Ellington Credit Co (EARN) 2024 Q1 法說會逐字稿

Good morning, ladies and gentlemen. Thank you for standing by. Welcome to the Ellington Credit Company 2024 first quarter financial results conference call. Today's call is being recorded. (Operator Instructions)

早安，女士們，先生們。謝謝你的支持。歡迎參加艾靈頓信貸公司 2024 年第一季財務業績電話會議。今天的通話正在錄音。（操作員說明）

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

現在我很高興將發言權交給副總法律顧問 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 Reform Act of 1995. Forward-looking statements are not historical in nature, as described under Item 1A of our Annual Report on Form 10-K and Part two Item 1A of our quarterly report on Form 10-Q.

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，如我們的 10-K 表格年度報告第 1A 項和 10-Q 表格季度報告第二部分第 1A 項所述。

Forward-looking statements 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. Unless to 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 statement, whether as a result of new information, future events or otherwise.

前瞻性陳述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。除非另有說明，本次電話會議期間發表的聲明均截至本次電話會議之日，本公司不承擔更新或修改任何前瞻性聲明的義務，無論是由於新資訊、未來事件或其他原因。

Joining me on the call today are Larry Penn, Chief Executive Officer of Ellington Credit Company; Mark Tecotzky, our Co-Chief Investment Officer; and Chris Smernoff our Chief Financial Officer.

今天和我一起參加電話會議的是艾靈頓信貸公司 (Ellington Credit Company) 執行長拉里·佩恩 (Larry Penn)； Mark Tecotzky，我們的聯合首席投資長；和我們的財務長 Chris Smernoff。

As described in our earnings press release, our first quarter earnings conference call presentation is available on our website, which we changed to ellingtoncredit.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 but note at the back of the presentation.

正如我們的收益新聞稿中所述，我們的第一季收益電話會議演示可在我們的網站上查看，我們已將其更改為 ellingtoncredit.com。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經過完整限定，但請在簡報後面註明。

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 Credit Company. Please turn to slide 3 of the presentation. I'll begin by reviewing our strategic transformation which we announced back on April 1. In late March, our Board approved a strategic transformation of EARNs investment strategy to focus on corporate CLOs and more specifically CLO mezzanine debt and CLO equity.

謝謝，Alaael-Deen，大家早安。感謝您對艾靈頓信貸公司的關注與關注。請翻到簡報的投影片 3。我首先回顧我們 4 月 1 日宣布的策略轉型。3 月下旬，我們的董事會批准了 EARN 投資策略的策略轉型，重點關注企業 CLO，更具體地說是 CLO 夾層債務和 CLO 股權。

These are asset classes that we believe can provide greater risk-adjusted return potential for our shareholders over the long term, as compared to Agency RMBS, which had been our primary targeted asset class ever since our IPO in 2013. To effectuate this transaction, we have revoked our re-election. And later this year, we plan to convert to a closed-end fund for SEC purposes and a regulated investment company or RIC for tax purposes.

我們相信，與自 2013 年 IPO 以來我們的主要目標資產類別代理 RMBS 相比，這些資產類別可以為我們的股東長期提供更大的風險調整回報潛力。為了完成這項交易，我們撤銷了連任。今年晚些時候，我們計劃為 SEC 的目的轉換為封閉式基金，並出於稅務目的轉換為受監管的投資公司或 RIC。

As a reflection of these fundamental changes, we have changed our company's name to Ellington Credit Company. We have also changed the name of our website from earnreit.com to ellingtoncredit.com. We will continue to be listed on the New York Stock Exchange under our ticker symbol EARN or EARN. And we have maintained our $0.08 per share monthly dividend.

為了反映這些根本性變化，我們已將公司名稱更改為 Ellington Credit Company。我們還將網站名稱從 Earnreit.com 更改為 ellingtoncredit.com。我們將繼續在紐約證券交易所上市，股票代號為 EARN 或 EARN。我們維持每股 0.08 美元的每月股息。

By shifting to a CLO focused strategy, we are leveraging Ellington's long-standing and successful track record of investing in secondary CLOs, which spans more than a decade across a wide variety of market conditions.

透過轉向以 CLO 為重點的策略，我們正在利用 Ellington 在二級 CLO 投資方面的長期成功記錄，該記錄跨越了十多年，涵蓋了各種市場條件。

Looking back, our transformation actually began in September of last year, as we saw a good entry point in the CLO market and first began rotating a portion of EARNs capital into CLOs. In late March, after seeing the CLO strategy performing at or above expectations. And after working out the details for the transformation, the EARN Board approved the transformation.

回想起來，我們的轉型實際上是從去年9月份開始的，當時我們看到了CLO市場的一個很好的切入點，並首先開始將一部分EARN資本轉入CLO。3 月下旬，在看到 CLO 策略的表現達到或高於預期後。在製定了轉型細節後，EARN 董事會批准了轉型。

We plan to accomplish this over the coming months by selling our remaining agency pools, buying more CLOs and obtaining shareholder approval of certain matters that would allow us to convert to a closed-end fund. Fortunately, since we've concentrated our agency investments in liquid sectors, the cost of liquidating agency pools to free up capital for CLOs has been very modest, and we expect that to continue to be the case.

我們計劃在未來幾個月內透過出售剩餘的代理池、購買更多 CLO 並獲得股東對某些事項的批准來實現這一目標，使我們能夠轉換為封閉式基金。幸運的是，由於我們將機構投資集中在流動性產業，因此清算機構池以釋放 CLO 資本的成本非常適中，我們預計這種情況將繼續存在。

Then after our transformation is complete, CLOs will become the sole focus of EARNs investment strategy. To date, EARNs CLO investments have generated excellent returns, and we've now built a CLO portfolio of over $60 million

那麼我們轉型完成之後，CLO就會成為EARN投資策略的唯一焦點。迄今為止，EARNs CLO 投資已經產生了優異的回報，我們現已建立了超過 6000 萬美元的 CLO 投資組合

Please turn now to slide 4, where we summarize the anticipated benefits of the transformation to shareholders. I'm confident that the strong earnings power of CLOs combined with our particular focus on relative value and active trading will drive attractive returns for our shareholders but with less volatility.

現在請翻到投影片 4，我們總結了轉型為股東帶來的預期收益。我相信，CLO 強大的獲利能力加上我們對相對價值和活躍交易的特別關注，將為我們的股東帶來有吸引力的回報，但波動性較小。

CLO, mezzanine and equity investments typically have high current yields, which support high net interest margins and strong adjusted distributable earnings. These investments also require significantly less debt financing compared to the typical leverage agency pool strategy. Furthermore, because CLOs are primarily backed by floating rate loans, they also require significantly less interest rate hedging than Agency pools.

CLO、夾層投資和股權投資通常具有較高的當期收益率，這支持較高的淨利差和強勁的調整後可分配收益。與典型的槓桿代理池策略相比，這些投資所需的債務融資也顯著減少。此外，由於 CLO 主要由浮動利率貸款支持，因此它們所需的利率對沖也比代理資金池少得多。

Finally, despite significant growth of the CLO market in recent years, many parts of the market remain highly inefficient, particularly the secondary markets for CLO mezzanine debt and equity, where our investment strategy is focused. We expect that our differentiated approach to CLO investing will enable EARN to capitalize on these inefficiencies. No two CLOs are alike, which given Ellington's extensive CLO expertise should create lots of relative value opportunities and trading opportunities for EARN to capture.

最後，儘管近年來 CLO 市場顯著成長，但市場的許多部分仍然非常低效，特別是我們投資策略重點關注的 CLO 夾層債務和股權二級市場。我們預計，我們差異化的 CLO 投資方法將使 EARN 能夠利用這些低效率的問題。沒有兩個 CLO 是相同的，鑑於 Ellington 廣泛的 CLO 專業知識，這應該會為 EARN 創造大量相對價值機會和交易機會。

Some additional opportunities will come from credit hedging, which I believe is another differentiator of Ellington's approach to CLO investing. We are willing to hedge credit when we believe it makes sense. There are many liquid instruments that are available to gain or reduce exposure to overall corporate credit and CLO investments can often get somewhat disconnected from those other instruments.

一些額外的機會將來自信用對沖，我認為這是艾靈頓 CLO 投資方法的另一個獨特之處。當我們認為合理時，我們願意對沖信用。有許多流動性工具可用於增加或減少整體企業信貸風險，而 CLO 投資通常可能與其他工具有些脫節。

Over market cycles, we believe that our new focus -- sorry, we believe that we can add significantly to EARNs total returns and reduce EARNs volatility by selectively and opportunistically hedging from time to time. As a result of all these factors, we anticipate that our new focus will provide more stable book value and earnings profile for EARN going forward.

在市場週期中，我們相信我們的新焦點 - 抱歉，我們相信我們可以透過不時有選擇地和機會主義的對沖來顯著增加總收益回報並減少收益波動性。由於所有這些因素，我們預計我們的新重點將為 EARN 提供更穩定的帳面價值和獲利狀況。

Accordingly, we believe that this new focus will also provide the ability for EARN to grow book value per share over time with high risk-adjusted returns. This contrasts with the performance in recent years of most agency pass-through strategies, which have experienced book value per share erosion due to negative interest rate convexity.

因此，我們相信，這項新的重點也將使 EARN 有能力隨著時間的推移增加每股帳面價值，並獲得高風險調整回報。這與近年來大多數機構傳遞策略的表現形成鮮明對比，這些策略由於負利率凸性而經歷了每股帳面價值的侵蝕。

As I mentioned earlier, in order to effectuate the tax component of our strategic transformation, we have revoked our re-election for 2024. Later this year, once you obtain shareholder approval on certain matters and convert to a closed-end fund, we will elect to be treated as a regulated investment company or RIC for tax purposes,

正如我之前提到的，為了實現我們策略轉型的稅務部分，我們已經撤銷了2024年的連任。今年晚些時候，一旦您就某些事項獲得股東批准並轉換為封閉式基金，我們將選擇被視為受監管的投資公司或 RIC（出於稅務目的），

Like REITs, RICs are also generally taxes passed through entities, thereby avoiding corporate-level tax. We are excited about the closed-end fund slash RIC structure, which we also believe will enhance our access to the capital markets and open more channels for growth. Perhaps most importantly, we also see it as an opportunity to expand EARNs valuation multiple, given the premiums in net asset value, which CLO focused closed-end funds are trading today and have traded historically.

與 REIT 一樣，RIC 通常也是透過實體傳遞的稅收，從而避免了公司層面的稅收。我們對封閉式基金削減 RIC 結構感到興奮，我們也相信這將增強我們進入資本市場的機會並開闢更多成長管道。也許最重要的是，考慮到淨資產價值的溢價，我們也將其視為擴大 EARN 估值倍數的機會，而以 CLO 為重點的封閉式基金目前正在交易，並且歷史上也曾進行過交易。

Please turn now to slide 5, where you can see the anticipated time line for the transformation. With our re-election revoked, we are currently situated in the second column on this slide, operating as a taxable C-Corp. During this period, while we prepare for our closed-end fund slash RIC conversion, we expect to grow the CLO portfolio above $100 million while maintaining a core portfolio of liquid Agency MBS to maintain exemption from the 1940 Act.

現在請翻到投影片 5，您可以在其中看到轉型的預期時間表。由於我們的連任被撤銷，我們目前位於這張投影片的第二列，作為應稅 C 型企業運作。在此期間，在我們為封閉式基金削減 RIC 轉換做準備的同時，我們預計 CLO 投資組合將增長到 1 億美元以上，同時維持流動性機構 MBS 的核心投資組合，以維持 1940 年法案的豁免。

Furthermore, EARN came into the year with significant net operating loss tax carry forwards, and we plan to take advantage of those to offset the majority of our US federal taxable income until our conversion to a closed-end fund slash RIC is complete. We remain on track to complete our conversion later this year, perhaps as soon as the third quarter. You can find additional information about this strategic transformation in the Presentations section of the Ellington Credit website, which, as a reminder, is now located at www.ellingtoncredit.com. And please don't hesitate to reach out to us with any questions.

此外，EARN 今年帶來了大量的淨營業虧損稅結轉，我們計劃利用這些優勢來抵消我們大部分美國聯邦應稅收入，直到我們完成向封閉式基金削減 RIC 的轉換。我們仍有望在今年稍後完成轉換，也許最快在第三季完成。您可以在 Ellington Credit 網站的演示部分找到有關此戰略轉型的更多信息，提醒您，該網站現位於 www.ellingtoncredit.com。如有任何問題，請隨時與我們聯絡。

Please turn now to slide 6 of the presentation for the market backdrop for the first quarter. In the first quarter, corporate credit, including CLOs, outperformed Agency MBS. Toward the bottom of the slide, you can see that first corporate credit spreads tightened in high yield and investment grade. Second, prices on the Morningstar LSTA Leveraged Loan Index rose for the sixth straight quarter. And third, CLO mezzanine spreads were tighter across the board with the most pronounced tightening on B rated tranches.

現在請翻到簡報的第 6 張投影片，了解第一季的市場背景。第一季度，包括 CLO 在內的企業信貸表現優於機構 MBS。在投影片的底部，您可以看到高收益和投資等級的企業信用利差首先收緊。其次，晨星 LSTA 槓桿貸款指數價格連續第六個季度上漲。第三，CLO 夾層利差全面收窄，其中 B 級債券收緊最明顯。

This strength in corporate credit reflected the continuation of trends we saw in the final months of 2023, driven by strong capital inflows, strengthening fundamentals and declining interest-rate volatility. Investor demand for leveraged loans remain particularly strong with significant new issue CLO volume and rapid repayments of existing leverage loans driving much of the demand. This dynamic has especially benefited EARNs holdings of discount dollar priced CLO mezzanine tranches, but we've concentrated our CLO investments so far.

企業信貸的強勁反映了我們在 2023 年最後幾個月看到的趨勢的延續，這是由強勁的資本流入、基本面增強和利率波動性下降所推動的。投資者對槓桿貸款的需求仍然特別強勁，新發行的 CLO 數量龐大，而且現有槓桿貸款的快速償還推動了大部分需求。這種動態尤其有利於 EARN 持有的折扣美元定價的 CLO 夾層部分，但到目前為止，我們已經集中了 CLO 投資。

Meanwhile, Agency MBS lagged in the quarter despite the lower interest rate volatility as market consensus shifted to a higher for longer expectation for interest rates. You can see in the middle of the slide that option-adjusted spreads on Agency MBS widened across the coupon stack.

同時，儘管利率波動性較低，但由於市場共識轉向對利率的長期預期較高，機構MBS在本季仍表現落後。您可以在投影片中間看到，機構 MBS 的選擇權調整利差在優惠券堆疊中擴大。

Please turn now to slide 7 for summary of EARNs results for the first quarter. In the middle of the slide, you can see that strong performance from our CLO portfolio led the way with CLOs contributing more than 40% of our investment portfolio income, despite representing less than 20% of average invested capital during the quarter.

現在請翻到投影片 7，了解第一季 EARN 業績摘要。在投影片中間，您可以看到我們的 CLO 投資組合表現強勁，儘管 CLO 佔本季平均投資資本的比例不到 20%，但其貢獻了我們投資組合收入的 40% 以上。

That translated to an annualized return on capital on our CLO portfolio north of 30% for the quarter. And we haven't even started employing significant leverage in that portfolio. That said, given that almost half of our CLO investment income was attributable to spread tightening. I don't want to give the impression that we can readily expect that kind of quarterly performance.

這意味著本季我們 CLO 投資組合的年化資本報酬率超過 30%。我們甚至還沒有開始在該投資組合中使用重要的槓桿作用。也就是說，考慮到我們近一半的 CLO 投資收入歸因於利差收緊。我不想給人留下我們可以輕易期待這種季度業績的印象。

Okay. Moving down the slide, you can see that our small non-Agency portfolio also contributed solidly to earnings, while agency finished positive as well. Our adjusted distributable earnings of $0.27 per share for the quarter, again comfortably exceeded our dividends of $0.24.

好的。沿著投影片向下移動，您可以看到我們小型的非代理投資組合也為收益做出了堅實的貢獻，而代理商也取得了積極的成果。本季調整後的可分配收益為每股 0.27 美元，再次輕鬆超過我們的股息 0.24 美元。

Elsewhere on slide 7, you could also see the impact of our larger CLO portfolio on our other operating metrics. Driven by the low leverage on our CLOs, EARNs overall debt to equity ratio declined to 4.8 to 1 at quarter end, down from 5.3 to 1 at year-end and a full two turns of leverage lower than it was on September 30, when we first started ramping up CLOs.

在投影片 7 的其他地方，您還可以看到我們更大的 CLO 投資組合對我們其他營運指標的影響。在CLO 槓桿率較低的推動下，EARN 的整體債務股本比率從年底的5.3 比1 下降至季末的4.8 比1，槓桿率比9 月30 日（當時我們的槓桿率）低了兩圈。

In addition, EARNs overall net interest margin climbed above 3% for the first quarter. Not surprisingly, this was driven by the higher NIMs in our CLO portfolio. You can see here that the NIM on our credit investments, which are now mainly CLOs, climbed above 9.5%. And as we add more CLOs, the credit portfolio is representing a larger and larger percentage of our overall portfolio. Of course, higher NIMs require less leverage to drive strong ADE.

此外，EARN第一季整體淨利差攀升至3%以上。毫不奇怪，這是由我們的 CLO 投資組合中較高的淨利差所推動的。您可以在這裡看到，我們的信貸投資（現在主要是 CLO）的淨利差攀升至 9.5% 以上。隨著我們增加更多的抵押貸款債券，信貸投資組合在我們整體投資組合中所佔的比例越來越大。當然，較高的淨利差需要較少的槓桿來驅動強大的 ADE。

Finally, I'll add that we were also able to reduce the size of our interest rate hedging portfolio in the first quarter, given the lower interest rate duration of CLOs.

最後，我要補充一點，鑑於 CLO 的利率久期較低，我們也能夠在第一季縮小利率對沖投資組合的規模。

And with that, I'll now pass it over to Chris to review our financial results for the first quarter in more detail. Chris?

現在，我將把它交給克里斯，讓他更詳細地審查我們第一季的財務表現。克里斯？

Thank you, Larry, and good morning, everyone. Please turn to slide 8 for a summary of Ellington Credit's first quarter financial results. For the quarter ended March 31, we reported net income of $0.20 per share and adjusted distributable earnings of $0.27 per share. [ADE] excludes the catch-up amortization adjustment, which was negative $884,000 in the first quarter.

謝謝拉里，大家早安。請參閱投影片 8，以了解 Ellington Credit 第一季財務表現摘要。截至 3 月 31 日的季度，我們報告每股淨利潤為 0.20 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，第一季為負 884,000 美元。

On Slide 8, you can see that our overall net interest margin expanded to 3.03% from 2.19% quarter over quarter, driven by the growth of CLOs while our ADE remained at $0.27 per share. NIMs on both the agency and credit portfolios increased sequentially, driven by higher average asset yields for and for agency a lower cost of funds.

在投影片 8 上，您可以看到，在 CLO 成長的推動下，我們的整體淨利差從環比 2.19% 擴大至 3.03%，而我們的 ADE 仍保持在每股 0.27 美元。受平均資產收益率上升和機構資金成本降低的推動，機構和信貸投資組合的淨利差連續增加。

In the first quarter, we continued to benefit from positive carry on our interest rate swaps, where we receive a higher floating rate and pay a lower fixed rate, but we expect the impact of this benefit to decline in future quarters as some of these swaps expire. And as we sell down the agency portfolio and take off the associated hedges.

在第一季度，我們繼續受益於利率掉期的正利差，即我們獲得更高的浮動利率並支付更低的固定利率，但我們預計這種收益的影響在未來幾個季度將下降，因為其中一些掉期到期。當我們拋售代理投資組合併取消相關對沖。

On slide 9, you can see the attribution of income by strategy. CLO strategy generated $0.12 per share of portfolio income in the quarter, driven by strong interest income and net realized and unrealized gains on our seasoned CLO mezzanine investments. Because we mostly own these mezzanine investments at discounts to par, they are benefiting from elevated loan prepayments.The positive net interest income from the CLO strategy also caused EARNs overall net interest income to be positive.

在投影片 9 上，您可以看到按策略劃分的收入歸屬。在強勁的利息收入以及我們經驗豐富的 CLO 夾層投資的已實現和未實現淨收益的推動下，CLO 策略在本季度產生了每股 0.12 美元的投資組合收入。由於我們大部分以低於面額的折扣持有這些夾層投資，因此它們受益於貸款預付款的增加。

Our Agency strategy generate portfolio income of $0.10 per share for the first quarter, despite lower interest rate volatility during the quarter, Agency MBS lagged the broader rally in credit as market consensus for the timing of the First Federal Reserve cut was pushed back. This drove interest rates higher across the yield curve and pressured yield spreads on Agency MBS, particularly in February and particularly for lower coupon MBS, where much of our portfolio is concentrated.

我們的代理策略在第一季產生了每股0.10 美元的投資組合收益，儘管本季利率波動性較低，但由於市場對聯準會首次降息時間的共識被推遲，代理MBS 落後於信貸更廣泛的反彈。這推動了整個殖利率曲線的利率走高，並對機構MBS的收益率利差造成壓力，特別是在2月份，特別是對於我們的大部分投資組合集中的低息票MBS。

While agency MBS yield spreads did recover meaningfully in March, driven by lower volatility and capital inflows, overall, for the quarter, Agency MBS generated a modestly negative excess return to treasuries. Despite the negative excess return earned agency portfolio was profitable for the quarter as net gains on interest rate hedges exceeded net losses on our pools and negative net interest income.

儘管在波動性降低和資本流入的推動下，機構 MBS 收益率利差在 3 月確實大幅回升，但總體而言，本季機構 MBS 為國債帶來了適度的負超額回報。儘管超額回報為負，但代理投資組合在本季度仍然盈利，因為利率對沖的淨收益超過了我們資金池的淨虧損和負淨利息收入。

Finally, our non-agency portfolio performed well during the quarter, generating $0.06 per share, driven by net interest income and mark-to-market gains attributable to spread tightening. As Larry mentioned, in connection with our strategic transformation, we've revoked our re-election effective January 1 of this year, and we are currently operating as a taxable C-Corp.

最後，我們的非機構投資組合在本季度表現良好，每股收益 0.06 美元，這得益於淨利息收入和利差收緊帶來的按市價計算的收益。正如 Larry 所提到的，為了實現我們的策略轉型，我們已經撤銷了今年 1 月 1 日起生效的連任，目前我們以應稅 C 型企業的身份運作。

We came into the year with substantial net operating loss carry forwards and in the first quarter, we used a portion of those to offset the majority of our federal taxable income as we intend to continue doing so for so long as we operate as a C-Corp. For the first quarter, we accrued an income tax expense of $300,000, which reflects the net tax liability accrued on our taxable income after the NOL offsets.

我們在進入這一年時結轉了大量的淨營業虧損，在第一季度，我們使用其中的一部分來抵消大部分聯邦應稅收入，因為只要我們作為 C- 運營，我們就打算繼續這樣做公司第一季度，我們應計所得稅費用為 300,000 美元，這反映了 NOL 抵銷後我們的應稅收入應計的淨稅義務。

Due to federal and state restrictions on NOL utilization, we cannot offset a 100% of our taxable income. Our utilization of NOLs reduced our effective tax rate from what would have been around 28.5% to 7.1% for the quarter. Please note that we did not book a deferred tax asset on our balance sheet related to the NOLs. So our reported book value remains fully tangible.

由於聯邦和州對 NOL 使用的限制，我們無法 100% 抵消應稅收入。我們對 NOL 的利用將本季的有效稅率從 28.5% 左右降低到 7.1%。請注意，我們沒有在資產負債表上登記與 NOL 相關的遞延稅資產。因此，我們報告的帳面價值仍然是完全有形的。

Please turn now to our balance sheet on Slide 10. Book value per share was $7.21 at March 31 compared to $7.32 per share at year end. Including the $0.24 per share of dividends in the quarter our economic return for the quarter was 1.8%. We ended the quarter with $79.5 million in cash and unencumbered assets, which represented approximately 56% of total equity.

現在請翻到投影片 10 上的資產負債表。截至 3 月 31 日，每股帳面價值為 7.21 美元，而去年底每股帳面價值為 7.32 美元。包括本季每股 0.24 美元的股息在內，我們本季的經濟回報率為 1.8%。截至本季末，我們擁有 7,950 萬美元的現金和未支配資產，約佔總股本的 56%。

Next, please turn to Slide 11 for a summary of our portfolio holdings. During the first quarter, our CLO portfolio increased to $45 million as of March 31 compared to $17 million as of year-end. Over the same period, the size of our Agency MBS holdings increased slightly to $739 million as of March 31 compared to $728 million as of December 31, and our aggregate holdings of interest only securities and non-Agency RMBS decreased modestly.

接下來，請參閱投影片 11，以了解我們的投資組合持股摘要。截至 3 月 31 日，第一季我們的 CLO 投資組合增至 4,500 萬美元，而截至年底為 1,700 萬美元。同期，截至3 月31 日，我們的機構MBS 持有規模小幅增加至7.39 億美元，而截至12 月31 日，我們的機構MBS 持有量為7.28 億美元，而我們僅付息證券和非機構MBS 的總持有量略有下降。

The allocation of our deployed equity CLOs increased to 25% at March 31 from 11% at year end, while the allocation to mortgage related assets declined to 75% from 89%. Including activity through May 13, our CLO portfolio currently stands at over $60 million, while our Agency MBS holdings have declined to $621 million.

截至 3 月 31 日，我們部署的股權 CLO 的配置從年底的 11% 增加至 25%，而抵押貸款相關資產的配置從 89% 下降至 75%。包括截至 5 月 13 日的活動在內，我們的 CLO 投資組合目前超過 6,000 萬美元，而我們的機構 MBS 持有量已降至 6.21 億美元。

Our debt-to-equity ratio adjusted for unsettled trades decreased to 4.9 times as of March 31 as compared to 5.3 times at year end. The decline was driven by less leverage on our CLO investments as compared to Agency RMBS as well as higher shareholders' equity. Similarly, our net mortgage assets to equity ratio decreased over the same period to 5.4 times from 5.8 times, driven also by a net short TBA position at March 31 on a notional basis compared to a net long notional TBA position at year end, partially offset by a larger Agency RMBS portfolio.

截至 3 月 31 日，我們針對未結算交易調整後的負債股本比率從去年底的 5.3 倍下降至 4.9 倍。與代理 RMBS 相比，我們 CLO 投資的槓桿率較低以及股東權益較高，導致了這一下降。同樣，同期我們的淨抵押資產與權益比率從 5.8 倍下降至 5.4 倍，這也是由於 3 月 31 日名義上的淨空頭 TBA 頭寸與年底的淨多頭寸 TBA 頭寸相比，部分抵消了通過更大的代理RMBS 投資組合。

Finally, on slide 13, you can see 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 quarter with a small net short TBA position both on a notional basis and as measured by 10-year equivalents.

最後，在投影片 13 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。本季結束時，我們持有小額淨空頭寸（待定），無論是名義上還是以 10 年期等值衡量。

The overall size of our interest rate hedging portfolio declined quarter over quarter as the share of our portfolio in CLOs increased. On slide 15, you can see that nearly all the loans underlying our CLO portfolio are floating rate and as such have much lower interest rate duration.

隨著我們的投資組合在 CLO 中所佔份額的增加，我們的利率對沖投資組合的整體規模環比下降。在投影片 15 上，您可以看到我們 CLO 投資組合中的幾乎所有貸款都是浮動利率，因此利率期限要低得多。

I will now turn the presentation over to Mark.

我現在將簡報交給馬克。

Thanks, Chris. This was a solid quarter for EARN. It showed the benefits of the pivot we started implementing last September, adding significant corporate CLO exposure in place of a portion of our levered agency MBS portfolio. The market backdrop of lower volatility and relatively stable yields led to outperformance in most credit sectors of structured products.

謝謝，克里斯。對於 EARN 來說，這是一個穩定的季度。它顯示了我們去年 9 月開始實施的轉向的好處，增加了大量的企業 CLO 敞口，取代了我們槓桿機構 MBS 投資組合的一部分。在波動性較低和收益率相對穩定的市場背景下，大多數信貸領域的結構性產品表現優異。

Market transition, this quarter from wondering about how high the Fed would hike rates totalling about when the first cut would come. That change in Fed expectations was very significant for risk appetite. Corporate credit rallied pretty much across the board and for Agency, it meant more bank participation, lower delta hedging costs and a favourable demand picture as inflows from fixed income funds were strong.

本季度，市場從對聯準會將升息多少的疑問轉向首次降息何時到來。聯準會預期的這種變化對於風險偏好來說非常重要。企業信貸幾乎全面上漲，對 Agency 來說，這意味著更多的銀行參與、更低的 Delta 對沖成本以及由於固定收益基金流入強勁而帶來的良好需求前景。

That said, Agency MBS actually lagged other spread products, basically with spreads treading water versus hedging instruments. But EARN was well positioned to capture ADE against this market backdrop, we were able to monetize spread income with limited drag from negative convexity. For CLOs, we've seen strong prepayment activity in the loans underlying our positions.

也就是說，機構 MBS 實際上落後於其他利差產品，基本上與對沖工具相比，利差停滯不前。但在這種市場背景下，EARN 處於有利地位來捕獲 ADE，我們能夠在負凸性的阻力有限的情況下將價差收入貨幣化。對於抵押貸款債券（CLO），我們看到我們頭寸背後的貸款有強勁的提前還款活動。

Corporate borrowers took advantage of benign market conditions to refinance debt, leading to welcome paydowns in excess of projections on our discount dollar priced mez portfolio. This refinancing activity has also improved loan market fundamentals, as many corporate borrowers have been able to lower their debt costs and [extended] debt maturities.

企業借款人利用良好的市場條件為債務再融資，從而獲得超過我們以折扣美元定價的中間投資組合的預期的可喜還款。這種再融資活動也改善了貸款市場的基本面，因為許多企業借款人能夠降低債務成本並[延長]債務期限。

Many CLO equity tranches are benefiting in a different way from the tightening in debt spreads with many CLO deals now able to refinance their liability costs lower. By lowering the coupons on the CLO debt tranches, more excess spread is available to flow to the CLO equity tranche. Solid fundamentals in the loan market, coupled with refi activity, have reduced [scale] risk in the CLO market and reduced the percentage of distressed loans in most deals.

許多 CLO 股票類別正以不同的方式從債務利差收緊中受益，許多 CLO 交易現在能夠以更低的負債成本進行再融資。透過降低 CLO 債務部分的票面利率，更多的超額利差可流入 CLO 股票部分。貸款市場堅實的基本面，加上再融資活動，降低了貸款抵押貸款市場的[規模]風險，並降低了大多數交易中不良貸款的比例。

This dynamic drove the outperformance of our CLOs relative to similarly rated corporate bonds for the quarter. Security selection also contributed to our outperformance, we systematically put over deal documentation to analyse deal level tests and triggers that not only protect our investments but also give us upside.

這一動態推動我們的 CLO 在本季的表現優於類似評級的公司債。證券選擇也促成了我們的優異表現，我們系統性地提供交易文件來分析交易等級測試和觸發因素，這不僅保護我們的投資，也為我們帶來上漲空間。

In addition, we work closely with our credit team to assess the credit quality of specific underlying loans to avoid future stresses and uncover potential upside. That discipline, together with the market backdrop of strong credit performance helped drive our outsized returns. We also had a nice contribution from our non-Agency RMBS holdings. Home price appreciation continues to surprise to the upside, and the net supply of housing is quite low relative to demand.

此外，我們與信貸團隊密切合作，評估特定基礎貸款的信貸質量，以避免未來的壓力並發現潛在的上行空間。這種紀律，加上強勁的信貸表現的市場背景，幫助推動了我們的巨額回報。我們的非機構 RMBS 持有量也做出了不錯的貢獻。房價持續意外上漲，房屋淨供應量相對於需求量相當低。

While we transition our portfolio from being Agency focused the CLO focused. We are managing the portfolio with a few goals in mind. First, this is a favorable environment for spread product like Agency MBS and CLOs. So we want to stay relatively fully invested. The percentage of capital allocated between the two sectors will shift over time. But overall, we are aiming to stay fully invested while maintaining our typical liquidity buffers.

當我們將我們的投資組合從以代理商為重點轉變為以 CLO 為重點時。我們在管理投資組合時牢記一些目標。首先，這對機構 MBS 和 CLO 等價差產品來說是一個有利的環境。因此，我們希望保持相對充分的投資。兩個部門之間分配的資本百分比將隨著時間的推移而變化。但總體而言，我們的目標是保持充分投資，同時保持典型的流動性緩衝。

Second, we want to keep our agency portfolio liquid. And as our transition progresses, we will need to concentrate that agency portfolio a bit more in whole pools in order to continue to maintain our 40 Act exemption prior to the RIC conversion. That process has been underway and is ongoing. We had about 20% turnover in our agency portfolio in Q1 and additional activity post quarter end. Our disciplined approach to pool selection has been helpful in minimizing earnings drag during this transition.

其次，我們希望保持我們的代理投資組合的流動性。隨著我們過渡的進展，我們需要將機構投資組合更多地集中在整個池中，以便在 RIC 轉換之前繼續維持我們的 40 法案豁免。這個過程已經開始並且正在進行中。第一季我們的代理商投資組合的營業額約為 20%，季末後還有更多活動。我們嚴格的資金池選擇方法有助於最大限度地減少此轉型期間的獲利拖累。

To summarize, we are keeping up ADE, but the mix between pools and CLOs will continue to shift in favour of CLOs.

總而言之，我們正在保持 ADE，但資金池和 CLO 之間的組合將繼續轉向有利於 CLO 的方向。

Looking ahead, I'm pleased with our returns for the quarter and the progress we have made with the portfolio transition. With the current market dynamics, we see upside in our current portfolio, should Fed cuts materialize consistent with market current expectations that could be a catalyst for additional outperformance.

展望未來，我對本季的回報以及我們在投資組合轉型方面的進展感到滿意。考慮到目前的市場動態，我們認為目前的投資組合有上行空間，如果聯準會降息符合市場目前的預期，這可能會成為進一步跑贏市場的催化劑。

Now back to Larry.

現在回到拉里。

Thanks, Mark. CLO performance was definitely the bright spot in the first quarter for EARN. As it's been since EARN began investing in this sector last September. In hindsight, September was clearly an excellent entry point, especially given the yield spread tightening we've seen in corporate credit since then. Despite the recent rally, I believe that the investment opportunity will continue to be attractive over the long term.

謝謝，馬克。CLO的表現絕對是EARN第一季的亮點。自 EARN 去年 9 月開始投資該領域以來一直如此。事後看來，9 月顯然是一個絕佳的切入點，特別是考慮到自那時以來我們在企業信貸中看到的收益率利差收緊。儘管最近出現反彈，但我相信從長遠來看，投資機會將繼續具有吸引力。

The CLO market has demonstrated its ability to generate attractive returns over market cycles and over a long-term horizon. As just one data point, the Benchmark Leveraged Loan Index has generated positive results in 24 years out of its 27-year performance history. Moreover, many portions of the CLO market remain highly inefficient, and so we believe that we can generate significant alpha above and beyond the already attractive benchmark index.

CLO 市場已經證明了其在市場週期和長期範圍內產生有吸引力的回報的能力。作為一個數據點，基準槓桿貸款指數在其 27 年的業績歷史中，有 24 年取得了積極的表現。此外，CLO 市場的許多部分仍然非常低效，因此我們相信我們可以產生高於已經有吸引力的基準指數的顯著阿爾法。

Even after the yield spread tightening that boosted our returns in the first quarter, we still see returns on equity for our recent CLO investments, assuming the modest amount of leverage we plan to employ as a closed-end fund in the high 10s and low 20s. Meanwhile, the Agency MBS sector continues to be volatile, especially over renewed concerns about inflation and a more hawkish Fed, which in April resulted in treasury yield volatility picking up and agency spreads widening yet again.

即使在第一季收益率利差收緊提高了我們的回報率之後，我們仍然看到我們最近的CLO 投資的股本回報率，假設我們計劃在10 多歲和20 多歲以下作為封閉式基金使用適度的槓桿。同時，機構MBS產業持續波動，特別是由於對通膨的新擔憂和聯準會變得更加鷹派，導致4月份美國國債殖利率波動加劇，機構利差再次擴大。

Agency MBS underperformed our swap and treasury hedges in April, and the volatility also caused us to incur delta hedging costs. Fortunately, much of this Agency MBS underperformance has reversed itself in mez. But this is just another example of volatility we've seen in Agency MBS over the past few years that we should be much less exposed to after our conversion to a CLO focused closed-end fund is complete.

4 月份，機構 MBS 的表現遜於我們的掉期和國債對沖，波動性也導致我們產生了 Delta 對沖成本。幸運的是，該機構 MBS 的大部分錶現不佳已在中間扭轉。但這只是過去幾年我們在機構 MBS 中看到的波動性的另一個例子，在我們完成以 CLO 為重點的封閉式基金的轉換後，我們所面臨的風險應該會大大減少。

Our CLO portfolio has continued to perform well so far in the second quarter. And overall, we estimate that EARNs economic return so far in the second quarter is slightly positive. Since quarter end, we also have continued to make great progress transitioning the portfolio. As Chris mentioned, our Agency portfolio is now down to about $621 million, and our CLO portfolio is now over $60 million. This continued shift has taken our debt-to-equity ratio down further to about 4.4 to 1 excluding repo and treasuries.

到目前為止，我們的 CLO 投資組合在第二季度繼續表現良好。總體而言，我們估計第二季迄今 EARN 的經濟回報略為正。自季度末以來，我們在投資組合轉型方面也繼續取得了巨大進展。正如 Chris 所提到的，我們的 Agency 投資組合現已降至約 6.21 億美元，而我們的 CLO 投資組合現已超過 6,000 萬美元。這種持續的轉變使我們的債務股本比率進一步下降至 4.4 比 1 左右（不包括回購協議和國債）。

Keep in mind that during this interim period before we qualify as a closed-end fund, you need to maintain a core portfolio of agency whole pools for 1940 Act purposes. I'm extremely excited about this new chapter for EARN. Ellington has a long-standing and successful track record of investing in CLOs, and I strongly believe that our transformation will generate high risk-adjusted returns with less volatility for Ellington Credit shareholders.

請記住，在我們獲得封閉式基金資格之前的過渡期內，您需要根據 1940 法案的目的來維持機構整體資金池的核心投資組合。我對 EARN 的新篇章感到非常興奮。Ellington 在 CLO 投資方面擁有長期且成功的記錄，我堅信，我們的轉型將為 Ellington Credit 股東帶來高風險調整回報，且波動性較小。

Once our conversion to a closed-end fund slash RIC is completed, our new structure should also enable us to access a more favorable cost of capital to support future growth. I believe that these factors will help drive adjusted distributable earnings and dividend growth from here.

一旦我們完成向封閉式基金削減 RIC 的轉換，我們的新結構也應該使我們能夠獲得更有利的資本成本來支持未來的成長。我相信這些因素將有助於推動調整後的可分配收益和股息成長。

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）

Crispin Love, Piper Sandler.

克里斯平·洛夫，派珀·桑德勒。

Thanks. Good morning, everyone. First just on the strategic transformation you announced, it's a meaningful shift from the agency strategy that you've had historically. Just with this change, would you expect a meaningful turnover in your current investor base? And can you just speak to what conversations have been like with current investors regarding the shift?

謝謝。大家，早安。首先，就您宣布的策略轉型而言，這是對您歷史上的代理策略的有意義的轉變。僅僅透過這項變化，您是否預期目前的投資人基礎會出現有意義的營業額？您能否談談與當前投資者就這一轉變進行的對話？

Yeah, sure. I mean, so far, we've had a few conversations, they've been positive and I think it's a pretty similar investor base, right. If you look on if you look at EARNs current investor base, just the institutional investor base is fairly small at this point in some passive funds. It's a mostly retail investor base, which is the same for the peer group of the CLO focused closed-end funds.

好，當然。我的意思是，到目前為止，我們已經進行了幾次對話，他們都很積極，我認為這是一個非常相似的投資者基礎，對吧。如果你看看 EARN 目前的投資者基礎，在這一點上，在一些被動基金中，機構投資者基礎相當小。這主要是散戶群體，這與以 CLO 為重點的封閉式基金的同業群體相同。

So I do think we are going to get some, I think, even incoming calls from some institutional investors to see, to potentially establish positions in the stock. But I do think that overall, it's going to be a pretty similar retail-oriented investor base.

因此，我確實認為我們會接到一些機構投資者的電話，我認為我們可能會接到一些機構投資者的電話，以潛在地建立該股票的頭寸。但我確實認為，總體而言，這將是一個非常相似的以散戶為導向的投資者基礎。

Great. That's helpful. And then can you speak to the credit quality in the CLO book? And how would you expect it to trend over time as well as expected risk-adjusted returns? Looking at your presentation and book looks to be very diversified, no major concentrations. Just curious if there are specific industries, you're most excited about as you build out the portfolio over time?

偉大的。這很有幫助。那麼您能談談 CLO 書中的信用品質嗎？您預期它隨時間的變化趨勢以及預期的風險調整回報如何？看看你的演講和書，看起來非常多元化，沒有主要的集中點。只是好奇，當您隨著時間的推移建立投資組合時，是否有特定的行業是您最感興趣的？

Well, again, each CLO is generally diversified across industries. Mark, do you want to handle that --

嗯，再說一遍，每個 CLO 通常都在不同行業中多元化。馬克，你想處理這個嗎--

Sure. Yeah, I'm actually yeah, I'm actually going to introduce a new voice to this earnings call that have Greg Borenstein who heads the CLO [equity] at Ellington.

當然。是的，我實際上是的，我實際上將在本次財報電話會議上介紹一個新的聲音，由艾靈頓 CLO [股權] 負責人格雷格·博倫斯坦 (Greg Borenstein) 擔任。

Well, nice to meet everyone. So to take this question, I think that the portfolio will adapt as the market and the opportunity develops. I think over the long run, you'll generally see a mix of mez and equity in the portfolio. You can see generally BBB and below is where we're going to be. I think that in September, when we started tranches, we found that mez was at an extreme discount also with the rates dynamic where you have a elevated SOFR, what we've traditionally had over the last 10 years.

嗯，很高興認識大家。因此，對於這個問題，我認為投資組合將隨著市場和機會的發展而調整。我認為從長遠來看，你通常會在投資組合中看到中間層和股權的混合。您可以大致看到 BBB，以下是我們將要看到的位置。我認為，在 9 月份，當我們開始分批付款時，我們發現 mez 也處於極大的折扣，而且利率動態也很高，SOFR 較高，這是我們過去 10 年的傳統做法。

We had more of a weighting towards mez versus the equity book. I think that the way we're seeing things trend now where with the exception of some credit sensitive profiles, much of the CLO mez market rally closer to par. We won't see the same total return coming from there, even though the credit quality continues to improve.

與股票帳簿相比，我們更偏向中間層。我認為，從我們現在看到的趨勢來看，除了一些信用敏感型資產外，大部分 CLO mez 市場的反彈都接近標準水準。儘管信貸品質持續改善，但我們不會看到相同的總回報。

I think when we think about this portfolio and the dividend, we're looking to pay as well as managing the risk, we'll see a slight shift into equity if this trend continues to keep up and we're seeing that equity liability spreads are continuing to keep tightening in the CLO market with its refis and resets and issuance is continuing to bear this out.

我認為，當我們考慮這個投資組合和股息時，我們希望支付並管理風險，如果這種趨勢繼續保持下去，我們將看到股權略有轉向，並且我們看到股權負債利差通過再融資和重置，CLO 市場繼續收緊，發行也繼續證明了這一點。

And overall, I think that you'll see diversification continue to improve as this grows. I think right now, as we're looking to ramp. We're mindful of liquidity. We don't want this to be odd lots, if we look to trade and rotate the opportunity changes and so as it continues to scale and grow. I think we will over time continue to see that more positions on the books. I think as we ramp, you'll see us maybe with slightly larger position sizes, but even now, I think it's still pretty diverse.

總的來說，我認為隨著這種增長，你會看到多元化繼續改善。我認為現在，因為我們正在尋求提升。我們關注流動性。如果我們希望交易和輪換機會變化，並且隨著它繼續擴大和成長，我們不希望這是零散的。我認為隨著時間的推移，我們將繼續看到更多的職位出現在帳簿上。我認為，隨著我們的發展，您可能會看到我們的頭寸規模稍大一些，但即使是現在，我認為它仍然相當多樣化。

Great. Thank you, Greg, and thank you all for taking my questions.

偉大的。謝謝你，格雷格，也謝謝大家回答我的問題。

Thanks, Crispin.

謝謝，克里斯平。

Doug Harter, UBS.

道格·哈特，瑞銀集團。

Thanks. Can you just talk about the return profile, how much of it kind of coming from current coupon versus discount accretion and how that differs between the mez pieces and the equity pieces?

謝謝。您能否談談回報情況，其中有多少來自當前優惠券與折扣增值，以及夾層部分和權益部分之間有何不同？

Well, as I mentioned, Doug, in the last -- the first quarter, we had a lot from spread tightening, in terms of how much is from coupon versus accretion, I don't know if we have that at our fingertips, but you know, as I think you first of all, I think you're probably referring more to mezzanine debt tranches as opposed to equity tranche, right.

好吧，正如我所提到的，道格，在上個季度——第一季度，我們從利差收緊中獲益匪淺，就優惠券與增值的比例而言，我不知道我們是否掌握了這一點，但你知道，正如我首先認為的那樣，我認為你可能更多地指的是夾層債務部分而不是股權部分，對吧。

With equity, it's generally coming from excess interest spread right in the deals themselves. So now we do -- we can calculate obviously a projected yield on those as we can on the mezzanine. But implicitly, there's going to be some amortization calculation there. The mez that we have currently does -- Greg, do you have sort of the average dollar price of most?

對於股權來說，它通常來自交易本身的超額利差。所以現在我們可以——我們可以像在夾層上一樣計算這些項目的預期報酬率。但隱含地，那裡將會有一些攤銷計算。我們目前擁有的梅茲 - 格雷格，你有大多數的平均美元價格嗎？

Greg, why don't you field this?

格雷格，你為什麼不把這個交給我？

Hi. So I don't have the portfolio in front of me. But one thing I would note is, in general, over the period of time we've talked about since we've been investing in CLOs, you've seen more price appreciation from the mez and I think you generally would. I think that you've seen most mezzanine pieces move up certainly into the 90s-dollar price range for as maybe we were sourcing more in the beginning in the 80s, and in some cases, some very stressed pieces beneath that.

你好。所以我面前沒有作品集。但我要指出的一件事是，總的來說，自從我們投資 CLO 以來，在我們討論的這段時間裡，你已經看到了中間層的更多價格升值，我認為你通常會看到。我認為你已經看到大多數夾層物品的價格肯定上升到 90 美元的價格範圍，因為也許我們在 80 年代初期採購了更多，在某些情況下，一些壓力非常大的物品低於這個價格。

And so over this period of time, in particular, more price appreciation than in I think a more normal market, which is why on the margin, we'll see mez probably start to come down a little bit versus equity as that price appreciation until the turn has been captured.

因此，在這段時間裡，特別是，與我認為更正常的市場相比，價格升值幅度更大，這就是為什麼在邊際上，我們會看到梅茲相對於股票可能會開始略有下降，因為價格升值直到回合已被捕獲。

And I think actually -- I was going to say if you look at some of the on the earnings deck, there is a portfolio table on page slide 11, right of the deck. And you can see that the average dollar price of our CLO write notes is currently -- well as of March 31, I should say was 86 handle. So I think that can give you some indication of -- So I would say, you know, Greg, correct me if I'm wrong, but that probably means that you have a good couple of hundred basis points of the yield is, the projected yield on those notes is going to be due to accretion of discount over time as opposed to coupon. So it's not certainly not most of the return if that's sort of what you're asking about.

我認為實際上 - 我想說的是，如果你看一下收益表上的一些內容，你會發現第 11 頁幻燈片右側有一個投資組合表。你可以看到，我們 CLO 寫票據的平均美元價格目前是——截至 3 月 31 日，我應該說是 86 點。所以我認為這可以給你一些指示——所以我想說，你知道，格雷格，如果我錯了，請糾正我，但這可能意味著你的收益率有幾百個基點，這些票據的預計收益率將歸因於隨著時間的推移折扣的增加，而不是票息的增加。因此，如果這就是您所問的問題，那麼這肯定不是大部分回報。

Yeah. Just trying to get comfort in, I guess the predictability of the cash flow and as you go forward and as this grows as a percentage to kind of support the monthly dividend?

是的。只是想安慰一下，我猜現金流的可預測性以及隨著您的前進以及隨著現金流量的百分比增長以支持每月股息？

Yeah. Yes, Greg, let me ask [it on the nose], what's a typical spread on these floating rate notes would you say in the portfolio, roughly, very roughly. spread over SOFR.

是的。是的，格雷格，讓我問[它在鼻子上]，你會說在投資組合中這些浮動利率票據的典型利差是多少，粗略地，非常粗略地。分佈在 SOFR 上。

Yeah, Larry, it's Mark. Those who like [800 to 1,000], Doug, one way to think about it is the mez comes in a discount with a very big coupon. So kind of analogous to discount Agency MBS. This was a quarter where you had sort of outsized prepayments because a lot of loans reified, but that capturing that outsized prepayments, it was definitely part of the security selection process when we start ramping the portfolio, we were looking for the mez pieces where we thought you'd see on a lot of loan refinancing.

是的，拉里，是馬克。那些喜歡 [800 到 1,000] 的人，道格，一種思考方式是，mez 可以享受折扣，並提供一張非常大的優惠券。有點類似折扣代理 MBS。這個季度，你有巨額預付款，因為很多貸款都得到了具體化，但是捕獲巨額預付款，這絕對是我們開始擴大投資組合時安全選擇過程的一部分，我們正在尋找我們可以在其中的夾層部分。我想你會看到很多貸款再融資。

And then when you get to the equity and Greg will get into on future calls, there's different flavors of it. There's some equity that is sort of almost like premium MBS where you're getting at or above market coupon, but it's paying down a little bit. And then there's some equity that's almost more like IO.

然後，當你談到股權時，格雷格將在未來的電話會議中進行討論，其中有不同的風格。有一些股票有點像高級MBS，您可以以等於或高於市場票面的價格獲得，但它的回報要小一些。還有一些權益幾乎更像 IO。

Yeah. If you're SOFR is plus 800, even at the low end of that range on mezzanine, just with us a very small bit of leverage here covering your dividend with coupon right there.

是的。如果您的 SOFR 是+ 800，即使在夾層的該範圍的低端，只要我們在這裡使用很小的槓桿就可以用優惠券支付您的股息。

Got it. That's very helpful. Thank you.

知道了。這非常有幫助。謝謝。

Matthew Erdner, JonesTrading.

馬修‧艾德納，瓊斯交易公司。

Thanks for taking the question. Could you expand a little more on the pace of the transition out of the agency and into the CLOs. I think you mentioned $621 million currently and in MBS and then $60 million in the CLO.

感謝您提出問題。您能否詳細介紹一下從代理商過渡到 CLO 的速度。我想您提到了目前 MBS 中的 6.21 億美元，以及 CLO 中的 6000 萬美元。

Yeah. Look, I think, why if you say how much we've been kind of add, it's really CLO is driving it right. We're selling MBS, just as we buy CLO not the other way around right. See the CLO is what's driving the pace of the transition. So yeah, if you look $20 million a month is kind of while we've been ramping recently, I think that's quite manageable. I think, sort of the low end of our expectations where we plan to be.

是的。聽著，我想，為什麼如果你說我們增加了多少，那確實是 CLO 正在正確地推動它。我們出售 MBS，就像我們購買 CLO 一樣，而不是相反。了解 CLO 是推動轉型步伐的因素。所以，是的，如果你看一下我們最近一直在增加的每月 2000 萬美元，我認為這是相當容易管理的。我認為，這是我們計劃的期望的低端。

So, if we're at $60 million as of now and two more months from today. So that will put us, let's just say in July where we are close to or above $100 million that's kind of I think what I mentioned in the prepared remarks as where we plan to get to and then really at almost any point after that are quite quickly after that, we would be able to complete the transition.

那麼，如果我們現在和兩個月後的收入為 6000 萬美元。因此，這將使我們在 7 月份接近或超過 1 億美元，這就是我在準備好的評論中提到的我們計劃達到的目標，然後實際上在之後的任何時候都相當不錯此後不久，我們就能完成過渡。

So if I had to guess I would say $120 million give or take and of course, as we mentioned, we're going to we will have a shareholder vote later this year, which we will need to sort of authorize the transformation, the conversion to a closed-end fund.

因此，如果我必須猜測，我會說給予或接受 1.2 億美元，當然，正如我們所提到的，我們將在今年稍後進行股東投票，我們需要透過投票來授權轉型、轉換轉為封閉式基金。

Got you. That's helpful. And then with this conversion, should we expect any one-time expenses or stuff like that? Because it happens.

明白你了。這很有幫助。然後，透過這種轉換，我們是否應該期待任何一次性費用或類似的東西？因為它發生了。

Yeah, but I think though they're going to be quite modest. I mean, I think we've mentioned that to liquidate. No sufficient agencies is really going to be quite modest. So and has been not even noticeable, I think so far.

是的，但我認為他們會相當謙虛。我的意思是，我想我們已經提到要清算了。沒有足夠的機構確實會相當謙虛。所以到目前為止，我認為還沒有引起人們的注意。

So but, yeah, we'll have, of course, some legal and professional fees as well, but nothing extraordinary. I mean, I know there have been some other transitions like this where it's been quite costly, especially to liquidate the portfolio. But it's just not going to be the case here.

所以，是的，我們當然也會有一些法律和專業費用，但沒什麼特別的。我的意思是，我知道還有其他一些類似的轉變，其成本相當高，尤其是清算投資組合。但這裡的情況並非如此。

So I think, yeah, it's not something that we've -- I think, a number that we've put out so far, but it's really, we put out a proxy -- a lot of that on expenses been occurred in the second quarter. It's not been anything you know, to I think, be concerned about. So I think these are going to be quite modest and well kind of be almost blend in with the rest of the returns on the portfolio.

所以我認為，是的，這不是我們已經發布的數字——我想，我們到目前為止已經發布了一個數字，但實際上，我們發布了一個代理——其中許多費用都發生在第二季度。我認為這不是你所知道的值得擔心的事情。因此，我認為這些回報將相當適度，並且幾乎與投資組合的其他回報融為一體。

Yeah, that's great. Thank you, guys.

是的，那太好了。感謝你們。

Thank you. That was our final question for today. We thank you for participating in the Ellington Credit Company first quarter 2024 financial results conference call. You may disconnect your line at this time and have a wonderful day.

謝謝。這是我們今天的最後一個問題。我們感謝您參加艾靈頓信貸公司 2024 年第一季財務業績電話會議。此時您可以斷開線路並度過美好的一天。

On behalf of our [Clan]. We would like to thank you for joining. This concludes the program.

代表我們的[氏族]。我們衷心感謝您的加入。程式到此結束。