Orchid Island Capital Inc (ORC) 2026 Q2 法說會逐字稿

Thank you. Good day and thank you for standing by. Welcome to the Orchid Island Capital second-quarter 2026 earnings call. (Operator Instructions) Please advise that today's conference be recorded.

謝謝。各位早安，感謝各位撥冗等候。歡迎參加 Orchid Island Capital 2026 年第二季財報電話會議。(接線員指示) 請注意，今天的會議將被錄音。

I'm now going to hand the conference over to your first speaker today, Melissa Alfonso, Investor Relations. Please go ahead.

接下來我將把會議交給今天的第一位講者，投資人關係部的 Melissa Alfonso。請開始。

Good morning and welcome to the second-quarter 2026 earnings conference call for Orchid Island Capital. This call is being recorded today, July 24, 2026. 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.

各位早安，歡迎參加 Orchid Island Capital 2026 年第二季財報電話會議。本次電話會議於今日（2026 年 7 月 24 日）錄音。此刻，公司提醒各位聽眾，今天電話會議中所提及、與非歷史事實相關之陳述，均屬前瞻性陳述，並受 1995 年《私人證券訴訟改革法》安全港條款之規範。

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.

敬請聽眾注意，此等前瞻性陳述係基於管理階層目前可得資訊，以及其對未來事件之善意信念與判斷，並可能受到各項風險與不確定性影響，致使實際表現或結果與前瞻性陳述所表達者出現重大差異。

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

可能導致上述差異的重要因素，已載於公司向美國證券交易委員會（SEC）提交之文件中，包括公司最近一期的 Form 10-K 年度報告。公司不承擔更新此等前瞻性陳述之義務，以反映實際結果、假設之變動，或其他影響前瞻性陳述之因素變化。

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

現在，我想把會議交給公司董事長兼執行長 Robert Cauley 先生。先生，請開始。

Thank you, Melissa, and good morning. I hope everybody's had a chance to download our deck as usual. We will be focusing on the deck for the call. Just to begin, on slide 3 we just have our table of contents. So the first order of business will be our Controller, Jerry Sintes, will go over our financial results. And Then I'll go over the market developments that occurred during the quarter. These are what shaped our decision-making and our results. And then we'll go through the portfolio characteristics, hedge positions, and then also our kind of positioning going forward in our outlook on the market.

謝謝你，Melissa，大家早安。希望各位一如往常已下載我們的簡報檔。本次電話會議將以簡報內容為主。先從第 3 頁開始，這頁是目錄。首先由我們的財務主管（Controller）Jerry Sintes 說明本季財務結果。接著我會回顧本季市場發展。這些因素形塑了我們的決策與成果。然後我們會說明投資組合特性、避險部位，以及我們對未來的配置與市場展望。

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

那麼，我把時間交給 Jerry。謝謝。

Thank you, Bob. if we turn to page 5, we'll start with the financial highlights for the quarter. During Q2, we earned $0.44 per share that compares to a loss of $0.11 during Q1. The book value at the end of the quarter was $7.22 compared to $7.08 at the start of the quarter. Total returns during the quarter was 6.2% compared to negative 1.3% in the previous quarter. And our dividend during Q2 was $0.30 cents, which we reduced from $0.36 cents during Q1.

謝謝你，Bob。若我們翻到第 5 頁，先看本季財務重點。第二季我們每股盈餘為 0.44 美元，相較第一季每股虧損 0.11 美元。季末每股帳面價值為 7.22 美元，較季初的 7.08 美元上升。本季總報酬率為 6.2%，相較前一季為負 1.3%。第二季股利為 0.30 美元，較第一季的 0.36 美元下調。

On page six, we'll go with some portfolio highlights. Our average portfolio was $11.4 billion during Q2, up slightly from approximately $11 billion at the end of Q1. Economic leverage ratio at the end of Q2 was 7.3 to 1 compared to 7.9 to 1 at the end of Q1. During Q2, we experienced prepayment speeds of 10.9% compared to 14.7% in Q1, and our liquidity is down slightly to 53.7% compared to 54.5% at the end of Q1.

第 6 頁我們看一些投資組合重點。第二季平均投資組合規模為 114 億美元，較第一季末約 110 億美元略為增加。第二季末經濟槓桿比率為 7.3 倍，相較第一季末為 7.9 倍。第二季我們的提前償還速度為 10.9%，相較第一季的 14.7%下降；流動性略降至 53.7%，相較第一季末的 54.5%。

And with that, I'll turn it back over to Bob. discuss market developments.

接下來我把時間交回給 Bob，請他談談市場發展。

Thanks Jerry. I'll start on slide 9. A picture's worth a thousand words. If you look at the top left side of the page, you can see the movements in the curve from year end, which is the red line, the green line is June 30, and then the blue line is last Friday. As we all know, the market has moved quite a bit since then, so if you were to put in a line for today, it would be above the blue line.

謝謝 Jerry。我從第 9 張投影片開始。一張圖勝過千言萬語。如果你看頁面左上角，可以看到殖利率曲線自年底以來的變動：紅線是年底，綠線是 6 月 30 日，藍線是上週五。如各位所知，市場此後又有相當幅度的變動，因此如果把今天的線畫上去，會在藍線之上。

Basically, what has changed? A couple of things. The first was we had a change at the head of the Fed. As you recall when Fed -- Chairman Powell left his last meeting, there were three dissent to his meeting in favor or against retaining the easing bias, so kind of a hawkish development. And then we had the transition in May to Kevin Warsh, and he is very, very strongly against inflation. In fact, he stated that the fact that inflation has been running above the Fed's target for five years is unacceptable, and he intends to do everything he can to bring it into line.

基本上，改變了什麼？有幾件事。第一是聯準會（Fed）主席人事出現變動。各位還記得，當 Fed 主席鮑爾在他最後一次會議結束時，會中有三位委員對是否維持寬鬆傾向提出異議，因此算是一個偏鷹派的發展。接著在 5 月由 Kevin Warsh 接任，而他對抗通膨的立場非常、非常強硬。事實上，他表示通膨已連續五年高於 Fed 目標是不可接受的，他打算盡其所能使其回到目標範圍。

When that type of development occurs, obviously it's going to push the front end higher because the market's going to price in Fed hikes, which is the case. But also, from the perspective of the long end of the curve, to the extent [ahead] the Fed is more hawkish fighting inflation, tends to do well. In fact, on the day of that press conference, the long bond actually was slightly up in price.

當出現這類發展時，顯然會推升曲線前端，因為市場會把 Fed 升息納入定價，而目前確實如此。但從曲線長端的角度來看，在某種程度上，若 Fed 更偏鷹派、積極對抗通膨，長端往往表現較佳。事實上，在那場記者會當天，長天期公債價格還略有上漲。

So both of those forces tend to flatten the curve, and in case that's exactly what we've seen. So the curve has flattened, and it may continue to flatten depending on how events related to the war unfold and how those events affect the domestic economy.

因此，這兩股力量都傾向使曲線趨於平坦，而這也正是我們所看到的。殖利率曲線已趨於平坦，未來是否會進一步平坦，取決於戰爭相關事件如何發展，以及這些事件如何影響國內經濟。

If you look at the swap curve, obviously the only difference between the swap curve and the one on the left, which would be the nominal curve, are swap spreads. Over the last month, swap spreads have been moving more negative, which actually increases the spread between the two curves, but the convention is to refer to that as tightening. So swap spreads have tightened, pushing the swap curve down, and it's actually flattened even more. If you look back on a long horizon, it's actually relatively unchanged, kind of in the middle of the range, but the development of late has really pushed the swap curve down even more.

如果你看交換利率（swap）曲線，顯然它與左邊那條（名目殖利率曲線）的唯一差異在於交換利差（swap spreads）。過去一個月，交換利差變得更為負值，這其實會擴大兩條曲線之間的差距，但市場慣例仍稱之為「收斂／緊縮」（tightening）。因此交換利差已收斂，使交換曲線下移，且曲線變得更平坦。若拉長時間來看，其實變化不大，大致位於區間中段，但近期的發展確實使交換曲線進一步下移。

Moving on to slide 10, some more mortgage generic slides. If you look at the top of the page, this is kind of a long-term look back all the way to 2010. This is just the 10-year current -- the current coupon spread of the 10-year treasury. As you can see, in early 2023 or mid 2023, actually May of '23, we kind of hit a, at the time, an all-time high spread. And over the next three years, we've been on a tightening trend. It seems like we have leveled off. It's possible this spread is over -- spread tightening is over, remains to be seen, but it's been quite a long run here that's been very favorable for mortgages.

接著看第 10 張投影片，這裡有一些更一般性的房貸市場圖表。如果你看頁面上方，這是回溯至 2010 年的長期走勢。這裡呈現的是 10 年期現行票息（current coupon）相對 10 年期美國公債的利差。如你所見，在 2023 年初或 2023 年中，實際上是 2023 年 5 月，我們觸及當時的歷史最高利差。而在接下來三年，我們一直處於利差收斂的趨勢。看起來目前已趨於持平。利差是否已經結束收斂、仍有待觀察，但這段相當長的走勢對房貸市場非常有利。

Looking on the bottom left, you can see just the normalized price changes of various TBA coupons. As you can see at the end of the quarter with the exception of the highest coupon (inaudible) they were all negative. These are price returns only. The absolute returns for those TBAs were actually positive. The lowest return was about 22% and higher belly coupons were a little over 1%.

再看左下角，你可以看到各種 TBA 票息的標準化價格變動。如你所見，在季末，除了最高票息（聽不清）之外，其餘皆為負值。這些僅為價格報酬。這些 TBA 的絕對報酬其實是正的。最低報酬約為 0.22%，而較高中段票息的報酬略高於 1%。

Looking on the right-hand side of the page, these are dollar rolls. Two things, you can see, none of them are particularly attractive other than the sixth roll at the moment. But what we've observed over the last several months is when these rolls get hot, tends to be driven by short-term technical factors. They don't tend to persist, and even in the case of the six you can see, that's what's going on. There can be any number of factors driving that.

看頁面右側，這些是美元轉倉（dollar rolls）。你可以看到兩點：目前除了第六個轉倉之外，其他都談不上特別有吸引力。但我們在過去幾個月觀察到的是，當這些轉倉變得火熱時，往往是由短期技術性因素所驅動。這種情況通常不會持續；即便是你看到的那六個，也是同樣的狀況。可能有各式各樣的因素在推動。

It could be CMO, desk demand for the front month production to use to create CMOs, can be somebody trying to squeeze a certain coupon, but otherwise the dollar road market is not terribly attractive and certainly nothing like it was during the days of QE.

可能是 CMO（擔保抵押債務憑證），也可能是交易台對近月供給的需求、用來製作 CMO；也可能是有人試圖擠壓某個特定票息；但除此之外，美元轉倉市場並不是特別有吸引力，當然也完全不像量化寬鬆（QE）時期那樣。

Moving on to some of the other variables that affect us. Obviously, volatility is very important for mortgage investors. And you can see that we've been in a long-term trend where vol was declining going back to Liberation Day in 2025. Obviously, the war caused a significant spike, and you can see that around February. This is not updated through today since last Friday. But it's notable that the level -- closing level of the move index yesterday was 80. And that really only kind of gets you to the high end of the range that we've been in since March. Still remains to be seen where we go from here though. Obviously, there's a lot of uncertainty surrounding developments in the Middle East with the war.

接著談一些影響我們的其他變數。顯然，波動率對房貸投資人非常重要。你可以看到，自 2025 年的「解放日」以來，波動率一直處於長期下行趨勢。顯然，戰爭造成了顯著的飆升，你可以在大約 2 月份看到。這張圖沒有更新到今天，資料截至上週五。但值得注意的是，昨天 MOVE 指數的收盤水準是 80。而這其實只把你帶到自 3 月以來我們所處區間的高端。不過，接下來會往哪裡走仍有待觀察。顯然，圍繞中東戰事的發展仍存在大量不確定性。

Moving on, I mentioned earlier on slide 12, this is just swap spreads. They had moved in a positive direction, in other words, less negative. And as I mentioned of late, that has turned around and gone the other way. Yesterday's swap spreads were in anywhere from 0.8 to a little over 1 basis point, in other words, more than negative. So that affects the performance of swaps as hedges. That's why we mentioned that on this call. And as I said, it's more recent development. We're not really sure where we go from here. And there's just a lot of uncertainty out there.

再往下，我先前在第 12 張投影片提到過，這裡只是互換利差（swap spreads）。它們曾朝正向移動，也就是說，負值變得沒那麼負。而如我最近提到的，那個走勢已經反轉、往另一個方向走了。昨天的互換利差大約在 0.8 到略高於 1 個基點的範圍，也就是說，變得更負。因此這會影響互換作為避險工具的表現。這就是我們在這通電話中特別提到它的原因。而如我所說，這是比較近期的發展。我們並不確定接下來會怎麼走。外部仍有很多不確定性。

Slide 13 just gives you the backdrop for the refi or prepayment mark level. You can see on the top left, on the bottom line there, that's just the refi index. We've been very stable at a very low level. Refinancing activity, as you would expect, is extremely subdued. The red line is the mortgage rate. We don't have a firm read on that today but late yesterday that was somewhere in the neighborhood of 6.75%, and that might even be a little generous. It could be higher.

第 13 張投影片提供了再融資或提前償還（prepayment）估值水準的背景。你可以看到左上角，底部那條線就是再融資指數。我們一直非常穩定地維持在很低的水準。如你所預期，再融資活動極度低迷。紅線是房貸利率。我們今天沒有很明確的讀數，但昨天稍晚大約在 6.75% 左右，而且這個數字可能還偏樂觀。也可能更高。

With respect to primary and secondary spreads, they're two things. Relatively low, but also very volatile as a proxy. If you look at 6.75% as the current mortgage rate, and the 2-year or 10-year treasury is around 470. So you're a little over 200 off the tenure, and that it's not tight by historical standards.

就一級與二級利差而言，有兩點。相對偏低，但作為代理指標也非常波動。如果以 6.75% 作為目前房貸利率，而 2 年期或 10 年期美債殖利率大約在 470（基點）。那麼相對 10 年期你大概高出 200 多個基點，按歷史標準來看並不算緊。

Finally, slide 14, this is really not -- anything other than interesting to me, I'll just show you the nominal growth in GDP over the course of -- this goes back 17 years, and the money supply. This is starting to get a little more attention. It just shows you that when you have inflation running high, that inflation -- that GDP in nominal terms, in other words, not real, which is what we're accustomed to seeing, is accelerated. GDP growth in real terms is fairly stable in the 2% to 1.5% to say 2.5%, but in nominal terms it is accelerating, and it coincides with growth in the money supply.

最後，第 14 張投影片，這其實除了我覺得有趣之外沒有別的，我只是給大家看一下過去——這張圖回溯 17 年——名目 GDP 的成長，以及貨幣供給。這開始受到更多關注。它只是顯示，當通膨維持在高位時，通膨——也就是名目 GDP（換言之，不是我們習慣看的實質 GDP）會加速。實質 GDP 成長相當穩定，大約在 1.5% 到 2%（或說 2.5%）之間；但名目 GDP 則在加速，且與貨幣供給的成長相吻合。

Now let's talk more about the portfolio. I think the most important point to make for us is that not a lot changed. We're not active in raising new capital. We did do so. We increased our share count by about 1.5%. But all in all, it was not a very big quarter for growth. We did do some trading. We'll talk about that more in a few minutes. We did shift the kind of profile of the portfolio slightly down in coupon. The largest concentration of our holdings, which by the way are now all 30 years, are in 5.5% coupon. Basically, the portfolio is concentrated in the three coupons nearest the par. So 5s, 5.5s and 6s.

現在我們多談一些投資組合。我認為對我們而言最重要的一點是：變化不大。我們並未積極募集新資本。我們確實有做一些。我們把流通股數增加了大約 1.5%。但總體而言，這不是一個成長很大的季度。我們確實做了一些交易。幾分鐘後我們會再多談。我們也把投資組合的特性在票息上稍微往下移。我們持倉中最大的集中度——順帶一提，現在全部都是 30 年期——在 5.5% 票息。基本上，投資組合集中在最接近平價（par）的三個票息。也就是 5%、5.5% 和 6%。

And the reason we did that, we moved slightly down in coupon, basically didn't take advantage of the fact that specified pull performance has not been that great of late, especially with the refinancing activity so low. So we went down in coupon, lower absolute dollar price, lower absolute pay-ups with some upside in the event of a rally.

我們之所以這麼做、把票息稍微往下移，基本上是因為我們沒有利用近期指定池（specified pool）表現不佳的情況，尤其在再融資活動如此低迷之下。因此我們下調票息：絕對美元價格更低、絕對加價（pay-ups）更低，並在若出現反彈（rally）時保留一些上行空間。

Coinciding with the move slightly down in coupon, the hedge book had to adjust slightly as well. We added to our swap positions and signed to move the swap book to coincide and line up better with the portfolio. With respect to the impact on dividend going forward, absent fluctuations in the leverage ratio, it's actually been maintained more or less where it was prior to these changes.

隨著票息稍微下移，避險部位也需要做些微調整。我們增加了互換部位，並調整互換帳簿，使其與投資組合更一致、更好地對齊。至於對未來股利的影響，在槓桿比率沒有波動的情況下，基本上大致維持在這些變動之前的水準。

As I mentioned, our average coupon, again, it's mostly -- it is all exclusively a 30-year portfolio. Average coupon was down about 6 basis points. We had a slight decline in our economic net interest income, 1 basis point decline in the yield of the portfolio from 575 to 574, and a 5-basis point increase in our economic funding costs, resulting in the 6-basis point decline in our net interest spread.

如我提到的，我們的平均票息——再次強調，這幾乎——而且完全——是一個純 30 年期的投資組合。平均票息下降了約 6 個基點。我們的經濟淨利息收入略有下降：投資組合殖利率下降 1 個基點，從 575 降到 574；同時我們的經濟融資成本上升 5 個基點，導致淨利差下降 6 個基點。

Moving on to slide 17 is more appropriate than prior quarters when we were adding significantly to our capital base at a time when mortgages were attractive. Didn't do so much at all this quarter, so it's really N/a, so to speak, for the quarter.

接著看第 17 張投影片：相較於先前幾季——當時在房貸具吸引力的環境下我們大幅增加資本基礎——這一季更適用。這一季幾乎沒有做，因此可以說對本季而言基本上是 N/a（不適用）。

With respect to slide 18. As I said, if you look at the profile, we did move the profile to the left slightly. And it was really just driven by the performance of spec polls, which have been fairly weak. Dollar rolls, as I mentioned, there have been sporadic coupons that have gotten special, traded well. But relative attractiveness in spec polls, it's just not been all that great in this environment.

至於第 18 張投影片。如我所說，如果你看整體輪廓，我們確實把輪廓稍微往左移。這主要是由指定池（spec pools）的表現所驅動，而它們一直相當疲弱。至於美元轉倉（dollar rolls），如我提到的，確實有零星的票息變得「特殊」（special）、交易表現不錯。但就指定池的相對吸引力而言，在這種環境下並沒有那麼好。

I do have to apologize, there's slight error. On the bottom left it shows our 4.5 exposure. That is actually not. There is no 15-year exposure at the end of June, that's all in third year. So basically, that's it. As I said, this is not a quarter, we did a lot. Just fine-tuning the positioning of the portfolio.

我必須道歉，這裡有個小錯誤。左下角顯示我們有 4.5 的曝險。其實不是。截至 6 月底沒有任何 15 年期曝險，那些全部都在 30 年期。所以基本上就是這樣。如我所說，這不是我們做了很多事情的一季。只是對投資組合的部位做一些微調。

Moving on to slide 19, our funding cost. This has been a very welcome development over the last several months, and the funding spread to compress quite a bit. We've observed periods where SOFR trades through Fed funds, and our funding in the repo market has basically run high single digits to low double digit spreads. What's been driving this favorable funding market, kind of an offset between two opposite forces.

接著看第19頁，我們的資金成本。過去幾個月這是一項非常令人欣喜的發展，資金利差已明顯收斂。我們觀察到有些時段 SOFR 低於聯邦基金利率交易，而我們在回購市場的融資利差基本落在高個位數到低雙位數。推動這個有利融資市場的因素，某種程度上是兩股相反力量之間的抵銷。

On the one hand, you have the Fed's Reserve Management Purchase Program, whereby they purchase bills in the market. So they take away investments to cash providers and drive them into the repo market. We've also seen very high levels of money market AUM, so in other words cash available. It does appear just really this week, but we are starting to see some movement away from this very attractive levels.

一方面，是聯準會的「準備金管理購買計畫」（Reserve Management Purchase Program），也就是他們在市場上買入國庫券。因此他們把原本提供現金者可投資的標的拿走，迫使資金轉進回購市場。我們也看到貨幣市場基金的資產管理規模（AUM）維持在非常高的水位，換言之，可用現金很多。不過看起來就在本週，我們開始看到市場從這些非常具吸引力的水準出現一些移動。

Bill issuance by the Treasury is actually increasing, Money market AUM declined slightly. So we have seen funding levels drift slightly higher, but there's no reason for us to think that there's anything ominous on the horizon. It's just kind of a drift slightly higher from what have been very attractive funding levels.

財政部的國庫券發行量其實正在增加，貨幣市場基金 AUM 也小幅下滑。因此我們看到融資水準略微走高，但我們沒有理由認為前方有任何不祥的跡象。這只是從先前非常有吸引力的融資水準，略為往上漂移而已。

And as you can see on this chart or this graph, our economic funding levels continue to converge with the absolute level of SOFR. And what we pay in repo, obviously with the Fed on the horizon, probably likely we're going to see a few hikes. Obviously, the exact timing of those is unknown. But that being said, the last leasing cycle was 325 basis points moves. Those were kind of characterized as a taking out insurance, if you will, and the potential for a slowing economy. And maybe they take those back. Remains to be seen. We have a new Fed Chair, and we have a lot to learn in terms of how he tends to operate in his management of the Fed. So we will just stand by and wait for that.

如你在這張圖表上所見，我們的經濟融資水準持續向 SOFR 的絕對水準收斂。至於我們在回購上支付的利率，顯然在聯準會因素之下，我們很可能會看到幾次升息。當然，確切時點仍不確定。但即便如此，上一次的升息循環總共是 325 個基點的調整。那些調整某種程度上可被視為「買保險」，以因應經濟放緩的可能性。而他們是否會把這些升幅再撤回，仍有待觀察。我們有一位新的聯準會主席，對於他在管理聯準會時的運作方式，我們還有很多要了解。因此我們會先觀望等待。

Moving on to slide 20, as I mentioned, our hedge position, we did increase. We basically added some 5-year and 10-year swap positions. As a result, our repo funding, the percent of our repo funding that is covered by our hedges increased from 72% at the end of Q1 to 91% at the end of Q2. Our swap notional balance increased from about $7.9 billion to $10.1 billion, which meant that our swaps covered 70% of our repo versus 65%. Weighted average pay fixed rate is 361. That's up slightly.

接著看第20頁，如我提到的，我們的避險部位確實增加了。我們基本上新增了一些 5 年期與 10 年期的利率交換（swap）部位。因此，我們回購融資中由避險覆蓋的比例，從第一季末的 72% 提高到第二季末的 91%。我們的交換名目本金餘額從約 79 億美元增加到 101 億美元，這也意味著交換對回購的覆蓋率從 65% 提升到 70%。加權平均支付固定利率為 361。略有上升。

It just reflects the fact it's kind of market to market as we put on new swaps in the current higher rate environment that are at slightly higher levels. Sure, TBA positions increased. We use those kind of in conjunction with futures opportunistically. So for instance, if TBAs have a poor run and perform very poorly over a two or three or even two-month period, sometimes we'll take those off and put on futures and vice versa, but they're kind of used not as the predominant hedge vehicle, but used certainly as part of the portfolio, but kind of interchangeably. We also added a swaption position this year or this quarter, which is detailed on the slide below, on slide 21 on the bottom right.

這只是反映了當我們在目前較高利率環境下新增交換時，按市價（mark-to-market）計入後水準會略高一些。另外，TBA 部位也增加了。我們會機會性地把它們與期貨搭配使用。例如，如果 TBA 表現不佳、在兩到三個月甚至兩個月期間表現很差，有時我們會把 TBA 拿掉、改用期貨，反之亦然；它們並非主要的避險工具，但確實是投資組合的一部分，且可互相替換使用。我們今年（或本季）也新增了一個交換選擇權（swaption）部位，細節在下一頁第21頁右下角。

This is something we often do where we do a long and a short position. The idea is to kind of offset the cost of premium pay to kind of minimize that. As I mentioned, if you look in the top right, our swap book grew. We added a $500 million 5-year swap and a $300 million 10-year swap. So that's how major change with respect to the hedge book.

這是我們常做的作法：同時建立一個多頭與一個空頭部位。其目的在於對沖權利金成本，盡量把成本降到最低。如我提到的，若看右上角，我們的交換部位規模擴大了。我們新增了 5 億美元的 5 年期交換，以及 3 億美元的 10 年期交換。這就是避險部位方面的主要變動。

Moving through the rest of the slides. 22 is nothing that I need to dwell on. Those are just kind of FYI for our viewers. On slide 23, the sensitivity of the portfolio to shocks, as you can see, is very flat, probably the flattest it's been in memory. but again, we're kind of entering into a new environment here. So there may be needs to adjust that over the course of the balance of Q3.

接著看後面的投影片。第22頁沒有什麼需要我多談的。那主要是提供觀眾參考（FYI）。第23頁是投資組合對利率衝擊的敏感度，如你所見非常平坦，可能是記憶中最平坦的一次；但我們也正進入一個新的環境。因此在第三季剩餘期間，可能需要對此做一些調整。

Kind of just going on to, I'm going to skip slide 24. You can see our speeds, as we mentioned, Jerry mentioned at the onset of the call, with rates higher, speeds did slow over the course of the quarter, and I suspect they will continue to slow as mortgage rates drift even higher, offsetting what would otherwise be a seasonal factor that would tend to drive speeds higher. So I don't expect we're going to realize that.

接著往下，我會跳過第24頁。如我們提到的、Jerry 在電話會議一開始也提到，隨著利率走高，本季期間提前償還速度（speeds）確實放緩；我猜測隨著房貸利率進一步走高，速度還會繼續放緩，這會抵消原本季節性因素可能推動速度上升的影響。所以我不預期我們會看到那種情況發生。

So kind of to wrap it up on slide 25, where we stand, when I prepared this deck, it was before the last few days and things have changed. With respect to the war, there's quite a bit of uncertainty with respect to the war, how that's going to impact rates, the economy and what the feds have to do going to do to respond to that.

因此在第25頁做個總結：我準備這份簡報時是在最近幾天之前，而情勢已經有所改變。就戰爭而言，存在相當大的不確定性：它將如何影響利率、經濟，以及聯準會必須如何因應。

We're kind of just watching with everybody else, but we are likely to have to start making some slight changes to the portfolio just to account for the fact that our portfolio is extending. Our leverage ratio, as we mentioned, was 7.3 at the end of Q2. As of last night, it's up to about 7.73. both leverage has extended as book value has moved and mortgages have extended. So we will be seeking to address that, but I don't have any definitive to say.

我們和大家一樣在觀察，但我們很可能必須開始對投資組合做一些小幅調整，以反映我們的投資組合久期正在延長。如我們提到的，我們在第二季末的槓桿比率是 7.3。截至昨晚，已上升到約 7.73；槓桿提高是因為帳面價值變動以及房貸資產久期延長。因此我們會尋求處理這個問題，但目前我沒有任何明確結論可說。

One thing I do want to say though is that if you look at our existing portfolio versus the dividend, I tend to look at dividend in terms of the dividend divided by book value. So in other words, what is the book value, the yield of the portfolio? And the way I calculate book value is just to take the beginning and ending values for the quarter, take the average. So if I take our average book value for Q2 and use that as the denominator, the numerator, the dividend, get a yield of about 16.8%. And then if I look at what we were earning on the portfolio using GAAP measures, we're right around the same level, right around 16.7%.

不過我確實想說一點：如果你把我們現有投資組合與股利相比，我傾向用「股利除以帳面價值」來看股利。換言之，投資組合以帳面價值計的殖利率是多少？我計算帳面價值的方法很簡單：取本季期初與期末的數值，再取平均。因此，如果我用第二季的平均帳面價值作為分母、股利作為分子，得到的殖利率約為 16.8%。然後如果我用 GAAP 口徑來看我們投資組合的獲利水準，也大約在同一水準，約 16.7%。

So the portfolio continues to yield something very much in line with a dividend. And to the extent, we are able to raise capital I suspect that mortgages may continue to cheapen here. I do see there's a lot of measures you can use to gauge the movement, performance versus hedges or OAS, whichever your preferred measure is, there's no question that mortgage is a bit of cheapening over the course of this week. And so the market is becoming more attractive.

因此，投資組合的殖利率仍與股利水準非常一致。而在我們能夠增資的前提下，我認為房貸資產可能還會繼續變得更便宜。我看到有很多衡量方式可用來評估走勢，例如相對於避險的表現或 OAS（不論你偏好哪一種指標）；毫無疑問，本週房貸資產確實有些走便宜。因此市場正變得更具吸引力。

So if we do have the opportunity to raise capital, it's probably not a bad time to deploy. I do want to give you an update on book values I know you're going to ask and so I want to follow kind of the convention of our peers. I'm going to give you two book value numbers. One is as of last Friday, just to coincide with those who reported earlier in the week. And then I'll give you a book value number as of last night. And then I'm going to give you those numbers both with and without the dividend.

所以如果我們有機會增資，現在可能不是一個不適合部署資金的時點。我也想更新一下帳面價值，我知道你們會問，因此我想遵循同業的慣例。我會提供兩個帳面價值數字。第一個是截至上週五，為了與本週較早公布的同業時間點一致。接著我會提供截至昨晚的帳面價值數字。而且我會同時提供「含股利」與「不含股利」兩種口徑的數字。

So as of last Friday, our book value was down 2.1%. As of last night, it was down 4.3%. Those do include the dividend accrual. If you back out the dividend accrual, then the numbers are as of last Friday, down 0.7%. and last night down 2.9%.

因此截至上週五，我們的每股淨值下跌了2.1%。截至昨晚，下跌了4.3%。這些數字包含股利應計。如果把股利應計扣除，那麼截至上週五是下跌0.7%，昨晚是下跌2.9%。

So that's basically it I'd say for the prepared remarks. Operator, we can open up the call to questions.

我想這基本上就是我對已準備講稿要說的內容。接線員，我們可以開放提問。

(Operator Instructions)

(接線員指示)

Doug Harter, BTIG.

Doug Harter，BTIG。

Thanks, and good morning. Hey. Hoping you could talk a little bit about slide 19 and, and how you think that economic cost of funds should trend in kind of the coming quarters if the forward curve plays out and we get rate hikes, just try to think about that. And then, just any differences on kind of how that shows up on GAAP versus kind of how you think about the dividend?

謝謝，早安。嗨。希望你能談談第19頁投影片，以及如果遠期曲線如預期發展、我們又看到升息，未來幾季你認為資金的經濟成本應該會如何走勢，我想釐清一下。另外，就GAAP呈現與你們看待股利的方式之間，有沒有什麼差異？

Sure. So just looking at the chart there, so you would expect the red line and the average one-month SOFR lines to pivot and start heading higher. Our hedge coverage is at a very high percent. It's about, as I mentioned, 91%. So absent changes in the size of the portfolio, I would expect our economic cost of funds to remain fairly stable. So it should be akin to what we saw in the in '23, so we would have a pretty sizable protection from the increased funding levels.

當然。就看那張圖表，你會預期紅線以及一個月期SOFR平均線會轉向並開始走高。我們的避險覆蓋率非常高。如我提到的，大約是91%。因此在投資組合規模不變的情況下，我預期我們的資金經濟成本會維持相當穩定。所以應該會類似我們在2023年看到的情況，也就是對資金成本上升會有相當可觀的保護。

To the extent that we of course try to grow the portfolio, we'd be putting in place more hedges, market to market those, so we'd be kind of moving higher with respect to the average pay fixed rate. But if we don't, and we stay at this level, there will be pressure because we're at 91% coverage, that's not 100%, so there would be some leakage into our funding costs. The impact on the dividend is going to depend on what happens to the yield on the assets, to the extent that they drift higher or not. But all else equal, the fact that we only cover 91% of the funding with hedges implies there's some room there for leakage in terms of compressing the dividend. But again, to put numbers to it, it really depends on what happens on the asset side.

當然，如果我們試圖擴大投資組合，我們會建立更多避險，並對其進行按市價評價，因此平均支付固定利率會相對往上移。但如果我們不擴張、維持在目前水位，仍會有壓力，因為我們的覆蓋率是91%而不是100%，所以資金成本會有一些外溢（漏出）。對股利的影響將取決於資產端殖利率的變化，也就是它們是否上移。但在其他條件不變下，我們只用避險覆蓋了91%的資金，意味著在壓縮股利方面仍有一些漏出空間。不過要量化它，還是得看資產端會發生什麼。

Great, I appreciate that answer. And you talked about kind of the current portfolio, kind of the return covering feeling comfortable relative to the dividend. How do you think about incremental returns? Where do you see them today relative to that required return you talked about for the dividend?

很好，感謝你的回答。你提到目前投資組合的報酬覆蓋股利、你們覺得相對安心。那你們如何看待新增配置的邊際報酬？就你剛提到股利所需的必要報酬而言，你覺得今天的水準如何？

Yeah. There's something to move higher. I would suspect that the move we're in the midst of is not over, simply because I think the forces that are driving this move are far from having played out. An important development yesterday was where the 10-year treasury closed. We had been at a support level or support range. Somewhere in the 460s, we broke through that level. So now we've established -- we're in the midst of establishing a new range in rates.

是的。還有上行空間。我猜我們正在經歷的這波走勢還沒結束，因為推動這波走勢的力量遠未完全發酵。昨天一個重要發展是10年期美債的收盤位置。我們之前處在一個支撐位或支撐區間。大約在4.60%附近，我們跌破了那個水準。所以現在我們正在建立一個新的利率區間。

Vol was higher yesterday, taking somewhat of a reprieve today. But I think the primary drivers of the war, I don't see any end in sight of the war. In fact, I suspect that it's probably going to get worse. I think that's going to keep market uncertainty at a high level. There's another development yesterday.

昨天波動率較高，今天稍微喘口氣。但我認為戰爭仍是主要驅動因素，我看不到戰爭有任何結束的跡象。事實上，我懷疑情勢可能會惡化。我認為這會讓市場不確定性維持在高檔。昨天還有另一個發展。

Nick Timmeros put out an article. He's kind of been viewed as the mouthpiece of the Fed. And in his article he basically said two things. One, he doesn't have any idea what the Fed's going to do, and he also implied that there are members of the FOMC don't know what the Fed's going to do. That, as we all know, markets don't like uncertainty, so you couple that with the developments with respect to the war, vol probably going higher.

Nick Timmeros 發了一篇文章。他某種程度上一直被視為聯準會的傳聲筒。他在文章裡基本上說了兩件事。第一，他不知道聯準會會怎麼做；同時他也暗示，FOMC裡有些成員也不知道聯準會會怎麼做。如大家所知，市場不喜歡不確定性，所以再加上戰爭相關的發展，波動率可能會走高。

I suspect we're in the midst of a move to a higher level of rates and cheapening of mortgages. So I suspect given all this, our stock's trading well below book, so I don't expect that we're going to be able to raise capital. When and if we are, it's probably going to be down the road. And at that point, I wouldn't be surprised if mortgages were quite a bit more attractive than they are now. So it's really hard to answer your question precisely just because I think we're breaking into a period of higher fall and certainly higher levels of uncertainty. So I really can't handicap exactly where it is we'll be able to put money to work and what ROEs will be at the time. Higher, other than that, I can't say much more. All right.

我懷疑我們正處於利率上移、房貸（MBS）變得更便宜的過程中。因此我認為在這些情況下，我們的股價交易在遠低於淨值的水準，所以我不預期我們能夠募資。如果未來能募資，可能也會是在更後面的時間點。而到那時，我不會意外房貸資產會比現在吸引人得多。所以很難精準回答你的問題，因為我認為我們正進入一段更高波動、且不確定性顯著升高的時期。因此我真的無法判斷我們究竟何時能把資金投入，以及當時的ROE會是多少。只知道會更高，除此之外我也說不出更多。好。

All right. Appreciate it. Thank you.

好。感謝。謝謝你。

Jason Weaver, Jones Trading.

Jason Weaver，Jones Trading。

Good morning. Hey, Bob. Thanks for all the comments. Are you there? I was just saying thanks for the commentary as always. Just one from me. And as you look at the market today, obviously we're somewhat defensive, but where would you see the most attractive areas within the coupon stack or various specified cohorts for incremental deployment? And what do you think the ROEs look like presently?

早安。嗨，Bob。謝謝你所有的評論。你在嗎？我只是說一如既往感謝你的觀點。我這邊只有一個問題。你看今天的市場，顯然我們偏防禦，但若要做增量部署，在票息結構（coupon stack）或各種指定券群（specified cohorts）中，你覺得最具吸引力的區域會在哪裡？你認為目前的ROE大概是什麼樣子？

Well, presently they're moving higher. So I would have said somewhere in the 16% to 17% range. I think they could be moving higher. In terms of what's the most attractive coupons, to the extent we continue to move higher in rates, the extension. Potential of the highest coupons is going to drive them quite a bit cheaper so they could become the most attractive with lower coupons have done well in this environment, but they're not something we would typically own just because of carry that's (inaudible) associated with them.

嗯，目前它們正在走高。所以我原本會說大約在16%到17%的區間。我認為還可能繼續上升。至於最具吸引力的票息，若利率持續上行，高票息的延展（extension）風險可能會讓它們變得便宜很多，因此它們可能會變成最有吸引力的標的；較低票息在這個環境下表現不錯，但通常我們不會持有，主要是因為與其相關的carry（收益）是（聽不清）

The coupons we're in. Yesterday the 5% coupon suffered the worst and that may be kind of a telltale sign of what to expect. It's the cuspiest coupon with a conjunction of 5.5 by depending on the measure you looked at, 7 to 8 ticks wider yesterday. They continue to cheapen. And so they could become the most attractive coupon. those with higher coupons also.

我們目前所在的票息。昨天5%票息跌得最重，這可能是未來走勢的一個徵兆。它是最接近臨界點（cuspiest）的票息，與5.5%相鄰，視你看的衡量方式不同，昨天利差擴大了7到8個tick。它們仍在持續變便宜。因此它們可能會成為最具吸引力的票息；更高票息的也一樣。

I think those, the call it 5 to 6.5 would be my guess two weeks whatever it is from now whenever the dust hopefully settles and I think as I said the ROEs are probably moving higher, I wouldn't be surprised another percent or so. But it's really hard to say, given that we're in the midst of this move.

我認為那些——大概是5%到6.5%——會是我的猜測；兩週後或不管多久、等塵埃希望落定之後。而且如我所說，ROE可能還在走高，我不會意外再高出大約1個百分點。

Thank you. I appreciate that color.

謝謝。感謝你提供的補充說明。

Jason Stewartm, Compass Point.

Jason Stewartm，Compass Point。

Hey, good morning. Thank you. Just a quick follow up on Doug's question about hedging and passive rates and the dividend. If we do see the curve flatten, can you talk us through how you think about the 70% hedge on the on the funding cost versus the total portfolio at 90% and how you think that, that flows through to your projected impact on the dividend?

嗨，早安。謝謝。我想就 Doug 關於避險、被動利率以及股利的問題做個簡短追問。如果我們確實看到殖利率曲線趨於平坦，能否請你帶我們梳理一下：資金成本端 70% 的避險（相對於整體投資組合 90%）你們是如何思考的，以及你們認為這會如何傳導到對股利的預估影響？

Yeah, it's -- I mean the curve is going to flatten. I think it's going to continue to flatten and the fact that only 70% of the book is in swaps, I think is what you're saying, and that's kind of locked in. The rest of the book is less explicit, but what's really going to drive the dividend is not just going to be what happens to our funding and our funding levels versus our hedge protection. Obviously, there's some leakage there, but it's also going to be what happens on the asset side. And I think we're going to see the spreads compress a lot less than -- spread levels going to compress less than the curve.

是的，這個——我的意思是，曲線會趨於平坦。我認為它會持續趨平，而只有 70% 的部位做了利率交換（swap），我想你指的是這點，而且那部分基本上已經鎖定了。其餘的部位沒有那麼明確，但真正會驅動股利的，不會只是我們的資金成本、資金水位相對於避險保護的變化。當然，那裡會有一些漏損（leakage），但也會取決於資產端會發生什麼事。而我認為，我們會看到利差收斂的幅度遠小於——利差水準的收斂會小於曲線的變化。

I think we're going to see mortgages cheapen some more, and I don't think the spread between current yields that are going to be available in the market in the near term versus funding are going to compress that much. And one drives the other, because there's a lot of the investor base in mortgage spaces levered money and clearing levels as the Fed is entering a hiking phase are going to have to reflect that.

我認為我們會看到房貸（MBS）再便宜一些，而且我不認為短期內市場可取得的現行殖利率相對於資金成本之間的利差會收斂那麼多。而且兩者彼此牽動，因為房貸市場的投資人基礎中有很多是槓桿資金；當聯準會進入升息階段時，清算水準必須反映這一點。

So I think that -- it remains to be seen, but I don't expect a massive compression in spread levels such that you would have dramatic decreases in the dividend. You may have some, but I don't think you're going to have exorbitant ones.

所以我認為——這仍有待觀察，但我不預期利差水準會出現大幅收斂，以致於股利會大幅下滑。可能會有一些影響，但我不認為會是非常誇張的那種。

Okay. And then as I sort of think through that, being down in coupon, you give a little less carry for some duration protection. When you get to the end of it, you're going to be able to reposition into higher ROEs. But during that interim period, if you give up a little bit of ROE, are you willing to hold the dividend level for a quarter or however long it takes before the economics flow back through to the bottom line?

了解。那我再延伸想一下：降低票息（down in coupon）等於用較少的 carry 來換取一些久期保護。等到最後，你們將能重新配置到更高的 ROE。但在這段過渡期間，如果你們犧牲了一點 ROE，你們是否願意把股利水準維持一季或更久，直到經濟效益重新反映到損益表的最終結果？

I don't know if they'd be willing to do that. That's a pretty dramatic move. One thing we found that -- as you know, in the past, we've had larger exposures to those coupons. And generally, that's the area of the stack that money managers traffic in. They run money against the index those are large components of the index, and you tend to see that your performance is impacted a lot by flows into their funds and out of.

我不知道他們是否願意那樣做。那會是相當劇烈的動作。我們發現一件事——如你所知，過去我們在那些票息上有較大的曝險。而一般來說，那是資產管理人（money managers）主要交易的區段。他們會以指數為基準來管理資金，那些是指數中的大成分，因此你往往會看到，你的績效很大程度會受到他們基金資金流入與流出的影響。

And so it doesn't always track what's going on in the rest of the and it can be kind of challenging to manage through. So I don't know that we would make wholesale changes to the portfolio just to kind of wait out whatever it happens to be, month or two or three or whatever period. I think we would try to hold tight. I do think we'll make some changes in the portfolio on the margin, don't think it would be in that direction certainly not in size.

因此它不一定會跟著其他部分的狀況走，管理起來可能相當具挑戰。所以我不確定我們會為了「等它過去」——不管是一兩個月、三個月或任何期間——就對投資組合做全面性的調整。我想我們會盡量穩住。我確實認為我們會在邊際上對投資組合做一些調整，但我不認為會朝那個方向，更不會做到那樣的規模。

Okay thanks for the color, Bob. I appreciate it.

好的，謝謝你的補充說明，Bob。很感謝。

Mikhail Goberman, Citizens JMP.

Mikhail Goberman，Citizens JMP。

Hey, good morning, Bob. Most of my questions have already been touched on, but if I could maybe ask about expenses a little bit. The 2% expense ratio that I see in your slide deck is that -- is there any more opportunity you guys think for more positive operating leverage or is that a level that you guys are kind of comfortable with at the moment? And also, kind of parallel to that, wanted to see what drove the sort of year-over-year increase in expenses from about $5 million to $6.75 million. Thanks.

嗨，早安，Bob。我的大多數問題都已經被提到了，但我想或許可以問一下費用方面。我在你們簡報裡看到 2% 的費用率（expense ratio），你們認為是否還有更多機會帶來更正向的營運槓桿，還是說目前你們對這個水準算是滿意？另外，與此並行，我也想了解是什麼驅動費用年增，從大約 500 萬美元增加到 675 萬美元。謝謝。

Glad you asked that. Let's go to slide 33 if you would. I'll give you a chance to get there. That is our expense ratio. And as you can see, it did bump up. So two things happened there. One, if you look at where it kind of was back in 2022, quite high, and we had a long downtrend and we got well under 2%. Management and staff were rewarded with bonuses this year as a kind of a reward for driving the expense ratio down. So two things to say about that.

很高興你問到這個。如果可以的話，我們看一下第 33 頁。我讓你有時間翻到那一頁。那就是我們的費用率。如你所見，它確實上升了一點。所以那裡發生了兩件事。第一，如果你看 2022 年左右的水準，當時相當高，之後一路長期下行，降到遠低於 2%。管理層與員工今年獲得了獎金，算是對推動費用率下降的一種獎勵。所以關於這點有兩件事要說。

One, the awards are all 100% in shares, stock, no cash. And two, it's not the kind of award I would expect to see repeated in the near future or the future at all. I don't expect to see that kind of dramatic improvement. So you did see a bump up there in our expense ratio, but it really reflects compensation costs related to the share awards that were made earlier this year. And I would expect to see this line continue to trend down.

第一，這些獎勵 100% 都是以股份、股票發放，沒有現金。第二，這不是我預期在近期或未來會重複出現的那種獎勵。我不預期會再看到那樣幅度的顯著改善。所以你確實看到我們的費用率有一個上升，但它其實反映的是今年稍早發放股票獎勵所帶來的薪酬成本。而我預期這條線會繼續往下走。

Obviously, the more that we can grow, the lower it gets, because our management fee is asymptotic to 1%. So all capital raised from this point forward, the management fee is 100 basis points. If you're familiar with our management fee structure, it's 1.5% up to $250 million, 1.25% up to $500 million, and then everything after that is 100 basis points, so we're well above that level. And if you look at the -- as you show on the slide above that, the growth in our expenses has trailed that of the capital by a meaningful amount.

顯然，我們規模成長得越多，費用率就越低，因為我們的管理費會漸近於 1%。所以從現在起所募集的所有資本，管理費都是 100 個基點。如果你熟悉我們的管理費結構：2.5 億美元以下是 1.5%，5 億美元以下是 1.25%，之後全部都是 100 個基點；所以我們早已高於那個門檻。而且如果你看——就像你在上一張投影片看到的——我們費用的成長幅度，明顯落後於資本成長幅度。

As I said, we had this kind of one-off award this year. Otherwise, our incentive comp structure is tied entirely to our relative performance, and most of the awards are tend to be modest. This was an exception, but again, I think it's more of a one-off thing. I wish it weren't, but it probably is. And so, as I said, I would expect to see this line start to track back down and our expense ratio to start trending back towards, you see, 1.7 or so, which is where it was a couple of quarters ago.

如我所說，我們今年有這種一次性的獎勵。除此之外，我們的獎勵性薪酬（incentive comp）結構完全與相對績效掛鉤，而且大多數獎勵通常都偏溫和。這次是例外，但同樣地，我認為更像是一次性的事情。我希望不是，但很可能是。因此，如我所說，我預期這條線會開始回落，我們的費用率也會開始回到趨近於 1.7% 左右——也就是幾季前的水準。

That's it. Great. Thank you for the color. Appreciate it.

就這些。很好。謝謝你的補充說明。感謝。

I'm showing no further questions at this time. I'll now turn it back to Robert Cauley for closing remarks.

我這邊顯示目前沒有其他問題。接下來我把時間交回給 Robert Cauley 做結語。

Thanks, operator. Thanks, everyone. Appreciate you taking the time to join us today. To the extent that you have any additional call or questions, or you can get a chance to listen to the call live, and you have a question, feel free to reach out to us at the office. The number is 772-231-1400. Otherwise, we look forward to talking to you at the end of the third quarter. Thank you.

謝謝，接線員。謝謝各位。感謝大家今天撥冗參與。如果你們還有任何後續來電或問題，或是你們有機會收聽了電話會議直播並且有問題，歡迎隨時聯絡我們辦公室。電話是 772-231-1400。否則，我們期待在第三季結束時再與各位交流。謝謝。

Thank you for your participation in today's conference. This thus conclude the program. You may now disconnect.

感謝您參與今天的會議。本次會議至此結束。您現在可以掛線。