Invesco Mortgage Capital Inc (IVR) 2023 Q4 法說會逐字稿

Welcome to Invesco Mortgage Capital Incorporated's fourth-quarter 2023 investor conference call. (Operator Instructions) As a reminder, this call is being recorded.

歡迎參加景順抵押資本公司 2023 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 Greg Seals in Investor Relations. Mr. Seals, you may begin the call.

現在，我想將電話轉給投資者關係部的 Greg Seals。海爾斯先生，您可以開始通話了。

Thank you, operator, and to all of you joining us on Invesco Mortgage Capital's quarterly earnings call. In addition to today's press release, we have provided a presentation that covers the topics we plan to address today. The press release and presentation are available on our website at invescomortgagecapital.com. This information can be found by going to the Investor Relations section of the website.

感謝業者以及大家參加景順抵押資本的季度財報電話會議。除了今天的新聞稿外，我們還提供了涵蓋我們今天計劃討論的主題的簡報。新聞稿和簡報可在我們的網站 invescomortgagecapital.com 上取得。您可以透過造訪網站的投資者關係部分找到此資訊。

Our presentation today will include forward-looking statements and certain non-GAAP financial measures. Please review the disclosures on slide 2 of the presentation regarding these statements and measures as well as the appendix for the appropriate reconciliations to GAAP.

我們今天的演講將包括前瞻性陳述和某些非公認會計準則財務指標。請查看簡報第 2 投影片中有關這些聲明和措施的披露信息，以及根據 GAAP 進行適當調整的附錄。

Finally, Invesco Mortgage Capital is not responsible for and does not edit or guarantee the accuracy of our earnings teleconference transcripts provided by third parties. The only authorized webcasts are located on our website.

最後，景順抵押資本不對第三方提供的收益電話會議記錄的準確性負責，也不對其進行編輯或保證其準確性。唯一授權的網路廣播位於我們的網站上。

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 fourth-quarter earnings call. I will give some brief comments before turning the call over to our Chief Investment Officer, Brian Norris, to discuss the portfolio in more detail. Also joining us on the call are our President, Kevin Collins; and our COO, Dave Lyle.

早安，歡迎參加景順抵押資本公司第四季財報電話會議。在將電話轉給我們的首席投資長布萊恩·諾里斯 (Brian Norris) 之前，我將發表一些簡短的評論，以更詳細地討論投資組合。我們的總裁凱文·柯林斯 (Kevin Collins) 也加入了我們的電話會議。以及我們的營運長戴夫萊爾 (Dave Lyle)。

As we entered the fourth quarter, interest rate volatility accelerated as changes in investor expectations for the supply of US treasuries in the path of monetary policy led to substantial adjustments to both the level of interest rates and the shape of the yield curve.

進入第四季度，隨著投資者對貨幣政策路徑中美國公債供應預期的變化，導致利率水準和殖利率曲線形狀大幅調整，利率波動加劇。

The heightened volatility drove notable underperformance in agency mortgages as inventors reduced exposure to the asset class. Through this period, we sought to maintain appropriate levels of cash and unencumbered assets, reducing risk by decreasing leverage as volatility increased. And market sentiment improved, bolstered by incoming data supporting a soft landing narrative and market expectations for a quicker pace of interest rate cuts by the Federal Reserve. We returned to our target range.

由於發明者減少了對該資產類別的投資，波動性加劇導致機構抵押貸款表現明顯不佳。在此期間，我們力求保持適當的現金和未支配資產水平，隨著波動性的增加，透過降低槓桿來降低風險。受支持軟著陸敘述的最新數據以及市場對聯準會加快降息步伐的預期的提振，市場情緒有所改善。我們回到了目標範圍。

Despite the volatility we experienced during the quarter, our book value per common share ended the quarter at $10, representing an increase of 0.7% from September 30. When combined with our $0.40 common stock dividend, this produced an economic return of 4.7% for the quarter.

儘管我們在本季度經歷了波動，但本季末我們的每股普通股帳面價值仍為 10 美元，較 9 月 30 日增長了 0.7%。加上我們 0.40 美元的普通股股息，本季的經濟回報率為 4.7%。

Our debt to equity ratio ended the quarter at 5.7 times, down from 6.4 as at September 30. As of the end of the quarter, nearly all of our $5.1 billion investment portfolio was invested in agency mortgages, and we maintained a sizable balance of unrestricted cash and unencumbered investments totaling $422 million.

本季末，我們的負債股本比率為 5.7 倍，低於 9 月 30 日的 6.4 倍。截至本季末，我們 51 億美元的投資組合幾乎全部投資於機構抵押貸款，並且我們保持著總計 4.22 億美元的大量非限制性現金和未支配投資餘額。

Earnings available for distribution for the period benefited from attractive interest rate, interest income on our target assets, favorable funding, and low-cost, pay-fixed swaps. For the quarter, EAD per common share was $0.95 compared to $1.51 for the third quarter, reflecting declines in interest income on investments and interest rate swaps in connection with the reduction in leverage and adjustments to our swap portfolio.

該期間可供分配的收益受益於有吸引力的利率、目標資產的利息收入、有利的融資以及低成本、固定支付的掉期。本季度，每股普通股 EAD 為 0.95 美元，而第三季為 1.51 美元，反映出由於槓桿率降低和掉期投資組合調整而導致的投資和利率掉期利息收入下降。

Over the first six weeks of 2024, mortgage valuations have been challenged with lower coupons underperforming higher coupons. As of February 16, our book value per common share is down moderately, estimated to be between $9.50 and $9.88.

2024 年的前六週，抵押貸款估值受到較低票息表現不佳的挑戰。截至 2 月 16 日，我們的每股普通股帳面價值略有下降，估計在 9.50 美元至 9.88 美元之間。

As we entered 2024, both the FOMC and the federal funds futures market forecast the next policy move by the FOMC will be a rate cut, although they had differing expectations regarding the timing and quantity of these cuts. While evolving expectations on the timing of changes in monetary policy may bring challenges in the coming months, we view that as a potential reduction in interest rate volatility, combined with compelling valuations and favorable funding conditions, will support an attractive investment environment for agency mortgages in 2024.

進入2024年，FOMC和聯邦基金期貨市場都預測FOMC的下一步政策舉措將是降息，儘管他們對降息的時間和幅度有不同的預期。儘管對貨幣政策變化時機的預期不斷變化可能會在未來幾個月帶來挑戰，但我們認為，由於利率波動性的潛在減少，加上令人信服的估值和有利的融資條件，將為機構抵押貸款提供有吸引力的投資環境。2024 年。

I'll stop here. Brian will go through the portfolio.

我就停在這裡。布萊恩將仔細檢查作品集。

Thanks, John, and good morning to everyone listening to the call. I'll begin on slide 4, which provides an overview of the interest rates to the agency mortgage market since the beginning of last year.

謝謝約翰，祝所有收聽電話的人早安。我將從第四張幻燈片開始，該幻燈片概述了自去年年初以來代理抵押貸款市場的利率。

As shown on the chart in the upper left, US Treasury yields fell sharply across the yield curve in a parallel fashion during the fourth quarter. Yield on maturities from 2 years to 30 years declined between 65 and 80 basis points. And the disinflationary trend and economic data persisted, while estimates of future treasury funding needs declined.

如左上圖所示，第四季美國公債殖利率在殖利率曲線上平行大幅下跌。2年期至30年期公債的殖利率下降了65至80個基點。通貨緊縮趨勢和經濟數據持續存在，而對未來國庫資金需求的估計則下降。

By the end of the fourth quarter, pricing in the fed funds futures market reflected expectations for a 25-basis-point cut in the target rate in the first quarter of 2024 and nearly seven cuts in total by the end of January 2025. Despite further runoff of Federal Reserve's balance sheet during the quarter, the decline in interest rate volatility and expectations for the easing of monetary policy led to an improvement in domestic bank holdings of agency mortgages for the first time in nearly two years.

截至第四季末，聯邦基金期貨市場的定價反映了 2024 年第一季目標利率下調 25 個基點的預期，以及到 2025 年 1 月底總共下調近 7 個基點的預期。儘管本季度聯準會資產負債表進一步縮水，但利率波動性下降以及貨幣政策寬鬆預期導致國內銀行持有的機構抵押貸款近兩年來首次出現改善。

Slide 5 provides more detail on the agency mortgage market. In the upper-left chart, we show 30-year current coupon performance versus US Treasuries over the course of 2023, highlighting the fourth quarter in gray. Despite notable underperformance to start the quarter, production coupon agency mortgage valuations rebounded in the year end and interest rates and interest rate volatility declined.

幻燈片 5 提供了有關代理抵押貸款市場的更多詳細資訊。在左上角的圖表中，我們顯示了 2023 年 30 年期票券與美國國債的表現，其中第四季以灰色突出顯示。儘管本季初表現明顯不佳，但生產息票機構抵押貸款估值在年底反彈，利率和利率波動下降。

Ultimately, current coupons outperformed treasuries during the quarter, with nominal spreads tightening approximately 30 basis points. In addition, specified pool payouts improved as interest rates fell, as illustrated in the chart on the top right.

最終，本季當期息票的表現優於國債，名目利差收窄約 30 個基點。此外，隨著利率下降，指定資金池支出有所改善，如右上圖所示。

As shown in the lower-right chart, the dollar roll market for TBA securities remain unattractive, as more recent issuance with higher loan balances have a worse prepayment profile. And the lack of consistent bank demand has negatively impacted technicals.

如右下圖所示，TBA 證券的美元展期市場仍然沒有吸引力，因為最近發行的貸款餘額較高，預付款狀況較差。銀行需求缺乏持續性對技術面產生了負面影響。

Slide 6 provides detail on our agency mortgage investments and summarizes changes during the quarter. Our portfolio decreased by 7% quarter over quarter as the sharp increase in interest rate volatility in October warranted a reduction in risk.

第 6 投影片提供了我們的機構抵押貸款投資的詳細信息，並總結了本季度的變化。我們的投資組合季減了 7%，因為 10 月利率波動性急劇增加，需要降低風險。

We net sold approximately $1.7 billion of specified pools in October across our combined holdings to reduce the risk of further declines in book value before adding nearly $1.2 billion of exposure, predominantly in 30-year 6% specified pools in November and December as interest rate volatility declined. We remain focused in more attractively priced higher coupons, which are largely insulated from direct exposure to assets held by commercial banks and on the Federal Reserve's balance sheet.

10 月份，我們在合併持有的資產中淨出售了約17 億美元的指定資金池，以降低帳面價值進一步下跌的風險，然後再增加近12 億美元的風險敞口，主要是11 月和12月由於利率波動而增加的30 年期6% 指定資金池拒絕了。我們仍然關注價格更具吸引力的高息票，這些票息在很大程度上不受商業銀行持有的資產和聯準會資產負債表的直接曝險影響。

In addition, we remain exclusively invested in specified pools, which means we have no exposure to the deterioration in the dollar roll market for TBA securities. We focused our specified pool allocation on prepayment characteristics that are expected to perform well in both premium and discount environments and modestly improved the quality of our specified pool holdings by increasing our allocation to lower loan balance stories.

此外，我們仍然專門投資於特定池，這意味著我們不會受到 TBA 證券美元展期市場惡化的影響。我們將指定池配置的重點放在預付款特徵上，這些特徵預計在溢價和折價環境下都會表現良好，並透過增加對較低貸款餘額故事的配置，適度提高指定池持有量的品質。

Although we anticipate interest rate volatility to remain moderately elevated in the near term, we believe current valuations on production coupon agency mortgages, largely priced in this risk, represent attractive investment opportunities with current gross ROEs in the mid to high teens.

儘管我們預計短期內利率波動性將保持適度升高，但我們認為，生產息票機構抵押貸款的當前估值（主要反映了這種風險）代表著有吸引力的投資機會，目前總股本回報率處於中高位。

Our agency CMO allocation is detailed alongside our remaining credit investments on slide 7. Our allocation to agency interest-only securities remain largely unchanged, totaling $75 million at quarter end, a modest decline from $78 million at the end of the third quarter to $75 million this quarter, primarily due to paydowns and a modest decline in the weighted average dollar price given the rally in interest rates during the quarter.

我們的機構 CMO 分配與我們剩餘的信貸投資一起詳細說明在幻燈片 7 中。我們對機構只付息證券的配置基本保持不變，季末總額為7,500 萬美元，從第三季末的7,800 萬美元小幅下降至本季度的7,500 萬美元，這主要是由於還款和加權平均數小幅下降鑑於本季利率上漲，美元價格上漲。

Our credit allocation declined during the quarter to $19 million as a result of paydowns. Our credit investments remain high quality, with 68% rated double-A or higher. Although we anticipate limited near-term price appreciation in our credit and agency I/O investments, we believe these assets provide attractive yields for unlevered holdings.

由於還款，我們的信貸分配在本季下降至 1,900 萬美元。我們的信貸投資保持高品質，68% 的信貸投資評級為雙 A 或更高。儘管我們預期信貸和機構 I/O 投資的近期價格升值有限，但我們相信這些資產為無槓桿持有提供有吸引力的收益率。

Slide 8 details our funding and hedge book at quarter end. Repurchase agreements collateralized by Agency RMBS declined from $5 billion to $4.5 billion. And our net notional pay-fixed interest rate swaps declined from $5 billion to $4.1 billion, both commensurate with our reduction in specified pool holdings during the quarter. We continue to reposition the hedge book, unwinding our remaining received fixed interest rate swaps and a portion of our legacy pay-fixed swaps as the reduction in leverage during October warranted a proportionate decline in hedges.

投影片 8 詳細介紹了我們季度末的融資和對沖帳簿。由機構 RMBS 抵押的回購協議從 50 億美元下降至 45 億美元。我們的淨名目支付固定利率掉期從 50 億美元下降到 41 億美元，這與我們在本季特定資金池持有量的減少相稱。我們繼續重新定位對沖帳簿，解除我們剩餘的固定利率掉期和部分遺留的支付固定掉期，因為十月份槓桿率的下降保證了對沖的相應下降。

As we added specified pool exposure back to the portfolio in November and December, we also added new pay-fixed swaps to hedge the additional borrowings. We ended the quarter with a hedge ratio of 91%. These changes resulted in a modest increase in the weighted average coupon on our pay-fixed swaps, which negatively impacted earnings available for distribution.

當我們在 11 月和 12 月將指定池敞口重新添加到投資組合中時，我們還添加了新的固定支付掉期以對沖額外借款。本季結束時，我們的對沖率為 91%。這些變化導致我們的支付固定掉期的加權平均票息略有增加，這對可分配的收益產生了負面影響。

Positively, we retained much of the benefit of our low-cost pay-fixed swaps with an attractive weighted average coupon on our hedging portfolio of 1.1% and weighted average maturity of 6.6 years. Leverage ended the quarter at 5.57 times debt to equity, down from 6.4 times at the end of September, given the net sales and specified pools and modest improvement in book value.

正面的一面是，我們保留了低成本支付固定掉期的大部分好處，對沖投資組合的加權平均票面價值具有吸引力，為 1.1%，加權平均期限為 6.6 年。考慮到淨銷售額和指定資金池以及帳面價值的小幅改善，本季末槓桿率為 5.57 倍，低於 9 月底的 6.4 倍。

Slide 9 provides further detail on our asset yields and funding costs. Interest rates on our repurchase agreements increased modestly from 5.4% to 5.5% at quarter end, largely offset by a similar increase in the receive rate on our interest rate swaps. Yields on our Agency RMBS portfolio increased approximately 20 basis points to 5.3%, while the pay rate on our interest-rate swaps increased 30 basis points to 1.1%. Overall, our effective interest rate margin remains very attractive at just over 5%, which includes the benefit of our remaining legacy swap portfolio.

投影片 9 提供了有關我們的資產收益率和融資成本的更多詳細資訊。季度末，我們的回購協議利率從 5.4% 小幅上漲至 5.5%，但很大程度上被利率掉期接收利率的類似上漲所抵消。我們的代理 RMBS 投資組合的收益率增加了約 20 個基點，達到 5.3%，而我們的利率互換的支付率增加了 30 個基點，達到 1.1%。總體而言，我們的有效利率差額仍然非常有吸引力，略高於 5%，其中包括我們剩餘的傳統掉期投資組合的好處。

To conclude our prepared remarks, the fourth quarter of 2023 began as another very challenging quarter for Agency RMBS investors, as uncertainty regarding the path of monetary policy led to another sharp increase in interest rate volatility. Valuations rebounded, however, as the disinflationary trend persisted despite the notable strength in the economy, resulting in a pivot for expectations of monetary policy from further tightening to potential easing in the first half of 2024.

總結我們準備好的發言，2023 年第四季對機構 RMBS 投資者來說又是一個充滿挑戰的季度，因為貨幣政策路徑的不確定性導致利率波動再次急劇增加。然而，儘管經濟顯著走強，但通貨緊縮趨勢持續存在，估值出現反彈，導致貨幣政策預期從進一步收緊轉向2024年上半年可能寬鬆。

Despite significant tightening of spreads in the asset class in the fourth quarter, we believe the Agency RMBS valuations remain attractive for long-term investors, given our expectation for the potential reduction in interest rate volatility over the course of 2024 as easing monetary policy likely results in a steeper yield curve. Our preference for higher coupon specified pools should perform well in that environment.

儘管第四季度該資產類別利差大幅收緊，但考慮到我們預計隨著寬鬆貨幣政策的實施，2024 年利率波動可能會減少，我們認為機構 RMBS 估值對長期投資者仍然具有吸引力在更陡峭的殖利率曲線中。我們對更高優惠券指定池的偏好應該在這種環境下表現良好。

Further, our liquidity position remains robust. As a result, we believe IVR is well positioned to navigate future mortgage market volatility and selectively capitalize on historically wide Agency RMBS spreads, which provides a supportive backdrop for long-term investment.

此外，我們的流動性狀況仍然強勁。因此，我們認為 IVR 能夠很好地應對未來抵押貸款市場的波動，並選擇性地利用歷史上較寬的代理 RMBS 利差，這為長期投資提供了支持性背景。

Thank you for your continued support for Invesco Mortgage Capital. And now, we will open the line for Q&A.

感謝您對景順抵押資本的持續支持。現在，我們將開通問答熱線。

Thank you. We will now begin our question-and-answer session. (Operator Instructions) Trevor Cranston, JMP Securities.

謝謝。我們現在將開始問答環節。（操作員指示）Trevor Cranston，JMP 證券。

Thanks. Good morning. A question on the hedging side. It looks like the net swap portfolio declined by more than the MBS portfolio did on the quarter. I guess, can you elaborate a little bit on if you guys have made any changes to your net duration exposure along any part of the yield curve, given the shifting outlook for what the Fed is going to be doing going forward, and just generally how you're approaching hedging across the yield curve right now? Thanks.

謝謝。早安.關於對沖方面的問題。看起來本季淨掉期投資組合的跌幅超過了 MBS 投資組合。我想，考慮到聯準會未來將採取的行動的前景不斷變化，以及一般情況下如何改變，你們能否詳細說明一下你們是否對收益率曲線任何部分的淨久期敞口做出了任何改變？你現在正在對殖利率曲線進行對沖嗎？謝謝。

Yeah, hey. Good morning, Trevor. This is Brian. Yeah, we haven't really made any significant changes to our yield curve exposures. We're positioned slightly for a steeper curve, given our expectations for Fed policy in 2024. The sharp rally that we saw in interest rates during the fourth quarter did shorten our mortgage investments, so you saw the shortening in our hedges as well.

是的，嘿。早上好，特雷弗。這是布萊恩。是的，我們並沒有真正對殖利率曲線敞口做出任何重大改變。考慮到我們對 2024 年聯準會政策的預期，我們的定位是曲線略微陡峭。我們在第四季度看到的利率大幅上漲確實縮短了我們的抵押貸款投資，因此您也看到了我們對沖的縮短。

But really, the changes that we made to the swap portfolio were pretty consistent across the curve, so there weren't any significant changes. As far as our duration gap goes, we're still just modestly positive, but very slight.

但實際上，我們對掉期投資組合所做的更改在整個曲線上非常一致，因此沒有任何重大變化。就我們的持續時間差距而言，我們仍然只是適度樂觀，但非常輕微。

Okay. Got it. I appreciate the comments. Thank you.

好的。知道了。我很欣賞這些評論。謝謝。

Thank you. Jason Weaver, JonesTrading.

謝謝。賈森‧韋弗，瓊斯交易公司。

Hey, guys. Thanks for taking my question. I have a two-parter here. I've seen over the last three, four quarters, you've been migrating higher in the coupon stack. Obviously, that's in response to the available ROE in the market. But what do you think of the convexity profile here, given your remarks on the timing of monetary easing? I assume you're still migrating up to quarter to date?

大家好。感謝您提出我的問題。我這裡有兩個人。我看到在過去的三、四個季度裡，你的優惠券堆疊一直在上升。顯然，這是對市場上可用股本回報率的回應。但考慮到您對貨幣寬鬆時機的評論，您如何看待這裡的凸度特徵？我猜到目前為止您仍在遷移？

Yeah. Hey, Jason. It's Brian. Good morning. Good to hear from you.

是的。嘿，傑森。是布萊恩。早安.很高興聽到你的消息。

Yeah. We have moved slightly up in coupon. Obviously, we did buy some sections in the fourth quarter that do have a slightly worse convexity profile. But just given our expectations for interest rate volatility, we don't exactly mind taking a little bit of additional convexity risk from that perspective. And given our continued holdings [in 4s through 5.5s] that are still at decent discounts, we certainly have a fair amount of protection from that perspective as well.

是的。我們的優惠券略有上升。顯然，我們確實在第四季度購買了一些凸度稍差的部分。但考慮到我們對利率波動的預期，從這個角度來看，我們並不介意承擔一點額外的凸性風險。考慮到我們持續持有的[4至5.5英寸]仍處於相當大的折扣，從這個角度來看，我們當然也有相當多的保護。

And on that subject, to the new coupon -- new high coupons in the sixes are -- what is the typical type of specified pool those guys are in?

在這個主題上，對於新的優惠券——六張新的高優惠券是——這些人所處的指定池的典型類型是什麼？

Yeah, it's pretty consistent with the rest of our portfolio, leaning a little bit heavier in loan balance, but also higher loan balance cuts -- call them $225,000 to $250,000 -- but also a fair amount in the lower pay-up stories, like LTV and FICO NGO stories.

是的，這與我們投資組合的其他部分非常一致，貸款餘額偏重一點，但貸款餘額削減也更高——稱其為225,000 美元至250,000 美元——但在較低還款故事中也有相當多的金額，例如LTV 和 FICO 非政府組織故事。

Got it. All right. That's helpful. And finally, I see cash right now at around $77 million. I know you have some unencumbered as well for enhanced liquidity. But does that imply you're inclined to raise leverage going forward?

知道了。好的。這很有幫助。最後，我認為目前現金約為 7700 萬美元。我知道您也有一些不受限制的資金來增強流動性。但這是否意味著您傾向於在未來提高槓桿？

I wouldn't necessarily say we're inclined to raise leverage. We do have the ability to do that if the market -- if volatility declines and we see improvement in valuations. But I wouldn't say we're necessarily inclined to do that in the near term.

我不一定會說我們傾向於提高槓桿。如果市場波動性下降並且我們看到估值有所改善，我們確實有能力做到這一點。但我不認為我們一定會在短期內這樣做。

I think we still -- certainly, there's still some uncertainty about the timing of Fed policy. And we would expect there to continue to be some rate vol around that until that comes to fruition. So at the moment, I think we're pretty comfortable with where we are, but we do have the ability to increase leverage if conditions warrant that.

我認為，當然，聯準會政策的時機仍然存在一些不確定性。我們預計，在實現這一目標之前，該目標將繼續出現一定程度的波動。因此，目前，我認為我們對目前的狀況感到非常滿意，但如果條件允許，我們確實有能力增加槓桿。

All right. Thank you for that color and congrats, guys.

好的。謝謝你們的顏色，恭喜你們，夥伴們。

Thank you.

謝謝。

Thank you. Doug Harter, UBS.

謝謝。道格·哈特，瑞銀集團。

Thanks. I was hoping to get your thoughts around the dividend. If you look at it relative to the common book value, it screams higher. But if you look at it relative to total equity, factoring in the preferreds, it seems more in line. Just curious as to how you're thinking about the dividend.

謝謝。我希望了解您對股息的想法。如果你相對於普通帳面價值來看它，它會更高。但如果你相對於總股本來看它，考慮到優先股，它似乎更符合實際。只是好奇您如何看待股息。

Yeah. Hey, Doug. It's John. Yeah, I mean, as always, the dividend is driven by the Board. So that is the first thing you hit. But I think given where EAD -- even though it's trended lower with the adjustments in the swap book, EAD supports the level of dividend pretty comfortably at this point. So we do look -- if our level of dividend is really an outlier versus peers, that's one consideration we think about.

是的。嘿，道格。是約翰。是的，我的意思是，一如既往，股息是由董事會驅動的。所以這是你擊中的第一件事。但我認為，考慮到 EAD——儘管它隨著掉期帳簿的調整而呈下降趨勢，但 EAD 目前可以相當輕鬆地支持股息水平。因此，我們確實會考慮——如果我們的股息水準與同業相比確實是異常值，這就是我們考慮的一個因素。

The other consideration is really where we see cash flows and where we see EAD; we're forecasting that over there the next several quarters. So from that perspective, it's been well supported. So I think as long as things stay relatively around here, I don't see any catalysts to [change this]. But then again, it's pretty early to tell. Yeah, that's what I'll say.

另一個考慮因素實際上是我們在哪裡看到現金流量以及在哪裡看到 EAD；我們預測未來幾季會出現這種情況。所以從這個角度來看，它得到了很好的支持。因此，我認為只要事情保持相對不變，我就看不到任何[改變這一點]的催化劑。但話又說回來，現在說還太早。是的，我就是這麼說的。

Thanks, John. And then around the capital structure, I guess, how are you thinking about -- plan to bring the preferred equity as a percentage down? And then along those lines, how do you think about -- do you think about leverage as more leverage to common or leverage to total equity?

謝謝，約翰。然後圍繞資本結構，我想，您如何考慮計劃降低優先股的百分比？然後沿著這些思路，你如何看待——你認為槓桿是對普通股的更多槓桿還是對總股本的槓桿？

We look at it both ways. In terms of leverage, how we think about it, leverage to common equity is probably the way we think about risk more often. So that's how we think about it. And as far as capital structure, we've been buying back preferreds in the open market. It's been a very slow process, just given the amount of activity in those issues out there.

我們從兩方面來看。就槓桿而言，我們如何看待它，對普通股的槓桿可能是我們更常考慮風險的方式。這就是我們的想法。就資本結構而言，我們一直在公開市場上回購優先股。考慮到這些問題的活躍程度，這是一個非常緩慢的過程。

I think the -- we have two preferreds out there. Our Series E is callable at the end of this year, so we'll have a decision to make come fourth quarter. And we're looking -- we'll be starting and are starting to look at options around whether we call that or not and how we handle that coming event.

我認為——我們有兩個首選。我們的 E 系列可在今年年底贖回，因此我們將在第四季度做出決定。我們正在尋找 - 我們將開始並開始考慮是否調用該選項以及如何處理即將發生的事件的選項。

But we do continue to buy preferreds back. And then when the market is -- when market conditions are appropriate, we are also looking to raise money through the ATM, which would also help balance the capital structure. So both those two things, we're going to do throughout the year.

但我們確實繼續回購優先股。然後，當市場條件合適時，我們也希望透過 ATM 籌集資金，這也有助於平衡資本結構。因此，這兩件事我們將全年進行。

Great. Appreciate that.

偉大的。感謝。

Thank you. (Operator Instructions) Eric Hagen, BTIG.

謝謝。（操作員說明）Eric Hagen，BTIG。

Hey. Good morning. How are you doing? On the specified pools, can you give a sense for how much pay-ups are right now for the bonds that you're focused on buying relative to where those pay-ups have been historically? And do you feel like there's a good way to think about how much relative strength those bonds can show in different interest rate rallies?

嘿。早安.你好嗎？在指定的池中，您能否了解一下您重點購買的債券目前的付款金額相對於歷史上的付款金額是多少？您是否認為有一個好方法來考慮這些債券在不同的利率上漲中可以表現出多少相對強度？

Hey there, Eric. Good to hear from you. It's Brian. Yeah.

嘿，艾瑞克。很高興聽到你的消息。是布萊恩。是的。

I think specified pools, as I mentioned, the pay-ups did improve in the fourth quarter, given what we saw happen in the rates market. Those have come off a little bit so far in first quarter. We had -- rates are now up 45 to 50 basis points since year end. So you'd expect some softening in pay-ups. And so we've seen that.

我認為，正如我所提到的，鑑於我們在利率市場上看到的情況，特定資金池的支付確實在第四季度有所改善。到目前為止，第一季這些數據有所下降。自年底以來，利率現已上漲 45 至 50 個基點。因此，您預計付款會有所放緩。我們已經看到了這一點。

But our weighted average pay-up, I think, is [0.4 points]. So I think our exposure to those changes is fairly limited. I think the FICO and LTV stories, and even the [geo] stories, are pretty low pay-ups. And so there's not a lot of change that goes on in those. It's really driven by the changes in loan balance that are a little bit higher pay-ups, so call it half a point to three-quarters of a point.

但我認為我們的加權平均支付是[0.4分]。所以我認為我們對這些變化的影響相當有限。我認為 FICO 和 LTV 故事，甚至 [geo] 故事，支付費用都相當低。因此，這些方面並沒有發生太多變化。它實際上是由貸款餘額的變化所驅動的，即支付率稍高一點，所以稱其為半個點到四分之三點。

So those will change as the interest rate markets adjust around that. But we're still -- it hasn't changed what we're targeting as far as attractive additions at this point. We still think that the TBA market will continue to have issues and the implied financing will continue to be higher there than it is in specified pools. So to the extent that we are looking to add, at this point, it would certainly be in specified pools.

因此，隨著利率市場圍繞這一點進行調整，這些都會發生變化。但我們仍然——就目前有吸引力的補充而言，它並沒有改變我們的目標。我們仍然認為 TBA 市場將繼續存在問題，並且隱含融資將繼續高於特定池中的水平。因此，就我們目前希望添加的而言，它肯定會在指定的池中。

Do you feel like there's anything that will catalyze dollar roll specialness aside from the Fed showing off [Q2], or making adjustments to [Q3]?

您認為除了聯準會炫耀[第二季]或做出調整之外，還有什麼可以促進美元滾動的特殊性嗎？[問題3]？

Yeah. I think if we were to see a significant return from banks -- we have seen some encouraging signs from them over the last few months. They at least stopped running off their portfolio as significantly as they had been. But I do think that banks are really the primary driver of demand for those generic type of securities.

是的。我認為，如果我們要看到銀行的顯著回報——過去幾個月我們已經看到了一些令人鼓舞的跡象。他們至少不再像以前那樣大幅拋售投資組合。但我確實認為銀行確實是這些通用證券需求的主要驅動力。

And so that TBA market is really driven by supply and demand dynamics. And until that starts to improve, it's hard to envision the dollar roll market improving all that much. Because quite frankly, the other aspect of that is the convexity profile of the deliverables, and that is not appearing to get any better as the loan balances continue to increase.

因此 TBA 市場實際上是由供需動態驅動的。在這種情況開始改善之前，很難想像美元滾動市場會出現如此大的改善。因為坦白說，另一個方面是可交付成果的凸度概況，隨著貸款餘額的持續增加，這種情況似乎沒有任何改善。

Right. Okay. That was helpful. The book value range that you gave quarter-to-date, is that inclusive of the accrued dividend or are you netting out the accrued dividends?

正確的。好的。這很有幫助。您給出的季度至今的帳面價值範圍是包含應計股利還是扣除應計股利？

That nets out the dividend.

這就扣除了股息。

It nets it out. Okay. Thank you, guys, so much.

它把它過濾掉了。好的。非常感謝你們，夥伴們。

Yeah.

是的。

Thank you. And at this time, we have no further questions. Greg, I'll hand it back to you

謝謝。此時，我們沒有其他問題了。格雷格，我會把它還給你

Okay. Thank you very much. Thanks, everyone, for your participation, and we look forward to speaking to you next quarter.

好的。非常感謝。感謝大家的參與，我們期待下個季度與您交談。

Thank you. That concludes today's conference. Thank you for participating. You may disconnect at this time.

謝謝。今天的會議到此結束。感謝您的參與。此時您可以斷開連線。