from here, I don't have -- I have to run the numbers, but it's -- that trend would continue. I don't know how much lower it goes, but it should be asymptotic towards 1%, right?

第一層是2.5億美元以內，管理費是150個基點；2.5億美元到5億美元之間是175個基點；超過5億美元的部分是100個基點。所以現在我們每籌集一美元資金，邊際管理費就是100個基點，而非管理費支出只會以很小的百分比略微增加。所以，如果我們從這裡翻一番──我得算算具體數字──但這個趨勢會持續下去。我不知道它能降到多低，但應該會漸近線趨近於1%，對吧？

If the capital were up $500 billion, our management fee, we have to pay ourselves something. But I mean, management fee would be basically 100 basis points plus whatever your audit fee and your legal fee and whatever.

如果資本增加5000億美元，我們的管理費，我們得給自己一些。我的意思是，管理費基本上就是100個基點，再加上審計費、法律費用等等。

So that's kind of where it could go.

所以事情大概會朝著這個方向發展。

That makes sense.

這很有道理。

Thank you. I'm showing no further questions at this time. I'd like to turn it back to Robert Cauley for closing remarks.

謝謝。目前我沒有其他問題。現在請羅伯特·考利先生作總結發言。

Thank you, operator. I hope we didn't scare everybody off the call at length of that answer. But to the extent anybody has call or questions to come up either because you didn't have time to answer them, ask now or you didn't listen to the call and you want to catch us later, please feel free to do so. The number in the office is 772-231-1400.

謝謝接線生。希望我們剛才的回答沒有嚇到大家。如果您有任何問題或需要致電諮詢，無論是因為您當時沒時間回答，還是因為您沒聽到通話內容想稍後聯繫我們，都歡迎您隨時撥打我們的辦公室電話：772-231-1400。

Otherwise, we look forward to talking to you at the end of next quarter. Thank you.

否則，我們期待在下個季度末與您再次溝通。謝謝。

This concludes today's conference call. Thank you for participating, and you may now disconnect.

今天的電話會議到此結束。感謝您的參與，您可以斷開連接了。