Ellington Credit Co (EARN) 2024 Q3 法說會逐字稿

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

女士們、先生們，午安。謝謝你的支持。歡迎參加艾靈頓信貸公司 2024 年第三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 Litigation Reform Act of 1995. Forward-looking statements are not historical in nature.

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。前瞻性陳述本質上並不是歷史性的。

As described under Item 1A of our annual report on Form 10-K and Part 2, Item 1A of our quarterly report on Form 10-Q, 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.

正如我們的10-K 表格年度報告第1A 項和10-Q 表格季度報告第2 部分第1A 項所述，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會導致公司的實際結果與其信念、期望、估計和預測不同。

Consequently, you should not rely on these forward-looking statements as predictions of future events. Unless otherwise noted, statements made during this conference call are made as of the date of this call. The company undertakes no obligation to update or revise any forward-looking statements, whether as a result of new information, future events, or otherwise.

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，本次電話會議期間所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陳述的義務，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. We are also again joined by Greg Borenstein, Head of Corporate Credit at Ellington Management Group. Following the completion of our conversion to a CLO closed-end fund, Greg, along with Ellington's Founder, Mike Vranos, will officially be designated as EARN's two portfolio managers.

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；以及我們的財務長 Chris Smernoff。艾靈頓管理集團 (Ellington Management Group) 企業信貸主管格雷格·博倫斯坦 (Greg Borenstein) 也再次加入我們的行列。在我們完成向 CLO 封閉式基金的轉換後，Greg 和 Ellington 的創辦人 Mike Vranos 將正式被指定為 EARN 的兩名投資組合經理人。

Our third-quarter earnings conference call presentation is available on our website, ellingtoncredit.com. Our comments this morning will follow that presentation. Please note that any references made on this call to figures in that presentation are qualified in their entirety by the notes at the back of the presentation. Any figures relating to the current status of the shareholder vote are made as of this morning.

我們的第三季財報電話會議演示可在我們的網站 ellingtoncredit.com 上取得。我們今天上午的評論將在該演示之後進行。請注意，本次電話會議對此簡報中的圖表的任何引用均由簡報後面的註釋完整限定。與股東投票現狀相關的所有數據均截至今天上午。

Such figures are subject to change based on a variety of factors, including the ability of shareholders to change or revoke their votes, which they are entitled to do at any time prior to the annual meeting and our tabulator of finalizing its report. As a reminder, during this call, we'll sometimes refer to Ellington Credit Company by its NYSE ticker, E-A-R-N, or EARN for short.

這些數字可能會因多種因素而發生變化，包括股東改變或撤銷投票的能力，他們有權在年度會議和我們最終確定報告之前的任何時間這樣做。提醒一下，在本次電話會議中，我們有時會透過其NYSE E-A-R-N 或簡稱 EARN 來提及 Ellington Credit Company。

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. I'll start with an update on the shareholder vote related to our strategic transformation.

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。我將首先介紹與我們策略轉型相關的股東投票的最新情況。

As you've seen, we have postponed the Annual Shareholder Meeting as we work to accumulate the required votes to approve the conversion of EARN to a Delaware closed-end fund. Shareholders' support for the conversion has been overwhelmingly positive.

正如您所看到的，我們推遲了年度股東大會，因為我們正在努力累積所需的票數以批准 EARN 轉換為特拉華州封閉式基金。股東對此次轉換給予了壓倒性的積極支持。

Based on voting results as of this morning, the three conversion-related proposals have approval rates above 92% and over 95% if you don't include abstentions. However, in order to pass two of the three proposals, we need for votes from a majority of all shares outstanding, not just of votes cast. And as of this morning, we are still short of that threshold.

根據今天上午的投票結果，三項與轉換相關的提案的支持率超過92%，如果不包括棄權票，則超過95%。然而，為了通過三項提案中的兩項，我們需要所有流通股的多數票，而不僅僅是投票數。截至今天早上，我們仍然達不到這個門檻。

On those proposals, we currently have about 10.5 million for votes, but we still need a little more than 2 million additional for votes in order for them to pass. I should note that these approval rates are unofficial and preliminary, and shareholders can change their vote at any time prior to the annual meeting. Both ISS and Glass Lewis, the leading independent proxy advisory services, have unanimously recommended for votes on all the conversion-related proposals as they recognize the benefits to EARN's shareholders of the conversion.

對於這些提案，我們目前有大約 1,050 萬票，但我們還需要多於 200 萬票才能讓它們通過。我應該指出，這些支持率是非官方的和初步的，股東可以在年會之前隨時更改投票。領先的獨立代理諮詢服務機構 ISS 和 Glass Lewis 一致建議對所有與轉換相關的提案進行投票，因為他們認識到轉換會為 EARN 股東帶來的好處。

On Slide 4, we highlight some of the anticipated benefits to shareholders of the transformation, which include better projected risk-adjusted returns over the long term and enhanced access to the capital markets, while also affording shareholders with the additional protections provided by the 1940 Act.

在投影片4 中，我們重點介紹了轉型將為股東帶來的一些預期收益，其中包括更好的長期風險調整回報預測和增加進入資本市場的機會，同時也為股東提供1940 年法案提供的額外保護。

Furthermore, as a registered investment company, we would generally not be subject to corporate income tax. With our current status as a taxable C-Corp, we are subject to a small level of corporate income tax, but we will be subject to the full corporate tax level after our NOLs burn off.

此外，作為一家註冊投資公司，我們通常無需繳納企業所得稅。鑑於我們目前作為應稅 C 型企業的身份，我們需要繳納少量的企業所得稅，但在我們的 NOL 耗儘後，我們將繳納全額的企業稅。

Also, until we convert to a RIC, we also need to continue to hold a portfolio of Agency MBS pools to maintain our exemption from the 1940 Act, and thus, that keeps us from completing the full transition of our investment portfolio to corporate CLOs.

此外，在我們轉換為 RIC 之前，我們還需要繼續持有機構 MBS 池的投資組合，以維持我們對 1940 年法案的豁免，因此，這使我們無法完成投資組合向公司 CLO 的全面過渡。

To those who have voted already, thank you. And to those with unvoted proxies, please submit your vote as soon as possible.

對於那些已經投票的人，謝謝你們。尚未投票的代理人，請盡快提交您的投票。

Please turn now to slide 6 of the earnings presentation for the market backdrop for the third quarter. Despite volatility spiking in early August, the CLO market in the third quarter continued to benefit from strengthening loan fundamentals and robust demand for leveraged loans. As you can see on this slide, leveraged loan default rates continue to decline in both US and Europe, while prepayment rates continue to be elevated, particularly in the US.

現在請翻到收益簡報的投影片 6，了解第三季的市場背景。儘管八月初波動加劇，但第三季的 CLO 市場繼續受益於貸款基本面的加強和槓桿貸款的強勁需求。正如您在這張幻燈片中看到的，美國和歐洲的槓桿貸款違約率繼續下降，而提前還款率繼續上升，特別是在美國。

In terms of new CLO issuance, while tightening credit spreads and lower interest rates supported strong corporate loan issuance, net CLO supply in the US was actually negative overall for the quarter as a result of the combined impact of an elevated pace of refinancings and resets and as many seasoned CLOs were called.

就新的CLO 發行而言，雖然信貸利差收緊和利率下降支撐了強勁的企業貸款發行，但由於再融資和重置步伐加快以及債務重組等因素的綜合影響，本季度美國的CLO 淨供應實際上總體為負值。

Also, as depicted on slide 6, the combination of strong loan fundamentals and positive market technicals during the quarter drove CLO mezzanine spreads tighter overall in both US and European markets, while high yield and IG credit indices tightened further as well.

此外，如幻燈片6 所示，本季強勁的貸款基本面和積極的市場技術面相結合，推動美國和歐洲市場的CLO 夾層利差整體收緊，而高收益債券和IG 信貸指數也進一步收緊。

Similar to the prior quarter, performance for US CLO equity was somewhat mixed, which Greg will get into later on this call. Meanwhile, in the Agency MBS market, with interest rates falling and the yield curve steepening in anticipation of the Fed's cut in September, Agency MBS spreads tightened, and the US Agency MBS index generated an excess return of 76 basis points for the quarter.

與上一季類似，美國 CLO 股票的表現有些好壞參半，格雷格將在稍後的電話會議中討論。同時，在機構MBS市場，隨著聯準會9月降息預期導致利率下降和殖利率曲線陡峭，機構MBS利差收緊，美國機構MBS指數本季超額報酬達76個基點。

I'll turn now to EARN's third quarter results on slide 7. We had another quarter of excellent performance from our CLO debt portfolio, with robust loan prepayments triggering further deleveraging in our seasoned mezzanine positions and with low default rates boosting demand for junior mezz tranches, which drove credit spreads tighter.

我現在將轉向幻燈片 7 上的 EARN 第三季業績。我們的CLO 債務投資組合又一個季度表現出色，強勁的貸款預付款引發了我們經驗豐富的夾層頭寸的進一步去槓桿化，低違約率提振了對初級夾層部分的需求，從而推動信貸利差收窄。

We also enhanced returns in our CLO debt portfolio through some opportunistic trading, and we further enhanced returns by driving the liquidation of a CLO where we own discount mezzanine debt. In that case, the redemption proceeds we received upon the CLO's liquidation far exceeded the value of our mezz debt position were it to have remained as a CLO tranche. Meanwhile, we also had positive performance in our CLO equity portfolio, also enhanced by opportunistic trading as well as by our successful completion of two deal refinancings.

我們也透過一些機會主義交易提高了 CLO 債務投資組合的回報，並透過推動我們擁有折現夾層債務的 CLO 的清算來進一步提高回報。在這種情況下，我們在 CLO 清算時收到的贖回收益遠遠超過了我們保留為 CLO 部分的夾層債務頭寸的價值。同時，我們的 CLO 股票投資組合也取得了積極的表現，機會主義交易以及我們成功完成的兩筆交易再融資也增強了這一表現。

Finally, we had positive results from our remaining RMBS investments, and EARN's overall annualized economic return for the third quarter was 10.8%. As with prior quarters, our ongoing shift from Agency MBS into CLOs continue to lower our leverage ratios. You can see on slide 7 that our debt-to-equity ratio declined to 2.5 to 1 at quarter end. Meanwhile, our cash plus unencumbered assets finished the quarter at a very healthy $121.5 million, which represented nearly two-thirds of our total equity.

最後，我們剩餘的 RMBS 投資取得了積極的成果，EARN 第三季的整體年化經濟報酬率為 10.8%。與前幾季一樣，我們從機構 MBS 向 CLO 的持續轉變繼續降低了我們的槓桿率。您可以在投影片 7 中看到，我們的債務股本比在季度末下降至 2.5 比 1。同時，我們的現金加上未支配資產在本季達到了非常健康的 1.215 億美元，占我們總股本的近三分之二。

The wide net interest margins on our CLOs also enabled our adjusted distributable earnings to continue to cover our dividends during the third quarter, despite our significantly lower leverage and even as we terminated in conjunction with selling Agency pools several interest rate swap hedging positions that had been supporting ADE.

儘管我們的槓桿率顯著降低，而且我們終止了與出售代理池相關的多個利率掉期對沖頭寸，但我們的CLO 的寬闊淨息差也使我們調整後的可分配收益能夠繼續覆蓋第三季度的股息。

As we had forecast on last quarter's call, our ADE did tick down in the third quarter as we terminated these swaps. But as we had also forecast, our ADE for the third quarter still exceeded our first quarter level of $0.27 per share and covered our third-quarter dividends.

正如我們對上季電話會議的預測一樣，隨著我們終止這些互換，我們的 ADE 在第三季確實有所下降。但正如我們所預測的那樣，我們第三季的 ADE 仍然超過第一季每股 0.27 美元的水平，並覆蓋了我們第三季的股息。

With that, I'll now pass it over to Chris to review our financial results for the third 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三季的財務表現。克里斯？

Thank you, Larry, and good morning, everyone.

謝謝拉里，大家早安。

Please turn to slide 8 for a summary of Ellington Credit's third quarter financial results. For the quarter ended September 30, we are reporting net income of $0.21 per share and adjusted distributable earnings of $0.28 per share. ADE excludes the catch-up amortization adjustment, which was positive $173,000 in the third quarter.

請參閱投影片 8，以了解 Ellington Credit 第三季財務表現摘要。截至 9 月 30 日的季度，我們報告每股淨利潤為 0.21 美元，調整後可分配收益為每股 0.28 美元。ADE 不包括追趕攤銷調整，第三季為 173,000 美元。

Our debt-to-equity ratio, adjusted for unsettled trades, decreased to 2.5 times at September 30 compared to 3.7 times at June 30. The decline was driven by higher shareholders' equity and the less leverage we employ on our growing CLO investment portfolio as compared to the leverage we employ on our legacy Agency MBS portfolio. Similarly, our net mortgage asset-to-equity ratio decreased over the same period to three times from four times.

我們的負債股本比率（根據未結算交易進行調整）從 6 月 30 日的 3.7 倍降至 9 月 30 日的 2.5 倍。下降的原因是股東權益增加，以及與我們對傳統代理 MBS 投資組合使用的槓桿相比，我們對不斷增長的 CLO 投資組合使用的槓桿減少。同樣，我們的淨抵押貸款資產與權益比率同期從四倍下降至三倍。

Our overall net interest margin increased to 5.22% from 4.24% in the prior quarter, which reflects the higher allocation of capital to the credit strategy and a higher NIM on our agency portfolio driven by higher asset yields and a lower cost of funds. Despite the overall increase, the net interest margin on our credit portfolio actually declined sequentially, finishing more in line with our first quarter NIM.

我們的整體淨利差從上一季的 4.24% 上升至 5.22%，反映出信貸策略的資本配置增加，以及資產收益率上升和資金成本下降推動的代理投資組合淨利差上升。儘管整體有所成長，但我們信貸投資組合的淨利差實際上連續下降，與我們第一季的淨利差更為一致。

As we highlighted last quarter, the higher NIM in the second quarter has been the result of accelerated prepayments on the loans underlying several discounted CLO positions, which resulted in high payoff activity and high asset yields for those CLO positions. Prepayment activity was less significant in the third quarter in our CLO mezz portfolio, which drove asset yields and NIM in the credit portfolio more in line with our first quarter results.

正如我們上季度所強調的那樣，第二季度淨息差較高是由於若干貼現 CLO 頭寸基礎貸款加速提前還款的結果，這導致這些 CLO 頭寸的高回報活動和高資產收益率。第三季度，我們的 CLO 夾層投資組合中的預付款活動不太明顯，這使得信貸投資組合中的資產收益率和淨息差與我們第一季的業績更加一致。

In the third quarter, we continue to benefit from positive carry on our interest rate swaps, where we receive a higher floating rate and pay a lower fixed rate. But as Larry mentioned, the impact of this benefit declined in Q3 as some of these swaps expired and as we sold down the Agency portfolio and took off the associated hedges.

在第三季度，我們繼續受益於利率掉期的正利差，我們獲得更高的浮動利率並支付更低的固定利率。但正如拉里所提到的，隨著其中一些掉期到期，並且我們出售了代理投資組合併取消了相關的對沖，這種好處的影響在第三季度有所下降。

While the swap benefit should continue to burn off as we finish our rotation out of Agency MBS and into CLOs, the wide NIMs of the CLOs themselves are a counterbalance. The combination of lower leverage and the swap terminations drove the sequential decline in our ADE. Despite the decline, our adjusted distributable earnings continued to exceed our dividends paid in the third quarter.

雖然隨著我們完成從機構 MBS 到 CLO 的輪換，掉期收益應該會繼續消失，但 CLO 本身的廣泛淨利差是一種平衡。較低的槓桿率和掉期終止共同推動了我們的 ADE 連續下降。儘管下降，但我們調整後的可分配收益仍持續超過第三季支付的股利。

Slide 9 shows the attribution of income by strategy. In the third quarter, the CLO strategy generated $0.12 per share of portfolio income, driven by strong net interest income, which increased sequentially with the larger CLO portfolio. Further, net gains on our US and European CLO debt portfolios were supported by both opportunistic sales and tighter credit spreads on held positions.

投影片 9 顯示了按策略劃分的收入歸屬。第三季度，在強勁的淨利息收入的推動下，CLO 策略產生了每股 0.12 美元的投資組合收入，淨利息收入隨著 CLO 投資組合規模的擴大而連續增長。此外，我們的美國和歐洲 CLO 債務投資組合的淨收益受到機會主義銷售和持有頭寸信用利差收緊的支撐。

We also benefited from positive performance from our US and European CLO equity portfolios, where net interest income exceeded net realized and unrealized losses. The net realized and unrealized losses in CLO equity were primarily the result of dollar price and NIM compression on the corporate loan assets underlying our CLOs, partially offset by the positive impact of opportunistic trading and the two deal refinancings that Larry mentioned.

我們也受益於美國和歐洲 CLO 股票投資組合的積極表現，其中淨利息收入超過已實現和未實現的淨損失。CLO 權益的已實現和未實現淨損失主要是由於美元價格和CLO 所依據的企業貸款資產的淨息差壓縮造成的，部分被機會主義交易和拉里提到的兩筆交易再融資的積極影響所抵消。

Meanwhile, our Agency strategy performed well in the third quarter, generating $0.18 per share of portfolio income. In the quarter, interest rates fell, the yield curve steepened and Agency MBS spreads tightened as the market anticipated at the beginning of the Federal Reserve's interest rate cutting cycle.

同時，我們的代理策略在第三季表現良好，每股產生 0.18 美元的投資組合收入。本季，隨著市場預期聯準會降息週期開始，利率下降，殖利率曲線陡峭，機構MBS利差收緊。

In September, the Federal Reserve reduced the target range for the federal funds rate by 50 basis points and also released updated economic projections that implied another 50 basis points of interest rate cuts later in 2024, although that expectation is no longer shared by the market.

9月，聯準會將聯邦基金利率目標區間下調了50個基點，並發布了最新的經濟預測，暗示在2024年晚些時候再降息50個基點，儘管市場不再認同這一預期。

Tighter yield spreads drove net gains on our Agency RMBS, which exceeded net losses on our interest rate hedges, driven by declining interest rates. Our non-Agency portfolio generated positive results for the quarter as well driven by net interest income and net gains associated with several profitable sales.

收益率利差收緊推動了我們的代理人民幣支持證券的淨收益，超過了利率下降導致的利率對沖淨損失。我們的非代理投資組合在本季度取得了積極的業績，這得益於淨利息收入和與多項盈利銷售相關的淨收益。

As a reminder, in connection with our strategic transformation, we revoked our REIT election effective January 1 of this year, and we are currently operating as a taxable C-Corp. We came into the year with substantial net operating loss carryforwards. And in the third quarter, we used a portion of those to offset the majority of our federal taxable income, and we intend to continue to do so for so long as we operate as a C-Corp.

提醒一下，為了實現我們的策略轉型，我們撤銷了自今年 1 月 1 日起生效的 REIT 選擇，目前我們作為應稅 C 型企業營運。今年我們結轉了大量營業淨虧損。在第三季度，我們用其中的一部分抵消了大部分聯邦應稅收入，並且只要我們作為 C 型企業運營，我們就打算繼續這樣做。

For the third quarter, we accrued an income tax expense of $463,000, which represents the net tax liability accrued on our taxable income after the NOL offset. Due to federal and state restrictions on NOL utilization, we cannot offset 100% of our taxable income.

第三季度，我們應計所得稅費用為 463,000 美元，這代表了 NOL 抵銷後我們的應稅收入應計的淨稅義務。由於聯邦和州對 NOL 使用的限制，我們無法 100% 抵消應稅收入。

Our utilization of NOLs reduced our effective tax rate from what would have been about 28% to about 7.8% for the quarter. Please note that we are not booking a deferred tax asset on our balance sheet related to the NOLs, so our reported book value remains fully tangible. After the conversion to a closed-end fund/RIC, we generally will not be subject to corporate income tax.

我們對 NOL 的利用將本季的有效稅率從約 28% 降低至約 7.8%。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。轉為封閉式基金/RIC後，我們通常不會繳交企業所得稅。

Please turn now to our balance sheet on slide 10. Book value per share was $6.85 at September 30 compared to $6.91 at June 30. Including the $0.24 per share of dividends in the quarter, our economic return for the quarter was 2.6% or 10.8% annualized with compounding. We ended the quarter with $121.5 million of cash and unencumbered assets.

現在請翻到投影片 10 上的資產負債表。截至 9 月 30 日，每股帳面價值為 6.85 美元，而 6 月 30 日為 6.91 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 2.6%，以複利計算年化回報率為 10.8%。本季結束時，我們擁有 1.215 億美元的現金和未支配資產。

Next, please turn to slide 11 for a summary of our portfolio holdings. Our CLO portfolio increased to $144.5 million at September 30 as compared to $85 million at June 30. At September 30, CLO equity comprised 52% of our total CLO holdings, up from 47% at June 30. Meanwhile, European CLO investments comprised 17% of our total CLO holdings at September 30, consistent with the prior quarter.

接下來，請翻到投影片 11，了解我們的投資組合持股摘要。截至 9 月 30 日，我們的 CLO 投資組合增至 1.445 億美元，而 6 月 30 日為 8,500 萬美元。截至 9 月 30 日，CLO 股權占我們 CLO 總持倉的 52%，高於 6 月 30 日的 47%。同時，截至 9 月 30 日，歐洲 CLO 投資占我們 CLO 總持有量的 17%，與上一季持平。

Our capital allocation to CLOs increased to 58% at September 30 from 45% at June 30. Meanwhile, the size of our Agency RMBS portfolio decreased to $462 million compared to $531 million at June 30. And as you can see on slide 12, we are entirely out of 15-year pools. Cost to liquidate our Agency RMBS continue to be low, and our remaining Agency RMBS portfolio is very liquid. Our aggregate holdings of interest-only securities and non-Agency RMBS decreased as well to less than $12 million.

我們對 CLO 的資本配置從 6 月 30 日的 45% 增加到 9 月 30 日的 58%。同時，我們的代理 RMBS 投資組合規模從 6 月 30 日的 5.31 億美元減少至 4.62 億美元。正如您在投影片 12 上看到的，我們完全沒有 15 年期池。清算我們的代理商 RMBS 的成本仍然很低，而且我們剩餘的代理商 RMBS 投資組合的流動性非常好。我們持有的只付息證券和非機構 RMBS 總額也減少至不到 1,200 萬美元。

On slide 13, we provide details of our interest rate hedging portfolio. During the quarter, we continue to hedge interest rate risk primarily through the use of interest rate swaps. As shown on slide 14, we again ended the quarter with a net long TBA position, both on a notional basis and as measured by 10-year equivalents.

在投影片 13 上，我們提供了利率對沖投資組合的詳細資訊。本季度，我們繼續主要透過利率掉期來對沖利率風險。如投影片 14 所示，我們在本季度結束時再次持有待定淨多頭頭寸，無論是名義基礎上還是以 10 年期等值衡量。

On slide 15, you can see that nearly all the loans underlying our CLO portfolio, our floating rate and as such, has much lower interest rate duration. We also selectively hedged the credit risk of our corporate CLO and non-Agency RMBS investments. As of September 30, 2024, our credit hedge portfolio was relatively small.

在投影片 15 上，您可以看到我們的 CLO 投資組合、浮動利率等幾乎所有貸款的利率期限都低得多。我們也選擇性地對沖公司 CLO 和非機構 RMBS 投資的信用風險。截至2024年9月30日，我們的信用對沖投資組合規模相對較小。

Finally, general and administrative expenses were higher quarter-over-quarter due to expenses incurred related to the strategic transformation. Management fees were also higher quarter-over-quarter, driven by higher shareholders' equity at quarter end.

最後，由於與策略轉型相關的費用，一般和管理費用較上季上升。由於季末股東權益增加，管理費也較上季上漲。

I will now turn the presentation over to Greg.

我現在將簡報交給格雷格。

Thanks, Chris. It's a pleasure speaking to everyone again today. As Larry mentioned, performance of our CLOs in Q3 was led foremost by our debt portfolio, where tightening mezz spreads offered opportunities to monetize gains and also drove positive price action on assets that we continue to hold.

謝謝，克里斯。很高興今天能再次和大家講話。正如Larry 所提到的，我們的CLO 在第三季度的表現主要是由我們的債務投資組合引領的，其中夾層利差的收緊提供了將收益貨幣化的機會，也推動了我們繼續持有的資產的正向價格走勢。

As the market has continued to tighten, we have looked to trade out of debt positions where we think the total return upside is largely played out. We are still selectively finding opportunities in mezz paper, but some of the low-hanging fruit is gone. And we are very focused on appropriate risk-adjusted returns and avoiding reaching for yield by taking on undue risks.

隨著市場持續收緊，我們希望從債務部位進行交易，我們認為總回報上升空間已基本發揮出來。我們仍在選擇性地尋找夾層紙的機會，但一些容易實現的目標已經消失了。我們非常注重適當的風險調整回報，並避免透過承擔不當風險來獲得收益。

We also had positive performance in our CLO equity portfolio in the quarter, albeit with a lower ROE than our mezz portfolio. Overall, in the market, the performance of CLO equity was more of a mixed bag, as tightening credit spreads on both leveraged loans on the asset side and CLO debt tranches on the liability side produce some more nuanced results.

本季我們的 CLO 股票投資組合也取得了積極的表現，儘管淨資產收益率低於我們的夾層投資組合。總體而言，在市場上，CLO 股票的表現較為複雜，因為資產方槓桿貸款和負債方 CLO 債務部分信用利差的收緊產生了一些更微妙的結果。

On one hand, tightening debt spreads allowed some deals to refinance or reset their debt, including extending their reinvestment periods. And that drove strong returns from many CLO equity profiles in deals with better-performing portfolios and higher debt costs.

一方面，債務利差收緊使得一些交易能夠進行再融資或重置債務，包括延長再投資期限。這推動了許多 CLO 股票組合在表現更好的投資組合和更高的債務成本的交易中獲得了強勁的回報。

On the other hand, higher prepayment speeds in the loan market led to both price declines for loans trading above par and compression in loan floating rate spreads as large volumes of loans trading at premiums to par were refinanced at par and replaced with lower-spread loans. These effects triggered mark-to-market losses in some CLO equity profiles as both their interest payments due to lower excess interest in the CLO and underlying asset values declined in tandem.

另一方面，貸款市場的提前還款速度加快，導致高於面值的貸款價格下跌，並導致貸款浮動利率利差壓縮，因為大量按面值溢價交易的貸款按面值進行再融資，並被利差較低的貸款取代。這些影響引發了一些 CLO 股票組合按市值計價的損失，因為 CLO 超額利息減少導致其利息支付和基礎資產價值同步下降。

We saw a similar dynamic play out in Europe, although with slower prepayment speeds, the negative impact of the prepayment of premium loans was less pronounced. As we look to the remainder of the year, we currently see better relative value and ample opportunities in CLO equity, where tighter debt spreads are improving economics for both new and existing deals.

我們在歐洲看到了類似的動態，儘管提前還款速度較慢，提前還款貸款的負面影響不太明顯。展望今年剩餘時間，我們目前看到 CLO 股票的相對價值更高，機會更多，其中債務利差收窄正在改善新交易和現有交易的經濟性。

Early signs post election are showing general spread tightening in the credit markets, which, accompanied with higher rates, have continued to improve demand for floating rate CLO liabilities. In addition, continued heavy issuance in the CLO market is creating inefficiencies and relative value opportunities in both CLO debt and equity. Given our strong systems and deep experience in both primary and secondary markets, EARN is well positioned to capitalize on these inefficiencies.

選舉後的早期跡象顯示信貸市場利差普遍收緊，伴隨著利率上升，對浮動利率 CLO 負債的需求持續改善。此外，CLO 市場的持續大量發行正在造成 CLO 債務和股權的效率低下和相對價值機會。鑑於我們強大的系統和在一級和二級市場的豐富經驗，EARN 完全有能力利用這些低效率的問題。

With that, I turn the presentation over to Mark.

說完，我把簡報交給馬克了。

Thanks, Greg. Q3 was generally a strong quarter for spread products. Both CLO debt and Agency MBS performed well relative to benchmarks as the Fed kicked off its interest rate cutting cycle in September.

謝謝，格雷格。第三季整體上是價差產品的強勁季度。隨著聯準會於 9 月開始降息週期，CLO 債務和機構 MBS 相對於基準均表現良好。

Looking at Agency prepayments, we are predicting that -- we have been predicting that newly issued non-call-protected pools could have elevated prepayment rates if they get in the money, and that is exactly what happened in the third quarter when rates fell. We saw CPRs north of 60 for certain Fannie Mae pools with mid-7s WACC. Fortunately, for EARN, we have largely protected our Agency portfolio from that type of exposure.

看看機構預付款，我們預測——我們一直預測，新發行的非呼叫保護資金池如果能賺錢，預付款率可能會提高，而這正是第三季利率下降時發生的情況。我們看到某些房利美 (Fannie Mae) 資金池的 CPR 超過 60，WACC 為 7 左右。幸運的是，對於 EARN 來說，我們在很大程度上保護了我們的代理投資組合免受此類風險的影響。

Looking back over the past 12 months, I am really happy that we were able to put so much money to work in the CLO market at wider spreads than current levels. In the third quarter, we stayed invested in our core holdings of Agency MBS, while also selling down that portfolio, as needed, to free up cash for additional CLO purchases. By quarter end, nearly 60% of our capital was allocated to CLOs.

回顧過去的 12 個月，我真的很高興我們能夠以比當前水平更大的利差投入這麼多資金在 CLO 市場上。第三季度，我們繼續投資於我們所持有的 Agency MBS 核心資產，同時根據需要出售該投資組合，以騰出現金用於購買額外的 CLO。到了季度末，我們將近 60% 的資本分配給 CLO。

However, until we complete EARN's conversion to a RIC, I'll note that our ability to increase our CLO capital allocation much above that 60% level is limited by the requirement to stay exempt from the 1940 Act, which requires us to maintain that core portfolio of Agency pools. So from here, we will stay largely invested in the current MBS portfolio until the conversion occurs, capturing the available Agency NIM, and we'll only really be net selling MBS to add CLOs to the extent we have room.

然而，在我們完成 EARN 向 RIC 的轉換之前，我要指出的是，我們將 CLO 資本配置增加到遠高於 60% 水平的能力受到 1940 年法案豁免要求的限制，該法案要求我們維持這一核心代理池的投資組合。因此，從這裡開始，我們將繼續對目前的 MBS 投資組合進行大量投資，直到發生轉換，獲取可用的機構 NIM，並且我們只會在有空間的情況下真正淨出售 MBS，以添加 CLO。

Meanwhile, we've continued to make our Agency MBS portfolio incrementally more liquid. And once we obtain the requisite approvals for the conversion, we will sell down our remaining Agency MBS portfolio and complete the rotation to CLOs. We've seen long-term interest rates, including mortgage rates, rise substantially since quarter end. That has had a chilling effect on origination volumes, which are also poised for the typical seasonal slowdowns.

同時，我們持續提高我們的代理MBS投資組合的流動性。一旦我們獲得轉換所需的批准，我們將出售剩餘的機構 MBS 投資組合併完成向 CLO 的輪換。我們看到長期利率，包括抵押貸款利率，自季度末以來大幅上升。這對原始數量產生了寒蟬效應，而原始數量也為典型的季節性放緩做好了準備。

In addition, the third quarter brought the first Fed rate cut in four years, and we just had another cut last week, so we should soon see our first noninverted yield curve in a while. All these factors should increase demand for MBS from banks and CMO arbitrageurs and create a favorable supply-demand technical for Agency MBS going into year-end.

此外，第三季聯準會四年來首次降息，上週我們剛再次降息，因此我們很快就會看到一段時間內的首次非倒掛殖利率曲線。所有這些因素都將增加銀行和 CMO 套利者對 MBS 的需求，並為年底的機構 MBS 創造有利的供需技術。

Now back to Larry.

現在回到拉里。

Thanks, Mark. I'm pleased with the continued ramp-up and strong performance of the CLO strategy in EARN and how we've pivoted our CLO portfolio composition as the market opportunity has evolved. I'm particularly pleased with the active approach we've taken to enhance our returns. Our active approach not only includes the opportunistic trading that is a core tenet of our portfolio management philosophy, but it also can include driving refinancing and/or liquidation of the deals we're invested in when beneficial and achievable. All these steps have added alpha to our results.

謝謝，馬克。我對 EARN 中 CLO 策略的持續成長和強勁表現以及我們如何隨著市場機會的發展調整我們的 CLO 投資組合構成感到高興。我對我們為提高回報所採取的積極方法感到特別滿意。我們的積極方法不僅包括機會主義交易（這是我們投資組合管理理念的核心原則），還包括在有利且可行的情況下推動我們投資的交易的再融資和/或清算。所有這些步驟都為我們的結果增加了阿爾法。

So far in the fourth quarter, we've continued to see the benefits of the portfolio rotation away from Agency MBS and towards CLOs, with CLOs returning positive returns in October even as volatility and interest rates rose. Those market movements drove Agency spreads quite a bit wider in October, but they've somewhat retightened in November post election.

到目前為止，第四季度，我們繼續看到投資組合從機構 MBS 轉向 CLO 的好處，即使波動性和利率上升， CLO 在 10 月仍返回正回報。這些市場走勢導致 10 月機構利差大幅擴大，但在 11 月選舉後利差有所收緊。

We very much look forward to completing our RIC conversion. I strongly believe that our strategic transformation will generate superior risk-adjusted returns for Ellington Credit shareholders. If you haven't voted yet, please do so. And as always, we are happy to answer any questions. I continue to be encouraged by how positive our conversations with investors and analysts have been following the announcement of the transformation earlier this year.

我們非常期待完成 RIC 轉換。我堅信，我們的策略轉型將為艾靈頓信貸股東帶來卓越的風險調整回報。如果您還沒有投票，請投票。一如既往，我們很樂意回答任何問題。今年早些時候宣布轉型後，我們與投資者和分析師的對話非常積極，這讓我繼續感到鼓舞。

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) Crispin Love, Piper Sandler.

（操作說明）Crispin Love，Piper Sandler。

Hi, this is Brian Vescio on for Crispin. Just kind of high level, can you speak on the credit quality in the CLO book and how you expect that to trend over time? Kind of what are your delinquency and loss expectations as well as risk-adjusted returns?

大家好，我是 Crispin 的 Brian Vescio。只是有點高水平，您能談談 CLO 書中的信用品質以及您期望隨著時間的推移它的趨勢如何嗎？您的拖欠和損失預期以及風險調整後的回報是多少？

Sure. I think, overall, longer term, if rates -- if we go through, for example, it's scenario-dependent, a very high-rate environment for a long time, that will clearly stress corporate credit and some of these companies' ability to be able to service their debt. I think, in general, you see the current trailing 12-month default rate is below 1%. Historically, it may sit TWO north above that. If you take a look at COVID, this got to, at the peak, a little over 4%.

當然。我認為，總體而言，從長遠來看，如果利率 - 例如，如果我們經歷依賴情境的長期非常高的利率環境，這將明顯對企業信用以及其中一些公司的能力造成壓力能夠償還債務。我認為，總體而言，目前 12 個月的違約率低於 1%。從歷史上看，它可能位於該高度以北兩處。如果你看一下新冠肺炎疫情，你會發現這一比例在高峰時略高於 4%。

And so that gives you a sense of some of the things that we've seen in both benign and stressed environments. We don't have a crystal ball, but I would say that you could certainly see them elevate from where we are now into that more traditional average if we stay in a higher rate environment.

因此，這讓您了解我們在良性和壓力環境中看到的一些事情。我們沒有水晶球，但我想說，如果我們保持在更高的利率環境中，你肯定會看到它們從我們現在的水平上升到更傳統的平均水平。

And how we think about the credit quality, I think, overall, if things get tighter in the market and spreads are tighter, it allows more companies to have access to financing and perhaps you see looser documentation, which is something we look at.

我們如何看待信貸質量，我認為，總體而言，如果市場情況變得更緊縮，利差更緊，它會讓更多的公司獲得融資，也許你會看到更寬鬆的文件，這是我們所關注的。

If things start to get more stressed, you're going to see the market be a little bit more buyer-friendly with perhaps tighter language, more covenants and only better-quality companies coming to market. And so it's a little bit of balance in terms of how we see that progressing, if that answers it.

如果事情開始變得更加緊張，你會看到市場對買家更加友好，可能會出現更嚴格的語言、更多的契約，並且只有更優質的公司進入市場。因此，就我們如何看待進展而言，如果這能解決問題的話，那就有點平衡了。

Yes, I appreciate the commentary. And then just the last question for me. How do you guys think about the dividend, especially as you rotate more capital on the CLOs and leverage continues to tick down?

是的，我很欣賞你的評論。然後是我的最後一個問題。你們如何看待股息，特別是當你在 CLO 上輪換更多資本並且槓桿率繼續下降時？

Well, as we rotate it -- I can take that --

好吧，當我們旋轉它時——我可以接受--

Go ahead.

前進。

I mean, yes, as we're rotating into CLOs, yes, the leverage is ticking down, but our net interest margin is going up quite quickly. So our -- and as I mentioned, our adjusted distributable earnings for the third quarter were in line, maybe even $0.01 higher, than they were back in the fourth quarter.

我的意思是，是的，隨著我們轉向 CLO，槓桿率正在下降，但我們的淨利差正在迅速上升。因此，正如我所提到的，我們第三季調整後的可分配收益與第四季相比，甚至可能高出 0.01 美元。

So we don't see -- at this point, we see good support for the dividend through our adjusted distributable earnings, and we've already rotated -- gone from basically 0% if you go back a little over a year of CLOs to now, I think, as we mentioned before, over half of our capital is -- risk capital is now in CLO. So less leverage, but greater net interest margin, and the TWO seem to be balancing out pretty well. So our dividend is still well supported as we continue this rotation.

所以我們沒有看到——在這一點上，我們看到透過調整後的可分配收益對股息提供了良好的支持，而且我們已經進行了輪換——如果你回到一年多一點的抵押貸款債券，那麼我們已經從基本上0%變成了0%。因此，槓桿率較低，但淨利差較高，兩者似乎取得了很好的平衡。因此，隨著我們繼續這種輪換，我們的股息仍然得到了很好的支持。

Douglas Harter, UBS.

道格拉斯‧哈特，瑞銀集團。

You guys were active in raising capital through the ATM during the quarter. Can you talk about kind of your continued appetite to do that?

本季你們積極透過 ATM 籌集資金。您能談談您對此的持續興趣嗎？

Yeah. I mean, Chris, do you want to talk about kind of our execution there in terms of was there any dilution?

是的。我的意思是，克里斯，你想談談我們的執行情況嗎？

Sure. Yeah. During the quarter, there was $0.04 of dilution. We also expect that, that slight dilution will reflect in better G&A ratios going forward.

當然。是的。本季稀釋了 0.04 美元。我們也預計，這種輕微的稀釋將反映在未來更好的一般管理費用比率上。

Right. So that will be -- at those levels, it's very accretive to earnings because we raised a fair amount of capital. So I would say, look, our stock price now is not in a place where we would tap the ATM. But when we were trading much higher in the third quarter, we took advantage of it. And so it's going to be very price dependent at this point.

正確的。因此，在這些水準上，它會非常增加收益，因為我們籌集了相當多的資金。所以我想說，看，我們現在的股價還不是我們可以利用 ATM 提款的地方。但當我們第三季的交易價格大幅上漲時，我們就利用了這一點。因此，目前這將非常依賴價格。

And if we're raising capital as we did, net very close to book, that is -- given that we're a small company and that we do have fixed expenses, I mean, it's -- I think it's a no-brainer.

如果我們像以前那樣籌集資金，淨值非常接近帳面價值，也就是說，考慮到我們是一家小公司，而且我們確實有固定費用，我的意思是，我認為這是理所當然的。

Jason Weaver, JonesTrading.

賈森‧韋弗，瓊斯交易公司。

Hey, guys. Thanks for taking my questions. Maybe one for Greg, just on the visibility. I think you touched on this in your prepared remarks. Would you expect the strong issuance trend to remain in place if pricing remains supportive? Any sort of nuance or cadence implications over the next few quarters ahead that you can suss out?

嘿，夥計們。感謝您回答我的問題。也許是格雷格的一個，只是在可見度上。我認為你在準備好的發言中談到了這一點。如果定價仍然具有支撐性，您是否預期強勁的發行趨勢將繼續存在？您可以推測未來幾季的任何細微差別或節奏影響嗎？

So I think on the trend we're heading and what we see in the market right now, I -- this was a very large issuance year. You saw a lot of resets. I think you will continue to see that. Taking a step back, AAAs have come in. They're starting to get close to levels that were close to the post-financial crisis types.

因此，我認為，根據我們目前的趨勢以及我們目前在市場上看到的情況，我認為今年是發行規模非常大的一年。你看到了很多重置。我想你會繼續看到這一點。退一步來說，AAA 已經進來了。它們開始接近金融危機後的水平。

I think with demand for floating rate products, especially from maybe some traditional places that didn't wait CLOs as much, I think with what happened in 2022, you see places very focused on rate duration with perhaps where that is headed.

我認為，隨著對浮動利率產品的需求，特別是來自一些不太等待CLO 的傳統地方，我認為，從2022 年發生的情況來看，你會看到一些地方非常關注利率期限，也許這是未來的發展方向。

That, in addition to the growth of the CLO ETF space at the top of the capital structure, this should keep putting demand pressure on CLO liabilities. As that happens, as deals will exit their non-call, you will see the equity investors, which control the option, continue to come to market.

除了資本結構頂部的 CLO ETF 空間的成長之外，這應該會繼續給 CLO 負債帶來需求壓力。當這種情況發生時，隨著交易將退出非看漲期權，您將看到控制期權的股權投資者繼續進入市場。

And you may also see actual new issuance deals continue to pick up with loan creation also turning back on. That was a bit of a -- that's sort of what's slowed things down last year. It was hard for people to simply source the loans. That's why it was a lot of recycling or resetting, if you will.

您也可能會看到實際的新發行交易繼續增加，貸款創造也重新開始。這有點——這就是去年放緩的原因。人們很難簡單地獲得貸款。這就是為什麼要進行大量回收或重置（如果你願意的話）。

But just talking to a lot of the banks that we work with and actually bank these transactions, everyone seems like they have a busy pipeline ahead. And getting to these levels, which we have not seen since a couple of years before COVID in that '17, '18 timeframe, a lot of deals will still find it additive to come in and reset their liabilities.

但只要與我們合作的許多銀行交談並實際銀行這些交易，每個人似乎都有一個繁忙的管道。達到這些水平是自新冠肺炎爆發前幾年以來在 17 年、18 年時間範圍內從未見過的水平，許多交易仍然會發現進入並重置其負債是有附加價值的。

Got it. Thanks for that. And then maybe related to it, exactly, assuming today, if you had certainty about the shareholder vote being supportive, to liquidate the Agency portfolios seems relatively straightforward. But what does the timeline look like to move that capital into new CLO equity?

知道了。謝謝你。然後也許與之相關，確切地說，假設今天，如果你確信股東投票是支持的，那麼清算該機構的投資組合似乎相對簡單。但將這些資金轉移到新的 CLO 股權的時間表是怎麼樣的呢？

Sure. So I think we're obviously watching it carefully. And so as we see the probability increase there, we will behave accordingly in terms of how much dry powder we want to keep in terms of leaning into that a little bit. I think that, overall, be realistic. The tighter the market is, the more patient and selective we are about our investments.

當然。所以我認為我們顯然正在仔細觀察。因此，當我們看到那裡的可能性增加時，我們將根據我們想要保留多少乾粉來採取相應的行動，並稍微傾向於這一點。我認為，總的來說，要現實一點。市場越緊張，我們的投資就越有耐心和選擇性。

If things were dislocated, that would obviously present a real opportunity, and we could go into secondary and purchase CUSIPs pretty quickly. That said, I think with -- EARN is left in a very diversified place right now. And so we're fortunate to not be too worried about concentration risk. And so I think that if we start to see that move forward, as noted in the prepared remarks, we really see the value in new issue.

如果事情錯位，這顯然會帶來真正的機會，我們可以很快進入二級市場併購買 CUSIP。也就是說，我認為 EARN 現在處於一個非常多元化的狀態。因此，我們很幸運，不用太擔心集中風險。因此，我認為，如果我們開始看到這一進展，正如準備好的評論中所指出的那樣，我們就會真正看到新發行的價值。

And so, I think we would simply be more active with where we see that opportunity, coming in with new issue and sort of setting up those types of transactions to rotate the rest of the portfolio and get going on that. And as we said, it's very, very busy. And so, with all the banks working on deals and all the volumes coming out, I think we would just lean into that opportunity more.

因此，我認為我們會更加積極地對待我們所看到的機會，發行新股並建立這些類型的交易以輪換投資組合的其餘部分並繼續進行。正如我們所說，它非常非常忙碌。因此，隨著所有銀行都在進行交易並且所有交易量都已出來，我認為我們會更多地利用這個機會。

Excellent. That's very helpful.

出色的。這非常有幫助。

Yeah. I mean, I think, just sorry to follow up on that. Right at the end of the quarter, we had $145 million of CLO investments, up from $85 million a quarter before, and that's without having the push of the shareholder vote already done and sort of ready, as you said, to liquidate the remaining pools and reinvest.

是的。我的意思是，我想，很抱歉跟進此事。就在本季末，我們的 CLO 投資達到了 1.45 億美元，高於上一季的 8,500 萬美元，而且這還是在股東投票尚未完成、準備好清算剩餘資金池的情況下進行的。 。

So -- and our -- so that's -- in one quarter, that's $60 million, and that's without pedal to the metal. And our equity capital, as you can see, is under $200 million. So we could be invested, certainly, in a quarter or less equal to our total capital base, our total equity base.

所以——我們的——所以這就是——在一個季度內，這就是 6000 萬美元，而且這還沒有全力以赴。正如您所看到的，我們的股本不到 2 億美元。因此，我們當然可以投資等於我們總資本基礎、總股本基礎的四分之一或更少。

And I think we could do it even faster. Now of course, we want to have some leverage in the portfolio. So I think 90 days is a very reasonable target. But of course, we're not there yet. We need the votes.

我認為我們可以做得更快。當然，現在我們希望在投資組合中擁有一些槓桿作用。所以我認為90天是一個非常合理的目標。但當然，我們還沒有做到這一點。我們需要選票。

Thank you. That was our final question for today. We thank you for participating in the Ellington Credit Company third quarter 2024 financial results conference call. You may now 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 年第三季財務績效電話會議。您現在可以斷開線路並度過美好的一天。