Armour 住宅房產信托 (ARR) 2023 Q1 法說會逐字稿

Good morning, and welcome to ARMOUR Residential REIT's First Quarter 2023 earnings conference call. (Operator Instructions) Please note, this event is being recorded. I would now like to turn the conference over to Jim Mountain, Chief Financial Officer. Please go ahead.

早上好，歡迎來到 ARMOR Residential REIT 的 2023 年第一季度收益電話會議。 （操作員說明）請注意，正在記錄此事件。我現在想將會議轉交給首席財務官 Jim Mountain。請繼續。

Thank you, Andrew, and thank you all for joining our call to discuss ARMOUR's first quarter 2023 results. This morning, I'm joined by ARMOUR's Co-CEOs, Scott Ulm and Jeff Zimmer; and by Mark Gruber, our CIO.

謝謝安德魯，也感謝大家加入我們討論 ARMOUR 2023 年第一季度業績的電話會議。今天早上，ARMOUR 的聯席首席執行官 Scott Ulm 和 Jeff Zimmer 加入了我的行列；以及我們的首席信息官馬克·格魯伯 (Mark Gruber)。

By now, everyone has access to ARMOUR's earnings release, which can be found on ARMOUR's website, www.armourreit.com. This conference call includes forward-looking statements, which are intended to be subject to the safe harbor protection provided by the Private Securities Litigation Reform Act of 1995. The Risk Factors section of ARMOUR's public reports filed with the Securities and Exchange Commission, described certain factors beyond ARMOUR's control that could cause actual results to differ materially from those expressed in or implied by these forward-looking statements.

到目前為止，每個人都可以訪問 ARMOUR 的收益發布，可以在 ARMOUR 的網站 www.armourreit.com 上找到。本次電話會議包含前瞻性陳述，這些陳述旨在受 1995 年《私人證券訴訟改革法案》提供的安全港保護。ARMOUR 向美國證券交易委員會提交的公開報告中的風險因素部分描述了某些因素超出 ARMOUR 的控制範圍，可能導致實際結果與這些前瞻性陳述中明示或暗示的結果存在重大差異。

Those periodic filings can be found on ARMOUR's SEC -- on the SEC's website at www.sec.gov. All of today's forward-looking statements are subject to change without notice. We disclaim any obligation to update them unless required to do so by law. Also, today's discussion refers to certain non-GAAP measures. These measures are reconciled to comparable GAAP measures in our earnings release. An online replay of this conference call will be available on ARMOUR's website shortly and will continue for 1 year.

這些定期提交的文件可以在 ARMOUR 的 SEC 上找到——在 SEC 的網站 www.sec.gov 上。今天的所有前瞻性陳述如有更改，恕不另行通知。除非法律要求，否則我們不承擔任何更新它們的義務。此外，今天的討論涉及某些非 GAAP 措施。這些措施與我們的收益發布中的可比 GAAP 措施相一致。此電話會議的在線重播將很快在 ARMOUR 的網站上提供，並將持續 1 年。

ARMOUR's Q1 comprehensive loss related to common stockholders was $22.8 million, which includes $31.4 million of GAAP net loss. Net interest income was $12 million, and net interest margin for the quarter was 1.97%. Distributable earnings available to common stockholders was $49.3 million or $0.27 per common share. This non-GAAP measure is defined as net interest income plus TBA drop income adjusted for the net coupon effective interest rate swaps and then minus our net operating expenses.

ARMOUR 第一季度與普通股股東相關的綜合虧損為 2280 萬美元，其中包括 3140 萬美元的 GAAP 淨虧損。淨利息收入為 1200 萬美元，本季度淨息差為 1.97%。可供普通股股東分配的可分配收益為 4930 萬美元或每股普通股 0.27 美元。這種非 GAAP 衡量標準被定義為淨利息收入加上根據淨息票實際利率掉期調整的 TBA 下降收入，然後減去我們的淨運營費用。

ARMOUR Capital Management is continuing to waive a portion of their management fees. They waived million $1.65 million for Q1, which offsets operating expenses. The waiver will continue until further notice. ARMOUR paid monthly common dividends of $0.10 per share for January, $0.10 for February and $0.08 for March for a total of $0.28 for the quarter.

ARMOR Capital Management 繼續免除部分管理費。他們為第一季度放棄了 165 萬美元，這抵消了運營費用。豁免將持續到另行通知為止。 ARMOR 在 1 月份每月支付每股 0.10 美元的普通股息，2 月份支付 0.10 美元，3 月份支付 0.08 美元，本季度總計 0.28 美元。

We have maintained the $0.08 per share common dividend rate for April and May. As we've discussed in our previous calls, our aim is to pay an attractive dividend that is appropriate in context and stable over the medium term. We keep an eye on economic conditions and the ARMOUR Board believes that this dividend rate achieves those objectives.

我們維持 4 月和 5 月每股 0.08 美元的普通股息率。正如我們在之前的電話會議中所討論的那樣，我們的目標是支付有吸引力的股息，這種股息在環境中是合適的，並且在中期保持穩定。我們密切關注經濟狀況，ARMOR 董事會認為這種股息率可以實現這些目標。

Taken together with contractual dividends on the preferred stock, ARMOUR has made cumulative distributions to stockholders of more than $2 billion over our history.

加上優先股的合同股息，ARMOR 在我們的歷史上已經向股東累計分配了超過 20 億美元。

During the first quarter, we issued 29,862,647 shares of our common stock through our ATM program, raising $181.2 million of capital after fees and expenses. That represents average net proceeds of $6.07 per share. During the first quarter, we also repurchased 842,927 shares of common stock at an average net cost of $5.11 per share. That was under our outstanding repurchase authorizations.

第一季度，我們通過 ATM 計劃發行了 29,862,647 股普通股，扣除費用和支出後籌集了 1.812 億美元的資金。這意味著每股平均淨收益為 6.07 美元。第一季度，我們還以每股 5.11 美元的平均淨成本回購了 842,927 股普通股。那是在我們未完成的回購授權下。

By accretively managing our common share count, we were able to add $0.06 per share of value for common shareholders. In addition to providing capital to take advantage of appealing current investment opportunities, share issuances build a larger base over which to spread are mostly fixed running costs. So far in Q2 2023, we issued 3,509,700 shares. That brings our common share count to 192,512,577 as of today. Quarter end book value was $5.44 per common share, our most current available estimate of book value is as of Monday night, April 24, we estimate that book value was $5.30 per common share. We increased the regulatory capital at our broker dealer affiliate, BUCKLER Securities to $203 million, BUCKLER continues to represent a strategic advantage for over by providing repo funding ATM placement and other capital market access.

通過增值管理我們的普通股數量，我們能夠為普通股股東增加每股 0.06 美元的價值。除了提供資本以利用當前有吸引力的投資機會外，股票發行還建立了一個更大的基礎，可以在該基礎上分攤大部分固定運營成本。到 2023 年第二季度為止，我們發行了 3,509,700 股股票。截至今天，這使我們的普通股數量達到 192,512,577 股。季度末賬面價值為每股普通股 5.44 美元，我們最新的賬面價值估計是截至 4 月 24 日星期一晚上，我們估計賬面價值為每股普通股 5.30 美元。我們將我們經紀交易商附屬公司 BUCKLER 證券的監管資本增加到 2.03 億美元，BUCKLER 通過提供回購資金 ATM 配售和其他資本市場准入，繼續代表 over 的戰略優勢。

Finally, I'd like to remind all of our shareholders of the annual meeting for ARMOUR Residential REIT. It will be held at 8 a.m. Eastern Time next Thursday May 4. We received proxies representing a quorum of shares eligible to vote and all matters have strong support. However, a number of shares eligible to vote have not yet provided their proxies. We encourage all shareholders to return their proxies and to participate in your annual meeting next week. Shareholders contact the brokers if they need another copy of their proxy materials.

最後，我想提醒我們所有的股東注意 ARMOR Residential REIT 的年會。它將於 5 月 4 日下週四東部時間上午 8 點舉行。我們收到了代表法定人數有資格投票的股份的代理人，所有事項都得到了強有力的支持。然而，一些有資格投票的股票尚未提供他們的代理人。我們鼓勵所有股東交回他們的委託書並參加下週的年度會議。如果股東需要代理材料的另一份副本，請聯繫經紀人。

Now let me turn the call over to Co-Chief Executive Officer, Scott Ulm. Scott?

現在讓我把電話轉給聯席首席執行官斯科特烏爾姆。斯科特？

Thanks, Jim. In January 2023, the Agency MBS index delivered the third best monthly total return since 1989, reflecting the value proposition mortgage spreads after their worst 1-year performance on record in 2022. Despite positive fund inflows back into MBS and the broader fixed income markets in the first quarter of this year, the elevated levels of volatility and deep conversion along the treasury yield curve are keeping many investors on the sidelines. This is evidenced by the significant increase in the sizes of money market bonds and the Federal Reserve's reverse repo program.

謝謝，吉姆。 2023 年 1 月，機構 MBS 指數實現了自 1989 年以來第三高的月度總回報，反映了價值主張抵押貸款利差在 2022 年創下有記錄以來最差的 1 年表現之後。儘管資金正流入 MBS 和更廣泛的固定收益市場今年第一季度，美國國債收益率曲線的高波動性和深度轉換讓許多投資者保持觀望。貨幣市場債券規模的顯著增加和美聯儲的逆回購計劃證明了這一點。

Moreover, the failure of Silicon Valley Bank and Signature Bank, this spring resulted in an FDIC portfolio with more than $100 billion of MBS to be liquidated over the course of the next 10 months. As of this week, the sales of the bank bonds and FDIC receivership of (inaudible) plans course gradual and orderly. However, Tuesday's headline that First Republic may sell up to $100 billion in assets to raise liquidity stoked additional fear of a lingering banking contingent.

此外，今年春天矽谷銀行和 Signature Bank 的倒閉導致 FDIC 投資組合中超過 1000 億美元的 MBS 在未來 10 個月內被清算。截至本週，銀行債券的銷售和 FDIC 接管（聽不清）計劃正在逐步有序進行。然而，週二有關 First Republic 可能出售高達 1000 億美元資產以提高流動性的標題引發了對揮之不去的銀行業隊伍的額外擔憂。

While most of these assets are presumed to be non-agency mortgage loans, the headlines caused MBS spreads to widen approximately 5 to 10 basis points. This has left investors demanding an additional discount to absorb the unanticipated supply. Despite all these challenges, the spreads on MBS have remained tighter versus the wide seen last fall, implying that there is a significant appetite for mortgage assets near their current valuations. We're confident that highly liquid U.S. government-sponsored mortgage-backed securities, trading at multi-decade widespreads with muted refinance activity will grow increasingly attractive to the investor base in 2023.

雖然這些資產中的大部分被假定為非機構抵押貸款，但這些消息導致 MBS 利差擴大了約 5 至 10 個基點。這使得投資者要求額外的折扣來吸收意外的供應。儘管面臨所有這些挑戰，MBS 的息差與去年秋天的寬幅相比仍然收窄，這意味著人們對接近其當前估值的抵押貸款資產有很大的興趣。我們相信，美國政府支持的高流動性抵押貸款支持證券在 2023 年以數十年的廣泛交易和低迷的再融資活動對投資者群體產生越來越大的吸引力。

ARMOUR continues to pursue favorable investment opportunities while growing the portfolio, adding $3 billion of mortgage-backed securities since year-end, bringing total portfolio size to just over $11.9 billion. Visual and tight valuations and relative richness and deep discount coupons, ARMOUR sold the remainder of our Fannie 2 and 2.5 coupon positions early in the first quarter. Proceeds were reinvested into new higher-yielding current coupon mortgages. Sales proved to be well timed as lower coupon MBS accounting for most of the securities transferred into FDIC receivership from the 2 failed bags.

ARMOR 在擴大投資組合的同時繼續尋求有利的投資機會，自年底以來增加了 30 億美元的抵押貸款支持證券，使投資組合的總規模達到略高於 119 億美元。直觀和緊縮的估值以及相對豐富和大幅折扣優惠券，ARMOR 在第一季度初出售了我們剩餘的 Fannie 2 和 2.5 優惠券頭寸。收益被重新投資於新的更高收益的當前息票抵押貸款。事實證明，出售的時機恰到好處，因為低息 MBS 佔從 2 個失敗的袋子轉移到 FDIC 接管的大部分證券。

ARMOUR continue to hedge our exposure to FDIC held assets by decreasing our 30-year 3% MBS bucket from 7.1%, down to just about 1% of total portfolio value. We are closely monitoring the ongoing FDIC liquidation for the opportunity to buy back lower coupons once spreads are for a discount versus that in the higher coupon production MBS. Our leverage flows the quarter at 8.7x and currently sits at 9x. A number of attractive valuations, yet is prudent enough to stand still elevated in the highly unpredictable levels of daily market volatility. A Additionally, ARMOUR maintains healthy levels of available liquidity at $590 million, which includes cash, unleveraged securities and principal and interest as of the 24th of April.

ARMOR 繼續對沖我們對 FDIC 持有資產的敞口，將我們 30 年期 3% MBS 的比例從 7.1% 降至僅佔投資組合總價值的 1% 左右。我們正在密切關注正在進行的 FDIC 清算，以便有機會在利差相對於較高息票生產 MBS 的折扣時回購較低息票。我們本季度的槓桿率為 8.7 倍，目前為 9 倍。許多有吸引力的估值，但足夠謹慎，可以在高度不可預測的日常市場波動水平中保持高位。 A 此外，截至 4 月 24 日，ARMOR 的可用流動資金保持在 5.9 億美元的健康水平，其中包括現金、無槓桿證券以及本金和利息。

Our purchased MBS are concentrated in the most liquid, low premium bank service production coupon pools featuring more favorable geographics, LTVs, FICO scores and loan balance characteristics versus generic production cohorts. We continue to favor these lower payoff premium specified stories, which we believe will perform best when volatility reverts to its historical norms. These investments also reflect historically low prepayment risk as the MBA Finance Index has remained at suppressed levels.

我們購買的 MBS 集中在最具流動性、低溢價的銀行服務生產優惠券池中，與一般生產隊列相比，具有更有利的地理、LTV、FICO 分數和貸款餘額特徵。我們繼續看好這些特定收益溢價較低的故事，我們認為當波動性恢復到其歷史常態時，這些故事將表現最佳。這些投資還反映了歷史上較低的提前還款風險，因為 MBA 金融指數一直處於受抑制的水平。

ARMOUR's average prepayment rate for all MBS assets in the first quarter of 2023 was 4.7 CPR and still a very low 6.7 CPR for April. Although mortgage rates have already declined from the highs of 7.2% in early November last year, to 6.5% in mid-April 2023, a substantial refinancing wave would require mortgage rates to fall below 5%.

ARMOUR 在 2023 年第一季度所有 MBS 資產的平均提前還款率為 4.7 CPR，4 月份仍為非常低的 6.7 CPR。儘管抵押貸款利率已經從去年 11 月初的 7.2% 的高位下降至 2023 年 4 月中旬的 6.5%，但大規模的再融資浪潮將要求抵押貸款利率降至 5% 以下。

ARMOUR continues to fund just over 50% of our borrowers through our broker-dealer affiliate BUCKLER Securities. Despite margin's precipitous drop in liquidity within the interbank lending community itself, Agency repo funding remained on a strong footing throughout the quarter, with spreads ranging from 10 to 20 basis points above the several benchmark. The enormous supply of cash for money market funds combined with a growing shortage of (inaudible) 2 bills have created incredibly liquid conditions for overnight agency repo and term agency repo funding that benefit ARMOUR.

ARMOR 繼續通過我們的經紀自營商附屬公司 BUCKLER Securities 為超過 50% 的借款人提供資金。儘管銀行同業拆借界本身的保證金流動性急劇下降，但機構回購融資在整個季度仍保持強勁勢頭，利差比幾個基準高出 10 到 20 個基點。貨幣市場基金的大量現金供應加上（聽不清）2 票據的日益短缺，為隔夜機構回購和定期機構回購融資創造了令人難以置信的流動性條件，有利於 ARMOUR。

The weighted average haircut on our repo book remained exceptionally low at 2.6% as of the 24th of April. As we've always noted, we set our dividend to be appropriate for the medium term. We will, as always, continue to evaluate the level of dividend. We are also mindful that this environment can deliver upside surprises as well that can move our metrics. So thanks for that, and over to you, Jim.

截至 4 月 24 日，我們回購賬簿的加權平均折扣率仍然非常低，為 2.6%。正如我們一直指出的那樣，我們將股息設定為適合中期。我們將一如既往地繼續評估分紅水平。我們還注意到，這種環境也可以帶來驚喜，從而改變我們的指標。所以謝謝你，吉姆。

Let's take some questions. Andrew?

讓我們提出一些問題。安德魯？

(Operator Instructions) The first question comes from Trevor Cranston with JMP Securities.

（操作員說明）第一個問題來自 JMP 證券公司的 Trevor Cranston。

You guys talked a little bit about the pending sales of the failed bank portfolios. And you briefly mentioned the prospect of another bank selling assets. Can you comment in general on how you guys are thinking about the potential risk of maybe some other banks needing to sell MBS as a risk on top of the sales that we already know about happening.

你們談了一些關於失敗的銀行投資組合的未決銷售。你簡要提到了另一家銀行出售資產的前景。您能否總體評論一下你們是如何考慮其他一些銀行可能需要出售 MBS 的潛在風險的，這是我們已經知道正在發生的銷售之上的風險。

It's Jeff Zimmer here. Thanks for dialing in. As long as volatility stays where it is and the Federal Reserve continues to tighten, which we do expect another 25 basis points at the next meeting. There is risk of a bank having to sell more assets, and we are strictly aware of that. And that's why we continue to keep large amounts of liquidity on hand, as Scott mentioned in his comments, and we will continue to approach the mortgage market as a long-term investor, and we will take advantage of some of these wider spreads, and we also have dry powder if we want to use it, but we are very aware that there are risks out there.

我是傑夫齊默。感謝您的撥入。只要波動性保持不變並且美聯儲繼續收緊政策，我們預計下次會議將再收緊 25 個基點。銀行存在不得不出售更多資產的風險，我們非常清楚這一點。這就是為什麼我們繼續手頭保留大量流動性，正如斯科特在他的評論中提到的那樣，我們將繼續作為長期投資者接近抵押貸款市場，我們將利用其中一些更廣泛的利差，並且如果我們想使用它，我們也有乾粉，但我們非常清楚那裡存在風險。

Okay. Got it. And then it looks like you guys added some swaps during the quarter. Can you just give the details on kind of what the maturity of the newly added swaps?

好的。知道了。然後看起來你們在本季度增加了一些互換。您能否詳細說明新增互換的到期日？

Sure. And this is Jeff. It's interesting because we're talking about this in our Board meeting the other day. So two things going there. The average weighted maturity of our OTC swaps is 75 months right now. But we have been managing off of OTC swaps over to exchange trade swaps and they're a little shorter that we've been putting on, apparently because they're much lower haircuts. And Mark you could perhaps provide some detail on the recent exchange rate swaps that we put on the books.

當然。這是傑夫。這很有趣，因為前幾天我們在董事會會議上討論過這個問題。所以有兩件事。我們場外掉期的平均加權期限目前為 75 個月。但我們一直在管理場外交易掉期交易，轉而進行交易所交易掉期交易，而且它們比我們一直在使用的要短一些，顯然是因為它們的折扣要低得多。馬克，你或許可以提供一些關於我們記錄在案的近期匯率掉期的細節。

Sure. So the cleared swaps are 1- to 3-year swaps you put on really to protect the front end of the curve. The bilateral swaps, the existing book is mainly longer term.

當然。因此，清算掉期是 1 到 3 年的掉期，你真正為了保護曲線的前端。雙邊互換，現有賬面主要是長期的。

The next question comes from Doug Harter with Credit Suisse.

下一個問題來自瑞士信貸的 Doug Harter。

You just mentioned keeping dry powder. I guess how would you size the amount of dry powder in terms of leverage that you think you could add? And what would be the conditions that would cause you to want to deploy some of that dry powder?

你剛才提到保留乾粉。我想你會如何根據你認為可以增加的槓桿來調整乾粉的數量？什麼條件會導致你想要部署一些幹火藥？

Thank you. And thanks for continuing to write about ARMOUR. We appreciate that, and we wish you the best of luck with the Credit Suisse merger. A couple of things -- you're very welcome. A couple of things here. We have probably another full turn of capabilities to invest in mortgage-backed securities.

謝謝。感謝您繼續撰寫有關 ARMOUR 的文章。我們對此表示讚賞，並祝您在瑞士信貸的合併中一切順利。有幾件事——不客氣。這裡有幾件事。我們可能又一次完全有能力投資抵押貸款支持證券。

I think our team would rather see it slightly tighter, and that would indicate that the market in general is now willing to or have accepted the fact many of the securities that are for sale have been absorbed into the pricing structure of the MBS market.

我認為我們的團隊寧願看到它稍微收緊，這表明市場現在普遍願意或已經接受許多待售證券已被吸收到 MBS 市場的定價結構中的事實。

So if it widens a little bit more, we'll be there to watch and perhaps invest at that point. But we want to see others invest. It is our belief that we're not going to see large bank investing, Doug, the investing is going to come from a privately managed funds or hedge funds but not banks. So we're going to be aware. We talk to our counterparties on the street. We get a general feeling of who's now involved in the market, where things are and then we'll deploy some money. I suspect that that's not this month. It is a longer-term perspective than it will be over the next couple of quarters. So I hope that answers your question.

因此，如果它再擴大一點，我們將在那裡觀看並可能在那時進行投資。但我們希望看到其他人投資。我們相信我們不會看到大型銀行投資，道格，投資將來自私人管理基金或對沖基金，而不是銀行。所以我們要注意。我們在街上與我們的交易對手交談。我們大致了解誰現在參與了市場，事情在哪裡，然後我們將部署一些資金。我懷疑那不是這個月。這是一個比未來幾個季度更長遠的觀點。所以我希望這能回答你的問題。

Yes, absolutely. And then just on the funding market, what are you seeing around debt feeling debate, anything around those maturities? And how does BUCKLER help kind of in that context?

是的，一點沒錯。然後就融資市場而言，您對債務感覺辯論有何看法，圍繞這些期限的任何事情？ BUCKLER 在這種情況下如何提供幫助？

BUCKLER helps a lot, and that's why we went ahead and started in 2016 of putting together the BUCKLER structure. And we are very fortunate to have direct access into that whole system. And we also get very, very good color of from BUCKLER. Now I'll hand it over to Mark to talk about specific rates and where they are out in the curve. But generally, we feel very comfortable doing a lot of overnight with BUCKLER we wouldn't feel as comfortable doing it with our other 20 some other counterparties in the repo market because the will and changes probably may approach the markets could happen in any single day. So we have great security and the fact that we can go through the banking system with BUCKLER.

BUCKLER 提供了很多幫助，這就是我們在 2016 年繼續並開始組裝 BUCKLER 結構的原因。我們非常幸運能夠直接訪問整個系統。我們還從 BUCKLER 獲得了非常非常好的顏色。現在我將把它交給馬克來談談具體的利率以及它們在曲線中的位置。但總的來說，我們對與 BUCKLER 一起做很多隔夜感到非常自在，我們對與回購市場上的其他 20 個其他交易對手做這件事感覺不太舒服，因為意願和變化可能會在任何一天內發生在市場上.所以我們有很大的安全性，而且我們可以使用 BUCKLER 通過銀行系統。

And then Mark, perhaps just talk a little bit about different maturities and where we are there and the cost of those maturities and the access to it.

然後馬克，也許只是談談不同的期限以及我們在那裡的位置以及這些期限的成本和獲得它的機會。

Yes, sure. So we don't see any issue with repo both overnight or term. Obviously, we do a lot more overnight with BUCKLER than we would with anybody else just because of our relationship, but that funding has been great. There -- I haven't heard really any talk on -- from our repo counterparties about the debt ceiling and its impact. I think because of the debt ceiling because of the banks, a lot of people want to be in repo. So it's actually helped us. And like Scott said in his remarks, SOFR plus 10% to 15% is kind of what we're seeing across maturities it widened a little bit at one point when we were kind of in the middle of the SVB and Signature Banking crisis, but it came back with no issue. So we see plenty of liquidity in the repo and financing markets.

是的，當然。因此，無論是隔夜回購還是長期回購，我們都沒有看到任何問題。顯然，由於我們的關係，我們一夜之間與 BUCKLER 一起做的事情比我們與其他任何人一起做的要多得多，但這筆資金一直很好。在那裡——我還沒有真正聽到任何關於我們的回購交易對手關於債務上限及其影響的談話。我認為由於銀行的債務上限，很多人都希望進行回購。所以它實際上幫助了我們。就像 Scott 在他的評論中所說的那樣，SOFR 加 10% 到 15% 是我們在 SVB 和 Signature Banking 危機中的某一時刻看到的，它在某個時候擴大了一點，但是它毫無問題地回來了。因此，我們在回購和融資市場上看到大量流動性。

The next question comes from Christopher Nolan with Ladenburg Thalman.

下一個問題來自 Christopher Nolan 和 Ladenburg Thalman。

What is -- if you guys can give an update in terms of where you're seeing the investment spreads, particularly funding costs in the second quarter to date?

什麼是 - 如果你們可以就投資利差的位置提供最新信息，特別是迄今為止第二季度的融資成本？

Sure, Mark. You want to detail that?

當然，馬克。您想詳細說明嗎？

You said funding cost?

你說資金成本？

Funding cost.

資金成本。

So low 5s is where we're seeing repo. So somewhere 5.15, 5. 10, somewhere just depends on the surety in counterparty for about a 30-day term.

如此低的 5s 是我們看到回購的地方。因此，某處 5.15、5.10，某處僅取決於交易對手的擔保期限約為 30 天。

Okay, then. Given that, I mean, how should we think about the earnings power for the company in terms of sustaining the current $0.28 dividend -- excuse me, $0.24 dividend.

好吧。鑑於此，我的意思是，我們應該如何考慮公司在維持當前 0.28 美元的股息方面的盈利能力——對不起，0.24 美元的股息。

Good morning. So right, as Jim said in his comments and quite frankly, as we've said in the last 10 to 12 earnings calls, we set the dividend based on the medium term. And right now, we think that the $0.08 dividend on a monthly basis suits the investment opportunities on the medium term. Now as actually, Doug Harter reflected in an earlier report on ARMOUR some of the earnings and quite a bit of it actually comes from our well-managed swap position that we put on in April and May of 2020 when rates were very low. As a matter of fact, it was noted in the Board meeting on Tuesday that we actually had a swap where they had paid us on both sides that just rolled off who were starting to see that go.

早上好。如此正確，正如吉姆在評論中所說，坦率地說，正如我們在過去 10 到 12 次財報電話會議中所說，我們根據中期設定股息。現在，我們認為每月 0.08 美元的股息適合中期投資機會。實際上，Doug Harter 在早些時候關於 ARMOR 的一份報告中反映了一些收益，其中相當一部分實際上來自我們在 2020 年 4 月和 5 月利率非常低時建立的管理良好的掉期頭寸。事實上，在星期二的董事會會議上指出，我們實際上進行了互換，他們已經向我們支付了雙方的款項，而雙方剛剛開始看到這一點。

But Fannie 6s are trading around par. So they're yielding 6%. Funding is at 5%. So it gives you 100 basis points times 8, there's only 8% right there, and then you have some overhead costs as well, correct? So where does that funding power comes from that large swap position. But 75 months left on that swap position, as I noted earlier, on the over-the-counter swaps. So it does provide earnings power. And the reason you set up those swap positions exactly for situations like this, okay?

但 Fannie 6s 的交易價格接近平價。所以他們的收益率是 6%。資金是5%。所以它給你 100 個基點乘以 8，那裡只有 8%，然後你還有一些管理費用，對嗎？那麼，這種融資能力來自於那個巨大的掉期頭寸。但正如我之前提到的，場外掉期掉期頭寸還剩 75 個月。所以它確實提供了盈利能力。以及你為這種情況設置這些交換頭寸的原因，好嗎？

If you -- if we sense that rates for some reason, we're going to go dramatically lower both on the short end or even on the 10-year, we might actually unwind some of those swaps. But right now, we put on those positions 3-plus years ago. exactly where we want to be, and we're getting the benefit of it today. So I hope that answers your question.

如果你 - 如果我們出於某種原因感覺到利率，我們將在短期甚至 10 年期大幅降低，我們實際上可能會解除其中一些掉期。但現在，我們在 3 年多前就開始了這些職位。正是我們想要成為的地方，我們今天正在從中受益。所以我希望這能回答你的問題。

The next question comes from Matthew Howlett with B. Riley.

下一個問題來自 Matthew Howlett 和 B. Riley。

Jeff. On the prepayments outlook, I just things already ticked up, obviously off a very, very low rate in the winter. Is it seasonal in nature? And then what's the outlook for speeds. It just seems like the housing market much stronger than I think people would have imagined at this point in the cycle. Any sort of update on where speeds to go for 5 or 6 coupon?

傑夫。關於預付款前景，我只是事情已經開始了，顯然在冬天的利率非常非常低。它是季節性的嗎？然後速度的前景如何。看起來房地產市場比我認為人們在周期的這個時候想像的要強勁得多。關於 5 或 6 優惠券的速度的任何更新？

Sure. We as a company -- Mark, please go ahead.

當然。我們作為一家公司 -- 馬克，請繼續。

Sure. So we expect prepayments to increase over the next 2 months, probably up 20%, that's for our portfolio. That's what we're expecting based on where rates are today, the pull-through of rates versus over time. So again, we plan for that. It still won't be a surprise. But rates are -- mortgage rates are lower than they were at peak.

當然。因此，我們預計未來 2 個月的預付款會增加，可能會增加 20%，這是我們的投資組合。這就是我們根據今天的利率水平、利率隨時間的變化而做出的預期。所以，我們再次為此計劃。它仍然不會是一個驚喜。但利率——抵押貸款利率低於峰值。

Is there (inaudible) when you -- I see a lot of this is going to be dependent on the Fed, but there were some changes recently at the FHFA GP. And just curious, what do you think of those, first of all, in terms of investment in selection? And then, are you still focused on sort of the specified pool or credit impaired nature? And how are you approaching investing higher up in the coupon today given obviously they could be cutting rates here the back half of the year and mortgage rates could be a lot lower at some point.

有沒有（聽不清）當你 - 我看到很多這將取決於美聯儲，但最近 FHFA GP 發生了一些變化。只是好奇，首先，在選擇投資方面，您如何看待這些？然後，您是否仍然專注於某種特定的資金池或信用減值性質？考慮到今年下半年他們可能會在這裡降息，並且抵押貸款利率在某個時候可能會低很多，您今天如何接近投資更高的息票。

So we have structured the portfolio and higher coupons because of the wider spreads, but it's the other reason why we -- our duration is higher than we probably would have been in a normal environment where the rate -- the Fed has been continuing to raise rates. And that's to balance that effect of if rates do rally and we do get prepayments to increase more than we expect, we have duration on to protect us against that. So it is a balance we try to maintain.

因此，由於利差擴大，我們已經構建了投資組合和更高的票息，但這是我們的另一個原因 - 我們的久期比我們在利率的正常環境下可能更高 - 美聯儲一直在繼續加息費率。這是為了平衡如果利率確實上漲並且我們確實使預付款增加超過我們預期的影響，我們有持續時間來保護我們免受這種影響。所以這是我們試圖保持的平衡。

And you can get you can get that duration on your balance sheet by also using treasuries in the future. So you have your mortgage core position, you have your hedge core position, then you can manage it with very liquid other products. I believe your duration today, Mark, is 0.82 to 0.88 area. So that's the benefit that he's talking about that.

而且你可以通過在未來使用國庫券來獲得你的資產負債表上的持續時間。所以你有你的抵押貸款核心頭寸，你有你的對沖核心頭寸，然後你可以用流動性很強的其他產品來管理它。馬克，我相信你今天的持續時間是 0.82 到 0.88 區域。這就是他所說的好處。

Right. You guys have been very active with that. And then just any comments on the changes with the g-fee.

正確的。你們對此非常積極。然後就是對 g-fee 所做的更改的任何評論。

Mark?

標記？

Would say, we're taking into account when we look at asset selection. But we are, for the most part, looking at bonds that have low pay-ups because that's where we like to play because we don't want that additional risk of having big pay-ups that could evaporate in different scenarios. And again, it's part of our liquidity management. If you remember back in 2020, pay-ups on liquid MBS basically evaporated. They went to zero or negative in some cases. So that's one of our risk management techniques is to keep in lower pay-ups and to find bonds that have characteristics that we like where we're not paying up a lot for it.

會說，我們在考慮資產選擇時會考慮在內。但在大多數情況下，我們正在尋找支付低的債券，因為這是我們喜歡玩的地方，因為我們不希望在不同情況下可能蒸發的大額支付帶來額外風險。同樣，這是我們流動性管理的一部分。如果您還記得在 2020 年，流動性 MBS 的分期付款基本上消失了。在某些情況下，它們變為零或負數。因此，我們的風險管理技術之一是保持較低的支付，並找到具有我們喜歡的特徵的債券，而我們不會為此付出太多。

This concludes our question-and-answer session. I would like to turn the conference back over to Jim Mountain for any closing remarks.

我們的問答環節到此結束。我想把會議轉回 Jim Mountain 聽取閉幕詞。

Thank you, Andrew, and thanks to everyone who's joined us this morning and one final shout out to all the shareholders that have dialed in on the internet or hear this shortly on replay. We look forward to having you join us this time next week for our annual meeting. Until then, stay safe.

謝謝你，安德魯，感謝今天早上加入我們的每一個人，最後向所有在互聯網上撥入電話或很快在重播中聽到這一點的股東大喊一聲。我們期待著您在下週的這個時候加入我們的年度會議。在那之前，注意安全。

The conference has now concluded. Thank you for attending today's presentation. You may now disconnect.

會議現已結束。感謝您參加今天的演講。您現在可以斷開連接。