Invesco Mortgage Capital Inc (IVR) 2024 Q4 法說會逐字稿

Welcome to the Invesco Mortgage Capital fourth-quarter 2024 earnings call. (Operator Instructions) As a reminder, this call is being recorded. Now I would like to turn the call over to Greg Seals in Investor Relations. Mr. Seals, you may begin the call.

歡迎參加 Invesco Mortgage Capital 2024 年第四季財報電話會議。（操作員指示）提醒一下，此通話正在被錄音。現在我想將電話轉給投資者關係部的 Greg Seals。西爾斯先生，您可以開始通話了。

Thanks, 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.

謝謝接線員，也感謝參加 Invesco Mortgage Capital 季度收益電話會議的所有人。除了今天的新聞稿之外，我們還提供了一份演示文稿，涵蓋我們今天計劃討論的主題。

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. 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.

新聞稿和簡報可在我們的網站 invescomortgagecapital.com 上找到。您可在網站的「投資者關係」部分找到此資訊。我們今天的介紹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 張投影片中有關這些報表和措施的揭露內容以及附錄，以了解與 GAAP 的適當對帳。

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 webcast are located on our website.

最後，Invesco Mortgage Capital 不對第三方提供的我們的收益電話會議記錄的準確性負責，也不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. Thank you for joining us today. I'll now turn the call over to IVR's CEO, John Anzalone.

再次歡迎您。感謝您今天加入我們。現在我將電話轉給 IVR 的執行長 John Anzalone。

Good morning, and welcome to Invesco Mortgage Capital's fourth-quarter earnings call. I'll provide some brief comments before turning the call over to our Chief Investment Officer, Brian Norris, to discuss our portfolio in more detail. Also joining us on the call this morning for Q&A our President, Kevin Collins; our COO, Dave Lyle; and our CFO, Mark Gregson.

早安，歡迎參加 Invesco Mortgage Capital 第四季財報電話會議。在將電話轉交給我們的首席投資長布萊恩諾里斯 (Brian Norris) 更詳細地討論我們的投資組合之前，我將發表一些簡短的評論。今天早上參加電話會議問答環節的還有我們的總裁凱文·柯林斯 (Kevin Collins)；我們的首席營運官戴夫·萊爾（Dave Lyle）；以及我們的首席財務官馬克·格雷格森（Mark Gregson）。

Long-term treasury yields ended the quarter sharply higher as the disinflationary trend stalled and market participants dealt with fresh uncertainty regarding the impacts of future monetary, fiscal, and trade policies. Expectations for future inflation reflected in TIPS breakevens rose over the course of the quarter, with the two-year breakeven ending the year at 2.54%, up from 1.77% in September.

由於通貨緊縮趨勢停滯，且市場參與者面臨未來貨幣、財政和貿易政策影響的新不確定性，長期國債殖利率在本季末大幅走高。反映在通膨保值計畫損益平衡點上的未來通膨預期在本季有所上升，兩年期損益平衡點年底為 2.54%，高於 9 月的 1.77%。

This trend has continued into this year as the two-year breakeven is now comfortably above 3%. These uncertainties, combined with the robust labor market, led to a recalibration of the market's expectations for future monetary policy.

這一趨勢一直延續到今年，兩年的損益平衡率現已輕鬆超過 3%。這些不確定性，加上強勁的勞動市場，導致市場對未來貨幣政策的預期重新調整。

Following 100 basis points of reductions in the federal funds target rate over the course of the third and fourth quarters, Fed funds futures market expectations as of year-end 2024, reflected only one to two additional cuts in the target rate through the end of '25. This compares to an expectation of 10 cuts through the end of '25, priced as recently as mid-September.

繼第三季和第四季聯邦基金目標利率下調 100 個基點之後，截至 2024 年底，聯邦基金期貨市場預期到 2025 年底，目標利率僅會再下調一到兩次。相比之下，截至 9 月中旬，預計到 25 年底將進行 10 次降息。

Against this macroeconomic backdrop, Agency RMBS underperformed treasuries during the fourth quarter. Underperformance during the quarter primarily took place in lower coupons, as a sharp-move higher interest rates limited demand for discount securities.

在這樣的宏觀經濟背景下，機構 RMBS 在第四季的表現不如國債。本季表現不佳主要由於較低的票面利率，因為利率大幅上升限制了對折扣證券的需求。

Although industry volatility moved higher during the quarter, supply-and-demand technicals for higher-coupon agency mortgages were supportive as supply was limited, while bank and overseas demand improved. Prepayment speeds largely remained at low levels, given limited housing activity and elevated mortgage rates.

儘管本季度行業波動性加劇，但由於供應有限，高息機構抵押貸款的供需技術面提供支持，而銀行和海外需求有所改善。由於住房活動有限且抵押貸款利率上升，預付款速度基本上保持在較低水準。

Premiums on higher-coupon specified pool collateral declined modestly given the increase in interest rates, but remained relatively well supported as implied financing via the dollar roll market for TBA investments remained largely unattractive throughout the quarter.

雖然利率上升，但較高票面利率指定池抵押品的溢價略有下降，但由於整個季度透過美元展期市場對 TBA 投資的隱含融資仍然基本缺乏吸引力，因此仍然受到相對較好的支撐。

Agency CMBS risk premiums contracted notably during the fourth quarter, given increased optimism regarding renewed bank demand for stable cash flow profiles amidst elevated interest rate volatility and relatively modest new issuance.

由於在利率波動加劇和新發行量相對溫和的情況下，銀行對於穩定現金流狀況的需求重新出現樂觀情緒，機構 CMBS 風險溢價在第四季度顯著收縮。

Against this backdrop, book value per common share decreased 4.8% to $8.92 per share and when combined with our $0.40 per share common stock dividend, resulted in an economic return of a negative 0.5% for the quarter.

在此背景下，每股普通股帳面價值下降 4.8% 至每股 8.92 美元，加上每股 0.40 美元的普通股股息，導致本季經濟回報率為負 0.5%。

As mentioned 2025, Agency Mortgage performance has been modestly positive, with interest rate volatility stabilizing as the market's outlook for future monetary policy is coalesced around one or two additional cuts from the FOMC this year. As of February 14, 2025, we estimate our book value per common share to be between $8.90 and $9.26 per share.

如同所提及的，2025年，機構抵押貸款表現溫和積極，隨著市場對未來貨幣政策的展望圍繞今年聯邦公開市場委員會 (FOMC) 的一兩次額外降息，利率波動趨於穩定。截至 2025 年 2 月 14 日，我們估計每股普通股的帳面價值在 8.90 美元至 9.26 美元之間。

We notably improved our capital structure and reduced our cost of capital by funding the redemption of our series B preferred stock in December, primarily with lower-cost repurchase agreements. As a result, our debt-to-equity ratio increased to 6.7 times at the end of the fourth quarter, up from 6.1 times at the end of the third quarter.

我們透過在 12 月為 B 系列優先股的贖回提供資金（主要透過低成本回購協議），顯著改善了我們的資本結構並降低了資本成本。結果，我們的負債權益比從第三季末的 6.1 倍上升至第四季末的 6.7 倍。

At the end of the year, approximately 85% of our $5.4 billion investment portfolio is invested in Agency Mortgages, and 15% was invested in Agency CMBS. And we maintained a sizable balance of unrestricted cash and unencumbered investments totaling $389 million.

截至年底，我們 54 億美元的投資組合中約有 85% 投資於機構抵押貸款，15% 投資於機構 CMBS。我們維持著相當可觀的無限現金餘額和無抵押投資，總額達 3.89 億美元。

Our earnings available for distribution declined from $0.68 in the third quarter to $0.53 in the fourth quarter, as we recognized the one-time charge associated with the redemption of our series B preferred stock. In addition, we diversified the composition of our interest rate hedges, reducing our exposure to changes in swap spreads by increasing our allocation to US Treasury futures.

由於我們確認了與贖回 B 系列優先股相關的一次性費用，我們的可供分配收益從第三季的 0.68 美元下降到第四季的 0.53 美元。此外，我們也實現了利率避險的組成多樣化，透過增加對美國國債期貨的配置，減少了掉期利差變化所帶來的風險。

While this negatively impacted our effective net interest income for the quarter, we stand to benefit from future normalization of the yield curve. In the near term, we remain cautious on Agency Mortgages as shifting expectations for monetary and fiscal policy may result in elevated industry volatility, reducing investor demand.

雖然這對我們本季的實際淨利息收入產生了負面影響，但我們將從未來殖利率曲線的正常化中受益。短期內，我們對機構抵押貸款仍持謹慎態度，因為貨幣和財政政策預期的變化可能會導致行業波動加劇，從而降低投資者需求。

Our long-term outlook for Agency Mortgages is favorable, however, as we expect demand to improve and higher coupons, given attractive valuations and eventual decline in interest rate volatility and a steeper yield curve.

然而，我們對機構抵押貸款的長期前景是樂觀的，因為我們預計需求將改善，票面利率將上升，因為估值具有吸引力，利率波動最終會下降，殖利率曲線也將趨陡。

Lastly, we expect a gradual increase in Agency CMBS new issuance to be met with robust investor demand as the sector continues to offer value relative to other fixed income investments due to its prepayment protection and attractive risk-adjusted return profiles.

最後，我們預計機構 CMBS 新發行量將逐步增加，以滿足投資者的強勁需求，因為該行業憑藉其提前還款保護和具有吸引力的風調整後回報率，繼續相對於其他固定收益投資具有價值。

Now I'll turn the call over to Brian to go through the portfolio in more detail.

現在我將把電話轉給 Brian，讓他更詳細地介紹一下投資組合。

Thanks, John, and good morning to everyone listening to the call. I'll begin on slide 4, which provides an overview of the interest rate in Agency Mortgage markets. As shown on the chart on the upper left, during the fourth quarter, US Treasury yields rose across the yield curve, with two-year-and-longer maturities increasing between 60 and 85 basis points.

謝謝，約翰，各位聽眾早安。我將從幻燈片 4 開始，該幻燈片概述了機構抵押貸款市場的利率。如左上圖所示，第四季度，美國公債殖利率曲線全線上漲，兩年期以上債券殖利率上漲了 60 至 85 個基點。

Most of the increase occurred in the first half of the quarter, driven by market expectations of a Republican sweep in the November elections. The chart on the bottom left provides Fed funds futures market pricing since the beginning of 2024. The number of cuts to the Fed funds target rate in 2024 was much less than projected at the beginning of the year, as economic growth, employment, and inflation data proved to be more resilient than anticipated.

大部分增幅發生在本季前半段，受市場預期共和黨將在11月大選中大獲全勝的推動。左下方的圖表提供了自 2024 年初以來的聯邦基金期貨市場定價。2024年聯邦基金目標利率下調的次數遠低於年初的預測，因為經濟成長、就業和通膨數據被證明比預期更具彈性。

The market is now pricing in only one or two cuts in 2025, along with a much higher terminal rate over the next few years. The chart in the upper right reflects changes in the short-term funding rates over the past year. During the fourth quarter, funding rates declined in line with monetary policy easing, but repo rates exhibited some volatility at year-end. Positively, the repo market has normalized since year-end, with one-month Agency MBS repo spreads declining modestly from SOFR plus 20 to SOFR plus 15 basis points.

目前市場預計2025年僅降息一、兩次，且未來幾年終端利率將大幅上升。右上角的圖表反映了過去一年短期融資利率的變化。第四季度，融資利率跟隨貨幣政策放鬆下降，但年底回購利率出現一定波動。正面的一面是，回購市場自年底以來已經恢復正常，一個月期機構 MBS 回購利差從 SOFR 加 20 個基點小幅下降至 SOFR 加 15 個基點。

Lastly, the bottom-right chart details the Agency MBS holdings by the Federal Reserve and US banks. Runoff of the Fed's balance sheet continues, with Agency RMBS declining by approximately $15 billion to $20 billion per month. Quantitative tightening is expected to persist at the current pace in the near term, potentially ending in the second half of 2025.

最後，右下方的圖表詳細列出了聯準會和美國銀行的機構MBS持有情況。聯準會資產負債表的縮水仍在繼續，機構RMBS每月減少約150億至200億美元。預計量化緊縮政策短期內將以當前速度持續，並可能在 2025 年下半年結束。

US banks added nearly $50 billion to their portfolios in the second half of 2024, and we expect bank demand for Agency RMBS to continue at a notable pace as deregulation and steeper yield curve provides an attractive environment for deployment of deposits.

2024 年下半年，美國銀行的投資組合增加了近 500 億美元，我們預計，由於放鬆管制和更陡的收益率曲線為存款部署提供了有吸引力的環境，銀行對機構 RMBS 的需求將繼續顯著增長。

Slide 5 provides more detail on the Agency Mortgage market. In the upper-left chart, we show 30-year current coupon performance versus US Treasury since year-end, highlighting the fourth quarter in gray. Current coupons underperformed during the quarter due to a sharp rise in interest rates. This increase in interest rate volatility reduced investor demand for Agency Mortgages.

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，我們展示了自年底以來 30 年期當前息票相對於美國國債的表現，並以灰色突出顯示第四季度。由於利率急劇上升，本季目前票面表現不佳。利率波動性的增加減少了投資者對代理抵押貸款的需求。

In addition, nominal spreads on current coupons were quite volatile in the first half of the fourth quarter, but has stabilized over the last couple of months, due to decreased interest rate volatility and favorable supply-and-demand dynamics. In the chart on the upper right, we show specified pool pay-ups over the past year, which declined since the end of the third quarter as prepayment protection became less valuable as mortgage rates remained elevated.

此外，第四季上半段，現行票面利率名目利差波動較大，但由於利率波動性下降及供需動態有利，過去幾個月已趨於穩定。在右上角的圖表中，我們顯示了過去一年中指定的資金池支付額，由於抵押貸款利率居高不下，提前還款保護的價值降低，該金額自第三季末以來有所下降。

Lastly, as shown in the lower-right chart, funding via the dollar roll market for TBA securities has improved with implied funding rates lower than SOFR across several coupons. While we continue to prefer specified pools over TBA given their more predictable prepayment behavior, the improvement in the dollar roll market for TBA securities has reduced the difference in returns compared to specified pools fund via repo.

最後，如右下圖所示，透過美元展期市場為TBA 證券提供的融資有所改善，多個票面的隱含融資利率低於SOFR。儘管我們仍然青睞指定資金池而非TBA，因為它們的提前還款行為更可預測，但TBA 證券美元展期市場的改善已經縮小了與透過回購方式設立的指定資金池基金相比的收益差異。

Slide 6 details our Agency RMBS investments and summarizes the investment portfolio changes during the quarter. Our Agency RMBS portfolio decreased 11% quarter over quarter as we sold a portion of our lower-coupon specified pools to manage leverage early in the fourth quarter and to fund purchases in Agency CMBS.

投影片 6 詳細介紹了我們的機構 RMBS 投資，並總結了本季的投資組合變化。由於我們在第四季度初出售了一部分低息指定資產池來管理槓桿並為機構 CMBS 的購買提供資金，因此我們的機構 RMBS 投資組合環比下降了 11%。

Overall, we remain focused in higher-coupon Agency RMBS, which should see greater benefit from a decline in interest rate volatility, and are largely insulated from direct exposure to assets held by commercial banks and on the Federal Reserve's balance sheet.

整體而言，我們仍關注票面利率較高的機構 RMBS，這類債券應會從利率波動性下降中獲益更多，而且基本上不會直接受到商業銀行持有的資產和聯準會資產負債表的影響。

We focus our specified pool allocation on prepayment characteristics that are expected to perform well in both premium and discount environments, with our largest concentration in lower loan balance collateral given more predictable prepayments. We increased our allocation to specified pools with low credit score borrowers during the quarter, particularly as we added to higher coupons given the attractive relative value in lower payout stories and higher coupons.

我們將指定資金池分配重點放在預計在溢價和折價環境下均表現良好的預付款特徵上，其中，鑑於預付款更可預測，我們最大的集中度在於較低貸款餘額抵押品。我們在本季度增加了對低信用評分借款人指定資金池的分配，特別是考慮到較低的支出故事和較高的票息的相對價值具有吸引力，我們增加了較高的票息。

Although we anticipate interest rate volatility to remain moderately elevated in the near term, we believe current valuations on production coupon Agency RMBS largely reflect this risk and continue to 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仍將保持適度高位，但我們認為，生產票面利率機構 RMBS 的當前估值在很大程度上反映了這種風險，並繼續代表著有吸引力的投資機會，當前總 ROE 處於中高水平。

Slide 7 provides detail on our Agency CMBS portfolio. We purchased $181 million at the beginning of the fourth quarter, bringing our exposure to the asset class to approximately 15% of our total investment portfolio. We believe Agency CMBS offers many benefits mainly through its prepayment protection and fixed maturities, which reduce our sensitivity to interest rate volatility.

投影片 7 詳細介紹了我們的機構 CMBS 投資組合。我們在第四季初購買了 1.81 億美元，使我們對該資產類別的曝險達到我們總投資組合的約 15%。我們認為，機構 CMBS 主要透過其提前還款保護和固定期限提供諸多好處，這降低了我們對利率波動的敏感度。

Gross ROEs on our new purchases were in the low double digits. And we have been disciplined on adding exposure only when the relative value between Agency CMBS and Agency RMBS accurately reflects their different risks. Financing capacity has been robust as we have been able to finance our purchases with multiple counterparties at attractive levels.

我們新購買資產的總淨資產收益率處於兩位數的低點。並且，只有當機構 CMBS 和機構 RMBS 之間的相對價值準確反映其不同風險時，我們才會增加風險敞口。由於我們能夠以具有吸引力的水平向多個交易對手提供採購資金，因此融資能力一直很強勁。

We will continue to monitor the sector for opportunities to increase our allocation as they become available, recognizing the overall benefits of the portfolio as the sector diversifies risks associated with an Agency RMBS portfolio. Our Agency CMO allocation is detailed alongside our remaining credit investments on slide 8.

我們將繼續監控該行業，尋找增加配置的機會，並認識到隨著該行業分散與機構 RMBS 投資組合相關的風險，投資組合的整體利益。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第 8 頁的幻燈片上。

Our allocation to both agency interest-only and credit securities remain largely unchanged, with $71 million allocated to Agency IO and $17 million allocated to credit at quarter-end. Although we anticipate limited near-term price appreciation in these investments, we believe they provide attractive yields for unlevered holdings, with returns in the high single digits.

我們基本上對機構僅付息證券和信用證券的分配不變，季末分配給機構僅付息證券的資金為 7,100 萬美元，分配給信用證券的資金為 1,700 萬美元。儘管我們預計這些投資的短期價格升值有限，但我們相信它們將為無槓桿持有提供有吸引力的收益，回報率達到高個位數。

Slide 9 details our funding and hedge book at quarter-end. Repurchase agreements collateralized by our Agency RMBS and Agency CMBS investments declined from $5.2 billion to $4.9 billion, consistent with a modest decrease in our total assets, while the total notional of our hedges increased from $4.3 billion to $4.7 billion.

投影片 9 詳細介紹了我們季度末的融資和對沖帳簿。由我們的機構 RMBS 和機構 CMBS 投資抵押的回購協議從 52 億美元下降到 49 億美元，與我們的總資產的小幅下降一致，而我們的對沖總名義金額從 43 億美元增加到 47 億美元。

The decrease in our repo balance and increase in our hedge notional resulted in a higher hedge ratio for the quarter, from 83% to 95%, reflecting our expectation of fewer cuts in the Fed funds target rate in 2025. The table on the right provides further detail on our hedges at year-end.

我們的回購餘額減少和對沖名目金額增加，導致本季的對沖比率從 83% 上升至 95%，這反映了我們對 2025 年聯邦基金目標利率下調次數減少的預期。右邊的表格提供了我們年末對沖的更多詳細資訊。

We continue to increase our hedge exposures and Treasury futures during the fourth quarter as we sought to decrease our exposure to swap spreads. At year-end, our notional balance of Treasury futures was 30% of the total hedge notional balance, up from 11% at the end of the third quarter.

我們在第四季繼續增加對沖敞口和國債期貨，以試圖降低掉期利差敞口。截至年底，我們的國債期貨名目餘額佔總對沖名目餘額的 30%，高於第三季末的 11%。

Slide 10 provides more detail on our capital structure and highlights the improvements made in the fourth quarter subsequent to the redemption of our series B preferred stock. The redemption was funded largely via an increase in repurchase agreements, which have a lower cost of capital than our series B preferred stock. Further improvement in the capital structure remains a focus of ours as we seek to reduce our cost of capital and improve shareholder returns.

幻燈片 10 提供了有關我們的資本結構的更多詳細信息，並重點介紹了我們在贖回 B 系列優先股後第四季度取得的改進。贖回資金主要透過增加回購協議來籌集，其資本成本低於我們的 B 系列優先股。我們尋求降低資本成本並提高股東回報，進一步改善資本結構仍然是我們的關注重點。

To conclude our prepared remarks, financial markets were quite volatile in the fourth quarter as investors began to price in greater monetary and fiscal policy uncertainty. But our focus on higher-coupon Agency RMBS and increased allocation to Agency CMBS mitigated much of this impact and resulted in an economic return of negative 0.5%.

總結我們的準備好的評論，由於投資者開始考慮更大的貨幣和財政政策不確定性，第四季度金融市場相當動盪。但我們專注於票面利率較高的機構 RMBS，並增加對機構 CMBS 的配置，從而減輕了大部分影響，並導致經濟回報為負 0.5%。

Positively, this volatility has dissipated thus far in 2025, providing a supportive backdrop for our investments and resulting in an increase in our book value of approximately 2%, excluding the dividend accrual as of last Friday. We believe IVR is well positioned to navigate current mortgage market volatility, given our moderate leverage and robust liquidity. We continue to selectively capitalize on historically attractive Agency RMBS spreads, and believe the sector is poised to perform well as interest rate volatility continues to moderate.

積極的一面是，這種波動性在 2025 年迄今已經消散，為我們的投資提供了支持性背景，並導致我們的賬面價值增加約 2%（不包括截至上週五的股息應計金額）。我們相信，鑑於我們適中的槓桿率和強勁的流動性，IVR 能夠很好地應對當前抵押貸款市場的波動。我們繼續有選擇地利用具有歷史吸引力的機構 RMBS 利差，並相信隨著利率波動持續緩和，該行業將表現良好。

Our liquidity position will provide substantial cushion for further potential market stress, while also providing capital to deploy into our target assets as the investment environment improves. In addition, we believe further easing of monetary policy will lead to a steeper yield curve and decline in interest rate volatility, both of which provide a supportive backdrop for Agency Mortgages as they improve demand from commercial banks, overseas investors, money managers, and REITs.

我們的流動性狀況將為進一步的潛在市場壓力提供強大的緩衝，同時隨著投資環境的改善，我們也將提供資本部署到目標資產。此外，我們認為進一步放鬆貨幣政策將導致殖利率曲線更陡峭、利率波動性下降，這兩者都為機構抵押貸款提供了支持背景，因為它們提高了商業銀行、海外投資者、基金經理和房地產投資信託基金的需求。

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

感謝您對 Invesco Mortgage Capital 的持續支持，現在我們將開設問答熱線。

(Operator Instructions) Doug Harter, UBS.

(操作員指示) Doug Harter，瑞銀。

Thanks. Hoping you could talk about how you're viewing kind of the risk-reward trade-off of Agency RMBS and Agency CMBS, especially in light of the current dividend level.

謝謝。希望您能談談您如何看待機構 RMBS 和機構 CMBS 的風險回報權衡，尤其是考慮到目前的股息水準。

Yeah, hey, Doug. It's Brian. Yeah, we are -- if you go back to slide 7, you can see when spreads are on Agency CMBS are in kind of high 50s, 60 area, that tends to be relatively attractive versus where mortgages were.

是的，嘿，道格。我是布萊恩。是的，如果你回到第 7 張投影片，你會看到，當機構 CMBS 的利差處於 50 多到 60 多的區間時，與抵押貸款相比，這往往具有相對吸引力。

So we did add most of our Agency CMBS exposure kind of at the beginning of the fourth quarter. But as spreads tightened from there, it became a bit less attractive, particularly as Agency Mortgages were underperforming during that time. That difference has certainly compressed here in the first quarter. Agency CMBS spreads are just a touch wider, while Agency Mortgages have performed pretty well.

因此，我們確實在第四季初增加了大部分機構 CMBS 投資。但隨著利差收窄，它的吸引力就沒那麼大了，尤其是當代理抵押貸款在這段時間表現不佳的時候。第一季度，這一差距確實已經縮小。機構 CMBS 利差略大一些，而機構抵押貸款表現相當不錯。

So I think the benefits that Agency CMBS provides to our portfolio are still supportive. But given that volatility has declined pretty notably here so far in the first quarter, the lean is certainly towards Agency RMBS at the current time.

所以我認為機構 CMBS 為我們的投資組合帶來的好處仍然是有支持的。但考慮到第一季迄今為止波動性已明顯下降，目前肯定傾向於機構 RMBS。

Great. And I guess, with that blend and kind of where all spreads are, can you just talk about your comfort in the current dividend level?

偉大的。我想，考慮到這種混合以及所有利差的情況，您能談談您對當前股息水準的滿意程度嗎？

Yeah, Doug, it's John. Hi. Yeah, I mean, obviously, our Board recommends it -- or we recommend our dividend; our Board approves it. That will happen over the next month. But I mean, we look at a number of factors. First and foremost is where our current and near-term to medium-term projected ROEs are on investments. So I mean, that's the first thing.

是的，道格，我是約翰。你好。是的，我的意思是，顯然我們的董事會建議這樣做——或者我們建議派發股息；我們的董事會批准了它。這將在下個月發生。但我的意思是，我們會考慮很多因素。最重要的是我們目前以及近期至中期預計的投資淨資產收益率 (ROE) 是多少。所以我的意思是，這是第一件事。

We also look at where average sort of ROEs have been more historically over a longer timeframe, and then also look at sort of the competitive environment where dividend yields are for that. So I mean, those are all things we're going to be taking a look at as we move over the course of the next month.

我們也會觀察較長時期平均 ROE 的歷史變化，然後觀察股息殖利率的競爭環境。所以我的意思是，這些都是我們下個月要關注的事情。

But to Brian's point, I think we are pretty selective about where we add Agency CMBS. So we're not adding in much, much lower than where we're seeing Agency RMBS. And it's obviously the ROEs are a little bit lower because they don't have a convexity risk, so they should be a little bit lower. But that's kind of what we're looking at.

但正如 Brian 所說，我認為我們在添加 Agency CMBS 的地方非常有選擇性。因此，我們增加的金額不會比我們看到的機構 RMBS 金額低很多。顯然，ROE 會稍微低一些，因為它們沒有凸性風險，所以應該稍微低一些。但這正是我們正在關注的。

Great. I appreciate the answers.

偉大的。我很感激您的回答。

Thank you.

謝謝。

Trevor Cranston, Citizens JMP.

特雷弗·克蘭斯頓 (Trevor Cranston)，公民 JMP。

Hey, thanks. On the changes you made to the hedge book this quarter, in the early part of this year, so far, there's been a bit of a reversal in swap spreads.

嘿，謝謝。關於您今年年初本季對對沖帳簿所做的更改，到目前為止，掉期利差出現了一些逆轉。

Can you sort of generally talk about how you guys are thinking about swap spreads going forward, and if you would foresee making any incremental changes to the mix of the hedge position going forward? Thanks.

您能否大致談談您對未來掉期利差的看法，以及您是否預見到未來對沖頭寸組合將做出任何漸進式改變？謝謝。

Yeah. Thanks, Trevor. It's Brian. Yeah, certainly, there are trade-offs between the two. Given that swap spreads are currently negative, the hedging with them is a bit cheaper. So ROEs are better when you hedge with swaps. But certainly, volatility that we've seen in swap spreads over the past year or two adds more volatility to that hedging as well.

是的。謝謝，特雷弗。我是布萊恩。是的，當然，兩者之間存在著權衡。鑑於掉期利差目前為負，利用它們進行避險會稍微便宜一些。因此，當你使用掉期進行對沖時，ROE 會更好。但可以肯定的是，過去一兩年間，我們看到的掉期利差波動也增加了避險的波動性。

So like I said, at the end of 2024, we were at 30% Treasury futures. I think that's probably the high end given the current environment of where we'd like to be. We have seen swap spreads widen so far in 2025. It's -- swap spreads did tighten a lot in 2024, just given the expectation that Treasury issuance would be substantial as we move forward here.

所以就像我說的，到 2024 年底，我們的國債期貨比例是 30%。我認為，考慮到我們目前的環境，這可能是最高目標。到 2025 年為止，我們已經看到掉期利差擴大。鑑於預期隨著我們向前發展，國債發行量將大幅增加，因此 2024 年掉期利差確實大幅收窄。

There's some uncertainty there, I think. A lot of things that have happened so far in 2025 is just that the new administration is maybe a little bit slower to roll out some of the things that were once feared. So you've seen volatility come down. Swap spreads have widened a bit.

我認為，其中存在一些不確定性。2025 年迄今為止發生的許多事情只是新政府在推出一些人們曾經擔心的事情方面可能會稍微慢一些。因此你已經看到波動性下降了。掉期利差略為擴大。

So there are trade-offs. Like I said, I think we would target probably 20% to 30% of Treasury futures in the current environment. So we're right in that range currently. So as we move forward, I think we'll still be monitoring swap spreads, obviously. But again, where they are now, I think we're pretty comfortable with where we are.

因此，需要權衡。正如我所說，我認為在當前環境下，我們的目標是國債期貨大概佔20%到30%。因此我們目前就處於這個範圍內。因此，隨著我們繼續前進，我認為我們顯然仍會監控掉期利差。但是，就他們現在的狀況而言，我認為我們對自己所處的狀況感到相當滿意。

Okay. Got it. Appreciate the comments. Thank you.

好的。知道了。感謝您的評論。謝謝。

(Operator Instructions) Jason Stewart, Janney.

（操作員指示）Jason Stewart，Janney。

Hey, good morning. Thanks. I wanted to dig in a little bit more into your cautious outlook on Agency Mortgage. And maybe if you could talk a little bit more about whether that's a rate-driven outlook or if there's a component of GSE reform baked into that cautious outlook? And maybe on the latter, if you do have a view on what's priced into the basis in terms of GSE reform risk, that would be helpful.

嘿，早安。謝謝。我想進一步深入了解您對代理抵押貸款的謹慎看法。也許您可以進一步談談，這是否是一種利率驅動的前景，或者是否有政府支持企業改革的成分融入這種謹慎的前景中？或許就後者而言，如果您確實對政府支持企業改革風險的基礎定價有所了解，那將會很有幫助。

Hey, thanks, Jason. It's Brian. Yeah, I'll tackle GSE reform right out the bat here. I think the market has not reacted at all to the headlines so far that we've seen on that topic. Mortgage spreads have tightened so that -- to the extent that there's any concern out there, it doesn't seem to be reflected.

嘿，謝謝，傑森。我是布萊恩。是的，我將立即著手解決 GSE 改革問題。我認為到目前為止市場對我們看到的有關該主題的頭條新聞還沒有做出任何反應。抵押貸款利差已經收窄，因此，即使外界擔心，但似乎並未反映出來。

I think that's notable because the market is essentially saying that the only thing that would really materially impact Agency Mortgage spreads would be a loss of the implicit or explicit guarantee on mortgages. And that remains an extremely remote scenario at this point. So I think spreads have responded accordingly by not pricing in any real concern about that at this current time.

我認為這是值得注意的，因為市場基本上表明，唯一真正對機構抵押貸款利差產生重大影響的因素是抵押貸款隱性或顯性擔保的損失。而就目前而言，這種情況仍然極為遙遠。因此我認為利差已經做出了相應的反應，目前還沒有反映出對此的任何實際擔憂。

Our cautiousness is -- I mean, like I said, volatility has come down quite a bit in 2025. Mortgage spreads have tightened. So I think there's still a fair amount of monetary and fiscal policy uncertainty out there, trade policy uncertainty.

我們的謹慎是 - 我的意思是，就像我說的，2025 年的波動性已經下降了不少。抵押貸款利差已經收窄。因此我認為貨幣和財政政策以及貿易政策仍然存在相當大的不確定性。

So I think we're just -- with leverage to our common right around 9%. I think we're comfortable in that situation where spreads are attractive still. We can still earn attractive ROEs, like I said, in the mid- to high teens at that level. So I think we're kind of -- we're not overly cautious.

所以我認為我們的槓桿率只是達到 9% 左右。我認為我們對利差仍然具有吸引力的情況感到滿意。正如我所說，我們仍然可以獲得具有吸引力的 ROE，在那個水平上達到 15% 左右。所以我認為我們不是過於謹慎。

We still think mortgages will perform well through the year. But just given where we are right now, I think mortgages have had a pretty good start to the year. So it's just a matter of whether volatility will continue to trend lower or if it kind of pauses and goes the other way.

我們仍然認為，今年抵押貸款市場將表現良好。但考慮到我們目前的狀況，我認為今年的抵押貸款市場開局相當不錯。所以，問題只是波動性是否會持續呈下降趨勢，還是會暫停並朝另一個方向發展。

Got it. Okay. That's helpful. And then you referenced on the refunding of the series B, moving that to repo. I mean, I guess, the question is a big picture question.

知道了。好的。這很有幫助。然後您提到了 B 系列的再融資，將其轉移到回購。我的意思是，我猜，這個問題是一個大問題。

Is the right way to look at -- or how are you looking at preferred today as a part of the capital structure? Is it more permanent capital in your mind? Should we be looking at that as leverage to preferred plus common? Has that shifted the way that you look at the capital structure? Has it shifted over the last year?

正確的看待方式是否正確—或者您如何看待當今的優先股作為資本結構的一部分？在您的心目中它是更永久的資本嗎？我們是否應該將其視為優先股加普通股的槓桿？這是否改變了您看待資本結構的方式？過去一年有變化嗎？

Hey, it's John. Yeah, no, I don't think it's shifted. I mean, we're still -- I think if you look at us historically, our portfolio mix was very different when we had -- when we put on the preferreds. I mean, we had -- there was time we had loans involved. We had securitizations, different asset classes. They made a little bit more sense having preferreds.

嘿，我是約翰。是的，不，我認為它沒有轉移。我的意思是，我們仍然——如果你回顧我們的歷史，你會發現當我們持有優先股時，我們的投資組合組合是非常不同的。我的意思是，我們曾經有過貸款的情況。我們有證券化，不同的資產類別。擁有優先權更有意義。

And then post-COVID, it just became too much percentage of our capital structure. So I think we're still targeting -- we'd like to get back to the 20%-ish range. I think most of our peers are around that range or -- if not less, even at this point.

而在疫情過後，它在我們的資本結構中所佔的比例就變得太高了。所以我認為我們的目標是仍然回到 20% 左右的範圍。我認為，我們的大多數同行都處於這個範圍之內，或者 — — 如果不是更低的話，即使在這個範圍內。

So we're still targeting that. So that will be a combination of either growth through ATM or equity issuance or -- and/or continuing to chip away at repurchasing the preferred series Cs.

所以我們仍以此為目標。因此，這將是透過 ATM 或股票發行實現成長或—和/或繼續削減回購優先股 C 系列的組合。

Okay. All right. Thanks, John. Thanks, Brian.

好的。好的。謝謝，約翰。謝謝，布萊恩。

Thanks.

謝謝。

Thank you. At this time, we have no further questions. Speakers, I'll hand the call back to you.

謝謝。目前，我們沒有其他問題。各位議長，我將把電話轉回給您。

Great. Thank you very much, operator, and thank you, everybody, for joining the call today. Have a great Friday.

偉大的。非常感謝接線生，也感謝大家今天參加電話會議。祝您星期五愉快。

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。您現在可以斷開連線。