AGNC 投资公司 (AGNC) 管理层出席 KBW 房地产金融与资产管理大会 (成绩单)

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AGNC Investment Corp. (NASDAQ:AGNC) KBW Real Estate Finance & Asset Management Conference Call May 30, 2019 1:00 PM ET

AGNC投资公司(纳斯达克股票代码:[AGNC])KBW房地产金融与资产管理大会电话会议2019年5月30日美国东部时间下午1:00

公司参与者

Peter Federico - President and COO

Peter Federico - 总裁兼首席运营官

电话会议参与者

Bose George - KBW

Bose George - KBW

Bose George

Okay. Good afternoon. Let’s get the next session started. Next up we have AGNC Investment Corp. AGNC is an internally managed mortgage REIT with the market cap of roughly $9 billion. It's largely an Agency MBS REIT. It does have a modest amount of credit exposure as well.
From the company we have, Peter Federico, the President and Chief Operating Officer. Mr. Peter, let’s start with the discussion about what you’re seeing out there in the market in terms of the current returns on Agency MBS?

好的。 下午好。 让我们开始下一个会话。 接下来我们有AGNC Investment Corp. AGNC是一个内部管理的抵押房地产投资信托基金,市值约为90亿美元。 它主要是代理商MBS REIT。 它确实也有适度的信用风险敞口。

来自我们公司的总裁兼首席运营官Peter Federico。 彼得先生,让我们从关于代理商MBS当前回报的市场中您所看到的内容的讨论开始吧?

彼得·费德里科

Sure. Bose, thanks for having us. As we talked about on our first quarter earnings call, the environment from an earnings perspective is a little bit more challenging today. But we’re still able to find attractive return opportunities in the mortgage market.
Broadly speaking, mortgage spreads are roughly 90 basis points to swap and treasury rates, assuming leverage in the 9 to 10 times range plus the return on the asset of around 3%. We’re still looking at ROEs in the 12% range. So, 12% gross ROEs, from there you have to back-off around 75 basis points for our operating costs, which is the lowest in the industry and about 2% lower than the average of our peer group, which is very significant in this environment, still gives us an attractive ROE of, call it, in the low 11% range.
And what’s important in the current environment, while the returns are a little lower, the interest rate volatility and the hedging environment is better today than it was three to six months ago. So overall, our expectation is those going in ROEs, our expected ROEs, are more achievable in the current environment, because of the lower interest rate volatility and the reduced need to rebalance the portfolio on an ongoing basis, which ultimately you would bring down your ROEs due to that hedging cost. So, what I would say is returns are a little lower, but our ability to achieve those returns are little higher in the current environment.

当然。 Bose,谢谢你的帮助。正如我们在第一季度的财报电话会议上谈到的那样,从盈利角度来看,环境今天更具挑战性。但我们仍然能够在抵押贷款市场找到有吸引力的回报机会。

从广义上讲,假设杠杆率在9到10倍的范围加上资产收益率约为3%,抵押贷款利差约为交换和国债利率的90个基点。我们仍在关注12%范围内的净资产收益率。因此,12%的总ROE,从那里你必须为我们的运营成本支付大约75个基点,这是业内最低的,比我们同行的平均水平低约2%,这在这方面非常重要环境,仍然给我们一个有吸引力的ROE,称之为低11%的范围。

而在当前环境中重要的是,虽然回报率略低,但利率波动和套期保值环境今天比三至六个月前更好。总体而言,我们的预期是那些ROE,我们预期的ROE,在当前环境下更容易实现,因为利率波动性降低,并且持续不断地重新平衡投资组合的需求,最终你会降低你的ROE由于对冲成本。所以,我要说的是回报率略低,但我们在当前环境中实现这些回报的能力略高。

Bose George

And then just in terms of spread movement, when you reported earnings in April, things were I guess pretty stable. In May, we’ve seen some widening. Can you just comment on what that’s done to have the spread relative to book value?

然后就传播运动而言,当你在4月份报告收益时,事情我认为非常稳定。 五月,我们看到了一些扩大。 您能否评论一下如何使差价相对于账面价值?

彼得·费德里科

Sure. So, we really had some significant spread moves in the mortgage market over the last two quarters. Going back to the fourth quarter, we have spreads move out around 20 basis points, and that really was the driver of the reduction in our book value in the fourth quarter. And then in the first quarter, our book value was up around 4%. And part of that was due to spreads tightening, but it was a relatively small part of that. The interest rate rally contributed to the book value gain. But the biggest driver really of our book value gain in the first quarter was the improvement in our specified pool. So that really drove a meaningful portion of our book value gain.
And so far this quarter, and we talked about this on our last earnings call, we thought like it was important to operate with a positive duration gap, because we felt like mortgage spreads will be directional with interest rates. Meaning that if interest rates were to rally further, we expected mortgage spreads to widen. And conversely if they sold-off, we expected mortgage spreads to perform pretty well and tighten.
What we have seen, in particular in the last two weeks of May, is obviously we've rally now close to 25 basis points for the quarter. And we have seen mortgages come under pressure in May, the wider probably in the range of 5 to 10 basis points. So again, consistent with our expectation about what mortgage spreads would do in a rally environment. So that does lead us to have a little bit more of an opportunity to add mortgages attractive level. But we still expect them to be directional with interest rates.

当然。因此,过去两个季度我们在抵押贷款市场上确实有一些重大的利差。回到第四季度,我们的利差扩大了约20个基点,这确实是第四季度账面价值下降的原因。然后在第一季度,我们的账面价值上涨了4%左右。其中一部分原因是由于利差收紧,但这只是相对较小的一部分。利率上涨促成了账面价值的增长。但是,我们第一季度账面价值增长的最大推动因素是我们指定的资产池的改善。这真的推动了我们的账面价值增长的一个有意义的部分。

到目前为止,本季度,我们在上一次财报电话会议上谈到了这一点,我们认为在持续时间差距较大的情况下运营非常重要,因为我们认为抵押贷款利差将与利率挂钩。意味着如果利率进一步上升,我们预计抵押贷款利差将扩大。相反,如果他们抛售,我们预计抵押贷款利差将表现得相当好并收紧。

我们所看到的,特别是在5月的最后两周,显然我们现在已经上涨了近25个基点。我们看到5月抵押贷款面临压力,可能在5到10个基点的范围内。因此,再次符合我们对抵押贷款利差在集会环境中会做什么的预期。因此,这确实使我们有更多机会增加抵押贷款的吸引力水平。但我们仍然期望它们与利率挂钩。

Bose George

And in terms of the book value impact, the spread in fact has been, would you say, largely mitigated by the positive duration or partially mitigated by that?

就账面价值影响而言,实际上,实际价差在很大程度上是由正面持续时间减轻或部分缓解的?

彼得·费德里科

Yes, at the end of last quarter and in fact I mentioned this on our earnings call, we had to do a lot of rebalancing in the first quarter to maintain a positive duration gap. Obviously, we've rallied now since the beginning of November. We've rallied about a 100 basis points in long-term rate. So we've done a lot to rebalance our portfolio, to maintain a positive duration gap. But our duration gap at the end of the first quarter was only 0.2 years. It was a relatively small duration gap. And we continue to operate with a positive duration gap, but it's relatively small. So, what I would say is that the duration gap would not be sufficient to offset the spread widening that we've seen.

是的,在上个季度末,事实上我在我们的财报电话会议上提到了这一点,我们必须在第一季度进行大量的再平衡,以维持正的持续时间差距。 显然,自11月初以来,我们已经团结起来。 我们的长期利率大约上涨了100个基点。 因此,我们已经做了很多工作来重新平衡我们的投资组合,以保持持续的正差距。 但我们在第一季度末的持续时间差距仅为0.2年。 这是一个相对较小的持续时间差距。 而且我们继续以持续时间差的方式运营,但它相对较小。 所以,我要说的是,持续时间差距不足以抵消我们所看到的利差扩大。

Bose George

Okay. And then just in terms of your mix of specified pools. I think it was 60-ish percent. How do you envision that changing just given the changing landscape of rates?

好的。 然后就您指定的池的组合而言。 我认为这是60%的百分比。 考虑到不断变化的利率格局,您如何设想改变?

彼得·费德里科

You're right on the percent. We're operating with around 60% or so percent specified pool, which is typical of what we do. I mean, having specified pools is a key part of our hedging strategy and allows us to have better cash flow stability in a declining rate environment. And we felt in 2018 that the valuations of specified pools was very attractive, meaning they were undervalued. And in fact, we added a lot at that time and we've benefited from it now in the first quarter, and we will do so again this quarter.
But that also means that the valuation in specified pools now has gone up, and we don’t have the same relative value equation. We feel like they're more neutral in today's environment. So we will continue to maintain a sizable specified pool position. But in the current environment, we think there are little bit more closer to the fair value relative to generic mortgages.

你的百分比是正确的。 我们以约60%左右的指定池运行,这是我们所做的典型。 我的意思是,指定池是我们对冲策略的关键部分,使我们能够在不断下降的利率环境中获得更好的现金流稳定性。 我们在2018年认为,特定池的估值非常具有吸引力,这意味着它们被低估了。 事实上,我们当时增加了很多,我们现在在第一季度就从中受益,我们将在本季度再次这样做。

但这也意味着指定池中的估值现在已经上升,而我们没有相同的相对价值等式。 我们觉得他们在今天的环境中更加中立。 因此,我们将继续维持一个相当大的指定池位置。 但在目前的环境下,我们认为与通用抵押贷款相比,公允价值更接近一些。

Bose George

And then just given the changing expectation on interest rates, can you talk about changing your portfolio positioning? I guess, your notional hedging did come down. So do you see any other position -- portfolio changes you made?

然后,考虑到利率变化的预期,你能谈谈改变你的投资组合定位吗? 我想,你的名义对冲确实降下来了。 所以你看到其他任何职位 - 你做出的投资组合变化了吗?

彼得·费德里科

So as I mentioned, in particular in the first quarter, our hedge ratio ultimately came down from high 90% to 77%. And we took a lot of actions to rebalance the portfolio and shorten the duration of our hedge portfolio. It's important that we maintain that positive hedge, that duration gap that I talked about, the positive duration gap that I talked about. But in the current environment, and also its consistent with operating with a lower hedge ratio, given the changes and the outlook in the fed.
From where we were in December when the fed was raising rates and the expectation was that they were going to raise rates another three or four times in 2019 to where we are now, is dramatic. And obviously, now the market, as of this morning, is pricing in three [eases] [ph] by sometime in early 2020. So it makes sense for us to be able to operate with a lower hedge ratio overall, because we don't have to protect against our short-term funding costs rising. I expect that to continue going forward. But I also expect us to continue to operate with a positive duration gap.
We will likely also include more options in our hedge mix going forward, which is consistent with the leverage in our portfolio and consistent with the interest rate environment and consistent with the fact that the cost of optionality has come down a lot, and made those options more attractive.

正如我所提到的,特别是在第一季度,我们的套期保值比率最终从高位90%降至77%。我们采取了很多行动来重新平衡投资组合并缩短对冲投资组合的持续时间。重要的是我们要保持积极的对冲,我谈到的持续时间差距,我谈到的正面持续时间差距。但在目前的环境下,并且考虑到美联储的变化和前景,它还与较低的套期保值比率一致。

从12月份美联储提高利率的情况来看,预计2019年他们将再次加息三到四次,这是我们现在的情况。很明显,现在市场,截至今天早上,在2020年初的某个时候定价三个[e] [ph]。因此,我们能够以较低的套期保值比率运作,因为我们不会必须防止我们的短期融资成本上升。我希望继续前进。但我也希望我们继续以持续时间差的方式运作。

我们可能还会在未来的套期保值组合中包含更多期权,这与我们投资组合中的杠杆率一致,并与利率环境保持一致,并且与期权成本大幅降低的事实相符,并做出了这些选择更加有吸引力。

Bose George

Just in terms of the notional value of, or the percentages of repo that’s being hedged. Could we see that number come down from the 77?

仅就被套期保值的名义价值或回购百分比而言。 我们可以看到这个数字从77下降吗?

彼得·费德里科

You could see it come down. I don’t expect it to change dramatically over the near term. But if you did go back and look at the way REITs were hedged really from 2010 to 2012 period, 2009 to 2012, hedge ratios, typically in that environment, which was more consistent with the declining rate environment, were in the 45% to 65%. So in that range, it would be consistent with history. I’m not saying we’re going to operate there now but you could see that scenario at some point in the future.

你可以看到它降下来。 我不认为它会在短期内发生巨大变化。 但如果你确实回过头来看看房地产投资信托在2010年至2012年期间(2009年至2012年)的对冲方式,通常在那种环境下的套期保值比率,与更低的利率环境更为一致,则在45%至65%之间%。 所以在这个范围内,它将符合历史。 我不是说我们现在要在那里开展业务,但你可以在未来某个时候看到这种情况。

Bose George

And then just in terms of your target duration gap, you noted that your continued target of positive gap. Just can you talk about how the process of -- how you get to what level you want to target?

然后就目标持续时间差距而言,您注意到您继续保持正差距的目标。 你能谈谈过程 - 你如何达到你想要的目标水平?

彼得·费德里科

Yes. Well, again, what we always do with our portfolios from an interest rate risk perspective, we take two key risks obviously, mortgage basis risk and interest rate risk. And for us, obviously, our assets are negatively convex, which means they underperform in a rally scenario and they underperform in that sell-off scenario. So we have to be diligent about protecting our book value for interest rate moves in both directions. And as I said, there is also often a correlation between mortgage spreads and interest rates, and it tends to be mortgage spreads widen in a rally scenario.
So we’re always looking at our portfolio and say how do we protect our book value in a falling rate environment. And we do that predominantly through rebalancing actions and through asset selection and then how do we protect our book value for significant increases in interest rates, and we do that through our pay fixed swap and our option portfolio. So, it’s something that we have to do on a regular basis and we have to adjust to market conditions. And right now, mortgage durations are getting really toward the lower end of their expected range. So I don’t expect our hedge durations to move much more from where they are.
In general, the duration of our mortgage portfolio is now down to around three years. I wouldn’t expect our hedge portfolio to move much lower than that, because we always still have to be cognizant and diligent about protecting for increases in our interest rates and what that will do to our mortgage portfolio.

是。那么,再次,从利率风险的角度来看,我们总是对我们的投资组合做什么,我们明显地承担了两个主要风险,抵押基准风险和利率风险。对我们来说,显然,我们的资产是负凸的,这意味着它们在反弹情景中表现不佳,而且在抛售情景中表现不佳。因此,我们必须勤勉地保护我们的账面价值,以便在两个方向上进行利率变动。正如我所说,抵押贷款利差和利率之间往往存在相关性,而且在反弹情景中,抵押贷款利差往往会扩大。

因此,我们一直在关注我们的投资组合,并说明如何在下降的利率环境中保护我们的账面价值。我们主要通过再平衡行动和资产选择来做到这一点,然后我们如何保护我们的账面价值以显着提高利率,我们通过薪酬固定掉期和我们的期权组合来做到这一点。所以,这是我们必须定期做的事情,我们必须适应市场条件。而目前,抵押贷款的持续时间正在逐渐达到预期范围的下限。所以我不认为我们的套期保值会从它们所处的位置移动得更多。

一般来说,我们的抵押贷款组合的持续时间现在已降至三年左右。我不认为我们的对冲投资组合会远低于此,因为我们始终需要认识到并且要谨慎保护我们的利率上升以及这将对我们的抵押贷款组合产生什么影响。

Bose George

And then just going back to your comment about using more options -- options on some of the hedging side. At the end of the year, the [swaption portfolio reached] [ph] $2.6-ish billion.

然后回到你关于使用更多选项的评论 - 在一些对冲方面的选项。 截至年底,[掉期投资组合]达到[2.6]亿美元。

彼得·费德里科

Correct.

正确。

Bose George

Was that down? I mean, what were the changes in that from year end?

那是下来? 我的意思是,从年底开始的变化是什么?

彼得·费德里科

Yes. We use the options really opportunistically. And first-off, the option based hedges, the option on swaps, give us the ability to hedge for really extreme moves, for tail-risks sort of event. They’re not particularly useful to hedge small moves in interest rates. So if you think interest rates are going to be relatively range bound and let’s say they're 50 basis points or 100 basis points range, options are not a particularly good hedging vehicle. But if you are worried about significant movements in, let's say, up 100 basis points or 150 basis points in interest rates, options can be very valuable.
So we'll use them opportunistically to hedge those more extreme scenarios in the up rate. And we tend to add them when we think that they are undervalued. Meaning, we've added some recently this quarter, because interest rates were lower, right. So it gives us a lower strike on those, but also because interest rate volatility came down somewhat. So the cost of that option was cheaper.
So it was closer to the money and it was cheaper, gave us the ability to add those and so you can look for us to do that opportunistically, going forward. Again, because we still have to be cognizant about the risk of higher rates, even though the market and all the forces right now are pushing to lower rates.

是。我们非常机会地使用这些选项。首先,基于期权的套期保值,即掉期期权,使我们有能力对冲真正的极端行动,以及尾部风险类型的事件。它们对于对冲利率的小幅波动并不是特别有用。因此,如果您认为利率将受到相对区间限制,并且假设它们是50个基点或100个基点范围,那么期权并不是特别好的对冲工具。但是,如果您担心利率上升100个基点或150个基点的重大变动,期权可能非常有价值。

因此,我们将机会性地利用它们来对冲那些更加极端的情况。当我们认为它们被低估时,我们倾向于添加它们。这意味着,我们最近在本季度增加了一些,因为利率较低,正确。所以它给了我们较低的打击率,但也因为利率波动性有所下降。因此该选项的成本更便宜。

所以它更接近钱,它更便宜,给了我们添加这些的能力,所以你可以寻找我们机会主义,继续前进。同样,因为我们仍然必须认识到更高利率的风险,即使市场和现在的所有力量正在推动降低利率。

Bose George

Okay, that makes sense. And then just in terms of your -- the hedging strategy. Can you comment on how that changes or the shape of the yield curve, the flat curve and how that influences it?

好的,这是有道理的。 然后就你的 - 对冲策略而言。 您能评论一下这种变化或收益率曲线的形状,平曲线以及它对它的影响吗?

彼得·费德里科

It's challenging in this environment. For us, we tend to hedge across the yield curve to begin with. Whether yield curve was flat or steep, we tend to have a broad mix of maturities in our hedge mix, everything from one and two years out to -- as far out typically is around 15 years. So we tend to hedge a lot of that yield curve risk out.
In the current environment with the yield curve being so flat. At the margin, we will try to move some hedges around. In particular, right now, for example, the low part of the curve is really the short to immediate part of curve. So around three years to five years is really the low point in interest rates where the conversion is most significant. That would be an area where we would focus a little bit of rebalancing on in the current environment. But in general, we're going to continue to take a holistic approach to our curve exposure and have a mix of maturities in our hedge mix, regardless of the shape of the yield curve.

这在这种环境中具有挑战性。 对我们而言,我们倾向于在收益率曲线上进行对冲。 无论收益率曲线是平坦的还是陡峭的,我们的套期保值往往具有广泛的期限组合,从一年到两年不等 - 通常大约为15年。 所以我们倾向于对很多收益率曲线风险进行套期保值。

在当前环境下,收益率曲线如此平坦。 在边缘,我们将尝试移动一些对冲。 特别是,现在,例如,曲线的低部分实际上是曲线的直接部分。 所以大约三年到五年实际上是转换最重要的利率的低点。 这将成为我们在当前环境中重点关注一点点重新平衡的领域。 但总的来说,无论收益率曲线的形状如何,我们将继续对曲线暴露采取整体方法,并在我们的树篱组合中混合成熟。

Bose George

Actually just switching to prepayment. Can you talk about your expectations there, given the rate move? And then just what's the magnitude of rate decline that we need to see before something material happens there?

实际上只是转换到预付款。 考虑到利率变动,你能谈谈你的期望吗? 那么在物质发生之前我们需要看到的降幅幅度是多少?

彼得·费德里科

Well, I think to answer your last part of your question first. I think we're probably there in terms of the rate move. This incremental 25 basis points of rally that we've seen this quarter is going to materially increase prepayments in the overall market. Maybe 60% of the overall market is pre-payable at or about this level. So you're going to see a significant uptick in pre-payments. There are particular cohorts in the market today. For example, the 2018 vintage, 3.5s to 4.5s were already paying at 25 to 35 CPRs. They are going to prepay even faster in this environment. So there are generic cohorts out there that you are going to see prepayments fees north of 30%.
For our portfolio, given the high level of specified pools, I would expect an uptick in our expected CPRs, but they're much more muted CPR. For example, from the fourth quarter to the first quarter, our expected CPR, lifetime CPR increased from about the mid 8% to about the mid 10%. And if you look back historically, our overall portfolio will prepay somewhere in the mid teen, so I call it 12%, to 13%, 14%, 15% CPR. I would expect it to increase into the 12% to 13% CPR range in the second quarter given the level of rates today. Just to give you order of magnitude. I don’t expect it to get materially higher than that in terms of prepayments given the high level of prepayment protection we have in our portfolio.

好吧,我想先回答你问题的最后一部分。我认为我们可能就利率走势而言。我们在本季度看到的这一增加的25个基点的反弹将大幅增加整个市场的预付款。也许60%的整体市场预付款达到或接近这个水平。因此,您将看到预付款的显着增长。今天市场上有一些特殊的人群。例如,2018年份的葡萄酒,3.5s至4.5s已经支付了25到35个CPR。他们将在这种环境中更快地预付款。因此,在那里有一些通用的队列,你会看到30%以上的预付费用。

对于我们的投资组合,鉴于指定池的高水平,我预计我们的预期CPR会有所上升,但它们的心肺复苏率会更低。例如,从第四季度到第一季度,我们的预期心肺复苏,终生CPR从大约中间8%增加到大约中期10%。如果你回顾历史,我们的整体投资组合将在青少年中期预付,所以我称之为12%,13%,14%,15%的CPR。考虑到今天的费率水平,我预计第二季度的CPR范围将增加到12%至13%。只是为了给你数量级。鉴于我们在我们的投资组合中拥有高水平的预付款保障,我认为预付款不会高于预付款。

Bose George

Okay, great.

好,太棒了。

彼得·费德里科

And there will be a drag. Obviously, we’re amortizing when your projected lifetime CPRs increase, you’re amortizing your premium expense a little faster. That was a drag of a couple of cents in the first quarter, and could be a drag going forward.

而且会有拖累。 显然,当您的预计终身CPR增加时,我们会摊销,您将更快地分摊您的保费。 这在第一季度拖累了几美分,可能会拖累前进。

Bose George

Actually switching to just to leverage capital, et cetera. Your leverage was 9.4 at the end of the first quarter. And consistent with what you’ve been saying, it has trended up. Can you just talk about where it is now in terms -- what environment you need to see for that to move up from here?

实际上转而只是为了利用资本等等。 您在第一季度末的杠杆率为9.4。 与你所说的一致,它已趋于稳定。 你能谈谈它现在的位置 - 你需要从哪里看到这样的环境?

彼得·费德里科

Yes, we’ve talked about the fact that we thought that the new norm in the mortgage market, if you will, and certainly for AGNC was going to be to operate at higher leverage levels just in general. If you look back at us historically we operated in the seven to eight range, and we've talked about this for multiple quarters that in certain environments, we think the right leverage level is probably more in the nine to 10 range.
And for us one of the key drivers of that is the capital efficiency, which have do large parts of our broker dealer, because Bethesda Securities captive broker dealer allows us a much more efficient capital base in terms of haircuts on the funding through that vehicle versus what we get from two party repo. And that leaves us with a much more significant un-encumbered asset base, which allows us to operate with higher leverage, all other things being equal.
So first off, there is that operational aspect to it. And then the second is, what are the condition in which we’re growing to operate with higher leverage. And really we want to look at whether we think the assets are rich or cheap. And in today’s environment, I’d say we’re probably more neutral on that. But obviously, if you’re going to operate with higher leverage, you want to be confident that mortgage spreads have widened and you’re not at overexposed further spread widening. So, you want to have a view on the assets. You with want to have a view on the interest rate environment and all other things being equal, you'd want that interest rate environment to be relatively benign, so that you have lower rebalancing costs. And today, I think we have that.
And then you want to have confidence around the level and the capacity in the funding markets. And I think that the capacity in the funding markets are very good. But the overall level is not as good as it was in terms of the cost of repo funding today versus what it was a year ago, in part because we’re in this transition period with the fed. So those would be the factors that we would look at when we make a determination to operate with even higher leverage.

是的,我们已经谈过这样一个事实,即我们认为抵押贷款市场的新规范,如果你愿意的话,当然对于AGNC来说,只会在更高的杠杆水平上运作。如果你回顾我们历史上我们在七到八个范围内操作,并且我们已经在多个季度讨论了这个问题,在某些环境中,我们认为正确的杠杆水平可能更多地在9到10范围内。

对我们来说,其中一个关键驱动因素是资本效率,它们占据了我们经纪人的大部分经销商,因为Bethesda Securities专属经纪人经销商在通过该车辆提供资金方面的折扣方面为我们提供了更有效的资本基础。我们从两方回购中获得了什么。这使我们拥有了一个更为重要的无担保资产基础,这使我们能够以更高的杠杆率运作,所有其他条件都相同。

首先,它有这个操作方面。然后第二个是,我们在以更高杠杆率运营的条件是什么。我们真的想看看我们是否认为资产丰富或廉价。在今天的环境中,我会说我们可能更加中立。但显然,如果你要以更高的杠杆率运营,你就要确信抵押贷款利差已经扩大,并且你没有过度扩张,进一步扩大利差。所以,你想要了解资产。如果您想了解利率环境以及所有其他条件相同的情况,您希望利率环境相对温和,这样您的再平衡成本就会降低。而今天,我认为我们有这个。

然后,您希望对资金市场的水平和能力有信心。我认为融资市场的能力非常好。但总体水平并不像今年的回购资金成本那么好,而不是一年前,部分原因是我们正处于与美联储的这个过渡时期。因此,当我们决定以更高的杠杆率运作时,我们会考虑这些因素。

Bose George

Okay, that makes sense. And actually just a related question on the funding cost. I mean the benefits associated with the spread between repo and three month LIBOR that persisted I guess has now gone the other way. Can you talk about your expectations going forward?

好的,这是有道理的。 实际上只是一个关于融资成本的相关问题。 我的意思是与回购和三个月LIBOR之间的利差相关的好处我坚持认为现在已经走了另一条道路。 你能谈谈你的期望吗?

彼得·费德里科

Yes, that has been I think something that has surprised most market participants, if not all, in terms of the tightness that we’ve seen in the funding markets for the last five or actually six months. Just in general, repo funding has really been tight since December. And what we’re seeing today is an elevation in funding cost, I would say, in the neighbourhood of probably 10 basis points higher than I would have expected, given this level of fed funds rate. And it’s due to a number of factors there is an oversupply of treasuries in the market earlier in the year that caused repo to be a little tighter.
But we’re also seeing real tightness in the repo markets over period ends, which is indicative of intermediaries' balance sheet constraints. And we saw that at year end. We had repo rates in the three to seven range and they averaged around three and a quarter at year end. They were three and a quarter again at the end of the first quarter. And the implied funding rate into the second quarter is still around three and a quarter of 3%.
So overall, funding levels are a little higher, and I think the fed has taken note with this tightness. And one of the things that they did is they lowered the interest rate on overnight access reserves, and that has proven to help the funding markets in the last month. They're also considering putting in place a repo facility, which I think they are going to evaluate. The chairman mentioned that in his last prepared remarks that they are going to evaluate a repo facility for this. So I think the fed is going to take some actions that will help stabilize the funding markets. But overall, they are starting to improve.
But to your point, at the same time as we've seen the repo levels rise, you see LIBOR levels start to come down and that has compressed the benefit that we were earning between our repo costs and the receive leg on our pay fixed swaps. In 2018, for example, that differential was about 15 basis points. So if you think about that 15 basis points on our portfolio level, let's say 10 times to make the math simple, that’s 15 basis points times 10, that’s 1.5% ROE that we are not going to earn going forward. It's one of the reasons why we made the change to our dividend beginning of the year.
In the current environment with the fed on hold, I expect no short-term funding rates to eventually compress to the upper end of the fed effective range or to around 2.5%. And that means I don’t expect that funding benefit to materialize in 2008. I expect that spread between our repo funding and LIBOR to be close to zero as we go through the remainder of this year. So there won't be a positive tailwind from funding. But I don’t expect it to really deteriorate either. I expect it just to bounce around between positive and negative few basis points as we go forward.

是的,就我们在过去五年或实际六个月的融资市场中看到的紧张程度而言,我认为这一点让大多数市场参与者感到惊讶,如果不是全部的话。总的来说,回购资金自去年12月以来一直非常紧张。我认为,鉴于联邦基金利率这一水平,我们今天所看到的是资金成本的提升,可能比我预期的高出10个基点。而且由于许多因素导致今年早些时候市场上的国债供过于求导致回购更加紧张。

但我们也看到回购市场在期末的真实紧张,这表明中间商的资产负债表限制。我们在年底看到了这一点。我们的回购利率在三到七个范围内,并且在年底时平均约为三分之一和四分之一。在第一季度结束时,他们又三次和四分之一。而第二季度的隐含融资率仍然是三分之一和四分之一的3%。

总的来说,资金水平有点高,我认为美联储已经注意到这种紧张。他们做的其中一件事就是他们降低了隔夜准入储备的利率,事实证明这有助于上个月的融资市场。他们还在考虑建立一个回购设施,我认为他们将对此进行评估。主席提到他在上次准备的评论中表示,他们将为此评估一个回购设施。所以我认为美联储将采取一些有助于稳定融资市场的行动。但总的来说,他们正在开始改善。

但就你的观点而言,在我们看到回购水平上升的同时,你会看到伦敦银行同业拆借利率水平开始下降,这已经压缩了我们在回购成本与我们的薪酬固定掉期收益之间的收益。例如,在2018年,该差异约为15个基点。因此,如果你考虑我们投资组合水平上的15个基点,让我们说10次使数学变得简单,那就是15个基点乘以10,这是我们今后不会获得的1.5%ROE。这是我们在今年年初改变股息的原因之一。

在当前持有美联储的环境下,我预计短期融资利率不会最终压缩到美联储有效区间的上限或大约2.5%。这意味着我预计2008年的融资收益不会实现。我预计,当我们度过今年剩余时间时,我们的回购资金和LIBOR之间的利差将接近于零。所以资金不会出现积极的逆风。但我不认为它真的会恶化。我们预计,随着我们前进,它只会在正负几个基点之间反弹。

Bose George

Great. So actually just in terms of going back to Bethesda Securities, you're funding I think around 40% now the repo through them. Are there scenarios or reasons that number could go up?

大。 所以实际上就回到贝塞斯达证券来说,你是资金我认为现在大约有40%是通过他们的回购。 是否存在数量可能上升的情景或原因?

彼得·费德里科

Well, the real benefits from the Bethesda Securities, one in terms of the cost of legal funding. It's potentially wholesale funding vehicle and it gives us access to funding on average around 10 basis points cheaper than two-party repo. And as I mentioned, it also gives us the ability to optimize our capital much more efficiently. We're operating with about 40% of our funding going through Bethesda Securities. We also clear TBAs through there. It could go higher. But I think in this range, it's probably comfortable.
Obviously, for us we're always diligent about managing our liquidity. And so I want as many funding counter parties as I can, and that’s a really valuable vehicle that gives us unique access to the wholesale market. But at the same time, I’m also cognizant of the fact that I have 46 other counterparties out there that I want to continue to have active funding relationships with. So the balance is probably in that 40% to 50% range.

那么,贝塞斯达证券的真正好处,就法律融资的成本而言。 它可能是批发融资工具,它使我们获得的资金平均比两方回购便宜约10个基点。 正如我所提到的,它还使我们能够更有效地优化资本。 我们的约40%的资金通过贝塞斯达证券运营。 我们也通过那里明确了TBAs。 它可能会更高。 但我认为在这个范围内,它可能很舒服。

显然,对我们而言,我们总是勤于管理流动资金。 因此,我希望尽可能多的资助对手方,这是一个非常有价值的工具,使我们能够独特地进入批发市场。 但与此同时,我也认识到我有46个其他交易对手,我希望继续与之建立积极的资金关系。 因此,余额可能在40%至50%的范围内。

Bose George

Okay. And then can you just -- switching to dollar role. That was also a benefit versus owning MBS. How does that compare now?

好的。 然后你可以 - 转换到美元角色。 与拥有MBS相比,这也是一个好处。 现在如何比较?

彼得·费德里科

The differential between the implied funding rate and TBAs and the actual funding rate on on-balance sheet assets now have compressed meaningfully. There is still a small benefit. It’s around 10 basis points today benefit to fund a mortgage asset in derivative form of TBA versus on balance sheet. And that 10 basis points, if you look back over the longer history, is pretty consistent with the historical average, probably in the 10 basis points to 20 basis points range. And we would expect it to stay in that range. But that’s a material change from where it was for the last two or three years when the fed was very active in buying mortgages, they had a significant impact on that funding.
And that funding differential at times was very significant, 50 basis points to 100 basis points; we don’t expect that to repeat itself in the current environment; we expect it to say in that 10 or so basis point range, going forward. So there’ll be a small benefit but it's not as significant it was. And then of course we have to then compare that funding benefit to the type of mortgage that we would receive and the convexity profile of that mortgage, so that trade-off is a little more complicated today.

隐含融资利率与TBA之间的差异以及资产负债表资产的实际融资利率现在已经有了明显的压缩。仍然有一个小的好处。如今,以TBA的衍生形式和资产负债表为抵押资产提供资金约为10个基点。而那10个基点,如果你回顾一下历史较长的历史,与历史平均值非常一致,可能在10个基点到20个基点的范围内。我们希望它能保持在这个范围内。但是,与美联储在购买抵押贷款方面非常活跃的最近两三年相比,这是一个重大变化,它们对这笔资金产生了重大影响。

而且资金差异有时非常显着,50个基点到100个基点

Bose George

Actually just quickly, I just want to briefly touch on the credit side. Just what are your thoughts on the return to that market, what are you seeing out there?

实际上很快,我只想简单地谈谈信用方面。 您对返回该市场的想法是什么,您在那里看到了什么?

彼得·费德里科

Well, the credit markets continue to trade very well. And that means that credit spreads continue to be near their all-time tight levels. So we have a small capital allocation to credits, about 4% of our capital allocated to predominantly in credit risk transfers from the GSEs, which we think are really attractive assets and we’ll continue to add those opportunistically. But on a levered basis, credit assets are just not that competitive relative to Agency MBS. Levered returns in Agency MBS, as I talked about, are in the low double-digits whereas in credit, they’re still in the single-digits. And on a levered basis, credit assets for the most part are in the 5% to 10% ROE range, it’s hard to get double-digit ROE in credit if it all even possible, so I don’t expect us to move a lot of capital there, because this is simply they are always just don’t warrant it. And from our perspective, we talked about maintaining capital flexibility. At some point in the future, we do expect credit spreads to widen and we think there’ll be a better entry point.

那么,信贷市场继续交易良好。这意味着信贷利差继续接近历史最低水平。因此,我们对信贷的资本分配很小,我们的资本中约有4%主要用于GSE的信贷风险转移,我们认为这是非常有吸引力的资产,我们将继续在机会上加上这些资产。但在杠杆基础上,信贷资产与机构MBS相比并不具有竞争力。正如我所说,代理商MBS的杠杆收益率处于低位两位数,而在信贷方面,它们仍处于个位数。在杠杆基础上,信贷资产大部分都在5%到10%的净资产收益率范围内,如果一切尽可能的话,很难获得两位数的信贷ROE,所以我不希望我们移动很多那里的资本,因为这只是他们总是只是不保证。从我们的角度来看,我们谈到了保持资本灵活性。在未来的某个时刻,我们确实希望信贷息差扩大,我们认为会有更好的切入点。

Bose George

And then just last one on the dividend, you guys obviously cut it just recently. Since then I guess rates have rallied, some more prepayments have picked up. Where do you think -- how do you feel about the dividend relative to the current returns in the market?

然后只是最后一个关于红利,你们显然最近才削减它。 从那时起,我估计利率已经上涨,一些预付款已经上涨。 您认为 - 您如何看待相对于当前市场回报的股息?

彼得·费德里科

Well, when we made the change to the dividend the first quarter, we felt like we were making the change proactively. We felt like we were making it quickly in light of the new information that we’re getting in the market. Again, there was a dramatic shift from -- in market expectations from where we were in December to when the fed met in January. And that dramatically altered the expectation for interest rates going forward and for the shape of the yield curve.
We knew that the funding benefit that we earned last year was going to go away. We knew that the flatness of the yield curve would be a headwind for us. It continues to be a headwind in the current market. And in fact, the inversion has gotten a little bit worse. But we felt like we were making a change consistent with the current environment as we see it today. So, again, I think we’re in a transition period. And I think that as we go through the next one, two, or three quarters, we’re going to get better insight from how the fed is going to move. Certainly, there's lot of economic headwinds that the fed is now dealing with. And ultimately, I think market will be right. And that the next move from the fed will be an ease.

那么,当我们在第一季度改变股息时,我们觉得我们正在积极地做出改变。我们觉得我们正在根据我们在市场上获得的新信息快速制作它。再次,从市场预期到12月份到1月份美联储会面时,出现了戏剧性的转变。这极大地改变了对未来利率的预期以及收益率曲线的形态。

我们知道去年我们获得的资金利益将会消失。我们知道收益率曲线的平坦度对我们来说是一个逆风。它仍然是当前市场的逆风。事实上,倒置变得更糟。但我们觉得我们正在改变与当前环境一致的变化。所以,我认为我们处于过渡期。而且我认为,当我们经历下一个,两个或三个季度时,我们将会更好地了解美联储将如何行动。当然,美联储目前正在处理许多经济逆风。最终,我认为市场是正确的。而美联储的下一步行动将是轻松的。

问答环节

So I’m going to see if there are any questions. I think let me just switch to couple of broader questions on the mortgage market. The feds obviously continues to unwind. Given that, what are your thoughts on the mortgage basis right now?

所以我要看看是否有任何问题。 我想让我转到关于抵押贷款市场的几个更广泛的问题。 联邦政府显然继续放松。 鉴于此,您现在对抵押贷款的看法是什么?

彼得·费德里科

I think that the market has generally priced in the fed's behavior. So I don't expect a lot of mortgage basis movement in response to anything that the fed does with respect to its balance sheet unless it does something to it, and I don’t think that they will. I think that they've telegraphed pretty well their expectations there in terms of moving more into treasuries and allowing the MBS portfolio to continue to run-off. They may at some point in the future put a floor and a cap on that so that they can make sure that they run-off a similar amount every month.
I don't think the market is going to have a hard time digesting that. I think really the biggest driver of mortgage basis in the current environment is a level of interest rates. And as we go lower and prepayments pick-up, it's something that the market is going to have a little bit more difficultly digesting, and that’s going to put pressure on spreads.

我认为市场通常会定价美联储的行为。 因此,我不期望大量的抵押贷款基础运动以回应美联储对其资产负债表所做的任何事情,除非它对此有所帮助,我认为他们不会这样做。 我认为他们已经很好地表达了他们对于将更多资金投入国债并允许MBS投资组合继续流失的期望。 他们可能会在未来的某个时候为此设置一个底线和一个上限,这样他们就可以确保每个月都能获得类似的金额。

我不认为市场会很难消化它。 我认为当前环境中抵押贷款基础的最大推动因素是利率水平。 随着我们走低和预付款回升,市场将会更加难以消化,这将对利差产生压力。

Bose George

And just on the regulatory side, can you give us your thoughts on all -- the new head of the FHFA and the things you are keep an eye on there?

在监管方面,你能否告诉我们你对所有人的看法 - 新的FHFA负责人以及你在那里关注的事情?

彼得·费德里科

Well, we don’t expect a lot of change on the GSE side around the regulatory side. I will say that the UMBS is now trading for June, and that seems to be going very smoothly. I think that’s another big improvement for the GSEs in terms of their footprint. And ultimately bringing those two securities together, it's a good move for the taxpayers. And I don't expect a lot of change from the GSEs going forward. I don't expect a lot of change on the regulatory side.
There is more talk of that today within the new head of FHFA, and I know the president has a directive out there for some proposals from the treasury. We'll have to wait and see. But at the end of the day, I think that the key point is that regardless of whatever changes come to the GSE model at the margin, there is going to be the government standing behind some portion of the GSE securities, I think that that’s likely a given.

那么,我们预计监管方面的GSE方面不会发生很多变化。 我会说UMBS目前正在交易六月,而且这似乎进展顺利。 我认为这是GSE在足迹方面的又一大改进。 最终将这两种证券放在一起,对纳税人来说这是一个很好的举动。 而且我预计GSE不会发生很多变化。 我不希望监管方面有太多变化。

今天在FHFA的新负责人中有更多关于此事的讨论,我知道总统有一个指示,要求财政部提出一些建议。 我们不得不拭目以待。 但最终,我认为关键的一点是,无论GSE模型在边际发生什么变化,政府都会站在GSE证券的某些部分后面,我认为这很可能 给定的。

Bose George

Okay, and then just in terms of capital. Can you guys rate some last year, we been pretty cautious this year? Can you just talk about how you view the opportunities to grow? And conversely, see stocks below book and you guys were very good at buying back stock during distressed periods, so just your thoughts on capital?

好的,然后就资本而言。 你们这些人去年评价一下,今年我们一直非常谨慎吗? 你能谈谈你如何看待成长的机会吗? 相反,看看书下面的股票,你们非常擅长在苦恼时期回购股票,所以只是你对资本的看法?

彼得·费德里科

Yes, we raised common capital last in November and we did do one preferred transaction this year. We can talk a little bit more about that. But just in general for us as an internally managed REIT, whenever we raise capital if we can do so at a premium to our book and to the book value, we're doing it in a way that is accretive to our shareholders, both from a book value perspective and from an earnings perspective. Being internally managed when we raise capital, we're not raising incremental management fees. We're simply spreading our fixed costs over a bigger capital base, which is accretive to earnings per share. And you can see that in the way that our operating basis points have come down. We’re in about the 75 basis point range as I said at the beginning.
So, we would love to continue to grow and drive that operating cost advantage even lower, and we think we can. But that’s not the only input and in fact as you grow in scale that input becomes a little less important. We’ll continue to look at where our price is relative to book value, and we want to raise capital when we feel like it's accretive to our shareholders. But importantly, we also have to have attractive investment opportunities. And that’s a little more challenging in the current environment. So, we’re going to continue to look at all of those factors holistically and make decisions on our capital base that we’re confident are accretive to our shareholders.

是的,我们去年11月筹集了共同资金,今年我们做了一笔首选交易。我们可以多谈一谈。但就我们作为一个内部管理的房地产投资信托基金来说,只要我们筹集资金,如果我们能够以高于我们的账面价值和账面价值的方式筹集资金,我们就会以一种增加股东的方式来筹集资金。从收益角度看书籍价值观。在我们筹集资金时进行内部管理,我们不会提高管理费。我们只是将固定成本分摊到更大的资本基础上,从而增加每股收益。你可以看到我们的运营基点已经下降的方式。正如我在开始时所说的那样,我们处于大约75个基点的范围内。

因此,我们希望继续发展并将运营成本优势降低,我们认为我们可以。但这不是唯一的输入,事实上随着规模的增长,输入变得不那么重要了。我们将继续关注我们的价格相对于账面价值的位置,并且当我们认为它会增加股东的利益时,我们希望筹集资金。但重要的是,我们还必须拥有有吸引力的投资机会。在当前的环境中,这更具挑战性。因此,我们将继续从整体上考虑所有这些因素,并在我们的资本基础上做出决策,我们有信心增加我们的股东。

Bose George

Okay. And let me see if there is any questions from the audience. Okay, I think our time is almost up, so we'll stop there. Thank you. Thank you very much.

好的。 让我看看观众是否有任何问题。 好吧,我认为我们的时间差不多了,所以我们会停在那里。 谢谢。 非常感谢你。

彼得·费德里科

Thank you very much.

非常感谢你。

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