Invesco Mortgage Capital Inc (IVR) 2025 Q1 法說會逐字稿

Welcome to the Invesco Mortgage Capital First Quarter 2025 Earnings Call. All participants will be in a listen-only mode until the question-and-answer session. (Operator Instructions) As a reminder, this call is being recorded.

歡迎參加 Invesco Mortgage Capital 2025 年第一季財報電話會議。所有參與者將處於只聽模式，直到問答環節。（操作員指示）提醒一下，此通話正在被錄音。

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。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. The press release and presentation are available on our website, invescomortgagecapital.com. This information can be found by going to the investor relations section of the website.

謝謝接線員，也謝謝各位參加 Invesco Mortgage Capital 季度財報電話會議。除了今天的新聞稿之外，我們還提供了一份演示文稿，涵蓋了我們今天計劃討論的主題。新聞稿和簡報可在我們的網站 invescomortgagecapital.com 上查閱。您可造訪網站的投資者關係部分以取得相關資訊。

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.

我們今天的演示將包括前瞻性陳述和某些非公認會計準則財務指標。請查看簡報投影片 2 中有關這些報表和措施的揭露以及附錄中與 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 webcasts are located on our website. Again, welcome. Thank you for joining us today. I'll now turn the call over to Invesco Mortgage Capital's CEO, John Anzalone. John?

最後，Invesco Mortgage Capital 不對第三方提供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。再次歡迎您。感謝您今天加入我們。現在我將把電話轉給 Invesco Mortgage Capital 的執行長 John Anzalone。約翰？

Good morning, and welcome to Invesco Mortgage Capital's first 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 are President, Kevin Collins; our COO, David Lyle; and our CFO, Mark Gregson.

早安，歡迎參加 Invesco Mortgage Capital 第一季財報電話會議。在將電話轉交給我們的首席投資長 Brian Norris 更詳細地討論我們的投資組合之前，我將提供一些簡短的評論。今天上午參加電話會議問答的還有總裁 Kevin Collins、營運長 David Lyle 和財務長 Mark Gregson。

The first quarter of 2025 was characterized by tightening financial conditions as both equity markets and credit spreads reacted negatively to anticipated U.S. fiscal and trade policies. Although inflation measures stabilized during the quarter, investors increased expectations for future inflation given concerns about the potential impact of U.S. trade-related policies.

2025 年第一季的特點是金融環境收緊，因為股票市場和信貸利差對預期的美國財政和貿易政策做出了負面反應。儘管本季通膨指標趨於穩定，但鑑於對美國貿易相關政策的潛在影響的擔憂，投資者提高了對未來通膨的預期。

As inflation forecasts were increasing, softer employment data and fears the combination of potential trade wars and fiscal austerity would contribute to an economic slowdown led to a repricing of the market's expectations of future monetary policy.

隨著通膨預期上升、就業數據疲軟以及對潛在貿易戰和財政緊縮政策相結合將導致經濟放緩的擔憂，導致市場對未來貨幣政策的預期重新定價。

The Fed funds futures market as of quarter end reflected a further 75 basis point reduction at the target rate through the end of the year. Interest rates dropped across the maturity spectrum during the quarter, while short-dated interest rate volatility increased, reflecting the market shifting expectations of monetary and trade policy, while longer-dated volatility declined modestly.

截至本季末，聯邦基金期貨市場反映到年底目標利率將進一步下調 75 個基點。本季度，各類期限的利率均有所下降，短期利率波動性有所上升，反映了市場對貨幣和貿易政策預期的變化，而長期利率波動性則小幅下降。

Despite weaker market sentiment, agency mortgages performance was largely consistent with treasuries with higher coupons modestly outperforming hedges as longer-dated interest rate volatility trended lower. Supply and demand technicals for higher coupon agency mortgages were supportive as originations remain subdued given slower housing seasonals and elevated mortgage rates, while banks, money managers and mortgage REITs net added exposure during the quarter.

儘管市場情緒較弱，但機構抵押貸款的表現與國債表現基本一致，由於長期利率波動性呈下降趨勢，票面利率較高的國債表現略優於對沖債券。由於房屋季節性放緩和抵押貸款利率上升，貸款發放量依然低迷，而銀行、基金經理和抵押貸款房地產投資信託基金在本季度淨增加了敞口，因此高息票機構抵押貸款的供需技術面起到了支撐作用。

Prepayment speeds remained at low levels given limited purchase and refinancing activity. However, a notable decline in mortgage rates in the latter half of the quarter should result in faster prepayment speeds in the coming months as the decline coincided with the seasonalised increase in housing activity. Premiums on specified pool collateral were largely unchanged during the quarter as the [move] lower in mortgage rates led to support for prepayment protection.

由於購買和再融資活動有限，預付款速度仍處於較低水準。不過，由於本季後半段抵押貸款利率的顯著下降與住房活動的季節性增長相吻合，因此未來幾個月的預付款速度應該會加快。由於抵押貸款利率下降導致對提前還款保護的支持，本季指定池抵押品的溢價基本上保持不變。

Additionally, agency CMBS risk premiums increased during the quarter, reflecting weakness in broader fixed income markets. In this environment, our portfolio produced a positive economic return for the quarter of 2.6%, consisting of our $0.34 dividend and a modest $0.11 decline in book value to $8.81. Following additional trade policy announcements on April 2nd, financial conditions tightened further, and investor inflation expectations declined as concerns about an economic slowdown outweighed concerns about potentially higher prices.

此外，本季機構 CMBS 風險溢價有所增加，反映出更廣泛的固定收益市場疲軟。在此環境下，我們的投資組合本季實現了2.6%的正經濟回報，其中包括0.34美元的股息以及0.11美元的小幅帳面價值下降至8.81美元。 4月2日公佈更多貿易政策後，金融環境進一步收緊，投資者通膨預期下降，因為對經濟放緩的擔憂超過了對潛在物價上漲的擔憂。

Agency mortgages significantly underperformed treasuries as the initial reaction to the announcement saw interest rate volatility spike sharply higher and risk assets sell off across both fixed income and equities as markets priced in potentially slower economic growth.

機構抵押貸款的表現明顯遜於國債，因為市場對這一消息的最初反應是利率波動性急劇上升，固定收益和股票風險資產遭到拋售，因為市場已經消化了經濟成長可能放緩的影響。

Further, hedge funds were selling U.S. treasuries and receiving swaps due to an unwind of a previous trade where they purchased treasuries and hedge them with swaps. This caused swap spreads to move sharply tighter, negatively impacting book value.

此外，對沖基金正在出售美國國債並獲得掉期合約，這是由於他們之前購買國債並用掉期合約進行對沖的交易已經平倉。這導致掉期利差急劇收窄，對帳面價值產生負面影響。

Given this challenging environment, our book value per common share declined in April, and our estimate for April 30th is between $7.74 and $8.06. Given elevated interest rate volatility and continued policy uncertainty, we remain cautious on agency mortgages in the near-term.

鑑於當前充滿挑戰的環境，我們4月份每股普通股帳面價值下降，我們預計4月30日的帳面價值將在7.74美元至8.06美元之間。鑑於利率波動加劇且政策不確定性持續存在，我們近期對機構抵押貸款持謹慎態度。

However, our long-term outlook is favorable as we expect investor demand to improve in higher coupons given attractive valuations and eventual decline in interest rate volatility and a steeper yield curve.

然而，我們的長期前景是樂觀的，因為我們預計，鑑於估值具有吸引力、利率波動最終下降以及殖利率曲線趨陡，投資者對更高票息的需求將會改善。

Lastly, while Agency CMBS risk premiums may remain elevated, limited issuance, strong fundamental performance and stable cash flow profile should provide favorable support for the sector.

最後，雖然機構 CMBS 風險溢價可能仍然較高，但有限的發行量、強勁的基本面表現和穩定的現金流狀況應能為該行業提供有利的支持。

Now, I'll turn the call over to Brian to provide more details.

現在，我將把電話轉給 Brian 提供更多詳細資訊。

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 and agency mortgage markets over the past year. As shown on the chart in the upper left, during the first quarter, U.S. treasury yields declined 20 basis points to 40 basis points across the yield curve with yields on shorter maturities falling more than longer maturities.

謝謝，約翰，各位聽眾早安。我將從幻燈片 4 開始，它概述了過去一年的利率和機構抵押貸款市場。如左上圖所示，第一季度，美國公債殖利率曲線下跌了 20 個基點至 40 個基點，短期公債殖利率的跌幅大於長期公債殖利率的跌幅。

The decline was driven largely by concerns over the economic growth prospects in the U.S. as fiscal and trade policy was rapidly adjusting under the new administration. The yield curve continued to steepen in April as U.S. economic growth expectations diminished further amidst growing trade policy uncertainty following Liberation Day on April 2nd.

下降的主要原因是，在新政府的財政和貿易政策快速調整的情況下，人們對美國經濟成長前景感到擔憂。4月2日解放日後，隨著貿易政策不確定性加劇，美國經濟成長預期進一步下降，殖利率曲線持續趨陡。

As depicted on the chart on the bottom left, the Fed funds futures market is now pricing in deeper cuts over the next two years with the target rate expected to be reduced 3 times to 4 times in 2025 and bottoming near 3% in 2026. As a result, futures markets are now pricing in a greater number of interest rate cuts than previously expected. At the start of the year, only one or two cuts were anticipated in 2025 with the target rate declining to just 3.75% in 2026.

如左下角的圖表所示，聯邦基金期貨市場目前預期未來兩年將進一步降息，預計目標利率將在 2025 年下調 3 至 4 次，並在 2026 年觸底至 3% 附近。因此，期貨市場目前預期的降息次數將超過先前的預期。今年年初，預計 2025 年僅降息一到兩次，2026 年目標利率將降至 3.75%。

The chart in the upper right reflects changes in short-term funding rates over the past year. Positively, the funding market for our assets has been stable since year-end, with haircuts unchanged and one-month repo spreads remaining between SOFR plus 15 basis points to 18 basis points.

右上角的圖表反映了過去一年短期融資利率的變化。積極的一面是，自年底以來，我們資產的融資市場一直保持穩定，折扣率保持不變，一個月回購利差保持在 SOFR 加 15 個基點至 18 個基點之間。

Lastly, the bottom right chart details Agency MBS Holdings by the Federal Reserve and U.S. banks. As announced by the FOMC at their March meeting, runoff of the Fed's balance sheet continues but at a reduced pace starting in April, with runoff of the treasury portfolio declining from $25 billion to $5 billion per month and the agency mortgage runoff cap remaining unchanged at $35 billion per month. Agency mortgage runoff has been averaging approximately $15 billion per month in recent months. So, the reduction in treasury runoff essentially reduces the overall monthly decline of the balance sheet from $40 billion to $20 billion.

最後，右下角的圖表詳細顯示了聯準會和美國銀行的機構 MBS 持有情況。正如聯邦公開市場委員會在 3 月會議上宣布的那樣，聯準會資產負債表縮減將繼續，但從 4 月開始速度有所減緩，其中國債投資組合縮減從每月 250 億美元下降至 50 億美元，機構抵押貸款縮減上限保持不變，仍為每月 350 億美元。近幾個月來，機構抵押貸款流失量平均每月約 150 億美元。因此，國庫資金流失的減少實際上將資產負債表的每月整體下降幅度從 400 億美元減少到 200 億美元。

Given the reduced pace, quantitative tightening is now expected to conclude in 2026 instead of 2025. U.S. banks added marginally to their portfolios in the first quarter, but we expect demand for Agency RMBS to increase notably in the second half of the year as deregulation, a slowing economy and a steeper yield curve provides an attractive environment for deployment of deposits.

鑑於步伐放緩，量化緊縮預計將於 2026 年而不是 2025 年結束。美國銀行在第一季略微增加了其投資組合，但我們預計，由於放鬆管制、經濟放緩和收益率曲線趨陡為存款部署提供了有利的環境，下半年對機構RMBS的需求將顯著增加。

Slide 5 provides more detail on the agency mortgage market. In the upper left chart, we show 30-year current coupon performance versus U.S. treasuries over the past year, highlighting the first quarter in gray. Although lower coupons underperformed, higher coupons modestly outperformed during the quarter given a favorable supply and demand environment as well as a trend lower in long-term interest rate volatility.

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，我們展示了過去一年 30 年期當前票面利率與美國國債的對比情況，其中第一季以灰色突出顯示。儘管低息票債券表現不佳，但由於供需環境良好以及長期利率波動趨勢下降，本季高息票債券表現略勝一籌。

The sector underperformed significantly in the first half of April, however, as interest rate volatility spiked higher after Liberation Day. This increase in interest rate volatility reduced investor demand for agency mortgages and the sharp underperformance in risk assets led to a substantial amount of selling in the sector as money managers sold agency mortgage pools for short settle to fund redemptions and rotate into other sectors.

然而，由於解放日之後利率波動性急劇上升，該行業在 4 月上半月表現明顯不佳。利率波動性的增加減少了投資者對機構抵押貸款的需求，風險資產的大幅表現不佳導致該領域出現大量拋售，因為基金經理出售機構抵押貸款池進行短期結算，以資助贖回並轉向其他領域。

The impact of these sales can be seen in the chart on the upper right, which shows specified pool pay-ups over the past year. Specified pool pay-ups declined notably in early April as the need for cash settle led to substantial selling in pools.

右上角的圖表顯示了這些銷售的影響，該圖表顯示了過去一年指定資金池的支付情況。由於現金結算需求導致池子大量拋售，4 月初指定池子支付額顯著下降。

Lastly, as shown in the lower right chart, funding via the dollar roll market for TBA securities has been attractive in the conventional 6.5% coupon, but largely unattractive elsewhere. Our rotation into 6.5% coupons during the first quarter capitalized on the attractiveness of the roll before rotating into specified pools in March. While we continue to prefer specified pools over TBA given their more predictable prepayment behavior, we will continue to take advantage of attractive alternatives in the dollar roll market as they become available.

最後，如右下圖所示，透過美元展期市場為 TBA 證券進行的融資在傳統的 6.5% 票面利率下頗具吸引力，但在其他利率下則基本上沒有吸引力。我們在第一季輪換為 6.5% 的息票，利用了滾動的吸引力，然後在 3 月輪換到指定的池子裡。儘管我們仍然更喜歡指定池而不是 TBA，因為它們具有更可預測的預付款行為，但我們將繼續利用美元滾動市場上可用的有吸引力的替代方案。

Slide 6 details our agency mortgage investments and summarizes investment portfolio changes during the quarter. Our agency RMBS portfolio increased 9.5% quarter-over-quarter as we invested proceeds from ATM issuance into 30-year 5% through 6.5% coupons. In addition, we rotated our remaining allocation from the 4% coupon into higher coupons as the relative value between coupons in the middle of the coupon stack and higher coupons became stretched.

投影片 6 詳細介紹了我們的機構抵押貸款投資，並總結了本季的投資組合變化。由於我們將 ATM 發行所得投資於 30 年期 5% 至 6.5% 的息票，我們的機構 RMBS 投資組合環比增長 9.5%。此外，由於優惠券堆疊中間的優惠券和更高優惠券之間的相對價值變得緊張，我們將剩餘的分配從 4％ 優惠券轉換為更高優惠券。

Overall, we remain focused in higher coupon agency RMBS, which should see greater benefit from a decline in interest rate volatility and demand from banks, overseas investors and mortgage REITs. We continue to 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.

整體而言，我們仍關注票面利率較高的機構RMBS，這類債券應會因利率波動性下降以及銀行、海外投資者和抵押貸款房地產投資信託基金的需求而受益更大。我們繼續將指定的資金池配置重點放在預付款特徵上，預計這些特徵在溢價和折扣環境中都將表現良好，並且由於預付款更可預測，我們最大的集中度在於較低的貸款餘額抵押品。

We increased our allocation to specified pools consisting of loans with low credit score borrowers during the quarter as the potential slowdown in economic activity should lead to slower prepayments from credit constrained borrowers.

由於經濟活動的潛在放緩將導致信貸受限的借款人提前還款速度放緩，因此我們在本季度增加了由低信用評分借款人貸款組成的指定資金池的分配。

Although we anticipate interest rate volatility to remain elevated and are cautious on the sector overall in the near-term, we believe levered gross ROEs in the low 20% represent a very attractive entry point for investors with longer investment horizons.

儘管我們預計利率波動將保持高位，並且對短期內整個行業持謹慎態度，但我們認為，20% 以下的槓桿總淨資產收益率對於投資期限較長的投資者來說是一個非常有吸引力的切入點。

Slide 7 provides detail on our agency CMBS portfolio. We purchased just $52 million at the beginning of the first quarter as our exposure to the sector remained at 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。我們在第一季初只購買了 5,200 萬美元，因為我們對該行業的投資仍占我們總投資組合的約 15%。我們認為機構 CMBS 有許多好處，主要是透過其提前還款保護和固定期限，這降低了我們對利率波動的敏感度。

Levered 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.

我們新購買資產的槓桿總淨資產收益率處於較低的兩位數，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。

Financing capacity has been robust as we have been able to finance our purchases with multiple counterparties at attractive levels. We will continue to monitor the sector for opportunities to increase our allocation as they become available, recognizing the overall benefits to the portfolio as the sector diversifies risks associated with an agency RMBS portfolio.

由於我們能夠以有吸引力的水平向多個交易對手提供採購融資，因此融資能力一直很強勁。我們將繼續監控該行業，尋找增加配置的機會，因為該行業分散了與機構 RMBS 投資組合相關的風險，從而認識到投資組合的整體利益。

Slide 8 detailed our funding and hedging book at quarter end. Repurchase agreements collateralized by our agency RMBS and agency CMBS investments increased from $4.9 billion to $5.4 billion, consistent with the increase in our total assets, while the total notional of our hedges declined from $4.7 billion to $4.5 billion.

投影片 8 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49億美元增加到54億美元，與我們的總資產的增長一致，而我們的對沖名目總額從47億美元下降到45億美元。

The increase in our repo balance and decrease in hedge notional resulted in a lower hedge ratio for the quarter from 95% to 85%, reflecting our expectation of a slowing economy and more substantial cuts in the Fed funds target rate in 2025.

我們的回購餘額增加和對沖名目金額減少導致本季的對沖比率從 95％ 降至 85％，這反映了我們對經濟放緩和 2025 年聯邦基金目標利率大幅下調的預期。

The table on the right provides further detail on our hedges at year-end. The composition of our hedge portfolio shifted modestly towards interest rate swaps during the quarter. On a notional basis, our allocation to swaps increased from 70% at year-end to 80% at the end of March, while on a dollar duration basis, the allocation shifted from roughly 50% to 70%.

右側的表格提供了我們年底對沖的更多詳細資訊。本季度，我們的對沖投資組合的組成略微向利率互換轉變。以名目基礎計算，我們對掉期的配置從年底的 70% 增加到 3 月底的 80%，而以美元久期計算，配置從大約 50% 變為 70%。

Slide 9 provides an update on the portfolio as of April 30th. As previously discussed, the liberation day tariff announcements resulted in substantial market volatility in early April as risk assets underperformed sharply and interest rate volatility spiked higher.

幻燈片 9 提供了截至 4 月 30 日的投資組合最新情況。如前所述，解放日關稅公告導致 4 月初市場大幅波動，風險資產表現大幅不佳，利率波動性大幅上升。

Agency mortgages notably underperformed treasuries during this time as money managers liquidated positions to fund redemptions and asset rotations. In addition, swap spreads tightened significantly as hedge funds were forced to unwind carry trades amidst increased volatility, further negatively impacting our book value. We sought to reduce risk and maintain ample liquidity by selling assets to bring our leverage ratio back down to the mid-6s from 7.1 times debt to equity at the end of March.

在此期間，機構抵押貸款的表現明顯遜於國債，因為資金經理清算頭寸以資助贖回和資產輪換。此外，由於對沖基金在波動性加劇的情況下被迫平倉套利交易，掉期利差大幅收窄，進一步對我們的帳面價值產生負面影響。我們試圖透過出售資產來降低風險並保持充足的流動性，以使我們的槓桿率從 3 月底的 7.1 倍債務與股權之比回落至 6 左右。

Sales were focused on higher coupons for a few reasons, most notably given their elevated exposure to interest rate volatility and also increased prepayment risk given our expectation for an eventual softening in economic growth and lower interest rates.

銷售重點關注更高的票面利率有幾個原因，最主要的是因為它們受利率波動的影響較大，而且由於我們預期經濟成長最終會放緩且利率會降低，因此提前還款的風險也會增加。

Slide 10 provides more detail on our capital structure and highlights the improvement made in recent quarters to reduce our cost of capital. Further improvement in the capital structure remains a focus of ours as we seek to maximize 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，並強調了最近幾個季度為降低資本成本所取得的改進。我們致力於實現股東回報最大化，進一步改善資本結構仍是我們的工作重點。

To conclude our prepared remarks, financial market volatility began to increase in the latter half of the first quarter as investors began to incorporate greater monetary and fiscal policy uncertainty in valuations. But our focus on higher coupon agency RMBS and increased allocation to agency CMBS mitigated much of this impact and resulted in a positive economic return of 2.6%.

總結我們的準備好的評論，隨著投資者開始在估值中納入更大的貨幣和財政政策不確定性，金融市場波動在第一季後半段開始加劇。但我們專注於更高票面利率的機構RMBS，並增加對機構CMBS的配置，從而減輕了大部分影響，並帶來了2.6%的正經濟回報。

Although increased volatility, swap spread tightening and agency mortgage underperformance negatively impacted our book value in April, positively financial markets have stabilized as the proposed tariffs have been postponed and negotiations began with book value up approximately 1% so far in May.

儘管波動性加劇、掉期利差收緊和機構抵押貸款表現不佳對我們 4 月份的賬面價值產生了負面影響，但隨著擬議關稅被推遲以及談判開始，金融市場已經趨於穩定，5 月份迄今為止賬面價值上漲了約 1%。

We believe IVR is well-positioned to navigate current mortgage market volatility given our recent reduction in leverage. We believe our liquidity position provides substantial cushion for further potential market stress while also providing capital to deploy into our target assets as the investment environment improves.

我們相信，鑑於我們最近降低槓桿率，IVR 完全有能力應對當前抵押貸款市場的波動。我們相信，我們的流動性狀況為進一步的潛在市場壓力提供了實質的緩衝，同時隨著投資環境的改善，我們也提供了部署到目標資產的資本。

While near-term uncertainty warrants a cautious -- a somewhat cautious approach, we believe further easing of monetary policy will lead to a steeper yield curve and an eventual decline in interest rate volatility, both of which provide a supportive backdrop for agency mortgages over the long term as they improve demand from commercial banks, overseas investors, money managers, and REITs.

雖然短期的不確定性需要我們採取謹慎——或者說是比較謹慎的態度，但我們認為，進一步放鬆貨幣政策將導致收益率曲線更加陡峭，並最終導致利率波動性下降，這兩者都為機構抵押貸款提供了長期支撐背景，因為它們會改善商業銀行、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，現在我們將開放問答熱線。

Thank you, gentlemen. (Operator Instructions) And our first question is from Doug Harter with UBS. Your line is now open.

謝謝各位。（操作員指示）我們的第一個問題來自瑞銀的 Doug Harter。您的線路現已開通。

Thanks. I appreciate the update on April. Can you just talk through the decision to take down leverage and kind of how you think about managing volatile periods as to whether you let -- kind of leverage float or you take portfolio actions like you did?

謝謝。我很感謝四月份的更新。您能否簡單談談降低槓桿率的決定，以及您如何看待管理波動時期，是否讓槓桿率浮動，還是像以前一樣採取投資組合行動？

Yes. Hey Doug, thanks. It's Brian. Yes, so in April, we essentially took leverage down about half a turn from where it began a month. And that just really reflects increased uncertainty regarding monetary fiscal and trade policy and how those that uncertainty kind of impacts the demand I think bank buying was fairly light in the first quarter.

是的。嘿，道格，謝謝。我是布萊恩。是的，因此在四月份，我們基本上將槓桿率從月初的水平降低了約半倍。這實際上反映了貨幣財政和貿易政策的不確定性增加，以及這些不確定性如何影響需求，我認為第一季的銀行購買量相當低。

And I think the increased uncertainty will likely mean that, that gets delayed -- that bank demand gets delayed into the second half of the year in the midst of higher supply coming due to housing season. And certainly, the increased trade policy uncertainty could lead to overseas demand being relatively quiet as well in the near-term.

我認為不確定性的增加可能意味著這種情況會被推遲——由於住房季節的到來，供應量會增加，銀行需求將被推遲到下半年。當然，貿易政策不確定性的增加也可能導致短期內海外需求相對平靜。

So, we just thought that mix with monetary policy uncertainty just led us to want to reduce leverage modestly closer to the lower end of our range. I think as mortgages were underperforming in early April, leverage was certainly ticking higher given a decline in book value.

因此，我們只是認為，貨幣政策的不確定性導致我們想要適度降低槓桿率，使其更接近我們區間的下限。我認為，由於 4 月初抵押貸款表現不佳，帳面價值下降，槓桿率肯定會上升。

And at a certain point, we do let it drift. But at a certain point, it gets kind of to the high end of the range. And that's when we decided to take action to reduce. And it's not something that we're doing all at once. But over the course of the month, we decided that we wanted to have leverage a little bit lower than where we started the quarter.

到了一定的時候，我們確實會讓它隨波逐流。但在某個點上，它會達到範圍的高端。正是在那時，我們決定採取行動來減少。這並不是我們要一次完成的事。但在這個月裡，我們決定將槓桿率控制在比本季初略低的水平。

Great. I appreciate it. Can you just talk about where you see returns on an incremental basis today?

偉大的。我很感激。您能否談談目前增量報酬的情況？

Yes. Spreads are very attractive, particularly versus swaps given the tightening in swap spreads still quarter-to-date. So levered ROEs are kind of in the low 20s on higher coupons.

是的。利差非常有吸引力，特別是相對於掉期而言，因為本季迄今掉期利差仍在收緊。因此，在較高票息的情況下，槓桿 ROE 大約在 20% 以下。

Great. Appreciate it. Thank you.

偉大的。非常感謝。謝謝。

Thank you. Our next question is from Trevor Cranston with Citizens JMP. Your line is open.

謝謝。我們的下一個問題來自 Citizens JMP 的 Trevor Cranston。您的線路已開通。

Thanks. And thank you for the portfolio update on April 30th. One question related to that. Can you comment on any changes to the hedge portfolio that were made in April along with the portfolio reduction?

謝謝。感謝您於 4 月 30 日更新投資組合。有一個問題與此有關。您能否評論一下 4 月隨著投資組合減少而對對沖投資組合做出的任何改變？

Yes, hey Trevor, it's Brian again. Yes, we did increase our hedge ratio just given, again, kind of uncertainty about near-term monetary policy. We decided to be a little bit closer to home as far as the hedge ratio goes.

是的，嘿，特雷弗，又是布萊恩。是的，我們確實提高了對沖比率，因為近期貨幣政策存在不確定性。我們決定在對沖比率方面採取更貼近本土的做法。

Now, as far as the mix between swaps and treasuries, I think that's still within the range that we've kind of been stating over the last couple of quarters, kind of in that 20% to 30% range of treasury futures relative to swaps. So there hasn't been a notable shift away from that.

現在，就掉期和國債之間的組合而言，我認為這仍然在我們過去幾個季度中所說的範圍內，即國債期貨相對於掉期的比率在 20% 到 30% 之間。因此，目前還沒有出現明顯的轉變。

Okay. Got it. And then with the smaller portfolio size as of the end of April, does that have any impact on how you guys think about sort of the right dividend level for the company? Or does the relatively wider spreads and somewhat positive intermediate-term outlook sort of outweigh the reduction in the size of the portfolio? Thanks.

好的。知道了。那麼，由於截至 4 月底的投資組合規模較小，這對你們如何考慮公司的適當股利水準有何影響？或者，相對較大的利差和略微積極的中期前景是否會抵消投資組合規模的縮減？謝謝。

Trevor, it's John. Yes, as far as the dividend goes, I mean, we just reduced it in last quarter. So still comfortably covering it. So, that's good. And I think to Brian's point about ROEs, I mean, what we're seeing off the portfolio and what we're reinvesting are supportive also. So, yes, I don't have -- we don't have any concerns about that, at least given where we are now for sure.

特雷弗，我是約翰。是的，就股息而言，我們上個季度剛剛減少了股息。因此仍然可以輕鬆地覆蓋它。所以，這很好。我認為 Brian 關於 ROE 的觀點是，我們從投資組合中看到的以及我們再投資的情況也具有支持作用。所以，是的，我沒有——我們對此沒有任何擔憂，至少從我們現在的情況來看是肯定的。

Yes, okay. Appreciate the color. Thank you guys.

是的，好的。欣賞色彩。謝謝你們。

Thank you. Our next question now is from Jason Weaver with JonesTrading. And your line is open.

謝謝。我們現在的下一個問題來自 JonesTrading 的 Jason Weaver。您的線路已開通。

Hey, good morning guys. Thanks for taking my question. First, I wonder if can you discuss how you see the opportunity set in Agency today compared to the prior peak in spreads in October of last year?

嘿，大家早安。感謝您回答我的問題。首先，我想知道您是否可以討論一下，與去年 10 月的利差高峰相比，您如何看待目前 Agency 的機會？

Hey Jason, it's Brian. Yes, I think spreads are pretty consistent with previous widening episodes. So, certainly, the environment or at least I'm sorry, the opportunity is attractive in mortgages. I do think that the reason that we feel a little less comfortable from a leverage perspective is that with the potential reinvigoration of inflation that it could cause further delays in monetary policy adjustment, which right now, the market is pricing in.

嘿傑森，我是布萊恩。是的，我認為利差與先前的擴大情況相當一致。因此，當然，環境，或者至少我很抱歉，抵押貸款的機會是有吸引力。我確實認為，從槓桿角度來看，我們感覺不太舒服的原因是，通貨膨脹可能會再次抬頭，這可能會導致貨幣政策調整進一步推遲，而目前，市場正在消化這一因素。

I think it's close to three. I know it just shifted a little bit yesterday after the Fed meeting, but three cuts in 2025. We do think that there's a risk that there's fewer than that. And mortgages may not respond all that well to a shift into zero cuts or potentially even pricing in hikes. So, we do think that being a little bit more conservative relative to where we were maybe last fall when the prospect of hikes were -- or of zero cuts was much less.

我認為接近三了。我知道昨天聯準會會議後情況略有變化，但 2025 年將降息三次。我們確實認為數量少於這個數字是有風險的。而抵押貸款可能不會對降息至零利率甚至可能將升息納入定價做出很好的反應。因此，我們確實認為，相對於去年秋季升息或零降息的可能性要小得多的時期，我們現在的政策會更加保守一些。

Got it. That's good color. And just a follow-up, I see that you've been -- for three quarters now, you've been reallocating your spec pool exposure away from the low loan balance and into more credit constrained. Can you talk about how you see the relative value there? Is it just a function of pricing? Is there some other risk to loan balance pools that you're seeing?

知道了。這顏色真好。再問一下，我發現您已經——已經有三個季度了——一直在將規格池敞口從低貸款餘額重新分配到信貸更加受限的領域。您能談談您如何看待那裡的相對價值嗎？它僅僅是定價的功能嗎？您是否發現貸款餘額池還有其他風險？

Yes, it's a couple of different things, Jason. It's First of all, yes, I mean, loan balance pools are certainly kind of the premier spec pool story out there. So because of that, they tend to be pretty fully priced. Now you do get prepayment certainty out of that. So, there is a benefit to paying up for that.

是的，這是幾件不同的事情，傑森。首先，是的，我的意思是，貸款餘額池肯定是首屈一指的規格池故事。因此，它們的價格往往相當昂貴。現在您確實可以獲得預付款的確定性。因此，為此付出代價是有好處的。

But with -- like I said, with increased economic uncertainty and potential slowdown, we do think that kind of those lower FICO pool borrowers, we could see increased demand for that and potentially slower housing HBA as well. So LTV stories also kind of makes sense from that perspective.

但正如我所說，隨著經濟不確定性的增加和潛在的經濟放緩，我們確實認為，對於那些 FICO 較低的借款人，我們可能會看到對此的需求增加，並且住房 HBA 也可能放緩。因此從這個角度來看 LTV 故事也是有道理的。

But kind of the second portion of that is it's generally our rotation from lower coupons into higher coupons. Most of our lower coupon holdings were in loan balance. as opposed to as we're rotating into higher coupons, we want to have a little bit less spec pool pay-up exposure. So, it's partly just maintaining a little bit lower profile from a payout perspective.

但第二部分是，我們通常會從較低的優惠券輪換到較高的優惠券。我們持有的低票券債券大多是貸款餘額。與我們輪換持有高票息債券的情況相反，我們希望降低規格池償付風險。因此，從支付角度來看，這只是保持低調。

Got it. That’s actually very helpful. Thanks for the time, guys.

知道了。這確實非常有幫助。謝謝大家的時間。

Our next question now is from Jason Stewart with Janney. Your line is open.

我們現在的下一個問題來自 Janney 的 Jason Stewart。您的線路已開通。

Hey thanks. Good morning. I wanted to follow up on your comments about the forward rate outlook. Are you in the camp where it's sort of either six or seven cuts if we have a recession, no cuts if we don't? Maybe like if you could give us some comments on how you're thinking about that in relation to how you develop the hedge portfolio, that would be helpful, thanks.

嘿，謝謝。早安.我想跟進您對遠期利率前景的評論。您是否認為，如果出現經濟衰退，就削減六到七次預算，如果沒有出現經濟衰退，就不削減預算？也許如果您可以就您如何開發對沖投資組合這一問題給我們一些評論，那將會很有幫助，謝謝。

Hey Jason, it's Brian. Yes, thanks. Yes, I think listening to Chair Powell yesterday, the takeaway was just greater uncertainty about policy going forward. It's kind of a wait-and-see approach, whether we still see strength in hard data, while soft data is certainly pretty weak. So it's just a matter of the timing on when those two converge and how they converge.

嘿傑森，我是布萊恩。是的，謝謝。是的，我認為昨天聽了鮑威爾主席的講話，我們得出的結論是，未來政策的不確定性更大了。這是一種觀望態度，看我們是否仍然看到硬數據的強勁表現，而軟數據肯定相當疲軟。因此，這兩者何時以及如何融合只是時間問題。

I think like I said, there's about three cuts being priced in for 2025. We see a fair amount of economists out there saying zero cuts and a fair amount saying that they're going to have to be pretty aggressive. So I think in that environment, our goal is to just be conservative and keep things close to home, both from a hedge notional ratio perspective as well as leverage because if things were to swing in either direction, that could -- you could be offsets.

我認為，正如我所說的，2025 年大約有三次降息被考慮在內。我們看到相當多的經濟學家主張零降息，也有相當多的經濟學家表示必須採取相當激進的降息措施。因此，我認為在這種環境下，我們的目標是保持保守，讓事情保持在國內水平，無論是從對沖名義比率的角度還是從槓桿的角度，因為如果事情向任何一個方向擺動，那都可能 - 你可能會被抵消。

Okay. That's fair enough. So, no strong view either way on which way we're headed.

好的。這很公平。因此，對於我們未來的方向，目前還沒有明確的看法。

No, we don't like to take interest rate risk in the REIT. So we try to keep duration gap pretty close to zero. We may be leaning slightly towards a steeper curve, but not significant.

不，我們不喜歡承擔房地產投資信託基金的利率風險。因此，我們試圖將持續時間差距保持在接近零的水平。我們可能稍微傾向於更陡峭的曲線，但並不明顯。

Okay. Got it. That's helpful. And then in terms of the ATM activity, I'm coming up with about $8.55 a share on issuance. Could you give us a sense for your estimate on the impact to book value in 1Q from ATM issuance and where you're comfortable issuing going forward?

好的。知道了。這很有幫助。然後就 ATM 活動而言，我預計發行價約為每股 8.55 美元。您能否估計一下 ATM 發行對第一季帳面價值的影響，以及您對未來 ATM 發行的預期？

Yes, I think given where spreads are, we feel like the investment environment is attractive enough. I think that's probably about right from a share price perspective. So, the impact would have been pretty modest, but again, given where we're able to put money to work, we think overall, it's certainly improving the economics of the REIT and to shareholders. And also issuing through the ATM helps us reduce expenses.

是的，我認為考慮到利差，我們認為投資環境足夠有吸引力。我認為從股價角度來看這可能是正確的。因此，其影響本來會相當小，但考慮到我們能夠將資金投入到哪裡，我們認為總體而言，它肯定會改善房地產投資信託基金和股東的經濟狀況。而且透過 ATM 發行可以幫助我們減少開支。

Okay. Thanks. Appreciate the color and taking the questions.

好的。謝謝。欣賞色彩並回答問題。

Thank you. [Operator Instructions] Presently, my last question now is from Eric Hagen with BTIG. And your line is open.

謝謝。[操作員指示] 目前，我的最後一個問題來自 BTIG 的 Eric Hagen。您的線路已開通。

Hey thanks. Good morning. Good discussion here around the Fed. I guess I have one follow-up. Like our mental framework has typically been for mortgage spreads to tighten if the Fed cuts interest rates, and I feel like that's probably still the case.

嘿，謝謝。早安.這裡有關聯準會的討論很好。我想我還有一個後續問題。就像我們的思維框架通常認為，如果聯準會降息，抵押貸款利差就會收窄，我覺得情況可能仍然如此。

But do you think that's different or has the potential to be different in this environment because of the macro and its impact on just the flow of capital? And should we necessarily take a Fed cut as being a catalyst for spreads to tighten? Or how do you think about that?

但是，您是否認為，由於宏觀因素及其對資本流動的影響，在當前環境下，情況會有所不同或有可能有所不同？我們是否應該將聯準會降息視為利差收窄的催化劑？或者您對此有何看法？

Yes. Hey Eric, thanks, it's Brian, and I hope the conference is going well. Sorry, we couldn't be there. But yes, I think that generally speaking, that's correct. A slowing economy should lead to a steeper curve, which helps agency mortgage valuations.

是的。嘿，艾瑞克，謝謝，我是布萊恩，希望會議一切順利。抱歉，我們不能到場。但是是的，我認為一般來說，這是正確的。經濟放緩應該會導致曲線更加陡峭，這有助於機構抵押貸款估值。

I also think in the near-term here, a Fed on hold isn't necessarily a bad thing for mortgages. It does reduce short-term volatility. So, mortgages could do okay here with the Fed kind of taking a wait-and-see approach.

我還認為，短期內聯準會維持利率不變對房貸來說並不一定是壞事。它確實減少了短期波動。因此，在聯準會採取觀望態度的情況下，抵押貸款可能會表現良好。

But no, I think a slowing economy does -- it certainly helps mortgages versus other credit assets. And versus treasuries, I think they hold in just fine and then are poised to do pretty well as kind of as other asset classes kind of start to catch up as the economy maybe comes off of the slowdown and then starts improving again.

但不，我認為經濟放緩確實會——與其他信貸資產相比，它肯定有助於抵押貸款。與國債相比，我認為它們的狀況很好，並且隨著經濟擺脫放緩並再次開始改善，其他資產類別也開始迎頭趕上，它們也將表現得相當不錯。

Great. All right. Thanks for the color. Are you guys seeing any opportunities in commercial credit and maybe picking up some more share there? And how you guys think about relative value versus RMBS right now? Thank you, guys.

偉大的。好的。謝謝你的顏色。你們是否看到了商業信用領域的任何機會，並可能在那裡獲得更多的份額？你們現在如何看待相對價值與 RMBS 的關係？謝謝你們。

Yes, I mean we've been relatively hesitant to add credit exposure in this environment. I think certainly, we are not interested in financing versus with mark-to-market financing. So, we haven't been looking to add. We actually have sold our remaining credit investments that were pretty modest coming into the year, but we're completely out of those and found fairly decent levels to get out of those. So, we're 100% agency at this point, and we don't anticipate that changing in the near-term.

是的，我的意思是，在這種環境下，我們一直不太願意增加信用敞口。我認為，我們當然對以市價計價的融資不感興趣。所以，我們一直沒有考慮要添加。事實上，我們已經出售了今年剩餘的相當少的信貸投資，但我們已經完全擺脫了這些投資，並找到了相當不錯的脫售水平。因此，我們現在是 100% 代理，我們預計這種情況在短期內不會改變。

Got you. Thank you guys.

明白了。謝謝你們。

Thanks Eric.

謝謝埃里克。

Thank you. As I have no further questions in queue, I would like to turn it back to management for any closing remarks.

謝謝。由於我沒有其他問題，因此我想將問題交還給管理階層，請他們做最後的總結發言。

No. We'd just like to thank everyone for joining us this morning and we look forward to getting together again next quarter. Thanks.

不。我們只想感謝大家今天上午的參加，我們期待下個季度再次聚在一起。謝謝。

We are now concluded. Thank you again for your participation. Please disconnect at this time.

現在我們已經結束了。再次感謝您的參與。此時請斷開連線。