Invesco Mortgage Capital Inc (IVR) 2019 Q4 法說會逐字稿

Welcome to Invesco Mortgage Capital Inc.'s Fourth Quarter 2019 Investor call. (Operator Instructions) As a reminder, this call is being recorded.

歡迎參加 Invesco Mortgage Capital Inc. 2019 年第四季投資者電話會議。（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 in Investor Relations. Mr. Burke, you may begin the call.

現在我想把電話轉給投資者關係部的布蘭登·伯克。伯克先生，您可以開始通話了。

Well, thank you, and welcome to the Invesco Mortgage Capital Fourth Quarter 2019 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.

好的，謝謝您，歡迎參加景順抵押資本 2019 年第四季財報電話會議。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.

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。

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.

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。

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.

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.

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。

To view the slide presentation today, you may access our website at invescomortgagecapital.com and click on the Q4 2019 earnings presentation link under Investor Relations. Again, welcome, and thank you for joining us today.

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 2019 年第四季度收益演示鏈接。再次歡迎並感謝您今天加入我們。

I'll now turn the call over to John Anzalone. John?

我現在將把電話轉給約翰·安扎龍。約翰？

Good morning, and welcome to IVR's fourth quarter earnings call. I'll be joined on this call this morning by Brian Norris, our CIO; Kevin Collins, our President and Head of Commercial Credit; Lee Phegley, our CFO; and Dave Lyle, our COO and Head of Residential Credit.

早上好，歡迎參加 IVR 第四季財報電話會議。今天早上，我們的資訊長 Brian Norris 將加入我的電話會議。 Kevin Collins，我們的總裁兼商業信貸主管； Lee Phegley，我們的財務長；以及我們的營運長兼住宅信貸主管 Dave Lyle。

We are pleased to announce core earnings for the fourth quarter of $0.52 per share, an increase of $0.05 from the third quarter as the portfolio has benefited from a full quarter of earnings power generated by the August capital raise as well as a lower effective cost of funds.

我們很高興地宣布第四季度核心收益為每股 0.52 美元，較第三季度增加 0.05 美元，因為該投資組合受益於 8 月份融資所產生的整個季度的盈利能力以及較低的有效成本。資金。

Increase in core earnings allowed us to raise our common dividend for the quarter by 11% to $0.50 per share. Once again, our book value remained stable, ending the quarter relatively unchanged at $16.29. The combination of our increased dividend and our steady book value produced an economic return of 2.9% for the quarter. While we produced strong results for the fourth quarter, I want to spend a few moments highlighting IVR's achievements for the full year.

核心收益的增加使我們能夠將本季的普通股息提高 11% 至每股 0.50 美元。我們的帳面價值再次保持穩定，本季結束時相對不變，為 16.29 美元。我們增加的股息和穩定的帳面價值相結合，為本季帶來了 2.9% 的經濟回報。雖然我們在第四季度取得了強勁的業績，但我想花一些時間強調 IVR 全年的成就。

2019 was a stellar year for IVR stockholders as we increased our dividend 19% from $0.42 to $0.50 per share and improved book value nearly 7% from $15.27 to $16.29, delivering an economic return of 18.8%. We also raised over $500 million of equity capital during the year, which allowed us to increase scale and invest in additional accretive assets.

2019 年對IVR 股東來說是輝煌的一年，我們將股息從每股0.42 美元增加到0.50 美元，增加了19%，帳面價值從15.27 美元增加到16.29 美元，增加了近7%，經濟回報率為18.8%。我們還在這一年籌集了超過 5 億美元的股本，這使我們能夠擴大規模並投資於額外的增值資產。

As always, active management was a key to our success, and we were quite active with respect to our investment portfolio as well as our interest rate hedges during the year. On the investment side, we continue to be deliberate in allocating capital to strategies that minimize our exposure to prepayment risk as increased prepayments have a detrimental impact on core earnings.

一如既往，主動管理是我們成功的關鍵，這一年我們在投資組合以及利率對沖方面相當積極。在投資方面，我們繼續審慎地將資本分配到能夠最大限度地減少預付款風險的策略，因為預付款的增加會對核心收益產生不利影響。

Over 2019, we reduced our allocation to Agency RMBS and the assets we continue to hold in this sector are backed by collateral that is less exposed to refinancing activity. At the same time, we have steadily increased our Agency CMBS position, which constituted 16% of our equity and 22% of our assets at year-end.

2019 年，我們減少了對機構 RMBS 的配置，我們繼續持有的該領域的資產由受再融資活動影響較小的抵押品支持。同時，我們穩步增加了代理 CMBS 頭寸，截至年底，該頭寸占我們股本的 16%，占我們資產的 22%。

Agency CMBS has several favorable attributes. It is guaranteed by a government agency, which limits spread volatility and allows us to finance them at attractive levels and they are fixed rate with notable prepayment protection and thus more efficient to hedge.

代理 CMBS 有幾個有利的屬性。它由政府機構擔保，限制了利差波動，並允許我們以有吸引力的水平為其提供融資，並且它們是固定利率，具有顯著的預付款保護，因此對沖效率更高。

The combination of attractive financing and efficient hedging makes Agency CMBS a complementary asset class for our portfolio.

有吸引力的融資和高效對沖的結合使 Agency CMBS 成為我們投資組合的補充資產類別。

Although we were less active in the Non-Agency residential and commercial sectors during 2019, we modestly increased our credit investments through selective additions of accretive assets through the year.

儘管 2019 年我們在非機構住宅和商業領域的活躍度較低，但我們全年透過選擇性地增加增值資產，適度增加了信貸投資。

In total, we purchased $422 million of subordinate CMBS and $340 million of residential credit assets during the year. Positively, the credit bonds we own continue to benefit from structural deleveraging and stable fundamentals, and we are well positioned to take advantage of these sectors when new purchases are attractive.

年內，我們總共購買了 4.22 億美元的附屬 CMBS 和 3.4 億美元的住宅信貸資產。積極的一面是，我們持有的信用債券繼續受益於結構性去槓桿化和穩定的基本面，當新的購買具有吸引力時，我們處於有利地位，可以利用這些行業。

We also actively managed our hedge portfolio throughout 2019 as our duration profile reacted to the volatile interest rate environment and the deployment of new capital.

我們也在 2019 年積極管理我們的對沖投資組合，因為我們的久期狀況對波動的利率環境和新資本的部署做出了反應。

We were able to take advantage of the significant decline in swap rates during the year to dramatically improve our effective cost of funds.

我們能夠利用年內掉期利率大幅下降的機會，大幅提高我們的有效資金成本。

Our efforts to minimize our exposure to the basis between 1 and 3-month LIBOR on our borrowings and interest rate swaps largely insulated earnings from shifts in the LIBOR curve.

我們努力最大限度地減少借款和利率互換的1 至3 個月倫敦銀行同業拆借利率(LIBOR) 基差風險，這在很大程度上使收益免受倫敦銀行同業拆借利率(LIBOR) 曲線變化的影響。

Overall, we have been quite successful in utilizing hedges to protect book value and improve our effective interest rate margin despite a volatile year in interest rates.

總體而言，儘管利率波動較大，但我們在利用對沖來保護帳面價值和提高有效利率方面相當成功。

Again, our objective of constructing the portfolio is to reserve or improve our core earnings stream while maintaining a stable book value.

同樣，我們建立投資組合的目標是保留或改善我們的核心收益流，同時保持穩定的帳面價值。

Looking forward, we believe that we are very well positioned to continue the positive momentum we established in 2019. In fact, IVR has had a very good start to 2020 as we successfully raised $347 million in common stock earlier this month, which we have already invested into accretive assets.

展望未來，我們相信我們處於有利位置，能夠繼續保持 2019 年建立的積極勢頭。事實上，IVR 在 2020 年取得了良好的開局，本月早些時候我們成功籌集了 3.47 億美元的普通股，我們已經將其投資於增值資產。

Book value since year-end is up 4.5% as agency CMBS and credit assets continue to be very well bid. So overall, we see a very positive outlook for the coming quarters and feel very good about our ability to continue producing results that are reliably among the best in the mortgage REIT sector.

由於機構 CMBS 和信貸資產的出價持續良好，因此帳面價值自年底以來上漲了 4.5%。因此，總體而言，我們對未來幾季的前景非常樂觀，並對我們繼續創造抵押房地產投資信託行業中可靠的最佳業績的能力感到非常滿意。

With that, I'll turn it over to Brian.

有了這個，我會把它交給布萊恩。

Thanks, John, and good morning to everyone on the call. I'll start on Slide 6, where we detail our sector allocations on an equity and asset basis. As detailed in the pie charts on the left, we remain well diversified across asset classes.

謝謝約翰，祝所有參加電話會議的人早安。我將從幻燈片 6 開始，其中我們詳細介紹了基於股權和資產的部門分配。如左側圓餅圖所示，我們在不同資產類別上保持良好的多元化。

Our actively managed hybrid strategy continues to provide a stable book value and attractive core earnings in what proved to be a volatile year in the fixed income markets.

在固定收益市場動盪的一年中，我們的主動管理混合策略繼續提供穩定的帳面價值和有吸引力的核心收益。

The common equity raise in August of 2019 provided an opportunity to capitalize on this volatility, and our strong core earnings in the fourth quarter reflect a full quarter of those new investments.

2019 年 8 月的普通股融資提供了利用這種波動的機會，我們第四季強勁的核心收益反映了整個季度的新投資。

Our asset allocation remained largely unchanged on the quarter, with a slight reduction in our Agency RMBS holdings to fund purchases in Agency and Non-Agency CMBS. Our activity in the fourth quarter was primarily on the hedging front as we extended hedges to lock in low rates for longer and to more effectively offset our exposures in Agency CMBS and the extension of our Agency RMBS and the modest bear steepener in interest rates.

本季我們的資產配置基本上保持不變，我們的機構 RMBS 持有量略有減少，為購買機構和非機構 CMBS 提供資金。我們第四季的活動主要是在對沖方面，因為我們擴大了對沖以在更長的時間內鎖定低利率，並更有效地抵消我們在機構CMBS 的風險敞口以及我們機構RMBS 的擴展和利率的適度熊市陡峭化。

As mentioned by John, we've had a strong start to this year. And the common equity raise in February reinforced our ability to capitalize on market opportunities as we were able to quickly deploy proceeds into Agency RMBS, given attractive valuations following spread widening in January.

正如約翰所提到的，我們今年有一個好的開始。2 月的普通股融資增強了我們利用市場機會的能力，因為我們能夠快速將收益部署到機構 RMBS，因為 1 月利差擴大後估值頗具吸引力。

Moving on to Slide 7, which details the composition of our Agency RMBS assets. Prepayment speeds on our holdings increased during the quarter as low mortgage rates in the second half of 2019 led to an increase in refinancings. Positively, our reduced allocation to Agency RMBS sector mitigated the overall impact of faster prepayment speeds to core earnings.

接下來看投影片 7，其中詳細介紹了我們代理商的 RMBS 資產的組成。由於 2019 年下半年抵押貸款利率較低導致再融資增加，本季我們持有的資產提前還款的速度有所加快。積極的一面是，我們減少了對代理 RMBS 行業的配置，減輕了更快的預付款速度對核心收益的整體影響。

Our Agency RMBS allocation is now 52% of total assets and remains largely comprised of 30-year specified pools, which contain some level of prepayment protection and experienced CPRs 25% to 30% slower than the market.

我們的機構 RMBS 分配目前佔總資產的 52%，並且主要由 30 年期指定資金池組成，其中包含一定程度的預付款保護，且經驗豐富的 CPR 比市場慢 25% 至 30%。

Despite higher interest rates during the quarter, the value of this protection was largely unchanged as demand remains robust given continued challenges in the TBA market.

儘管本季利率上升，但由於 TBA 市場持續面臨挑戰，需求仍然強勁，因此這種保護的價值基本上沒有變化。

Agency RMBS performed very well in the fourth quarter as attractive valuations, higher rates, steeper yield curves and lower volatility, all combined to produce a beneficial environment for the sector.

機構人民幣支持證券在第四季度表現出色，估值有吸引力、利率較高、殖利率曲線陡峭且波動性較低，所有這些因素結合在一起為該行業創造了有利的環境。

Turning to Slide 8. You can see in the lower left-hand table that our allocation to Agency CMBS remained steady at nearly $5 billion or 22% total assets.

轉向投影片 8。您可以在左下表格中看到，我們對機構 CMBS 的分配穩定在近 50 億美元或總資產的 22%。

Asset spreads were stable during the quarter, but spread tightening through the end of the third quarter made additional accretive investments challenging to source. We remain positive on the sector and will look to increase exposure as valuations become more attractive.

本季資產利差保持穩定，但第三季末利差收緊使得尋找額外的增值投資變得困難。我們對該行業仍然持樂觀態度，並將隨著估值變得更具吸引力而尋求增加投資。

Given the prepayment protection on these holdings, we've been able to lock in an attractive net interest margin on nearly $5 billion of assets that should benefit the portfolio for the life of the investments.

鑑於對這些資產的提前還款保護，我們能夠鎖定近 50 億美元資產的有吸引力的淨利差，這將使投資組合在整個投資週期中受益。

Slide 9 details our company's allocation to commercial mortgage credit. Our holdings continue to benefit from improved credit fundamentals and similar to Agency CMBS, this portfolio benefits from notable prepayment protection.

投影片 9 詳細介紹了我們公司對商業抵押貸款的配置。我們的持股持續受惠於信貸基本面改善，與機構 CMBS 類似，該投資組合受惠於顯著的預付款保護。

We were able to add $19 million of recently issued Non-Agency CMBS during the quarter with ROEs in the low to mid-teens as continued spread tightening in the sector provided few opportunities for accretive investments.

我們能夠在本季增加 1,900 萬美元最近發行的非機構 CMBS，股本回報率處於十幾歲至中位數，因為該行業利差持續收緊幾乎沒有提供增值投資的機會。

Slide 10 highlights the credit quality of our commercial mortgage portfolio. Fundamentals in commercial real estate remain supportive, particularly given the seasoned nature of our portfolio as property price appreciation since issuance reduces embedded leverage in our holdings.

投影片 10 重點介紹了我們商業抵押貸款組合的信用品質。商業房地產的基本面仍然具有支撐性，特別是考慮到我們的投資組合隨著房地產價格上漲而老化，因為發行減少了我們所持資產的嵌入槓桿。

The chart on the left shows the seasoning of our CMBS assets, indicating roughly 2/3 of our holdings were originated more than 5 years ago, while the chart on the right highlights the strong credit performance of our holdings, with over $700 million benefiting from rating agency upgrades.

左圖顯示了我們 CMBS 資產的老化情況，顯示我們持有的大約 2/3 源自 5 年多前，而右圖則凸顯了我們持有的 CMBS 資產的強勁信用表現，超過 7 億美元受益於評級機構升級。

Moving on to Slide 11, which covers our residential credit portfolio. This portfolio remains well diversified as indicated in the pie chart on the left.

轉到投影片 11，其中介紹了我們的住宅信貸投資組合。如左側圓餅圖所示，該投資組合仍保持多元化。

Credit fundamentals are supportive here as wage growth and lower mortgage rates have improved affordability. We were able to add $33 million in residential credit during the quarter. Strong fundamentals in the sector drive valuations higher, limiting our ability to add accretive investments.

由於薪資成長和抵押貸款利率降低提高了負擔能力，信貸基本上面對此提供了支持。本季我們增加了 3,300 萬美元的住宅信貸。該行業強勁的基本面推動估值走高，限制了我們增加增值投資的能力。

Slide 12 provides some detail around the credit quality of our residential credit portfolio. 63% of our CRT investments have been upgraded by at least one rating agency since issuance as shown on the chart on the left.

投影片 12 提供了有關我們住宅信貸投資組合的信貸品質的一些詳細資訊。自發行以來，我們 63% 的 CRT 投資已被至少一個評級機構升級，如左圖所示。

The upgrades are a result of significant underlying home price appreciation and low default rates. The chart on the right reflects the vintage distribution of our investments, indicating over 60% of our assets were issued prior to 2015 and benefit from the strong recovery in the housing market.

此次升級是基礎房價大幅升值和低違約率的結果。右圖反映了我們投資的年份分佈，顯示我們超過 60% 的資產是在 2015 年之前發行的，並受益於房地產市場的強勁復甦。

Lastly, Slide 13 summarizes our financing and hedging. At year-end, we had $17.5 billion of repo outstanding with 33 counterparties and $1.65 billion of secured financing through the Federal Home Loan Bank. We have seen improved financing across our assets as repo spreads tightened and LIBOR declined. To reduce the risk associated with changes in repo funding costs, we held $14 billion of notional of interest rate swaps, a decline of $425 million quarter-over-quarter.

最後，投影片 13 總結了我們的融資和避險。截至年底，我們與 33 個交易對手方的未償還回購協議金額為 175 億美元，並透過聯邦住房貸款銀行提供了 16.5 億美元的擔保融資。隨著回購利差收緊和倫敦銀行同業拆借利率下降，我們的資產融資狀況有所改善。為了降低與回購融資成本變動相關的風險，我們持有 140 億美元的名目利率掉期，較上季減少 4.25 億美元。

The decrease in notional amount was largely due to the reduction in assets given modest deleveraging during the quarter. The lower average fund -- average cost of funds can be attributed to the decline in LIBOR as well as the active management of our interest rate swaps.

名目金額的下降主要是由於本季適度去槓桿化導致資產減少。平均資金成本較低可歸因於 LIBOR 的下降以及我們利率掉期的積極管理。

Potential volatility in the year-end funding markets was largely avoided as we locked in longer maturity repo shortly after the FOMC meeting in October, which was the final Fed funds interest rate cut of the year.

由於我們在 10 月聯邦公開市場委員會 (FOMC) 會議（今年最後一次聯邦基金利率下調）後不久鎖定了期限較長的回購協議，因此在很大程度上避免了年底融資市場的潛在波動。

In closing, with the 2019 economic return of 18.8% and a total return on common equity of 29%, our performance for the year was among the best in the industry. We remain focused on providing an attractive dividend supported by core earnings and stable book value and believe we are well positioned to benefit from the current market environment.

最終，2019年經濟回報率為18.8%，總普通股回報率為29%，全年業績在業界名列前茅。我們仍然專注於提供由核心收益和穩定的帳面價值支持的有吸引力的股息，並相信我們處於有利位置，可以從當前的市場環境中受益。

We appreciate the support from our investors and are excited about our opportunities in 2020.

我們感謝投資者的支持，並對 2020 年的機會感到興奮。

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

我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 is from Doug Harter with Crédit Suisse.

（操作員說明）我們的第一個問題來自瑞士信貸銀行的 Doug Harter。

Can you talk about the relative return characteristics of Agency CMBS? Kind of where you see spreads, leverage, ROE on that compared to the agency RMBS, just to understand kind of the different profiles there.

您能談談代理CMBS的相對報酬特性嗎？您可以看到與機構 RMBS 相比的利差、槓桿率、股本回報率，只是為了了解那裡的不同情況。

Sure, Doug. This is Brian. Agency RMBS is generally ROEs around 13% to 14%, with Agency CMBS kind of maybe 200 basis points behind that in the low double digits area.

當然，道格。這是布萊恩。機構 RMBS 的 ROE 通常約為 13% 至 14%，機構 CMBS 的 ROE 可能比低兩位數區域的 ROE 低 200 個基點。

Leverage on both of those asset classes are pretty similar. We get similar financing on repo there. So leverage is going to be in the 9 to 10 range, 10x on that.

這兩種資產類別的槓桿率非常相似。我們在那裡的回購協議上獲得了類似的融資。因此槓桿將在 9 到 10 範圍內，即 10 倍。

And I guess is that 200 basis points back? Is that factoring in kind of the strong move, I guess, you've seen in the first quarter. So I guess that's -- those returns probably were more comparable before kind of the first quarter?

我猜這會回落 200 個基點嗎？我想，這是你在第一季看到的強勁走勢的因素之一。所以我想，這些回報在第一季之前可能更具可比性？

That's right. When we were more aggressive adding agency CMBS back in kind of middle and late 2019, those ROEs were kind of on top of each other.

這是正確的。當我們在 2019 年中後期更積極地增加機構 CMBS 時，這些 ROE 有點互相重疊。

And then I guess just with that, I guess how do you see the attractiveness of sort of continuing to hold it, kind of given the strong move you've already captured versus the less volatility that you mentioned. I guess how do you see that trade-off today?

然後我想，鑑於您已經捕捉到的強勁走勢與您提到的較小波動性，我想您如何看待繼續持有它的吸引力。我想您今天如何看待這種權衡？

Sure. We -- we'll certainly continue to hold it. We've been able to lock in the NIM on those holdings that we've already purchased. So we like the kind of dependable, steady stream of earnings that, that provides the portfolio.

當然。我們——我們肯定會繼續持有它。我們已經能夠鎖定我們已經購買的那些資產的淨利差。因此，我們喜歡提供投資組合的可靠、穩定的收益流。

So in Agency RMBS, as I mentioned, it is a little bit more attractive right now. But certainly, given the increased convexity risk that we see in those holdings, it's a bit of a balancing act. We'd like to add a little bit more Agency CMBS if we can see a little bit better valuations there.

因此，正如我所提到的，在 Agency RMBS 中，它現在更具吸引力。但當然，考慮到我們在這些資產中看到的凸性風險增加，這是一種平衡行為。如果我們能看到更好的估值，我們希望增加一點代理商 CMBS。

Our next question is from Eric Hagen with KBW.

我們的下一個問題來自 KBW 的 Eric Hagen。

Just kind of following up on the relative value conversation. I mean rates have already come down a lot this year and the MBA Refi Index just hit a multiyear high. I'm just curious how you guys are thinking more holistically, kind of longer-term about your approach to prepayment risk and the relative value of being an Agency RMBS, where the premiums on most of those securities have increased pretty meaningfully, but the yield and the liquidity are higher than they are in the agency DUS market, where the prepay risk is obviously lower, but you don't have the same liquidity and the yield is also lower. So just how do you kind of think -- I mean you addressed kind of the current market. But more holistically, just from a risk management standpoint, where rates are today, just curious how do you think about that trade-off.

只是相對價值對話的跟進。我的意思是，今年利率已經下降了很多，而 MBA Refi 指數剛剛創下了多年來的新高。我只是好奇你們如何更全面、更長遠地思考你們應對提前還款風險的方法以及作為代理 RMBS 的相對價值，其中大多數證券的溢價已經大幅增加，但收益率而且流動性比代理DUS市場高，提前還款風險明顯低一些，但是你沒有同樣的流動性，收益率也低一些。那麼您是如何看待的——我的意思是您談到了當前市場的情況。但更全面地說，僅從風險管理的角度來看，今天的利率，只是好奇你如何看待這種權衡。

Right. Yes, that's exactly right, Eric. This is Brian again. And certainly, given where the refi index is right now, we expect speeds to increase pretty meaningfully over the next few months. It hasn't really started yet and as a matter of fact, we've seen slower speeds so far this quarter. But moving forward, we'd like to be well diversified, and that includes in the credit assets as well.

正確的。是的，完全正確，埃里克。這又是布萊恩。當然，考慮到目前的再融資指數，我們預計未來幾個月速度將顯著提高。它還沒有真正開始，事實上，本季到目前為止我們已經看到速度較慢。但展望未來，我們希望多元化，這也包括信貸資產。

We're at 52% of total assets in Agency RMBS. So we think that's a fairly manageable amount of kind of convexity risk from that perspective, certainly, relative to the rest of our holdings that certainly mitigate that risk.

我們的代理 RMBS 資產佔總資產的 52%。因此，我們認為，從這個角度來看，相對於我們持有的其他可以減輕這種風險的資產來說，這是一個相當可控的凸性風險。

So we're pretty comfortable with where we are right now. And like I mentioned, that Agency RMBS number will trend up modestly just given the equity raise that we just deployed into Agency RMBS.

所以我們對現在的處境感到非常滿意。正如我所提到的，考慮到我們剛剛部署到代理 RMBS 的股權融資，代理 RMBS 數字將會適度上升。

Okay. All right. Great. And then it just looks like the funding basis, the receive rate on swaps relative to repo funding rates has tightened a bit over the last few weeks. I guess that depends though on what the receive rate is on your swaps.

好的。好的。偉大的。然後，看起來融資基礎、掉期接收利率相對於回購融資利率在過去幾週有所收緊。我想這取決於你的掉期的接收率。

Can you guys just give us a breakdown again of how -- what percentage of your swaps are 3-month LIBOR as the receive rate versus 1-month LIBOR?

你們能否再次向我們詳細說明一下，你們的掉期交易中 3 個月 LIBOR 與 1 個月 LIBOR 的接收利率分別佔多少百分比？

Sure. As of 12/31, we were about 24% 3-month LIBOR. And given the swaps that we've added so far this year, that has trended down to about 16% of 3-month LIBOR of total notional.

當然。截至 12 月 31 日，3 個月 LIBOR 約為 24%。考慮到今年迄今為止我們增加的掉期，這一比例已下降至 3 個月 LIBOR 名義總額的 16% 左右。

So yes, we've seen LIBOR rates come down. So the spread between what we're receiving versus what we're paying has come in a little bit.

所以，是的，我們已經看到 LIBOR 利率下降了。因此，我們收到的金額與支付的金額之間的差距已經縮小了一些。

Okay. And then the remainder of that breakdown is 1-month LIBOR, right? I hate to be dense, but just -- it's not like...

好的。然後該細分的其餘部分是 1 個月倫敦銀行同業拆借利率 (LIBOR)，對嗎？我討厭變得笨拙，但是──這不像…

Yes. Exactly right.

是的。非常正確。

Our next question is from Trevor Cranston with JMP Securities.

我們的下一個問題來自 JMP 證券的 Trevor Cranston。

On the book value change you guys mentioned that's occurred so far in 2020. Can you say if any of that was due to having positive net duration in the portfolio? Or if it was kind of more purely related to spread tightening? And related to that, can you also just maybe talk generally about how you guys are currently managing the net duration portfolio and rate sensitivity in the Agency portfolio?

關於帳面價值變化，你們提到了 2020 年迄今發生的情況。您能說這是否是由於投資組合中的淨久期為正造成的嗎？或者這與利差收緊更純粹相關？與此相關，您能否籠統地談談您們目前如何管理機構投資組合中的淨久期投資組合和利率敏感度？

Right. Yes, I would say -- yes, it was a bit of both in terms of the first quarter. I mean Agency CMBS has had a very good start to the year. So I mean, clearly, that -- we benefited from that. Other spread, Non-Agency spreads have also tightened during the quarter. And with the duration gap question, we tend to run -- our empirical duration has tended to be very stable. So our book value has been relatively stable over the course of the last year.

正確的。是的，我想說 - 是的，就第一季而言，兩者兼而有之。我的意思是，CMBS 機構今年有一個很好的開始。所以我的意思很明確——我們從中受益。其他利差、非機構利差在本季也收緊。對於久期差距問題，我們傾向於運作——我們的經驗久期往往非常穩定。因此，去年我們的帳面價值相對穩定。

And part of trying to balance that is, you've got credit assets and that are going to react one way to interest rates. As interest rates fall, credit assets tend to widen. So we always tend to run somewhat of a longer duration gap model-wise to offset that.

試圖平衡的一部分是，你擁有信貸資產，它們將以一種方式對利率做出反應。隨著利率下降，信貸資產往往會擴大。因此，我們總是傾向於在模型上運行較長的持續時間間隙來抵消這一點。

And that's true now and was true -- has been true so far this year. So we did benefit a little bit from having a longer duration gap because it's not usual that you have spreads tightening and rates falling at the same time. So we did benefit from both sides of that, where throughout 2019, it was more normal where that was almost completely offset, and we didn't see much book value movement at all.

現在是這樣，今年到目前為止也是如此。因此，我們確實從較長的久期缺口中受益匪淺，因為利差收緊和利率同時下降的情況並不常見。因此，我們確實從這兩方面受益，在整個 2019 年，幾乎完全抵銷的情況更為正常，而且我們根本沒有看到太多的帳面價值變動。

Okay. Got you. That's helpful. And then looking at the funding slide on Page 13 of the deck, it looks like the -- particularly the Non-Agency portfolio had a pretty significant drop in cost of funds during the fourth quarter. I was curious if there was anything notable you guys are seeing on that side of the book in terms of, like, tighter spreads on the funding for Non-Agency securities. Or if it was more sort of just related to lower LIBOR rates?

好的。明白你了。這很有幫助。然後看看第 13 頁的資金投影片，看起來——特別是非機構投資組合在第四季的資金成本出現了相當大的下降。我很好奇你們在這本書的這一面是否看到了任何值得注意的事情，例如非機構證券融資利差收窄。或者是否只是與較低的 LIBOR 利率有關？

Trevor, this is Dave Lyle. Yes, most of that was definitely lower LIBOR, but there is a component that is resulting from just the further improvement in the credit quality of our assets. As they continue to season, as we're seeing rating upgrades and as we continue to see our repo counterparties be very competitive in terms of wanting to provide us with funding, we're seeing benefit on the repo spread side as well.

特雷弗，這是戴夫·萊爾。是的，其中大部分肯定是倫敦銀行同業拆借利率 (LIBOR) 下降，但也有一部分是由於我們資產信貸品質的進一步改善所致。隨著它們的持續發展，我們看到評級升級，並且我們繼續看到我們的回購交易對手在想要為我們提供資金方面非常有競爭力，我們也看到了回購利差的好處。

At this time, I'm showing no further questions.

目前，我沒有再提出任何問題。

All right. Well, thank you, everybody, for joining us, and we look forward to talking to you in May.

好的。好的，謝謝大家加入我們，我們期待在五月與你們交談。

Thank you for participating in today's conference. All lines may disconnect at this time.

感謝您參加今天的會議。此時所有線路可能會斷開。