Ellington Credit Co (EARN) 2023 Q4 法說會逐字稿

Good morning, ladies and gentlemen. Thank you for standing by, and welcome to the Ellington Residential Mortgage REIT 2023 fourth-quarter financial results conference call. Today's call is being recorded and at this time, all participants have been placed in a listen only mode. (Operator Instructions)

早安，女士們，先生們。感謝您的耐心等待，歡迎參加艾靈頓住宅抵押房地產投資信託 2023 年第四季財務業績電話會議。今天的通話正在錄音，此時所有參與者都已置於僅聽模式。（操作員說明）

It is now my pleasure to turn the conference over to Alaael-Deen Shilleh, Associate General Counsel. Sir, you may begin.

現在我很高興將會議交給副總法律顧問 Alaael-Deen Shilleh。先生，您可以開始了。

Thank you. Before we begin, I would like to remind everyone that certain statements made during this conference call may constitute forward-looking statements within the meaning of the Safe Harbor provisions of the Private Securities Litigation Reform Act of 1995. Forward looking statements are not historical in nature and are subject to a variety of risks and uncertainties that could cause the Company's actual results to differ from its beliefs, expectations, estimates, and projections. Consequently, you should not rely on these forward-looking statements as predictions of future events.

謝謝。在開始之前，我想提醒大家，本次電話會議中所做的某些陳述可能構成 1995 年《私人證券訴訟改革法案》安全港條款含義內的前瞻性陳述。前瞻性陳述本質上不是歷史性的，並且受到各種風險和不確定性的影響，這些風險和不確定性可能導致公司的實際結果與其信念、期望、估計和預測不同。因此，您不應依賴這些前瞻性陳述作為對未來事件的預測。

We strongly encourage you to review the information that we have filed with the SEC, including the earnings release and the Form 10-K for more information regarding these forward-looking statements and any related risks and uncertainties. Unless otherwise noted, statements made during this conference call are made as of the date of this call, and the Company undertakes no obligation to update or revise any forward looking statements whether as a result of new information, future events or otherwise.

我們強烈建議您查看我們向 SEC 提交的信息，包括收益報告和 10-K 表格，以了解有關這些前瞻性陳述以及任何相關風險和不確定性的更多信息。除非另有說明，本次電話會議期間所做的陳述均截至本次電話會議之日，本公司不承擔因新資訊、未來事件或其他原因而更新或修改任何前瞻性陳述的義務。

Joining me on the call today are Larry Penn, Chief Executive Officer of Ellington Residential; Mark Tecotzky, our Co-Chief Investment Officer; and Chris Smernoff, our Chief Financial Officer. As described in our earnings press release, our fourth quarter earnings conference call presentation is available on our website at earnreit.com. Our comments this morning will track to the presentation. Please note that any references to figures in this presentation are qualified in their entirety by the note at the back of the presentation.

今天和我一起參加電話會議的是艾靈頓住宅公司執行長拉里·佩恩 (Larry Penn)； Mark Tecotzky，我們的聯合首席投資長；以及我們的財務長 Chris Smernoff。正如我們的收益新聞稿中所述，我們的第四季度收益電話會議演示可在我們的網站 Earnreit.com 上取得。我們今天早上的評論將追蹤演示。請注意，本簡報中對圖表的任何引用均由簡報後面的註釋完整限定。

With that, I will now turn the call over to Larry.

現在，我將把電話轉給拉里。

Thanks, Alaael-Deen, and good morning, everyone. We appreciate your time and interest in Ellington Residential. As with much of 2023, in the fourth quarter markets, gyrate it between a selloff in a rally with tumultuous October, giving way to a market rally in November and December. In October, interest rate volatility spiked as US Treasury yields rose to 15-year highs and nature of yield spreads sharply wider on most fixed income products.

謝謝，Alaael-Deen，大家早安。我們感謝您花時間關注艾靈頓住宅。與 2023 年的大部分時間一樣，第四季度市場將在 10 月的拋售和動蕩的反彈之間搖擺，然後在 11 月和 12 月出現市場反彈。10 月份，隨著美國公債殖利率升至 15 年高點，大多數固定收益產品的殖利率利差急劇擴大，利率波動加劇。

Markets then reversed course in anticipation of the conclusion of the Federal Reserve's hiking cycle, with interest rates and volatility both declining into year end. With rates lower and trading in a more stable range, demand for spread products picked up and capital flowed into fixed income funds. With the notable exception of CMBS, which has its own unique challenges. Virtually all fixed income spreads tightened for the fourth quarter, including in the markets where EARN invests, namely Agency and non-Agency RMBS and now corporate CLOs. But we've been investing to an ever increasing extent after our recent pivot.

隨後，市場因預期聯準會升息週期結束而逆轉，利率和波動性均在年底下降。隨著利率下降和交易範圍更加穩定，利差產品的需求回升，資本流入固定收益基金。CMBS 是一個明顯的例外，它有其獨特的挑戰。第四季幾乎所有固定收益利差都收緊，包括 EARN 投資的市場，即機構和非機構 RMBS 以及現在的企業 CLO。但在最近的轉型之後，我們的投資力道不斷增加。

Turning to the investor presentation, on slide 3, you can see that medium and long-term interest rates, despite spiking to multiyear highs in October actually declined overall for the quarter and the 30-year Freddie mortgage survey rate despite reaching a 23-year high mid quarter also finished lower on the quarter. Incredibly despite all of the fluctuations during the year, both the 10-year treasury yield and the 30-year mortgage survey rate finished 2023 within 1-basis point of where they started the year, as you can see here on this slide as well.

轉向幻燈片3 上的投資者演示，您可以看到，儘管10 月份飆升至多年高點，但中長期利率實際上在本季度整體下降，而30 年期房地美抵押貸款調查利率儘管達到了23 年期季度中期高點也較本季收低。令人難以置信的是，儘管這一年中出現了各種波動，但10 年期國債收益率和30 年期抵押貸款調查利率在2023 年結束時都比年初的水平下降了1 個基點，正如您在這張投影片上看到的那樣。

As the backdrop for our mortgage-backed securities portfolio, you can also see on slide three, that option adjusted yield spreads tightened across agency coupons during the fourth quarter and that the most pronounced price increases were on lower on intermediate coupons. Dollar prices on Fannie 2.5% to 4.5% were up more than five points sequentially.

作為我們的抵押貸款支持證券投資組合的背景，您還可以在第三張幻燈片上看到，第四季度各機構息票的期權調整收益率利差收緊，並且最明顯的價格上漲是中間息票的較低價格。房利美 (Fannie) 2.5% 至 4.5% 的美元價格比上一季上漲了 5 個百分點以上。

The outperformance of those coupons benefited EARNs agency MBS portfolio, specifically because coming into the quarter, roughly two thirds of our agency MBS had coupons of 4.5% or less. Meanwhile, as the backdrop for our CLO portfolio, corporate credit spreads followed a similar pattern. First widening up in October and then tightening in November and December and tightening overall for the quarter, as an economic soft landing narrative permeated the market.

這些優惠券的優異表現有利於 EARN 的機構 MBS 投資組合，特別是因為進入本季度，我們的機構 MBS 中大約三分之二的優惠券為 4.5% 或更低。同時，作為我們 CLO 投資組合的背景，企業信用利差也遵循類似的模式。首先是 10 月的擴張，然後是 11 月和 12 月的緊縮，隨著經濟軟著陸的敘述滲透到市場中，整個季度都在緊縮。

You can see on the bottom of slide 3 that credit spreads on both high-yield and investment grade tightened significantly over the quarter for prices on the Morningstar LFTA Leveraged Loan Index rose.

您可以在投影片 3 的底部看到，由於晨星 LFTA 槓桿貸款指數價格上漲，本季高收益等級和投資等級信用利差均顯著收緊。

Turning now to EARNs results. In the fourth quarter, we generated net income of $0.75 per share and a non-annualized economic return of 7.7%. While our adjusted distributable earnings grew to $0.27 per share and more than covered our dividend. As with other market disruptions we've seen before, the key in the fourth quarter was to avoid forced selling when the market sold off in October in order to preserve equity and earnings power and be in a position to participate in the subsequent market recovery.

現在轉向賺取結果。第四季度，我們實現每股淨利潤 0.75 美元，非年化經濟回報率為 7.7%。調整後的可分配收益成長至每股 0.27 美元，超過了股息。與我們之前見過的其他市場混亂一樣，第四季度的關鍵是避免在 10 月份市場拋售時被迫拋售，以保留股本和盈利能力，並能夠參與隨後的市場復甦。

In the fourth quarter, we again relied on EARNs risk management and strong liquidity position to accomplish this. That said, we did sell pools in the fourth quarter to free up capital from MBS to CLOs and the majority of our sales took place in November, as yield spreads were tightening. We ended up increasing the size of our CLO portfolio by $13.6 million during the quarter.

在第四季度，我們再次依靠 EARN 的風險管理和強大的流動性部位來實現這一目標。也就是說，我們確實在第四季度出售了資金池，以將資金從 MBS 釋放到 CLO，而我們的大部分出售發生在 11 月份，因為收益率利差正在收緊。本季我們最終將 CLO 投資組合規模增加了 1,360 萬美元。

On slide 12 of the earnings presentation, you can see some of the underlying characteristics of our CLO portfolio as of year-end. The corporate loans underlying our CLO investments span a diverse array of industries and the overwhelming majority are floating rate, first-lien, senior secured loans. Our rotation into CLOs has continued into the new year with our agency portfolio now incrementally smaller and the size of our CLO portfolio now up an additional 70% from year end to approximately $30 million.

在收益簡報的第 12 張投影片上，您可以看到截至年底我們 CLO 投資組合的一些基本特徵。我們的 CLO 投資所依據的公司貸款涵蓋多個行業，其中絕大多數是浮動利率、第一留置權、優先擔保貸款。我們對 CLO 的輪換一直持續到新的一年，我們的代理投資組合現在逐漸縮小，而我們的 CLO 投資組合的規模比年底又增加了 70%，達到約 3000 萬美元。

Even after the recent credit spread tightening in the sector, we still see returns on equity for new CLO investments in the high 10s, low 20s. Besides contributing to and diversifying EARNs GAAP results, our high-yielding CLO investments have also helped drive the substantial growth of our net interest margin and thereby have supported our ADE as well.

即使該行業最近的信用利差收緊，我們仍然看到新的 CLO 投資的股本回報率在 10 多歲、20 多歲以下。除了為 EARNs GAAP 業績做出貢獻並使其多樣化之外，我們的高收益 CLO 投資還幫助推動了我們淨利差的大幅增長，從而也支持了我們的 ADE。

In addition, because we employ less leverage on our CLO compared to agency the portfolio rotation has also driven down our leverage ratios. At year end, our debt to equity ratio adjusted for unsettled trades declined to 5.3 to 1, down from 7.3 to 1 at September 30.

此外，由於與代理商相比，我們在 CLO 上使用的槓桿較少，因此投資組合輪換也降低了我們的槓桿率。截至年底，我們未結算交易調整後的負債股本比率從 9 月 30 日的 7.3 比 1 下降至 5.3 比 1。

I'll now pass it over to Chris, to review our financial results for the fourth quarter to more detail.

現在我將把它交給克里斯，讓他更詳細地審查我們第四季度的財務表現。

Thank you, Larry, and good morning, everyone. Please turn to slide 5 for a summary of Ellington Residential's fourth quarter financial results. For the quarter ended December 31, we reported net income of $0.75 per share and adjusted distributable earnings of $0.27 per share. ADE excludes the catch-up amortization adjustment, which was positive $566,000 in the fourth quarter.

謝謝拉里，大家早安。請參閱投影片 5，以了解 Ellington Residential 第四季財務表現摘要。截至 12 月 31 日的季度，我們報告每股淨利潤為 0.75 美元，調整後可分配收益為每股 0.27 美元。ADE 不包括追趕攤銷調整，第四季為 566,000 美元。

During the quarter, positive net interest income and net gains on our Agency MBS significantly exceeded net losses on our hedges, driving strong performance from our agency portfolio. Our CLO portfolio also generated strong return driven by net interest income and net gains, as did our non-Agency RMBS and interest-only portfolios.

本季度，我們的機構 MBS 的正淨利息收入和淨收益大大超過了我們對沖的淨虧損，推動了我們機構投資組合的強勁表現。我們的 CLO 投資組合在淨利息收入和淨收益的推動下也產生了強勁的回報，我們的非機構 RMBS 和僅利息投資組合也是如此。

On slide 5, you can see that our overall net interest margin expanded to 2.19% from 1.34% quarter over quarter, which drove the increase in ADE. Broken out by product our agency then increased to 2.02% from 1.26%, driven by higher asset yields and a lower cost of funds. Meanwhile, our credit NIM, which includes CLOs and non-agency RMBS, increased to 6.28% from 4.55%, boosted by high asset yields on our larger CLO portfolio.

在投影片 5 上，您可以看到我們的整體淨利差從季度的 1.34% 擴大至 2.19%，這推動了 ADE 的成長。按產品劃分，在資產收益率上升和資金成本下降的推動下，我們的機構從 1.26% 升至 2.02%。同時，我們的信用淨利差（包括 CLO 和非機構 RMBS）從 4.55% 上升至 6.28%，這得益於我們較大的 CLO 投資組合的高資產收益率。

Please turn now to our balance sheet on Slide 6. Book value per share was $7.32 at year end compared to $7.02 per share at September 30, including the $0.24 per share in dividends in the quarter. Our economic return for the quarter was 7.7%. We ended the quarter with $61 million in cash plus unencumbered assets, which was approximately 45% of total equity.

現在請翻到投影片 6 上的資產負債表。年末每股帳面價值為 7.32 美元，而 9 月 30 日每股帳面價值為 7.02 美元，其中包括本季每股 0.24 美元的股息。我們本季的經濟報酬率為 7.7%。截至本季末，我們擁有 6,100 萬美元現金加上未支配資產，約佔總股本的 45%。

Next, please turn to slide 7 for a summary of our portfolio holdings. Our Agency RMBS holdings decreased by 8% sequentially to $728 million as of December 31, as net sales and paydowns exceeded net gains. Our agency MBS portfolio turnover was 25% for the quarter.

接下來，請翻到投影片 7，了解我們的投資組合持股摘要。截至 12 月 31 日，我們機構的 RMBS 持有量環比下降 8%，至 7.28 億美元，因為淨銷售額和付款超過淨收益。本季我們的機構 MBS 投資組合週轉率為 25%。

Our aggregate holdings of non-agency RMBS and interest-only securities also shrunk in size by 13% quarter over quarter. Over the same period, we increased our CLO holdings more than fourfold to $17.4 million as of December 31 compared to $3.8 million as of September 30th. At year end, our deployed equity was allocated 89% to mortgage related securities and 11% to CLOs.

我們持有的非機構人民幣支持證券和只付息證券的規模也比去年同期減少了 13%。同期，截至 12 月 31 日，我們的 CLO 持倉量增加了四倍多，達到 1,740 萬美元，而截至 9 月 30 日的持倉量為 380 萬美元。截至年底，我們部署的股權 89% 分配給抵押貸款相關證券，11% 分配給 CLO。

Our debt-to-equity ratio adjusted for unsettled trades decreased to 5.3 times as of December 31 as compared to 7.3 times as of September 30. The decline was primarily due to an increase in shareholders' equity and a significantly lower leverage on the CLO portfolio relative to our agency holdings. Similarly, our net mortgage assets to equity ratio decreased to 6.5 times from 7.2 times over the same period despite our holdings holding a net long TBA position at December 31 as compared to a net short TBA position at September 30.

截至 12 月 31 日，我們針對未結算交易調整後的負債股本比率從 9 月 30 日的 7.3 倍下降至 5.3 倍。這一下降主要是由於股東權益的增加以及相對於我們機構持股而言 CLO 投資組合的槓桿率顯著降低。同樣，我們的淨抵押資產與權益比率從同期的 7.2 倍下降至 6.5 倍，儘管我們的持股在 12 月 31 日持有淨多頭 TBA 頭寸，而 9 月 30 日則持有淨空頭 TBA 頭寸。

On slide 9, you can see the details of our interest rate hedging portfolio. During the quarter, we continued to hedge interest rate risk, primarily through the use of interest rate swaps. We ended the fourth quarter with a net long TBA position on a notional basis, but a small net short position as measured by 10-year equivalents. Lastly, on Slide 12, you can see that nearly all of the loans underlying our CLO portfolio are floating rate and as such carry minimal interest rate risk.

在投影片 9 上，您可以看到我們的利率對沖投資組合的詳細資訊。本季度，我們主要透過利率掉期繼續對沖利率風險。第四季結束時，我們名義上持有待定淨多頭頭寸，但以 10 年期等值衡量，我們持有少量淨空頭部位。最後，在投影片 12 上，您可以看到我們 CLO 投資組合中幾乎所有貸款都是浮動利率，因此利率風險很小。

I will now turn our presentation over to Mark.

現在我將把我們的演講交給馬克。

Thanks, Chris. The fourth quarter was really a tale of two markets. The first part of the quarter was characterized by continued rate selloff, wider spreads, fund outflows and market uncertainty about how high the Fed would need to hike short rates before achieving a noticeable improvement on inflation. But then starting in late October and early November with economic indicators and comments from Chairman Powell pointing to a possible end to the rate hike cycle, market starting to make a U-turn. Rates dropped, spreads tightened and there was a significant funding bank buying of agency MBS and other spread product.

謝謝，克里斯。第四季確實是兩個市場的故事。本季前半段的特點是持續的利率拋售、利差擴大、資金外流以及市場對聯準會需要將短期利率提高多少才能實現通膨明顯改善的不確定性。但從10月底和11月初開始，隨著經濟指標和鮑威爾主席的評論表明昇息週期可能結束，市場開始掉頭。利率下降，利差收緊，融資銀行大量購買機構MBS和其他利差產品。

In Agency, sector outperformance in the second part of the quarter exceeded underperformance in the first part. And overall for the quarter, agency MBS significantly outperformed hedging instruments. I'm happy to report that EARN was well positioned to capture this agency outperformance, posting a total economic return of almost 8% for the quarter. During the market sell-off, in the first part of the quarter, we were able to manage the interest rate volatility and keep our agency MBS portfolio largely intact.

在代理機構方面，該季度第二部分的行業表現優於第一部分的表現不佳。整體而言，本季機構MBS 的表現明顯優於對沖工具。我很高興地向大家報告，EARN 處於有利地位，能夠捕捉到該機構的優異表現，該季度的總經濟回報率接近 8%。在本季上半年的市場拋售期間，我們能夠管理利率波動並保持我們的機構 MBS 投資組合基本完好。

We were confident that it was just a matter of when, not if spreads would recover and maintaining our portfolio allowed us to capitalize on the spread tightening when it did eventually occur. During Q4, the market pivot and Fed expectations was the catalyst that led to lower implied and realized volatility, which lowered actual and expected hedging costs and prompted capital inflows from banks and investment funds.

我們相信，這只是時間問題，而不是利差是否會恢復的問題，維持我們的投資組合使我們能夠在利差最終發生時利用利差收緊的機會。第四季度，市場轉向和聯準會預期是導致隱含波動率和實際波動率下降的催化劑，從而降低了實際和預期的對沖成本，並促使銀行和投資基金資本流入。

If and when the first-rate cut occurs later this year, we think that could be another catalyst for continued outperformance for agency MBS. We were able to take advantage of the market strength to shrink our agency MBS portfolio incrementally and redeploy that capital into CLOs. That rotation not only enhanced our diversification, but it also took our leverage down significantly and yet we were still able to grow ADE.

如果今年稍後首次降息，我們認為這可能成為機構 MBS 持續表現優異的另一個催化劑。我們能夠利用市場優勢逐步縮減我們的機構 MBS 投資組合，並將資金重新部署到 CLO 中。這種輪換不僅增強了我們的多元化，而且還顯著降低了我們的槓桿率，但我們仍然能夠成長 ADE。

In Q4, EARN's CLO portfolio grew by $13.6 million, as we predominantly added seasoned CLO mezzanine tranches, but also longer duration CLO equity, shorter-duration CLO equity and newer vintage CLO mezz. Seasoned mezzanine investments outperformed throughout Q4 as prepayment speeds accelerated and CLO cash balances grew, driving expectations of a deal deleveraging in January, and that strong performance has continued into 2024.

第四季度，EARN 的 CLO 投資組合成長了 1,360 萬美元，因為我們主要增加了經驗豐富的 CLO 夾層部分，但也增加了長期 CLO 股票、短期 CLO 股票和較新的老式 CLO 夾層。隨著預付款速度加快和 CLO 現金餘額增長，經驗豐富的夾層投資在整個第四季度表現優於大市，推動了 1 月份交易去槓桿化的預期，並且這種強勁表現一直持續到 2024 年。

CLO credit spreads tightened across the board in Q4, with BBB's generally rallying around 30 bps to 50 bps and BB's rally even more, albeit with significant dispersion. However, these sectors lagged the high-yield corporate bond market where by some measures, spreads tightened almost 100 basis points for the quarter.

第四季 CLO 信用利差全面收緊，BBB 普遍上漲約 30 個基點至 50 個基點，而 BB 的漲幅更大，儘管差異很大。然而，這些產業落後於高收益公司債市場，從某些指標來看，本季利差收緊了近 100 個基點。

Q3 earnings were better than expected from many high-yield borrowers with JPMorgan estimating that 86% of high-yield companies generated Q3 earnings that were either neutral or positive for their credit profiles and investors generally grew more comfortable with non-investment grade credits in Q4 as fundamentals improved. Improvements in the leveraged loan market drove strength in junior CLO tranches, given that they are more levered to credit performance than senior tranches are.

許多高收益借款人的第三季收益優於預期，摩根大通估計，86％的高收益公司第三季收益對其信用狀況而言是中性或積極的，投資者普遍對第四季度的非投資等級信貸更滿意隨著基本面的改善。槓桿貸款市場的改善推動了初級 CLO 檔的走強，因為它們比高級檔對信貸績效的槓桿作用更大。

This said, the most credit sensitive CLO profiles that is those with the lowest credit enhancement and our most stressed portfolios continued to lag as investors anticipated further credit losses. In Q1 of 2024, we anticipate further strength in our CLO portfolio due to declining credit markets just and continued pull-to-par and seasoned CLO Mezz.

儘管如此，由於投資者預計會出現進一步的信用損失，對信用最敏感的 CLO 概況（即信用增級最低的 CLO 概況）和我們壓力最大的投資組合繼續落後。2024 年第一季度，由於信貸市場的下滑以及 CLO Mezz 的持續拉升和經驗豐富，我們預計 CLO 投資組合將進一步走強。

Approximately 40% of the leveraged loan index traded above par at the end of Q4, which has incentivized lots of borrowers to refinance their debt so far in 2024. This is benefiting both seasoned CLO Mezz to faster deal paydowns and CLO equity to lower near term default risk as underlying corporate borrowers raise incremental liquidity. We also expect the technical backdrop for the leveraged loan market to remain attractive as many new CLOs are expected to ramp up portfolios in Q1, driving demand for loans with a forward calendar of loan supply that remains like.

截至第四季末，約 40% 的槓桿貸款指數交易價格高於面值，這激勵了許多藉款人在 2024 年迄今為其債務進行再融資。隨著基本企業借款人增加流動性，這有利於經驗豐富的 CLO Mezz 加快交易支付速度，也有利於 CLO 股權降低近期違約風險。我們也預期槓桿貸款市場的技術背景仍將具有吸引力，因為許多新的 CLO 預計將在第一季擴大投資組合，從而推動貸款需求，而貸款供應的遠期日曆仍然如此。

Looking ahead, we see lots of reasons to be optimistic about EARN's future performance. The most aggressive Fed hiking campaign ever is now behind us. So we went from 0% to over 5% in 14 months. The Fed balance sheet has shrunk by well over $1 trillion since its peak post-COVID size. Couple that with large bank failures, putting almost $100 billion of agency MBS and CMOs into the market. And you had the recipe for substantial spread widening, which we've seen over the past couple of years, but now the Fed should soon become a tailwind as opposed to a headwind and looking ahead, in addition to this expected support from the Fed, we see five major factors supporting future MBS performance.

展望未來，我們有很多理由對 EARN 的未來表現感到樂觀。聯準會有史以來最激進的升息行動現已成為過去。所以我們在 14 個月內從 0% 上升到超過 5%。聯準會的資產負債表規模自新冠疫情後的高峰規模以來已縮水超過 1 兆美元。再加上大型銀行倒閉，近 1000 億美元的機構 MBS 和 CMO 投入市場。過去幾年我們已經看到了利差大幅擴大的秘訣，但現在聯準會應該很快就會成為順風而不是逆風，展望未來，除了聯準會的預期支持之外，我們認為支持未來MBS 表現的五個主要因素。

First, spreads are wide. Not as wide as October, but still much wider than historical averages. And this should be, the Fed is a seller, not a buyer and banks while buying are a shadow of their former self. But being wide and staying wide, works out just fine for EARN, we have a big lever NIM to capture. Second supply is low, and it's especially low relative to the mountain of treasury supply. So relative performance versus hedging instruments are supported by this tactical.

首先，利差廣泛。雖然不如 10 月那麼寬，但仍然比歷史平均水平要寬得多。這應該是，聯準會是賣方，而不是買方，銀行在購買時已經是以前的影子了。但是，保持寬幅並保持寬幅，對於 EARN 來說效果很好，我們有一個很大的槓桿 NIM 可以捕捉。第二供應量很低，相對於堆積如山的國庫供應量來說尤其低。因此，這種策略支持了相對於對沖工具的相對表現。

Third, prepayment risk for most coupons is benign and the cost of prepayment protection is reasonable. Fourth flows into mutual funds to buy agency MBS. Both active and passive has been quite strong as our Fixed Income Annuity sales, banks have also started to buy in Q4. And fifth, volatility is a lot lower, both actual and implied. So delta hedging costs are lower and that makes option-adjusted spreads wider. We have room to add leverage at EARN, we have tools to further grow ADE, and CLOs are helping to deliver a diversified return stream.

第三，大多數優惠券的提前償付風險是良性的，提前償付保障的成本是合理的。第四筆資金流入共同基金購買機構MBS。隨著我們的固定收益年金銷售，主動和被動都相當強勁，銀行也開始在第四季購買。第五，波動性要低得多，無論是實際波動性還是隱含波動性。因此，Delta 對沖成本較低，這使得選擇權調整利差擴大。我們在 EARN 上有增加槓桿的空間，我們有進一步發展 ADE 的工具，並且 CLO 正在幫助提供多元化的回報流。

Now back to Larry.

現在回到拉里。

Thanks, Mark. I was pleased with how we navigated the market gyrations throughout 2023 and finished the year on a high note. Now with yield spreads still wide on a historical basis with markets expecting cuts instead of hikes and with volatility normalizing, agency MBS are attracting incremental demand from investors, albeit tempered by uncertainty around the timing of cuts. When those rate cuts eventually come and we ultimately see a steep yield curve again, that should be a further tailwind to the sector.

謝謝，馬克。我對我們如何應對 2023 年的市場波動並以高調結束這一年感到滿意。現在，從歷史角度來看，收益率利差仍然很大，市場預期降息而不是加息，而且波動性正常化，機構MBS正在吸引投資者的增量需求，儘管降息時間的不確定性削弱了這種需求。當降息最終到來並且我們最終再次看到陡峭的殖利率曲線時，這應該會成為該行業的進一步推動力。

I am excited about our growing corporate CLO portfolio, EARN's small size and liquid portfolio has been an advantage here as we've been able to ramp up quickly and a terrific strategy where we see a big opportunity for EARN. While Ellington has long-standing and deep experience managing CLO portfolios, EARN began investing in that product just this past September, and that pivot is already contributing nicely to earnings. Including investments through today, CLO investments are now a full 17% allocation of EARN's total equity.

我對我們不斷成長的企業 CLO 投資組合感到興奮，EARN 的小規模和流動性投資組合一直是一個優勢，因為我們能夠快速成長，而且我們看到了 EARN 的巨大機會的絕佳策略。雖然 Ellington 在管理 CLO 投資組合方面擁有長期而豐富的經驗，但 EARN 於去年 9 月才開始投資該產品，而這一重點已經對收益做出了很好的貢獻。包括截至目前的投資在內，CLO 投資目前佔 EARN 總股本的 17%。

I expect them to be a significant driver of earnings and ADE moving forward. The CLO market has proven its ability to generate attractive returns over market cycles and over a long-term horizon. In the short term, and as Mark mentioned, credit spread tightening in some segments of the CLO market has continued to lag a larger rally in corporate bond credit spreads, and we expect that money manager inflows into high yield and leverage loans will help narrow that gap.

我預計它們將成為盈利和 ADE 向前發展的重要推動力。CLO 市場已證明其有能力在市場週期和長期範圍內產生有吸引力的回報。短期內，正如馬克所提到的，CLO 市場某些領域的信用利差收緊繼續落後於公司債信用利差的大幅上漲，我們預計資金管理者流入高收益和槓桿貸款將有助於縮小這一差距。

As Mark also mentioned, we expect faster leveraged loan prepayment speeds to drive faster prepayments on many of our seasoned CLO mezzanine positions, which we hold at significant discounts to par. We've grown EARN's CLO portfolio by another 70% so far in 2024. And these discounted seasoned CLO mezzanine positions have continued to be a focus of ours given their total return potential in an environment with this potential for higher loan prepayment speeds.

正如馬克還提到的那樣，我們預計槓桿貸款預付款速度更快，將推動我們許多經驗豐富的 CLO 夾層頭寸更快的預付款，我們以大幅折扣持有這些頭寸。截至 2024 年，我們已將 EARN 的 CLO 投資組合再成長了 70%。鑑於在貸款提前還款速度可能加快的環境中，這些打折的、經驗豐富的 CLO 夾層頭寸仍然是我們關注的焦點，因為它們的總回報潛力很大。

The CLO market suits EARN extremely well. It not only offers high current interest income, but it has always been a fertile ground for both relative value and absolute value opportunities as well as for trading opportunities, given the dispersion in collateral credit performance from deal to deal. Going forward, Ellington has extensive expertise and track record in the CLO market should be a big benefit for EARN.

CLO 市場非常適合 EARN。它不僅提供高額的當期利息收入，而且考慮到交易之間抵押品信用表現的分散性，它始終是相對價值和絕對價值機會以及交易機會的沃土。展望未來，Ellington 在 CLO 市場上擁有豐富的專業知識和業績記錄，這應該會為 EARN 帶來很大的好處。

Our CLO portfolio has continued to contribute nicely to our results so far in 2024. But net losses in agency MBS have led to an overall economic return for EARN that we currently estimate at negative 1.9% year to date through February. The agency MBS market has underperformed many other fixed income sectors so far in 2024, driven by higher rates and uncertainty around the timing of Federal Reserve rate cuts.

2024 年迄今為止，我們的 CLO 投資組合繼續為我們的表現做出了良好貢獻。但機構 MBS 的淨虧損導致 EARN 的整體經濟報酬率，我們目前估計今年迄今截至 2 月的負 1.9%。2024 年迄今為止，由於利率上升和聯準會降息時間的不確定性，機構 MBS 市場的表現落後於許多其他固定收益產業。

This, of course, follows a strong fourth quarter for agency MBS, which led to the positive 7.7% non-annualized economic return that we generated last quarter. For the past three years, it's undeniable that agency MBS has been a volatile strategy for all the agency mortgage rates, including EARN. But I firmly believe that our CLO strategy will prove to be a less volatile strategy and thereby stabilize and enhance EARNs returns over time.

當然，這是繼機構 MBS 在第四季度表現強勁之後，我們上季度實現了 7.7% 的非年化經濟回報。在過去的三年裡，不可否認的是，對於所有機構抵押貸款利率（包括 EARN）來說，機構 MBS 一直是一種不穩定的策略。但我堅信，我們的 CLO 策略將被證明是一種波動性較小的策略，從而隨著時間的推移穩定並提高 EARN 回報。

And with that, we'll now open the call to questions. Operator, please go ahead.

現在，我們將開始提問。接線員，請繼續。

(Operator Instructions)

（操作員說明）

Doug Harter, UBS.

道格·哈特，瑞銀集團。

Thanks. Can you talk a little bit more about how you see the equity allocation to CLOs playing out kind of how much of equity could this be?

謝謝。您能否多談談您如何看待 CLO 的股權分配，以及這可能是多少股權？

Hey, Doug. How are you doing?

嘿，道格。你好嗎？

Morning.

早晨。

Morning. Yeah. So I guess it's a I'm not going to answer that question directly. I'm just going to say that I love the strategy. We have a great team here and a great track record. The more the better as far as I'm concerned, as you know, we have constraints that we operate under as a REIT. REITs are attached are now effectively mostly income-based and at 40 Act, we have tests which are mostly more sort of capital allocation base, but it also depends on your sort of financing strategy, your subsidiary structure. So yeah, we can continue to grow, and I don't want to try to forecast.

早晨。是的。所以我想我不會直接回答這個問題。我只想說我喜歡這個策略。我們這裡有一支優秀的團隊和良好的業績記錄。就我而言，越多越好，如您所知，我們作為房地產投資信託基金的營運受到限制。REITs 現在實際上主要是基於收入的，在 40 法案中，我們進行的測試主要是資本配置基礎，但它也取決於您的融資策略類型和子公司結構。所以是的，我們可以繼續成長，我不想嘗試預測。

Okay. And then I guess just as you think about risk-adjusted returns, kind of comparing agency and CLOs, how do you think about kind of the upside downside in each to kind of the base case and kind of how that factors into kind of where you want to be?

好的。然後我想，就像您考慮風險調整後的回報一樣，比較代理商和 CLO，您如何看待每種基本情況的不利因素以及如何將其納入您的考慮範圍？

Sure. Well, first of all, from a NIM perspective, you can see that I think Chris mentioned our and then on our Agency portfolio was probably in the low 200s, something like that, the credit portfolio, including CLOs, I think 600.

當然。嗯，首先，從NIM 的角度來看，你可以看到，我認為Chris 提到了我們的代理投資組合，然後我們的代理投資組合可能在200 左右，類似的信貸投資組合，包括CLO，我認為是600。

Yes.

是的。

So even with a small bit of leverage on the CLO portfolio generates a greater leverage NIM, dollar for dollar, you know, as spreads have tightened, you can sort of see go back to slide 3, you can sort of see difference based on coupon. But if you look at 4.5 for example, on the ZB spread, I'm just looking at year end, you know, something around the 90, 100 level, even if you leverage that a fair bit, you're still not quite there versus where you are on the CLO portfolio on a leveraged basis.

因此，即使CLO 投資組合上有一點槓桿，也會產生更大的槓桿NIM，美元兌美元，你知道，隨著利差收緊，你可以看到回到幻燈片3，你可以看到基於息票的差異。但如果你看一下 4.5，例如 ZB 利差，我只是看年底，你知道，大約在 90、100 水平附近，即使你利用了相當多的槓桿，你仍然沒有完全達到目標與您在CLO 投資組合中的槓桿基礎上的位置進行比較。

So now the CLO portfolio obviously has kind of tail credit risks in a, especially in a deep recession or something like that. So that's a factor for sure. It also has much fewer delta hedging costs, right. I mean the thing that's been really tough for agency REITs including us for the last few years as these big moves in the market, big gyrations in rates, for us, we'd like to stay hedged on interest rates, and that's frankly, over a long period of time, that's been key to our success, but it really cuts into book value over time, those delta hedging costs, and ultimately, that's going to cut into your dividend as well.

因此，現在 CLO 投資組合顯然存在某種尾部信用風險，尤其是在嚴重衰退或類似情況下。所以這是一個肯定的因素。它的 Delta 對沖成本也少得多，對吧。我的意思是，對於包括我們在內的機構房地產投資信託基金來說，過去幾年的情況確實很艱難，因為市場的這些重大變動，利率的大幅波動，對我們來說，我們希望對利率進行對沖，坦白說，這已經結束了。的股息。

So yes. So the other thing, though, I would say is, from a trading perspective, given the liquidity of agency, the opportunity for trading profits, including dialing up and down. To what extent we hedge with TBAs is probably that opportunity is probably greater in agencies because, you know, if you can make a point, just this is a hypothetical, if you can make a point on your assets by being timely in terms of when you add when you take off, how you hedge that's leveraging that, seven or eight times. I mean, that's a massive amount of a boost to earnings.

所以是的。所以，我要說的另一件事是，從交易的角度來看，考慮到機構的流動性，交易利潤的機會，包括向上和向下撥動。在多大程度上，我們用 TBA 進行對沖可能是機構的機會可能更大，因為，你知道，如果你能提出一個觀點，這只是一個假設，如果你可以通過及時地就你的資產提出觀點當你起飛時，你會添加七到八次，你如何對沖它，並利用它。我的意思是，這對收入來說是一個巨大的提升。

So there's a lot of pros and cons, for each sector and there are opportunities for trading gains as well in CLOs, but it's not I wouldn't say that the assets that we're buying there are super liquid. So it's -- they're different. And like I said, we love the strategy, and I'd love to continue to see this grow as much as possible and CLOs.

因此，每個行業都有許多優點和缺點，而且 CLO 也有交易收益的機會，但我不會說我們在那裡購買的資產具有超級流動性。所以它們是不同的。就像我說的，我們喜歡這個策略，我很樂意繼續看到這個策略和 CLO 盡可能地成長。

Appreciate that. Thank you.

感謝。謝謝。

[Mikhail Goberman, JMP]. (Technical Difficulty)

[米哈伊爾·戈伯曼，JMP]。 （技術難度）

Hey, good morning, everybody. Hope everyone's doing well. First question, I guess is -- did I hear correctly that you said book value was down about 1.9% thus far this year was that total economic return?

嘿，大家早安。希望每個人都一切順利。我想第一個問題是——我是否正確地聽到，您說今年迄今為止賬面價值下降了約 1.9%，這是總經濟回報嗎？

Total economic return.

總經濟回報。

Okay, cool. Thank you.

好吧，酷。謝謝。

Yeah, I think that was that through the end of February.

是的，我想這就是二月底的情況。

Including the two dividends.

包括兩次股息。

What are you guys targeting a sort of leverage ratio range going forward given the sort of dip, the pretty dramatic dip that the leverage ratio took in the fourth quarter. Is there an area that you're sort of trying to get to?

考慮到槓桿率在第四季出現的大幅下降，你們對未來槓桿率範圍的目標是多少。您是否想嘗試去某個領域？

It's just a blend of really the appropriate leverage for each asset class, right? So for agencies, you know, we've taken it up into the nines before in terms of leverage and in non-agencies and now in CLOs, we've had almost no leverage, we, but we'll start to add leverage to CLO portfolio at some point.

它只是每種資產類別真正合適的槓桿的混合，對嗎？因此，對於機構來說，我們之前在槓桿方面已經達到了九成，而在非機構方面，現在在 CLO 中，我們幾乎沒有槓桿，但我們將開始增加槓桿CLO 投資組合在某個時候。

And as I -- well, maybe I didn't mentioned exactly in answering the first question, but you know, you can comfortably have half a turn of leverage on CLOs. So, you know, it's just going to be a blend of where the capital allocation is and of course, in agencies, we also had the opportunity that kind of upper limit of something in the nine to one leverage area, yeah, we can always go lower than that. And as I said a few seconds ago, the sometimes we do that because we do want to take advantage of the spread volatility to sort of buy low and sell high, if you will, throughout the year.

正如我——好吧，也許我在回答第一個問題時沒有具體提到，但你知道，你可以輕鬆地對 CLO 擁有半輪槓桿。所以，你知道，這只是資本配置的混合體，當然，在機構中，我們也有機會在九比一的槓桿範圍內達到某種上限，是的，我們總是可以比那個低。正如我幾秒鐘前所說，有時我們這樣做是因為我們確實想利用價差波動性在全年中低買高賣（如果你願意的話）。

Got you. Thank you for that. And one more if I could, just sort of a longer-term question -- what are you guys' thoughts on what kind of interest rate environment it would take for to see a meaningful pickup in prepay speeds sort of back towards, I guess, historical levels of a few years ago.

明白你了。謝謝你。如果可以的話，我還有一個問題，這只是一個長期問題——你們對需要什麼樣的利率環境才能看到預付款速度有意義的回升有什麼想法，我想，達到幾年前的歷史水平。

Mark?

標記？

So it's sort of interesting. We got a -- we get the prepayment reports monthly, and we got one last night. And what I would say is that while prepayment speeds serve in aggregate have been benign, technological improvements improved, including AI is definitely something that is being embraced by some of the big non-bank lenders. And so there are pockets of the market. If you look at sort of there are Jenny pools out there now that pay over 80 CPR from a real high coupon one's with a lot of VA, what we were getting at -- What I was getting at in the prepared remarks is that, if you there is -- the vast majority of what's out there is still couple hundred basis points away from being refinanceable.

所以這有點有趣。我們每個月都會收到預付款報告，昨晚我們收到了一份。我想說的是，雖然預付款速度總體上是良性的，但技術進步有所改善，包括人工智慧肯定受到一些大型非銀行貸款機構的歡迎。因此，存在著一些市場。如果你看看現在有一些 Jenny 池可以透過真正的高優惠券支付 80 多 CPR，並且有很多 VA，我們得到的意思是——我在準備好的評論中得到的是，如果那裡的絕大多數東西距離可再融資還有幾百個基點。

There's -- you have, you know, a lot of runway in rates for many of the coupons that we own that and three have to worry about prepayments. And the other thing I would say is that it's not real expensive to buy prepayment protection. So it's not as though prepayments don't exist and mortgage bankers aren't going to be aggressive about trying to solicit refis when they can. They certainly will be. It's just the vast majority of the market and the vast majority of what we own, you still have a lot of -- it would take still significant move in rates to get it refinanceable.

你知道，我們擁有的許多優惠券的利率有很多跑道，其中三個必須擔心預付款。我要說的另一件事是，購買預付款保護並不昂貴。因此，並不是說預付款不存在，抵押貸款銀行家也不會在可能的情況下積極爭取再融資。他們一定會的。這只是市場的絕大多數，也是我們擁有的絕大多數，你仍然擁有很多——仍然需要大幅調整利率才能使其可再融資。

And so but still, look, rates are unpredictable, implied volatility is high, even though of the forward curve predict rates are coming down, there's wide dispersion around it. So still for most coupons, we're seeing -- some of the higher coupons, we still choosing to buy pools with prepayment protection, we think it's relatively affordable. And one thing that was a big part of last year was looking for pools. I think we mentioned it a few calls ago, looking for specified pools that have faster than market projected prepayment speeds, and that certainly helped us we get into things like [2.5% and 3% and 3.5%] as we have big discounts, even finding pools you one or two CPR faster makes a huge difference in yields.

因此，但看，利率是不可預測的，隱含波動率很高，即使遠期曲線預測利率正在下降，但周圍存在廣泛的分散。因此，對於大多數優惠券，我們仍然看到 - 一些較高的優惠券，我們仍然選擇購買具有預付款保護的池，我們認為它相對實惠。去年最重要的一件事就是尋找游泳池。我想我們之前在幾次電話會議中提到過，尋找比市場預期預付款速度更快的指定池，這無疑幫助我們進入了諸如[2.5%、3%和3.5%]之類的領域，因為我們有很大的折扣，甚至更快找到一兩個心肺復甦池可以使產量產生巨大差異。

So prepayment modeling, prepayment speeds, prepayment risk, it's still out there, it's just right now given the current distribution of coupons in the market. The real scary prepayments are only affecting a very small subset of what's out there, and that's the sectors that we have avoid it. I'm not surprised to see some of these very fast prepayment speeds because there's still a lot of capacity within the mortgage banking community and the technology has gotten better. And so we look for them to be aggressive whenever they have opportunities to be aggressive on refis.

因此，預付款模型、預付款速度、預付款風險仍然存在，考慮到當前市場優惠券的分佈，它只是現在。真正可怕的預付款只會影響很小的一部分，而這正是我們要避免的部門。我對其中一些非常快的預付款速度並不感到驚訝，因為抵押貸款銀行界仍然有很大的能力，而且技術已經變得更好。因此，只要他們有機會積極參與再融資，我們就會期待他們積極進取。

Yes, sure. Thank you, Mark. And as always, best of luck guys going forward.

是的，當然。謝謝你，馬克。一如既往，祝大家好運。

Thanks.

謝謝。

Thank you.

謝謝。

Matthew Erdner, JonesTrading.

馬修‧艾德納，瓊斯交易公司。

Thanks for taking the question. Kind of following up on that CPR. You guys took off some of the lower coupons during the quarter. You know, could you kind of talk to the thoughts there?

感謝您提出問題。有點像心肺復甦術的後續行動。你們在本季取消了一些較低的優惠券。你知道嗎，你能談談那裡的想法嗎？

Yeah. We just saw opportunities during the quarter to rotate up and coupon, I think our portfolio went up about 10 basis points or so. In coupon, the relative performance of lower coupons versus current coupons is really impacted by flows into the big bond indices, right. So if you look at mortgage index, you look at the distribution of mortgage coupons in something like the Barclays Agg.

是的。我們剛剛在本季度看到了輪換和優惠券的機會，我認為我們的投資組合上漲了約 10 個基點左右。在票面利率方面，較低票面與目前票面利率的相對錶現確實受到流入大型債券指數的影響，對吧。因此，如果您查看抵押貸款指數，您將查看巴克萊綜合指數等抵押貸款優惠券的分佈。

It's heavily weighted to [2% and 2.5%]. And so the relative performance of those coupons is very much impacted by flows into the Agg. And there's a couple of real big, $100 billion plus ETFs that track the Agg. So we saw opportunities where a lot of flows came into Agg type portfolios where lower coupons outperformed. We saw an opportunity to go up in coupon. We thought it would add certainly adds ADE. We thought it was also a total return. So we'll continue to be opportunistic about that.

它的權重很大[2% 和 2.5%]。因此，這些優惠券的相對表現很大程度上受到流入總資金流的影響。還有一些真正規模超過 1000 億美元的 ETF 跟踪 Agg。因此，我們看到了大量資金流入綜合型投資組合的機會，其中較低的票面利率優於其他投資組合。我們看到了提高優惠券的機會。我們認為它肯定會添加 ADE。我們認為這也是總回報。因此，我們將繼續對此保持機會主義態度。

Yeah, that's helpful there. And then allocated capital to CLOs, continuing that strategy. Are there any other places where you feel like you guys could opportunistically deploy additional capital for total return.

是的，這很有幫助。然後將資金分配給 CLO，繼續這項策略。您是否認為還有其他地方可以機會性地部署額外資本以獲得總回報。

That's where we're focusing on now.

這就是我們現在關注的地方。

Okay. Thank you.

好的。謝謝。

Eric Hagen, BTIG.

艾瑞克‧哈根，BTIG。

Good morning. Hope all is well, one more on just kind of the market dynamics and what do you feel that could support more dollar roll specialness in the market. Do you feel like it's reasonable to expect that could come back if there's any changes to Fed policy?

早安.希望一切順利，再來談談市場動態，以及您認為什麼可以支持市場上更多的美元滾動特殊性。您認為如果聯準會政策發生任何變化，預期這種情況可能會捲土重來是否合理？

You know, I would say that for some of these higher coupons. I think the dollar rolls have predictably gotten weaker because you've sort of built up now on a ray of kind of, you know, faster paying pools. If you look at things like Fannie (Inaudible), they've been production for a few months. You have some pools of comp, the seasoning ramp.

你知道，對於其中一些更高的優惠券，我會這麼說。我認為美元的滾動可以預見地變得疲軟，因為你現在已經建立了一系列，你知道，更快的支付池。如果你看看《范妮》（聽不清楚）這樣的作品，你會發現它們已經製作了幾個月了。你有一些補償池，調味坡道。

So I don't look for specialness to be there in the lower coupons, you can get specialness if you get a lot of flows like I was talking before about into these Agg indices, because you know when money comes into an Agg index and whoever is managing it wants to buy a bunch of Fannie [2% and 2.5%] to get there to minimize tracking error. You really need to get that from other investors, right. Initially will buy from the primary dealers, the primary dealers and then going to want to buy back from other portfolios and a lot of those bonds are locked up in the Fed and locked up in the banks.

因此，我不會在較低的優惠券中尋找特殊性，如果您像我之前談到的那樣獲得大量流量進入這些綜合指數，那麼您可以獲得特殊性，因為您知道資金何時進入綜合指數以及誰正在管理它想要購買一堆房利美 [2% 和 2.5%] 來到達那裡以最小化跟踪誤差。你確實需要從其他投資者那裡得到這一點，對吧。最初會從一級交易商購買，然後會從其他投資組合中回購，其中許多債券被鎖定在聯準會和銀行。

There's obviously no news on Truist a week or so ago. And when that news came out, it cause lower coupons to underperform. So I think in the lower coupon stuff, you can see some more volatility in the rolls. But still there, we tend to find, if you're thoughtful about fast paying pools, you can find pools that pick-up carryovers the role. I don't see a lot of specialness going forward for the higher end production coupons where you're starting to see a float that's faster.

大約一週前，Truist 顯然還沒有任何消息。當這個消息傳出時，它導致較低的優惠券表現不佳。所以我認為在較低的優惠券中，你可以看到卷的波動性更大。但我們仍然傾向於發現，如果您考慮快速支付池，您可以找到可以繼承該角色的池。我沒有看到高端生產優惠券有很多特殊之處，你開始看到更快的浮動。

And I think for lower coupon stuff, you can see it, but kind of month to month like there was a month ago, I think the [Genie two-three-year-old special]. So you get sort of these one-off things. But, where most of the production is centered, we don't think you're going to have a lot of specialness, which is really a big difference from the 2021 period where production was [Fannie twos and 2.5s] and they are routinely special and everyone spoke about that and they were special because the Fed and banks were buying so much and they weren't rollers.

我認為對於較低優惠券的東西，你可以看到它，但就像一個月前一樣，我認為每個月都有【精靈二三歲特別篇】。所以你會得到一些一次性的東西。但是，在大部分生產都集中的情況下，我們認為不會有太多特殊性，這與 2021 年時期有很大不同，當時的生產是 [Fannie Twos 和 2.5s]，而且它們通常是特別，每個人都在談論這一點，他們很特別，因為聯準會和銀行買了這麼多，而他們不是滾輪者。

That -- we don't have that dynamic right now. So the way the rules work out, I think it favors in aggregate haven't more specified pools, less TBA. And I think broadly, that's sort of how the industry has moved, the REIT industry.

那——我們現在沒有那種動力。因此，就規則的製定方式而言，我認為總體而言，它有利於沒有更多指定的池，更少的待定。我認為，從廣義上講，這就是房地產投資信託產業的發展方式。

Yeah, hey, that's a good perspective. As far as running the portfolio, I mean, what do you guys feel like is the minimum level of liquidity, you feel comfortable having it at these spread levels. Like how much do you feel comfortable with ahead of the Fed cut versus like a cut actually taking place, do you feel like that would be a catalyst to carry more leverage or is it potentially conditional on other factors?

是的，嘿，這是一個很好的觀點。就運行投資組合而言，我的意思是，你們覺得最低的流動性水平是多少，在這些利差水平上您感到很舒服。就像您對聯準會降息之前與實際降息的感覺有多舒服一樣，您認為這會成為增加槓桿率的催化劑還是可能以其他因素為條件？

We mentioned in the prepared remarks that, you know, if you look at Bloomberg or whatever else people are predicting cuts this year. I think when they -- if and when they actually happen, I do think that will be a catalyst for some incremental buying. So I do think that will be supportive. In terms of how we manage our cash, we don't lack this sort of sacrosanct in that -- we're going to manage our cash according to market stresses and according to, you know, the repo roll calendar and we won't change sort of the guardrails. We have around minimum levels of cash as a function of what the Fed is going do that.

我們在準備好的演講中提到，如果你看看彭博社或其他任何人都預測今年會削減開支。我認為，當它們真正發生時，我確實認為這將成為一些增量購買的催化劑。所以我確實認為這將是支持性的。就我們如何管理現金而言，我們並不缺乏這種神聖不可侵犯的東西——我們將根據市場壓力以及回購滾動日曆來管理我們的現金，我們不會改變護欄的種類。我們擁有大約最低水準的現金，這取決於聯準會將採取的行動。

We just that's how we run, how we run EARN, that's how we run EFC, how we run private funds that -- there is a certain amount of cash we're going to keep on hand. And the way we determine that is what sort of looks at the portfolio and look at the leverage and looks at where things can go into shock. And then with the agency stuff you have to look at, there's a calendar to it. So you get new factors when the prepayments come out. So we've got new factors [yesterday], repo lenders did margin call you versus a lower balance, but you don't actually get that cash to the 25 of this calendar component to it.

我們就是這樣運作的，我們如何運作 EARN，這就是我們如何運作 EFC，我們如何運作私募基金——我們手頭上會保留一定數量的現金。我們確定這一點的方式是如何看待投資組合、槓桿率以及哪些方面可能會出現衝擊。然後還有你必須查看的代理商的東西，其中有一個日曆。因此，當預付款項出來時，你會得到新的因素。因此，[昨天]我們有新的因素，回購貸方確實向您追繳保證金，但餘額較低，但您實際上並沒有獲得該日曆組件的 25 美元的現金。

But we have room to add leverage mentioned in prepared remarks, but it's not because we're going to change the way we manage the cash, that's I'd say sort of we manage the cash is something that we've been doing for a long time. I think served us very well. Certainly, served us extremely well in stresses like during COVID. But away from that, EARN has plenty of liquidity to spend, putting a more cap on the CLOs we've spoken about, but it still has more room to leverage just a general pull strategy as well.

但我們有空間增加準備好的評論中提到的槓桿，但這並不是因為我們要改變我們管理現金的方式，我想說的是，我們管理現金是我們長期以來一直在做的事情。我認為我們的服務非常好。當然，在新冠疫情期間等壓力下，這對我們來說非常有幫助。但除此之外，EARN 擁有充足的流動性可供支出，為我們談到的 CLO 設定了更多上限，但它仍然有更大的空間來利用一般拉動策略。

Thank you, guys, so much.

非常感謝你們，夥伴們。

Thank you, Eric.

謝謝你，埃里克。

And that was our final question for today. Thank you for participating in the Ellington Residential Mortgage REIT, fourth quarter 2023 earnings conference call. You may disconnect your line at this time and have a wonderful day.

這是我們今天的最後一個問題。感謝您參加艾靈頓住宅抵押房地產投資信託基金 2023 年第四季財報電話會議。此時您可以斷開線路並度過美好的一天。