Invesco Mortgage Capital Inc (IVR) 2020 Q1 法說會逐字稿

Welcome to the Invesco Mortgage Capital Inc. First Quarter 2020 Investors Conference Call. (Operator Instructions) As a reminder, this call is being recorded.

歡迎來到景順抵押資本公司。2020 年第一季投資者電話會議。（操作員說明）謹此提醒，此通話正在錄音。

Now I would like to turn the call over to Brandon Burke with Investor Relations. Mr. Burke, you may begin the call.

現在我想將電話轉給投資者關係部的布蘭登伯克 (Brandon Burke)。伯克先生，您可以開始通話了。

Thank you, and welcome to Invesco Mortgage Capital's First Quarter 2020 Earnings Call. The management team and I are delighted you've joined us, and we look forward to sharing with you our prepared remarks and conducting a question-and-answer session.

謝謝，歡迎參加景順抵押資本 2020 年第一季財報電話會議。我和管理團隊很高興您加入我們，我們期待與您分享我們準備好的發言並進行問答環節。

Before turning the call over to our CEO, John Anzalone, I wanted to provide a reminder that statements made in this conference call and the related presentation may include forward-looking statements, which reflect management's expectations about future events and our overall plans and performance. These forward-looking statements are made as of today and are not guarantees. They involve risks, uncertainties and assumptions, and there can be no assurance that actual results will not differ materially from our expectations. For a discussion of these risks and uncertainties, please see the risks described in our most recent annual report on Form 10-K and subsequent filings with the SEC. Invesco makes no obligation to update any forward-looking statement.

在將電話轉交給我們的執行長約翰·安扎龍之前，我想提醒大家，本次電話會議和相關演示中的陳述可能包括前瞻性陳述，這些陳述反映了管理層對未來事件以及我們總體計劃和業績的預期。這些前瞻性陳述是截至今天作出的，並非保證。它們涉及風險、不確定性和假設，無法保證實際結果不會與我們的預期有重大差異。有關這些風險和不確定性的討論，請參閱我們最新的 10-K 表格年度報告以及隨後向 SEC 提交的文件中所述的風險。景順沒有義務更新任何前瞻性聲明。

We may also discuss non-GAAP financial measures during today's call. Reconciliations of these non-GAAP financial measures may be found at the end of our earnings presentation. To view the slide presentation today, you may access our website at invescomortgagecapital.com and click on the Q1 2020 earnings presentation link under Investor Relations.

我們也可能在今天的電話會議上討論非公認會計準則財務指標。這些非公認會計準則財務指標的調整表可以在我們的收益報告末尾找到。要查看今天的幻燈片演示，您可以訪問我們的網站 invescomortgagecapital.com，然後單擊投資者關係的 2020 年第一季收益演示連結。

Again, welcome, and thank you for joining us today. I'll now turn the call over to John Anzalone. John?

再次歡迎並感謝您今天加入我們。我現在將把電話轉給約翰·安扎龍。約翰？

Good morning, and welcome to Invesco Mortgage Capital's first quarter earnings call. I will give some brief comments before turning the call over to our President and Head of Commercial Credit, Kevin Collins, who will provide greater detail on our current portfolio and our Chief Investment Officer, Brian Norris, who will expand on our go-forward strategy.

早安，歡迎參加景順抵押資本第一季財報電話會議。在將電話轉給我們的總裁兼商業信貸主管Kevin Collins 之前，我將發表一些簡短的評論，他將提供有關我們當前投資組合的更多詳細信息，我們的首席投資官Brian Norris 將詳細介紹我們的前進戰略。

Before getting started, I'd like to acknowledge the entire team at Invesco who have put in countless hours managing through this crisis, doing it with the added difficulty of working remotely. There's no way that we would be in the position we are in today without their efforts. So thank you to the entire team. I'd also like to acknowledge the support of both our Board of Directors and the senior management in Invesco who have provided all of the resources necessary to get through this crisis.

在開始之前，我要感謝景順的整個團隊，他們投入了無數的時間來應對這場危機，儘管遠距工作增加了難度。沒有他們的努力，我們不可能有今天的成績。感謝整個團隊。我還要感謝景順董事會和高階管理層的支持，他們提供了度過這場危機所需的所有資源。

Towards the end of the first quarter, the onset of the COVID-19 pandemic and the economic shutdown left in its wake caused unprecedented volatility and dislocations throughout the financial markets. Even with rates rallying significantly, prepay-protected specified pool agency mortgage-backed securities significantly underperformed as agency paper is being sold for cash settled at levels below TBA prices. The structured securities credit markets were hit particularly hard as liquidity was severely impacted and valuations became distressed.

第一季末，COVID-19 大流行的爆發和隨之而來的經濟停擺導致整個金融市場前所未有的波動和混亂。即使利率大幅上漲，預付保護的指定池機構抵押貸款支持證券的表現也明顯不佳，因為機構票據以低於待定價格的水平出售現金。由於流動性受到嚴重影響且估值陷入困境，結構性證券信貸市場受到的打擊尤其嚴重。

Despite IVR's relatively strong liquidity position coming into the crisis, we sold assets as margin calls accelerated across all of our asset classes. In late March, we decided to discontinue selling our holdings into a deeply distressed market to meet margin calls. So we suspended margin payments and entered forbearance negotiations with our lenders. Ultimately, we are able to capitalize on improving market conditions to pay off our repo counterparties rather than entering into an onerous comprehensive forbearance agreement. While we are providing information as of 03/31 on Slides 3 and 4 for informational purposes, that snapshot was taken in the middle of our delevering and does not reflect the portfolio today.

儘管在危機中 IVR 的流動性狀況相對較強，但隨著我們所有資產類別的追加保證金通知加速，我們仍出售了資產。3月底，我們決定停止向陷入困境的市場出售所持股份，以滿足追加保證金的要求。因此，我們暫停了保證金支付，並與貸方進行了延期談判。最終，我們能夠利用市場狀況的改善來償還我們的回購交易對手，而不是簽訂一項繁重的全面延期協議。雖然我們在幻燈片 3 和 4 上提供截至 03 月 31 日的資訊以供參考，但該快照是在我們去槓桿化過程中拍攝的，並不反映今天的投資組合。

Slide 6 gives a picture of the portfolio as of May 31. As you can see from the pie chart, our $1.6 billion securities portfolio consists of predominantly non-Agency CMBS and residential credit positions. $540 million of that total is unencumbered. The only borrowings we have left are secured Federal Home Loan Bank advances of $837 million, which are collateralized by high-quality AAA- and AA-rated CMBS.

投影片 6 給出了截至 5 月 31 日的投資組合圖片。從圓餅圖中可以看出，我們 16 億美元的證券投資組合主要由非機構 CMBS 和住宅信貸部位組成。其中 5.4 億美元未支配。我們剩下的唯一借款是由聯邦住房貸款銀行提供的 8.37 億美元預付款，這些貸款由高品質的 AAA 和 AA 級 CMBS 提供抵押。

As of 05/31, we estimate that our book value is between $2.65 and $3.15 per share, reflecting the continued delevering that took place post quarter end. Currently, we are holding a credit portfolio with modest leverage that we believe has potential to drive book value upside as credit markets continue to recover.

截至 2031 年 5 月，我們估計我們的帳面價值在每股 2.65 美元至 3.15 美元之間，反映了季度末後持續的去槓桿化。目前，我們持有槓桿適度的信貸投資組合，我們相信隨著信貸市場的持續復甦，該投資組合有可能推動帳面價值上漲。

Going forward, our strategy is to reinvest proceeds from these future credit sales into what will become an increasingly agency-focused portfolio. Currently, the outlook for agency mortgages is quite attractive with strong support from the Fed and attractive funding environment. This is in contrast to the non-agency credit market where the pandemic has revealed new risk to the strategy and the cost and stability of short-term mark-to-market funding are not attractive. We believe that we will be able to generate attractive ROEs in coming quarters as we redeploy into the agency strategy.

展望未來，我們的策略是將這些未來信貸銷售的收益再投資到日益以機構為中心的投資組合中。目前，在聯準會的大力支持和有吸引力的融資環境下，機構抵押貸款的前景相當有吸引力。這與非機構信貸市場形成鮮明對比，在非機構信貸市場，疫情為策略帶來了新的風險，而且短期按市值計價的融資成本和穩定性並不具有吸引力。我們相信，隨著我們重新部署代理策略，我們將能夠在未來幾季產生有吸引力的股本回報率。

I'll stop here and let Kevin give some details on the credit portfolio.

我就講到這裡，讓凱文提供一些有關信貸投資組合的詳細資訊。

Thanks, John, and thanks to everyone on the line for your interest in Invesco Mortgage Capital. As John noted, our portfolio is now largely comprised of mortgage-backed credit investments. So that's about 92% comprised of commercial mortgage credit and about 7% that's comprised of residential credit.

謝謝約翰，也謝謝電話裡的每個人對景順抵押資本的興趣。正如約翰指出的那樣，我們的投資組合現在主要由抵押貸款支持的信貸投資組成。因此，約 92% 是商業抵押信貸，約 7% 是住宅信貸。

So look, the COVID-19 pandemic and related decline in economic activity has made it pretty difficult for many borrowers to meet their financial obligations. So not surprisingly, lodging and retail property markets have been impacted the most, just due to travel restrictions as well as the slowdown in retail activity.

因此，COVID-19 大流行和相關的經濟活動下降使許多藉款人很難履行其財務義務。因此，毫不奇怪，由於旅行限制以及零售活動放緩，住宿和零售房地產市場受到的影響最大。

So looking ahead, we do expect many tenants to continue to forgo rent payments or seek relief. But despite our expectations for fundamental weakness, we do believe that bonds at the top or near the top of the capital structure offer attractive value as they've been impacted by the lack of liquidity just as much as heightened concerns regarding COVID-19.

因此，展望未來，我們確實預計許多租戶將繼續放棄租金或尋求救濟。但儘管我們預期基本面會疲軟，但我們確實相信，位於資本結構頂部或接近頂部的債券具有有吸引力的價值，因為它們受到流動性缺乏的影響，就像對 COVID-19 的擔憂加劇一樣。

We ultimately believe that nonmark-to-market term financing via the Term Asset-Backed Securities Loan Facility, which is a New York Fed program known as TALF, should really continue to assist in creating renewed investor interest in these bonds. The roughly 9% of our bonds, our CMBS bonds, would be eligible for TALF financing if they will purchase today. However, I do want to note that we expect a much larger portion of our portfolio to benefit indirectly as many of the investments sit just beneath these bonds in the capital structure, which makes them, we think, very well positioned to benefit from any future credit curve flattening.

我們最終認為，透過定期資產支持證券貸款機制（紐約聯邦儲備銀行的一項名為 TALF 的計劃）進行的非以市價計價的定期融資確實應該繼續幫助激發投資者對這些債券的新興趣。我們大約 9% 的債券（即 CMBS 債券）如果今天購買，將有資格獲得 TALF 融資。然而，我確實想指出，我們預計我們投資組合的很大一部分將間接受益，因為許多投資在資本結構中位於這些債券之下，我們認為這使得它們非常有能力從任何未來中受益信貸曲線趨平。

Now to quantify, I'd ask you to take a look at the chart by credit ratings and vintage on Slide 7. And as of 05/31, you'll see that about 85% of our credit investments were rated single A or higher, and about 90% of our commercial mortgage credit was rated single A or higher. And further, over 75% of our CMBS portfolio was rated AA or higher.

現在為了量化，我請您看一下幻燈片 7 上按信用評級和年份劃分的圖表。截至 05/31，您會看到我們大約 85% 的信用投資被評為單一 A 或更高，我們大約90 % 的商業抵押貸款信用評級為單A 級或更高級別。此外，我們超過 75% 的 CMBS 投資組合獲得 AA 或更高評級。

On Slide 7, in the chart to your right, we've also illustrated that significant subordination levels are available to help support the expected increased cumulative collateral losses. Nearly 90% of our CMBS benefits from 15 or more points of subordination and positively, roughly 93% has subordination levels in excess of '07 vintage cumulative collateral losses.

在投影片 7 的右側圖表中，我們也說明了重要的從屬層級可協助支援預期增加的累積抵押品損失。我們近 90% 的 CMBS 受益於 15 個或更多從屬點，而且積極的是，大約 93% 的從屬水準超過 07 年累積抵押損失。

And we think that's worth noting because, not surprisingly, loans originated in '07 have experienced notable losses just given that they've had to endure the global financial crisis, and they don't benefit from recently improved underwriting.

我們認為這一點值得注意，因為毫不奇怪，源自 07 年的貸款遭受了顯著損失，因為它們不得不忍受全球金融危機，而且它們沒有從最近改善的承保中受益。

I'll now turn the presentation over to Brian to discuss our strategic outlook for the portfolio.

現在，我將把簡報交給 Brian，討論我們對產品組合的策略展望。

Thanks, Kevin, and good morning to everyone listening to the call. As John mentioned, the latter half of the first quarter and extending well into the second quarter proved to be a tremendously challenging environment for the company. Our team worked extremely hard towards the goal of reducing the company's reliance on short-term mark-to-market financing for our credit assets as well as overall company leverage. To that end, by early May, we successfully reduced our reliance on credit repo to 0 with current overall company leverage below 0.8x debt to equity.

謝謝凱文，祝所有收聽電話的人早安。正如約翰所提到的，第一季後半段以及延續到第二季​​的情況對公司來說是一個極具挑戰性的環境。我們的團隊為減少公司對信貸資產短期按市值計價融資的依賴以及公司整體槓桿率的目標付出了極大的努力。為此，到 5 月初，我們成功地將對信用回購的依賴降至 0，目前公司整體槓桿率低於 0.8 倍負債股本。

With over $1 billion of equity, we believe we are well positioned to reconstruct a portfolio that can offer investors compelling returns and dividend income. We have reengaged Agency RMBS repo and interest rate swap counterparties to build the necessary capacity to prudently invest proceeds from a further reduction in credit exposure as our credit assets continue to recover from the liquidity and do sell off in the first quarter. Given current and past Fed support and the enduring availability of Agency RMBS repo through multiple crises in the financial markets, moving forward, we anticipate the asset class will be the primary use of capital to achieve the company's long-standing goals of providing attractive dividend income and book value stability.

憑藉超過 10 億美元的股本，我們相信我們有能力重建投資組合，為投資者提供可觀的回報和股息收入。隨著我們的信貸資產繼續從流動性中恢復並在第一季遭到拋售，我們已重新與機構人民幣支持證券回購和利率掉期交易對手建立必要的能力，以審慎地投資進一步減少信貸風險所帶來的收益。鑑於聯準會當前和過去的支持以及在金融市場多次危機中機構RMBS 回購協議的持久可用性，展望未來，我們預計該資產類別將成為資本的主要用途，以實現公司提供有吸引力的股息收入的長期目標和帳面價值的穩定性。

We believe we can reliably achieve low double-digit ROEs with a mixture of Agency RMBS specified pools in addition to a modest allocation to TBA securities. Fed intervention has fostered an attractive investment environment. While we plan to transition from the current portfolio, which is almost exclusively credit investments, to an agency-focused strategy in the coming quarters, we will continue to evaluate opportunities to achieve target returns on credit investments without reliance on short-term mark-to-market funding.

我們相信，除了對 TBA 證券進行適度配置之外，我們還可以透過機構 RMBS 指定資金池的混合，可靠地實現兩位數的低 ROE。聯準會的干預創造了有吸引力的投資環境。雖然我們計劃在未來幾季從目前幾乎完全是信貸投資的投資組合過渡到以機構為中心的策略，但我們將繼續評估實現信貸投資目標回報的機會，而不依賴短期盯市-市場融資。

Lastly, our external manager, Invesco, remains committed to devoting the necessary resources to the company. Invesco enjoys a long history of managing the Agency RMBS asset class, and many of our team members have supported the trading and management of the Agency RMBS allocation in IVR since the IPO in June 2009. Combined, our team members have over 80 years of experience managing the asset class through multiple market cycles and crises, with over $23 billion of Agency RMBS assets under management as of 12/31/2019.

最後，我們的外部經理景順仍然致力於為公司投入必要的資源。景順在管理代理RMBS資產類別方面擁有悠久的歷史，自2009年6月首次公開募股以來，我們的許多團隊成員一直支持IVR中代理RMBS分配的交易和管理。我們的團隊成員在多個市場週期和危機中擁有超過 80 年的資產類別管理經驗，截至 2019 年 12 月 31 日，管理超過 230 億美元的機構 RMBS 資產。

That ends our prepared remarks, and now we will open the line for Q&A.

我們準備好的演講到此結束，現在我們將開通問答熱線。

(Operator Instructions) Our first question will come from Eric Hagen from KBW.

（操作員說明）我們的第一個問題將來自 KBW 的 Eric Hagen。

On the asset sales to wind down the FHLB line, which assets do you think you might sell in order to accomplish that? Would they come from more of the AAA, AA category or something or the positions that are lower-rated than that? And then on the CMBS portfolio, the stuff that's remaining, what's the level of unrealized losses that are sitting in that portfolio? And what's the unlevered yield in the CMBS portfolio now?

關於出售資產以減少 FHLB 線的問題，您認為您可能會出售哪些資產來實現這一目標？他們是否來自更多 AAA、AA 類別或評級較低的職位？然後，在 CMBS 投資組合中，剩下的部分，該投資組合中未實現的損失水準是多少？現在 CMBS 投資組合的無槓桿收益率是多少？

Yes. I'll start with the home loan. So the bonds underlying the home loan advances are AA and AAA predominantly. So those are the ones that would be sold to pay down that line. And again, as we anticipate the top of the capital structure improving as the TALF bid starts to get underway, we expect that to be relatively soon. I'll let Kevin answer the second part.

是的。我將從房屋貸款開始。因此，房屋貸款墊款的基礎債券主要是 AA 和 AAA。因此，這些就是將被出售以償還該線的那些。而且，由於我們預計隨著 TALF 競標開始進行，資本結構的頂部將會改善，因此我們預計這將相對較快。我會讓凱文回答第二部分。

Yes, Eric. So just to give you a sense for where we're seeing things trade today and putting in context to what we currently own in our portfolio, I guess that started the top of the capital structure for us, which is, I believe, about 30% of our portfolio that's currently in AAA CMBS. Those are -- excuse me, said differently, 38% of our CMBS portfolio is AAA. Those are largely junior AAA-rated positions. So in terms of where they are trading, again, it's certainly dependent on transactions, but I'd call it around 160 basis points AA-rated paper, anywhere from 250 to as wide as 400 basis points; and single A paper around 440 -- excuse me, 450 basis points on the spread level; and BBB looks more like 800 to anywhere, 1,300 over in terms of current yields.

是的，埃里克。因此，為了讓您了解我們今天所看到的交易情況，並結合我們目前在投資組合中擁有的資產，我想這開始了我們資本結構的頂部，我相信大約是 30目前AAA CMBS 占我們投資組合的百分比。對不起，換句話說，我們 CMBS 投資組合的 38% 是 AAA。這些大多是初級 AAA 級職位。因此，就它們的交易地點而言，這當然取決於交易，但我將其稱為 160 個基點左右的 AA 級票據，從 250 到 400 個基點不等；單張 A 紙約 440——對不起，利差水準為 450 個基點； BBB看起來更像是800到任何地方，就當前收益率而言超過1,300。

Great. That's helpful color. And maybe I can press you on the unrealized losses that are sitting in the portfolio today. We could see where it was at the end of the quarter, but based on the sales that have taken place since then -- yes, just what the mark is on the overall portfolio, and how much of that is in unrealized loss position. And then I'll just ask my second question, too. I mean just how much leverage do you think you might run in the Agency RMBS portfolio as you transition back to that strategy?

偉大的。這是有用的顏色。也許我可以向您詢問今天投資組合中未實現的損失。我們可以看到季度末的情況，但基於此後發生的銷售情況——是的，整個投資組合的標記是什麼，以及其中有多少處於未實現的虧損狀態。然後我也會問第二個問題。我的意思是，當您過渡回該策略時，您認為您可能會在代理 RMBS 投資組合中使用多少槓桿？

Yes. So I don't have those specific numbers in front of me, Eric. But what I can tell you is, to kind of go back to what I walked you through, if you think of the junior AAA-rated positions, what is largely junior AAAs, as I mentioned, about 9% are TALF eligible. So those would be more senior positions. But at 05/31, those were around 250 basis points on a spread level. It looks more like 160 today. For the AA position at 05/31, that was 400 basis points. It looks more like 250 for single A-rated, 650 at 05/31 looks more like 450 today. And 05/31 for BBB, 1,300 looks more like 800. So that should provide some context in terms of what we've seen in the way of improving them. Just continue to see slowly increasing demand in the CMBS sector. Since TALF has come online that certainly helped. And as the economy begins to slowly restart here, we've seen some new entrants into the space or crossover investors. So I think that that's helped as well.

是的。所以我面前沒有這些具體數字，艾瑞克。但我可以告訴你的是，回到我向你介紹的情況，如果你想到初級 AAA 級職位，主要是初級 AAA，正如我提到的，大約 9% 符合 TALF 資格。所以這些會是更高階的職位。但截至 05 月 31 日，利差水準約為 250 個基點。今天看起來更像是160。對於 05/31 的 AA 部位來說，這是 400 個基點。對於單曲 A 級來說，它看起來更像是 250，05/31 時的 650 今天看起來更像是 450。05/31 對於 BBB，1,300 看起來更像 800。因此，這應該為我們所看到的改進方式提供一些背景資訊。CMBS 產業的需求將持續緩慢成長。自從 TALF 上線以來，這確實有所幫助。隨著這裡的經濟開始緩慢重啟，我們看到了一些新進入者或跨界投資者。所以我認為這也有幫助。

Yes, Eric. I'll take the leverage question. We anticipate it's -- the transition from our current portfolio to predominantly agency-only portfolio will likely take 1 or 2 quarters. So it's going to take us a while to kind of build up to this number, but it's likely to be in the 7 to 8x debt to equity on agency investments.

是的，埃里克。我來回答一下槓桿問題。我們預計，從我們目前的投資組合過渡到主要由機構組成的投資組合可能需要一到兩個季度的時間。因此，我們需要一段時間才能達到這個數字，但機構投資的債務股本比很可能達到 7 到 8 倍。

And our next question will come from Doug Harter with Crédit Suisse.

我們的下一個問題將來自瑞士信貸銀行的道格·哈特。

Can you just talk about how you're thinking of the capital structure, Preferreds are a very big part of your total equity base and kind of what your thoughts are on that?

您能談談您對資本結構的看法嗎？優先股是您總股本基礎的很大一部分，您對此有何看法？

Yes. Thanks, Doug. We are looking at opportunities, obviously, to raise capital that makes sense for shareholders. And over time, we are looking to get the preferred to common ratio back in line. So I think post this call, post the filing of our Q, we're going to start evaluating the best path forward in terms of capital structure. But yes, I mean, we realize that the preferred to common ratio is clearly not where it was, and we would prefer to get it back to more in line with historical averages.

是的。謝謝，道格。顯然，我們正在尋找機會籌集對股東有意義的資金。隨著時間的推移，我們希望使首選與普通的比率恢復一致。因此，我認為在這次電話會議之後，在提交我們的問題之後，我們將開始評估資本結構的最佳前進道路。但是，是的，我的意思是，我們意識到優先股與普通股的比率顯然不是原來的水平，我們希望讓它回到更符合歷史平均的水平。

Okay. And is there anything on -- around kind of the REIT rules and whole pool test that would kind of cause you to need to accelerate the transition back to agency? Or do you have flexibility around that?

好的。圍繞房地產投資信託基金規則和整體測試，是否有任何事情會導致您需要加速向代理商的過渡？或者你對此有靈活性嗎？

Yes. There's some flexibility around timing. So we have a number of quarters to get back into whole pool compliance. But given the leverage on agencies, it wouldn't take that long to get back up to 55% whole pools. But we do anticipate getting there relatively quickly.

是的。時間安排上有一定的彈性。因此，我們有幾個季度的時間來恢復整個池的合規性。但考慮到機構的槓桿作用，不需要那麼長時間就能恢復到整個資金池的 55%。但我們確實預計會相對較快地實現這一目標。

And our next question will come from Trevor Cranston from JMP Securities.

我們的下一個問題將來自 JMP 證券的 Trevor Cranston。

A follow-up question on the FHLB financing, which remains in place. Can you say if -- when you choose to pay that off, are there any sort of frictional costs associated with that in terms of make-whole payments or termination fees?

關於 FHLB 融資的後續問題仍然存在。您能否說一下，當您選擇還清這筆款項時，是否存在與全額付款或終止費相關的任何摩擦成本？

No. No. No. So we are free to prepay those kind of as we sell assets. So there's no penalties or anything like that.

不。不。不。因此，當我們出售資產時，我們可以自由地預付此類費用。所以沒有處罰或類似的事情。

Okay. Got you. And then another follow-up on the question about unrealized losses. It sounds like -- or it sounded like you're suggesting that spreads have tightened pretty meaningfully in June. Is there any chance you can sort of estimate what that means in terms of your book value estimate relative to where it was at May 31?

好的。明白你了。然後是關於未實現損失問題的另一個後續行動。聽起來像是——或者聽起來像是你在暗示六月利差已經相當有意義地收緊了。您是否有機會根據您的帳面價值相對於 5 月 31 日的情況來估計這意味著什麼？

Yes. I mean, book value since 05/31 is up, I would say, up modestly. We have seen some valuation increases. So yes, I mean, it's up a bit.

是的。我的意思是，自 05/31 以來，帳面價值有所上升，我想說，是小幅上漲。我們看到估值有所上升。所以是的，我的意思是，它上升了一點。

Okay. And then it sounded like there were some sort of extraordinary costs that might have been admitted G&A line in the first quarter relative to everything that happened in March. Can you say kind of where you expect the G&A level to run going forward?

好的。然後，聽起來相對於三月發生的一切，第一季可能會承認一些特殊成本。您能說一下您預計未來的一般行政費用水準會怎樣嗎？

Yes. Dave, do you have a spin on that?

是的。戴夫，你對此有什麼看法嗎？

Yes, Trevor. We don't expect it to change dramatically. We do -- there are some additional costs incurred in association with kind of navigating the COVID-19 crisis that we'll see come through in Q1 and Q2. But beyond that, we don't expect really a dramatic change in G&A from historical levels within a reasonable band.

是的，特雷弗。我們預計它不會發生巨大變化。我們確實這樣做了——我們將在第一季和第二季看到與 COVID-19 危機相關的一些額外成本。但除此之外，我們預期一般行政費用不會在合理範圍內從歷史水準發生真正的巨大變化。

With the exception of the management fee. This is Lee Phegley. The management fee will be coming down since it's based on the NAV of the portfolio. Dave's correct, there were some costs associated with advisory work that you'll see this quarter and in the second quarter, but those were not material numbers, but you will see the management fee come down.

管理費除外。這是李·菲格利。管理費將會下降，因為它是基於投資組合的資產淨值。戴夫是對的，本季和第二季您會看到一些與顧問工作相關的成本，但這些並不是實質數字，但您會看到管理費下降。

Okay. Got it. And then just to clarify, when you mentioned the low double-digit ROEs on the agency strategy, was that a gross ROE estimate? Or is that net of expenses and everything?

好的。知道了。然後澄清一下，當您提到代理策略中兩位數的低股本回報率時，這是總股本回報率估計嗎？還是這是扣除費用和所有費用後的淨值？

That was gross.

那太糟糕了。

Our next question will come from Jason Stewart with JonesTrading.

我們的下一個問題將來自 JonesTrading 的 Jason Stewart。

All my questions have been answered.

我所有的問題都得到了解答。

I am currently showing that was our last question for today. I'd like to now turn it back over.

我目前正在展示這是我們今天的最後一個問題。我現在想把它翻回來。

Okay. Well, again, I'd like to thank everybody for your interest in Invesco Mortgage Capital, and we look forward to talking to you next quarter. Thank you.

好的。好吧，我再次感謝大家對景順抵押資本的興趣，我們期待下個季度與您交談。謝謝。

This concludes today's conference. All participants may disconnect at this time. Thank you for your participation on today's call.

今天的會議到此結束。此時所有參與者都可以斷開連線。感謝您參加今天的電話會議。