Armour 住宅房產信托 (ARR) 2025 Q1 法說會逐字稿

Good day, and welcome to ARMOUR Residential REIT's first-quarter 2025 earnings conference call. (Operator Instructions) Please note the event is being recorded.

大家好，歡迎參加 ARMOUR Residential REIT 2025 年第一季財報電話會議。（操作員指示）請注意，該事件正在被記錄。

I would now like to turn the conference over to Scott Ulm, Chief Executive Officer. Please go ahead.

現在我想將會議交給執行長 Scott Ulm。請繼續。

Good morning, and welcome to ARMOUR Residential REIT's first-quarter 2025 conference call. This morning, I'm joined by our CFO, Gordon Harper; as well as our co-CIOs, Sergey Losyev and Desmond Macauley.

早安，歡迎參加 ARMOUR Residential REIT 2025 年第一季電話會議。今天上午，與我一起參加會議的還有我們的財務長 Gordon Harper，以及我們的聯合資訊長 Sergey Losyev 和 Desmond Macauley。

I'll now turn the call over to Gordon to run through the financial results. Gordon?

我現在將電話轉給戈登來介紹財務結果。戈登？

Thank you, Scott. 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 periodic reports filed with the Securities and Exchange Commission describe 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. Those periodic filings can be found on the SEC's website at www.sec.gov.

謝謝你，斯科特。ARMOUR 的獲利報告現已發布，請造訪 ARMOUR 網站 www.armourreit.com。本次電話會議包含前瞻性陳述，這些陳述受 1995 年《私人證券訴訟改革法》規定的安全港保護。ARMOUR 向美國證券交易委員會提交的定期報告中的風險因素部分描述了超出 ARMOUR 控制範圍的某些因素，這些因素可能會導致實際結果與這些前瞻性陳述中表達或暗示的結果有重大差異。這些定期文件可在美國證券交易委員會網站 www.sec.gov 上查閱。

All of today's forward-looking statements are subject to change without notice. We disclaim any obligation to update them on most required by law. Also, today's discussion refers to certain non-GAAP measures. These measures are reconciled with 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 one year.

今天的所有前瞻性陳述如有更改，恕不另行通知。我們不承擔根據法律要求更新它們的任何義務。此外，今天的討論還涉及某些非公認會計準則指標。這些指標與我們收益報告中可比較的 GAAP 指標相符。這次電話會議的線上重播將很快在 ARMOUR 的網站上提供，並將持續一年。

ARMOUR's Q1 GAAP net income available to common stockholders was $24.3 million or $0.32 per common share. Net interest income was $36.3 million. Distributable earnings available to common stockholders was $64.6 million or $0.86 per common share. This non-GAAP measure is defined as net interest income plus TBA drop income, adjusted for interest income or expense on our interest rate swaps or futures contracts, minus net operating expenses.

ARMOUR 第一季普通股股東可獲得的 GAAP 淨收入為 2,430 萬美元，即每股 0.32 美元。淨利息收入為3630萬美元。普通股股東可分配收益為 6,460 萬美元，即每股 0.86 美元。此非公認會計準則指標定義為淨利息收入加上 TBA 下降收入，根據我們的利率掉期或期貨合約的利息收入或支出進行調整，再減去淨營運支出。

ARMOUR Capital Management, we had a portion of their management fees, waiving $1.65 million for Q1, which offsets operating expenses. During Q1, ARMOUR raised approximately $371 million of capital by issuing approximately 20 million shares of common stock turn at the market offering program and $300,000 of capital by issuing approximately 17,000 shares of preferred C shares. These issuances were mildly dilutive to book value.

ARMOUR Capital Management，我們承擔了他們的部分管理費，免除了第一季的 165 萬美元，這抵消了營運費用。第一季度，ARMOUR 透過發行約 2,000 萬股普通股籌集約 3.71 億美元資金，並透過發行約 17,000 股優先 C 股籌集 30 萬美元資金。這些發行輕微稀釋了帳面價值。

Since March 31, we have repurchased 666,000 common shares. ARMOUR paid monthly common stock dividends of $0.24 per common share per month for a total of $0.72 for the quarter. We aim to pay an attractive dividend that is appropriate in context and stable over the medium term. On April 29, a cash dividend of $0.24 per outstanding common share will be paid to holders of record on April 15. We have also declared a cash dividend of $0.24 per outstanding common stock payable May 29 to holders of record on May 15, 2025.

自 3 月 31 日以來，我們已回購 666,000 股普通股。ARMOUR 每月支付每股 0.24 美元的普通股股息，本季總計 0.72 美元。我們的目標是支付符合實際情況且在中期內穩定的有吸引力的股息。4 月 29 日，將向 4 月 15 日登記在冊的股東支付每股 0.24 美元的現金股利。我們也宣布向 2025 年 5 月 15 日登記在冊的股東派發每股 0.24 美元的現金股息，派發日期為 5 月 29 日。

Quarter-end book value was $18.59 per common share. Our most current available estimate of book value is as of April 23 and was $16.56 per common share. This is after the accrual of April dividends to be paid next week.

季度末帳面價值為每股 18.59 美元。我們目前可用的帳面價值估計是截至 4 月 23 日的每股普通股 16.56 美元。這是在提列下週將支付的 4 月份股息之後。

Now I will turn the call over back to Scott Ulm to discuss ARMOUR's portfolio position and current strategy.

現在我將把電話轉回給 Scott Ulm)，討論 ARMOUR 的投資組合狀況和當前策略。

Thank you, Gordon. Substantial policy changes in trade, immigration, fiscal policy, and regulations have ushered in pronounced macroeconomic uncertainty, along with upward pressure on longer interest rates, volatile markets, and dislocations in asset swap spreads. Armed with strong liquidity of over $750 million, we believe that ARMOUR is positioned to withstand short-term headline volatility as well. The recent steepening performance in the rates curve, along with MBS, SOFR spreads hovering close to 200 basis points, levels comparable only to extreme and short-lived disruptions in the past, offer significant value to mortgage investors.

謝謝你，戈登。貿易、移民、財政政策和監管等方面的重大政策變化帶來了明顯的宏觀經濟不確定性，同時也帶來了長期利率上行壓力、市場動盪以及資產互換利差錯位。憑藉超過 7.5 億美元的強大流動性，我們相信 ARMOUR 也能夠承受短期整體波動。近期利率曲線趨於陡峭，加上 MBS 和 SOFR 利差徘徊在 200 個基點附近，這一水平僅與過去極端而短暫的動盪時期相當，為抵押貸款投資者提供了巨大的價值。

On a duration hedged and levered basis, the ROEs on production and premium coupon MBS look very compelling, with estimates ranging from 18% to 21%, among the highest seen in our history. We're also paying attention to the developments in GSE reform under this administration. Comments and actions by Bill Pulte at the FHFA and Scott Bessent at the Treasury suggest that this administration may seek to accelerate the framework for eventual GSE exit.

在期限對沖和槓桿基礎上，生產和溢價票面 MBS 的 ROE 看起來非常引人注目，估計範圍從 18% 到 21%，是我們歷史上最高的。我們也關注本屆政府政府支持企業改革的進展。聯邦住房金融局的比爾·普爾特 (Bill Pulte) 和財政部的斯科特·貝森特 (Scott Bessent) 的評論和行動表明，本屆政府可能會尋求加速最終政府支持企業退出的框架。

We still view structural changes as a long-term process and believe that the complexity and systemic importance of the GSEs make near-term action unlikely. Given that the mortgage and housing market make up as much as 28% to 30% of the economy, any reform efforts must be approached with caution as they carry broad implications for economic stability and growth.

我們仍然認為結構性變化是一個長期過程，並認為政府支持企業的複雜性和系統重要性使得短期內不太可能採取行動。鑑於抵押貸款和住房市場佔經濟的28%至30%，任何改革努力都必須謹慎對待，因為它們對經濟穩定和成長有廣泛的影響。

As we move further into 2025, we expect the macro backdrop to remain dynamic. The rates market is pricing in over three Fed rate cuts this year, a reflection of the Fed's anticipated dovish reaction function to support a weakening economy, a positive for MBS. Renewed discussions around modifications to the supplementary leverage ratio or SLR, coupled with sooner-than-expected tapering of the quantitative tightening program, layer on a structural tailwind to bank demand for Agency MBS.

隨著我們進一步進入 2025 年，我們預計宏觀背景將保持動態。利率市場預計聯準會今年將降息三次以上，這反映了聯準會預期的鴿派反應功能，以支持疲軟的經濟，這對 MBS 來說是一個利好。圍繞著補充槓桿率（SLR）修改的重新討論，加上量化緊縮計劃比預期更快的縮減，為銀行對機構MBS的需求帶來了結構性順風。

With increasingly supportive technicals, strong carry, and historically wide valuations, Agency MBS remains a core opportunity within the fixed income landscape. ARMOUR continues to seek value during bounce of spread weakness with confidence in the sector's resilience and the long-term strength of the US housing finance system.

憑藉日益增強的技術支撐、強勁的套利能力以及歷史上較大的估值，機構 MBS 仍然是固定收益領域的核心機會。ARMOUR 對該行業的彈性和美國住房金融體系的長期實力充滿信心，在利差疲軟反彈期間繼續尋求價值。

Let me turn it over to Sergey for more detail on our portfolio.

讓我把話題交給謝爾蓋，讓他來詳細了解我們的投資組合。

Thank you, Scott. In Q1, our agency portfolio experienced a modest 2 basis points of tightening. Amidst the global market volatility in April, our portfolio agency assets have widened approximately 15 basis points in (inaudible) quarter to date. Our estimated net portfolio duration and implied leverage at 0.5 years and 8.1 times, respectively, while total liquidity is approximately 50% of the total capital. The hedge book is composed of nearly 30% treasury-based hedges and the remainder is in OIS and SOFR-based swaps. This allocation benefits us if swap spreads will begin normalizing while also help diversify some of the risk, as concerns around the term funding premiums persist.

謝謝你，斯科特。第一季度，我們的代理投資組合經歷了 2 個基點的適度收緊。在四月份全球市場波動的情況下，我們的投資組合代理資產在本季迄今已擴大了約 15 個基點。我們估計淨投資組合久期和隱含槓桿分別為 0.5 年和 8.1 倍，而總流動性約為總資本的 50%。對沖帳簿由近 30% 的國債對沖組成，其餘部分則為 OIS 和 SOFR 掉期。如果掉期利差開始正常化，這種配置將使我們受益，同時也有助於分散部分風險，因為圍繞定期融資溢價的擔憂仍然存在。

ARMOUR's investment portfolio is in 95% of most liquid Agency MBS, which includes TBA deliverable specified pools and TBA contracts. The portfolio is diversified across the 30-year coupon stack ranging from 2.5 to 6.5 coupons with overweight in 5.5% and 6% coupons, where spread and carry are most attractive. The remaining 5% market value is allocated to five-year Agency CMBS pools whose positive convexity and short duration attributes offer much more value and upside versus comparable 15-year MBS pools.

ARMOUR 的投資組合佔流動性最強的機構 MBS 的 95%，其中包括 TBA 可交付指定池和 TBA 合約。該投資組合多元化，涵蓋 30 年期息票組合，息票比例從 2.5 至 6.5 不等，其中 5.5% 和 6% 息票佔比過高，利差和套利最具吸引力。剩餘 5% 的市場價值分配給五年期機構 CMBS 池，其正凸性和短期屬性與同類 15 年期 MBS 池相比具有更大的價值和上行空間。

Portfolio MBS prepayment rates have averaged 6.1 CPR in Q1 and are trading at around 7.8 CPR so far in Q2. We expect the prepayment environment to remain uneventful for our portfolio mix of modest price premiums and discount MBS, while mortgage rates remain elevated above 6%, keeping the refinance activity and net supply at bay.

第一季度，投資組合 MBS 提前還款利率平均為 6.1 CPR，第二季迄今約為 7.8 CPR。我們預計，對於我們由適度價格溢價和折扣 MBS 組成的投資組合而言，預付款環境將保持平穩，而抵押貸款利率仍將保持在 6% 以上的高位，從而抑制再融資活動和淨供應。

Despite the slow prepayment environment, we continue to favor credit in investor-specified pools, which help improve overall portfolio convexity and will benefit from a potential increase in loan level pricing adjustments or LLPA fees under Bill Pulte's FHFA leadership.

儘管預付款環境緩慢，我們仍然青睞投資者指定池中的信貸，這有助於提高整體投資組合凸度，並將受益於 Bill Pulte 的 FHFA 領導下貸款水平定價調整或 LLPA 費用的潛在增加。

We also maintained some exposure to TBA rolls, which, while not a core long-term position, help enhance market liquidity and flexibility of our portfolio. We fund 40% to 60% of our MBS portfolio with our affiliate BUCKLER Securities while spreading out the remaining repo balances across 15 to 20 other counterparties to provide ARMOUR with the best financing opportunities at an average gross haircut of 2.75%.

我們也保留了一些 TBA 滾動投資，雖然這不是核心的長期頭寸，但有助於增強我們投資組合的市場流動性和靈活性。我們透過附屬公司 BUCKLER Securities 為 MBS 投資組合提供 40% 至 60% 的資金，同時將剩餘的回購餘額分散給 15 至 20 個其他交易對手，為 ARMOUR 提供最佳融資機會，平均總折扣率為 2.75%。

Overall, MBS repo funding remains ample and competitively priced, reflective of the broader backdrop of abundant banking system liquidity, a point that's consistently empathized by FOMC members.

整體而言，MBS 回購資金依然充足且價格具有競爭力，反映了銀行體系流動性充裕的大背景，這一點也得到了 FOMC 成員的一致認可。

And now back to you, Scott.

現在回到你身邊，史考特。

Thank you, Sergey. As you know, we determine our dividend based on a medium-term outlook. We view our current dividend as appropriate for this environment and the returns that are available.

謝謝你，謝爾蓋。如您所知，我們根據中期前景確定股息。我們認為當前的股息適合當前環境和可獲得的回報。

Thank you for joining today's call and your interest in ARMOUR. We're happy to now answer your questions.

感謝您參加今天的電話會議並關注 ARMOUR。我們很高興現在回答您的問題。

(Operator Instructions) Doug Harter, UBS.

（操作員指示）Doug Harter，瑞銀。

Thank you. Hoping you could talk about how you're approaching risk management in this type of environment, thoughts of how you're thinking about leverage levels, the kind of the cost of kind of selling assets and potentially missing on a recovery of spreads versus kind of taking risk off in an incredibly unpredictable environment.

謝謝。希望您能談談在這種環境下您如何進行風險管理，您如何看待槓桿水平，出售資產的成本以及可能錯失利差恢復的機會，還是在難以預測的環境中承擔風險。

Well, that is the question, Doug. And that's what we focus on. It seems like every day, every hour in the last few weeks. Look, liquidity is king. And we are intensely focused on liquidity.

嗯，這就是問題所在，道格。這正是我們關注的重點。似乎過去幾週的每一天、每一小時都是如此。瞧，流動性為王。我們非常重視流動性。

We have the advantage of being an agency portfolio. So we don't have some of the exogenous stuff that can happen elsewhere in the market. On the other hand, agencies are highly liquid. And when people need to raise cash, I suspect they're number two on the list of places to raise cash.

我們擁有作為代理投資組合的優勢。因此，我們不會遇到市場上其他地方可能發生的一些外生因素。另一方面，機構流動性很強。當人們需要籌集現金時，我懷疑他們是籌集現金地點清單中的第二名。

We look closely at leverage. We've been running in the [7% to 8%] level, though, as I think we've said in the past, that's sort of more of an output than an actual input, but it's an important metric to look at. And all of that is against the temptation of very attractive investment opportunities that are out there. And further, the opportunity that you think about buying back stock, which we did a little bit of.

我們密切關注槓桿。我們的運行水平一直處於 [7% 到 8%] 之間，不過，我想我們過去曾說過，這更多的是一種輸出，而不是實際的輸入，但這是一個值得關注的重要指標。而這一切都與外在極具吸引力的投資機會的誘惑相悖。此外，您考慮回購股票的機會，我們已經做了一些。

But again, liquidity is king, and we are very jealous of our liquidity in volatile times. And I don't see that changing. But striking that balance is important among all of the factors that are there both in terms of opportunities and maintaining an appropriate level of defensiveness.

但再次強調，流動性為王，在動盪時期我們非常珍惜我們的流動性。我不認為這種情況會改變。但在所有因素中，無論是在機會方面還是在保持適當的防禦水平方面，取得平衡都很重要。

Trevor Cranston, JMP Securities.

特雷弗·克蘭斯頓（Trevor Cranston），JMP證券。

Hey, thanks. Good morning. Looking at the portfolio data, it looks like during the first quarter, the allocation [to 6s] went up a little bit. Can you guys talk a little bit about where you're seeing the best opportunities within the coupon stack? And post quarter end, it looks like the portfolio size is down a little. If you could just comment on what you might have sold post quarter end. Thanks.

嘿，謝謝。早安.從投資組合數據來看，第一季度，（6 先令）的配置略有增加。你們能否稍微談談優惠券堆疊中的最佳機會在哪裡？季度末之後，投資組合規模似乎有所下降。如果您能評論一下本季末之後您可能銷售了什麼產品嗎？謝謝。

Yes. Hi, Trevor. So we seek to maintain a diversified portfolio. Our bias right now is to continue to buy production coupons. We see very attractive ROEs there. We are probably biased to slightly below par, so 5% and 5.5% coupon, expecting that a weakening economy could cause our lower treasury yields.

是的。你好，特雷弗。因此，我們尋求維持多元化的投資組合。我們現在的傾向是繼續購買生產優惠券。我們看到那裡的淨資產收益率非常有吸引力。我們可能傾向於略低於票面利率，即 5% 和 5.5% 的票面利率，預計經濟疲軟可能導致我們的國債殖利率下降。

And yeah, we want to stay diversified. We may also buy five-year [of those] securities just based on their positive convexity, which we like to balance in our portfolio is a good diversifier to MBS, and it benefits in the core steepener as well. And their prices are looking attractive.

是的，我們希望保持多元化。我們也可能僅僅基於它們的正凸性而購買五年期證券，我們希望在我們的投資組合中保持平衡，這對 MBS 來說是一個很好的多元化因素，並且對核心陡化器也有好處。而且它們的價格看起來很有吸引力。

You mentioned -- I guess, your second question was post quarter end, so we still like the Agency MBS landscape. There are many factors, many tailwinds here. The levels are very attractive. The curve has steepened significantly. We also see prepayments as muted, as we said in our prepared remarks, given mortgage rates over 6.5%, and the funding markets are very stable.

您提到——我想，您的第二個問題是在季度末之後，所以我們仍然喜歡機構 MBS 前景。這裡有很多因素，很多順風。這些級別非常有吸引力。曲線明顯變得陡峭。正如我們在準備好的評論中所說，鑑於抵押貸款利率超過 6.5%，並且融資市場非常穩定，我們也認為預付款項的支付率較低。

With that said, on April 2 was a very significant risk event, and we saw the shocks that went through the market. We decided to sell some assets there, understanding that even post sales, our leverage was still significant enough, where we felt we had enough spread risk to participate in any further spread tightening.

話雖如此，4 月 2 日是一個非常重大的風險事件，我們看到了市場經歷的衝擊。我們決定在那裡出售一些資產，因為我們知道即使在出售之後，我們的槓桿仍然足夠大，我們認為我們有足夠的利差風險來參與任何進一步的利差收緊。

Got it. Okay. That's helpful. And you were talking about maintaining adequate levels of liquidity, obviously, in a volatile market. You did buy back some shares in April. Could you just comment on like how much capacity you think you have to continue potentially buying back shares while still maintaining levels of liquidity that you're happy with? Thanks.

知道了。好的。這很有幫助。您顯然正在談論在動蕩的市場中保持足夠的流動性水平。您確實在四月回購了一些股票。您能否評論一下，您認為您有多少能力可以繼續回購股票，同時仍然保持您滿意的流動性水平？謝謝。

Yeah, there's some capacity there. And how we view that capacity depends on our outlook over a short term and a bit of a medium term, but we maintain very substantial liquidity. But obviously, when you buy back shares, you're talking about an adjustment that has knock-on effects through the portfolio as well. And we'd like the returns available in that portfolio. So we're not looking to cut the size of the portfolio per se.

是的，那裡有一些容量。我們如何看待這種產能取決於我們對短期和中期的展望，但我們保持著非常充足的流動性。但顯然，當你回購股票時，你所談論的調整也會對投資組合產生連鎖反應。我們希望該投資組合能夠獲得回報。因此，我們並不打算削減投資組合本身的規模。

But certainly, we have capacity, and we look at it. And I think the point is that we're willing to be on both sides of the market here.

但可以肯定的是，我們有能力，而且我們正在考慮這一點。我認為關鍵在於我們願意站在市場的雙方。

Okay. Appreciate the comment. Thank you.

好的。感謝您的評論。謝謝。

Randy Binner, B. Riley.

蘭迪·賓納、B.萊利。

Thank you. I appreciate your comments on GSE reform and Pulte's comments that it seems like something is going to move forward, and there's been staff changes at Fannie Mae, in particular. I think it would be interesting to hear your perspective on the key things that we should look for as we learn more about the potential reform. I mean, I understand from your comments that it's a big change, and it's longer term. But it would be helpful to think of how the details of it could manifest themselves early on.

謝謝。我很欣賞您對政府支持企業改革的評論，以及普爾特的評論，他認為事情似乎會取得進展，特別是房利美的員工變動。我認為，當我們進一步了解潛在的改革時，聽聽您對我們應該尋找的關鍵事項的看法將會很有趣。我的意思是，從您的評論中我了解到這是一個巨大的變化，而且是長期的。但如果能儘早思考其細節如何反映出來，將會很有幫助。

And I mean, if there's any scenario where it doesn't need to be necessarily a headwind but could be a tailwind for the market. Just interested in a little bit of kind of like what we should look for as observers of this and as it relates to ARMOUR.

我的意思是，如果出現任何情況，它不一定是逆風，但可能是市場的順風。只是有點感興趣，作為觀察者我們應該尋找什麼以及它與 ARMOUR 的關係。

Well, as it relates to ARMOUR, it really relates to all of us in a lot of ways, right? Nothing specific to us. But to my mind, the big one is the sovereign backstop, which, obviously, we have explicitly with Ginnie, and we've got in structural format with Fannie and Freddie. But that is, to my mind, hugely important impacts potentially on risk weights and things like that and also as a touchstone for the conversation, which is what makes the GSEs a different kind of competitor in the mortgage market than private entities.

嗯，既然它與 ARMOUR 相關，那麼它實際上在很多方面與我們所有人都相關，對嗎？對我們來說沒有什麼特別的。但在我看來，最重要的是主權擔保，顯然，我們與金尼（Ginnie）有明確的擔保，並且我們與房利美（Fannie）和房地美（Freddie）有結構性擔保。但在我看來，這可能會對風險權重等產生極其重要的影響，同時也是談話的試金石，這也是政府支持企業在抵押貸款市場上與私人實體不同的競爭對手的原因。

So that, to me, is the big one to look for. And then you get to the whole mosaic of guarantee fees and capital that would be put in and what sort of rating might exist on a stand-alone basis, which is important as well. All of those things go into the mix. I just hope that as this rolls out, that the communication is carefully, carefully modulated and presented and rather than sort of bits and pieces coming out. We always worry about headline risk that even if it gets resolved, can make life interesting for everybody for more than a few days.

所以，對我來說，這是值得尋找的重要事物。然後，你會了解到擔保費和投入的資本的整體情況，以及獨立基礎上可能存在的評級類型，這也很重要。所有這些因素都混雜在一起。我只是希望，隨著這件事的展開，溝通能夠得到謹慎、仔細的調整和呈現，而不是零零碎碎地傳達出來。我們總是擔心頭條新聞風險，即使它得到解決，也會讓每個人的生活在接下來的幾天裡變得有趣。

Right. That's helpful. And I guess the follow-up question would be, have you -- I think there was some commentary on the last call and the Q&A about -- someone had asked you all if you thought it was priced in. And I think Ginnie and Fannie swaps were kind of a data point, but do you -- just being in the market every day, there's been more comments from Pulte since our last call. Do you get a sense that this is more priced into the market at all with just kind of observing what you see every day?

正確的。這很有幫助。我想後續的問題是，你們有沒有——我認為上次電話會議和問答環節中有一些評論——有人問過你們是否認為它已經被計入價格了。我認為 Ginnie 和 Fannie 互換是一種數據點，但您是否每天都在市場上，自從我們上次通話以來，Pulte 發表了更多評論。透過觀察您每天看到的情況，您是否覺得這已經完全反映在市場價格上了？

No, we see kind of stability in Ginnie swaps mostly reacting to interest rate volatility that we've seen as of late. So in our regard, I think the mortgage market is just looking for more concrete ideas. We're seeing a lot of ideas floating out there. But until we see a roadmap or some sort of a blueprint from either Bill Pulte or Treasury or any part of the administration, it's really hard to try to price things.

不，我們看到基尼互換的穩定性主要是對我們最近看到的利率波動的反應。因此，就我們而言，我認為抵押貸款市場只是在尋求更具體的想法。我們看到有很多想法正在湧現。但是，除非我們看到比爾普爾特或財政部或任何政府部門提供的路線圖或某種藍圖，否則很難對事物進行定價。

And as we mentioned in our prepared remarks, I think the easiest step -- the first step for any kind of GSE reform will be streamlining the profitability of the enterprises. And I think Bill Pulte has been very clear about adjusting some of the risk fees on the loans and based on the credit worthiness of the borrowers. So I think we're going to see some signs of that first before we see any kind of longer-term exit plans. And I think that's kind of the plan we're following here as well.

正如我們在準備好的演講中提到的那樣，我認為最簡單的一步——任何類型的政府支持企業改革的第一步都是簡化企業的獲利能力。我認為比爾普爾特已經非常清楚根據借款人的信用狀況調整貸款的一些風險費用。因此我認為，在我們看到任何長期退出計劃之前，我們首先會看到一些跡象。我認為這也是我們正在遵循的計劃。

Okay. Understood. That's very helpful. Thanks for the comments.

好的。明白了。這非常有幫助。感謝您的評論。

Eric Hagen, BTIG.

BTIG 的 Eric Hagen。

Thanks. Good to hear from you, guys. Just given this dislocation in swap spreads, how do you feel like that drives the way in which you rebalance your hedges around volatility on a go-forward basis, like the hedges in the backlog of the existing portfolio? Thank you, guys.

謝謝。很高興收到你們的來信，夥計們。鑑於掉期利差的這種錯位，您認為這會如何影響您在未來重新平衡波動性對沖的方式，就像現有投資組合積壓的對沖一樣？謝謝你們。

Yes. Hi, Eric. So in regards to swap spreads, we want to maintain a diversified portfolio of our hedges. So in Q1, we increased the share of our treasury-based hedges slightly from 25% to 30%. And that benefited our portfolio when we saw a very significant tightening of swap spreads.

是的。你好，埃里克。因此，就掉期利差而言，我們希望保持對沖投資組合的多元化。因此，在第一季度，我們將基於國債的對沖份額從 25% 小幅提高到了 30%。當我們看到掉期利差顯著收緊時，這對我們的投資組合有利。

So now we have about roughly 70% of our portfolio hedges in swaps. We are actually comfortable with that larger share. We feel it's been a very significant dislocation in swaps spreads so far, and we expect that at some point, we will see normalization.

因此，現在我們的投資組合中大約有 70% 是透過掉期來避險的。我們實際上對更大的份額感到滿意。我們認為，到目前為止，掉期利差已經出現了非常嚴重的混亂，我們預計在某個時候，我們將看到正常化。

Now it can come in different ways. It could be through the supplementary leverage ratio, which may allow banks to intermediate better and buy more trade spreads in case we see potentially higher term premium. So yeah, so we're happy and content with our current share. With that said, if we do get any more dislocation, the 30% of treasury-based hedges would be there to help protect our portfolio.

現在它可以以不同的方式出現。這可能透過補充槓桿率來實現，如果我們看到潛在的更高的期限溢價，這可能允許銀行更好地進行中介併購買更多的交易利差。是的，我們對目前的份額感到高興和滿意。話雖如此，如果我們確實出現更多混亂，30% 的國債對沖將有助於保護我們的投資組合。

Yeah. Okay. That's helpful. I appreciate that. Can you guys share how you think release on the supplementary leverage ratio could drive both supply and demand for repo funding, specifically at FICC, the venue where you guys have direct access to the repo dealer?

是的。好的。這很有幫助。我很感激。你們能否分享一下，你們認為補充槓桿率的釋放將如何推動回購融資的供需，特別是在 FICC，也就是你們可以直接接觸回購交易商的場所？

The primary driver is -- so you're talking about banks here and supplementary leverage has always worked to make low -- high-quality, low ROE assets less attractive on the balance sheet. And that's kind of precisely what Agency MBS is and even more precisely what repo is.

主要驅動因素是 - 所以你在這裡談論的是銀行，而補充槓桿總是會讓低品質、低 ROE 資產在資產負債表上變得不那麼有吸引力。這正是機構 MBS 的本質，更確切地說，這就是回購的本質。

So to the degree that assets which have extremely high quality but lower ROE but occupied balance sheet become more attractive or even possible to hold, not crowding out more profitable assets, it should work to the favor of repo overall, meaning improving ability of tradition -- but have always been traditional holders to have more of that.

因此，品質極高但 ROE 較低但資產負債表被佔用的資產變得更有吸引力甚至可能被持有，而不會擠佔更有利可圖的資產，這應該對回購總體有利，這意味著提高傳統持有者的能力——但一直以來都是傳統持有者擁有更多這樣的資產。

Got you. All right. That's helpful. Thank you, guys.

明白了。好的。這很有幫助。謝謝你們。

(Operator Instructions) Christopher Nolan, Ladenburg Thalmann.

（操作員指示）克里斯多福諾蘭、拉登堡塔爾曼。

Thanks for taking my questions. Gordon, did you mention that the book value is currently roughly $16.50?

感謝您回答我的問題。戈登，您是否提到過賬面價值目前約為 16.50 美元？

It's $16.56 as of last night.

截至昨晚，價格為 16.56 美元。

Great.

偉大的。

And that is acting equal of our dividends that we're paying out next week.

這相當於我們下週支付的股利。

Okay. Thank you. And then turning on the dividend, what impact does declines in book value have on the sustainability of the dividend?

好的。謝謝。然後談到股息，帳面價值的下降對股息的可持續性有何影響？

At a certain point, yeah, it could -- because that certainly is the capital that you have available to invest in, and it ultimately rebounds into liquidity and leverage. On the other hand, this has been a volatile period. And there's a whole lot of stuff going on. And as we said, we look to the medium term here, and in particular, look to the returns available. So as I said, we're comfortable with the level we're at.

在某個時候，是的，這是可能的——因為那肯定是你可用於投資的資本，它最終會反彈為流動性和槓桿。另一方面，這是一個動盪的時期。還有很多事情正在發生。正如我們所說，我們著眼於中期，特別是專注於可獲得的回報。正如我所說，我們對目前的水平感到滿意。

Okay. And then, I guess, can you characterize the bank's appetite for mortgage-backed securities in recent quarters? It seems to be there in the sidelines. Has that changed in the quarter?

好的。那麼，您能否描述一下最近幾季銀行對抵押貸款支持證券的興趣？它似乎就在場邊。本季情況有變化嗎？

Yes. Hi, Christopher. Yeah, I think Q1, we saw probably largest CMO creation volumes, both in February and January, kind of indicating that banks were back in the market. Now a lot of their focus is still on the floating rate asset nature of MBS. This is why the majority of CMO creation has been in Agency MBS floaters.

是的。你好，克里斯多福。是的，我認為第一季度，我們可能看到了最大的 CMO 創建量，無論是在 2 月還是 1 月，這表明該銀行已經重返市場。現在他們的注意力仍然集中在MBS的浮動利率資產性質上。這就是為什麼大多數 CMO 的創建都是在機構 MBS 浮動債券中進行的。

March has been much more quieter months. We also saw spreads on the tighter side during that time. So it's not surprising that some demand has backed up.

三月是比較平靜的月份。我們也發現那段時間利差有所收窄。因此，部分需求回升也就不足為奇了。

Obviously, in times of volatility, like right now, a lot of investors are on the sidelines waiting out these bouts of volatility. But as Desmond mentioned, such wide spreads versus swaps, steeper curve, a lot of these things are pointing to the fact that the demand side of the equation is in a good spot. And as soon as volatility and peak uncertainty is behind us, I think we'll see bank demand return to the levels we saw in Q1 and maybe even greater.

顯然，在像現在這樣的波動時期，許多投資者都在場外等待波動結束。但正如德斯蒙德所提到的那樣，如此大的利差與掉期、更陡峭的曲線，所有這些都表明等式的需求方處於良好狀態。一旦波動性和不確定性高峰過去，我認為我們將看到銀行需求恢復到第一季的水平，甚至可能更高。

Great. Final question. Do you think the second-quarter distributable EPS would be in excess of the dividend?

偉大的。最後一個問題。您認為第二季可分配的每股盈餘會超過股利嗎？

We traditionally have not commented on that. So I'm hesitant to provide a forward-looking statement on that, but I think you could probably get to your own conclusion pretty quickly by looking at the returns available.

我們傳統上不會對此發表評論。因此，我猶豫著是否要對此做出前瞻性的聲明，但我認為透過查看可用的回報，您可能很快就能得出自己的結論。

Okay. Thanks, guys, for taking my questions.

好的。謝謝大家回答我的問題。

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

我們的問答環節到此結束。我想將會議交還給斯科特·烏爾姆 (Scott Ulm) 做最後發言。

Well, thank you for joining us for our conference call today. We appreciate your interest in ARMOUR REIT, and we are always available for follow-ups. Don't be strangers. Thanks so much.

好吧，感謝您參加我們今天的電話會議。感謝您對 ARMOUR REIT 的關注，我們隨時準備為您提供後續服務。不要成為陌生人。非常感謝。

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。您現在可以斷開連線。