Invesco Mortgage Capital Inc (IVR) 2026 Q1 法說會逐字稿

Welcome to the Invesco Mortgage Capital first-quarter 2026 earnings call.

歡迎參加 Invesco Mortgage Capital 2026 年第一季財報電話會議。

(Operator Instructions) As a reminder, this call is being recorded.

（接線員指示）提醒各位，本次電話會議將被錄音。

Now I would like to turn the call over to Greg Seals in Investor Relations. Mr. Seals, you may begin the call.

現在我想把電話會議交給投資人關係部的 Greg Seals。Seals 先生，您可以開始了。

Thanks, operator, and to all of you joining us on Invesco Mortgage Capital's first-quarter 2026 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，也感謝各位參加 Invesco Mortgage Capital 2026 年第一季財報電話會議。除今天的新聞稿外，我們也提供了一份簡報，涵蓋我們今天計畫討論的主題。新聞稿與簡報可於我們網站 invescomortgagecapital.com 取得。請至網站的投資人關係（Investor Relations）專區查閱。

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.

我們今天的簡報將包含前瞻性陳述以及若干非 GAAP 財務衡量指標。請查閱簡報第 2 頁中關於這些陳述與衡量指標的揭露內容，並參閱附錄以取得與 GAAP 之間的適當調節表。

Finally, Invesco Mortgage Capital is not responsible for and does not edit nor guarantee the accuracy of our earnings teleconference transcripts provided by third parties. The only authorized webcasts are located on our website.

最後，Invesco Mortgage Capital 對第三方提供的財報電話會議逐字稿不負責任，亦不進行編輯，且不保證其準確性。唯一經授權的網路直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, Kevin Collins, for his comments. Kevin?

再次歡迎各位，感謝今天與會。接下來我將把電話會議交給 IVR 的執行長 Kevin Collins 發表談話。Kevin？

Good morning, and welcome to Invesco Mortgage Capital's first-quarter earnings call. I'll provide a few 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 is our President, David Lyle; and our CFO, Mark Gregson.

各位早安，歡迎參加 Invesco Mortgage Capital 第一季財報電話會議。我會先做幾點說明，之後把電話會議交給我們的投資長 Brian Norris，請他更詳細地說明我們的投資組合。今天早上也一同參與問答的還有我們的總裁 David Lyle，以及財務長 Mark Gregson。

Look, I'll begin by saying that I'm very excited to assume the role of Chief Executive Officer of Invesco Mortgage Capital. And I would like to thank and congratulate our retiring CEO, John Anzalone, for his 17-year tenure with the company. John began his service as our CIO at the time of our IPO back in 2009, and he spent the past nine years as CEO, leading the company through a range of market environments and its transition more recently to an agency-focused strategy. So John, please know our entire team is grateful for your leadership.

我先說，我非常興奮能接任 Invesco Mortgage Capital 的執行長一職。同時，我也要感謝並恭賀即將退休的執行長 John Anzalone，感謝他在公司服務 17 年。John 於 2009 年我們 IPO 時擔任投資長開始為公司效力，並在過去九年擔任執行長，帶領公司走過各種市場環境，並在近期轉型為以機構（Agency）為主的策略。因此，John，請您知道我們整個團隊都非常感謝您的領導。

And I'd also like to thank -- I'd also like to congratulate Dave on his recent appointment to President. Dave, Brian, and I have all worked very closely with John since IVR's inception, and we're really looking forward to building on our positive momentum alongside Mark, our CFO.

我也要感謝——我也要恭賀 Dave 最近獲任命為總裁。自 IVR 成立以來，Dave、Brian 和我一直與 John 緊密合作，我們也非常期待與財務長 Mark 一起，在既有的正向動能上持續推進。

Importantly, we all have a shared commitment to disciplined investment, management to consistent performance, strong governance, and expanded investor engagement. And we believe our current team, our capital structure and our investment portfolio are incredibly well positioned for the future. And looking ahead, we're excited to leverage our core competencies in Agency RMBS, but also Agency CMBS to continue delivering attractive outcomes for our investors.

重要的是，我們都共同致力於嚴謹的投資紀律、以穩健表現為目標的管理、強健的公司治理，以及更深入的投資人互動。我們相信目前的團隊、資本結構與投資組合都已為未來做好極佳準備。展望未來，我們很期待運用在機構住宅不動產抵押貸款支持證券（Agency RMBS）的核心能力，同時也運用在機構商用不動產抵押貸款支持證券（Agency CMBS）的能力，持續為投資人帶來具吸引力的成果。

In addition to our team's long track record and experience managing residential and commercial agency mortgages, we benefit from the insights of a global investment manager which inform our views on macroeconomic conditions, interest rate dynamics, policy developments and broader market risks.

除了團隊在管理住宅與商用機構抵押資產方面長期的實績與經驗外，我們也受益於全球投資管理人的洞見，這些洞見有助於形成我們對總體經濟情勢、利率動態、政策發展以及更廣泛市場風險的看法。

Additionally, our deep counterparty relationships enhance our ability to source, to finance and to hedge attractive investment opportunities. And we believe these advantages really differentiate us from our peers, and our entire management team remains committed to fully leveraging the resources and capabilities of Invesco.

此外，我們深厚的交易對手關係提升了我們在尋找資產來源、融資以及避險具吸引力投資機會方面的能力。我們相信這些優勢確實使我們有別於同業，而我們整個管理團隊也將持續致力於充分運用 Invesco 的資源與能力。

Now turning to market developments. So look, during the first-quarter, we operated in a more challenging market environment following the strong recovery in Agency MBS valuations experienced in the second half of 2025. Financial conditions tightened as you had rising geopolitical tensions, you had higher energy prices, and renewed inflation concerns drove increased interest rate volatility and pushed US Treasury yields higher across the curve.

接著談市場發展。第一季在 2025 年下半年機構 MBS 估值強勁回升之後，我們面對的是更具挑戰的市場環境。由於地緣政治緊張升溫、能源價格走高，以及通膨疑慮再起，金融情勢轉趨緊縮，帶動利率波動加劇，並推升美國公債殖利率曲線各期限的殖利率。

Short-term yields rose more sharply than longer-dated yields, largely reflecting a pullback in expectations for near-term monetary policy easing. And at the same time, inflation expectations moved higher, with two-year TIPS breakevens rising to approximately 3.25% by quarter end, up from about 2.3% at the beginning of the year.

短天期殖利率上升幅度較長天期更為明顯，主要反映市場對短期內貨幣政策寬鬆的預期有所回撤。同時，通膨預期走高，兩年期 TIPS 損益兩平通膨率（breakeven）在季末升至約 3.25%，高於年初約 2.3%。

So all these dynamics weighed on risk assets broadly and resulted in higher coupon Agency RMBS underperformance relative to treasuries. Although our Agency CMBS investments performed, I would say, quite well during the quarter, the benefit was outweighed by a couple of things, increased Agency RMBS risk premiums, but also notable swap spread tightening. So against this backdrop, book value declined by 7.9% to $8.08 at quarter end, and when combined with our dividend of $0.12 per month, resulted in an economic return of negative 3.2% for the quarter.

上述動態普遍壓抑風險資產，並使高票息的機構 RMBS 相對於美國公債表現落後。雖然我們的機構 CMBS 投資在本季表現可說相當不錯，但其效益被幾項因素抵銷：機構 RMBS 風險溢酬上升，以及交換利差（swap spread）明顯收窄。在此背景下，季末每股帳面價值下滑 7.9% 至 8.08 美元；再加上我們每月每股 0.12 美元的股利，本季經濟報酬率為負 3.2%。

In the context of evolving market conditions, our economic debt-to-equity ratio increased to 7.5 turns as of quarter end from 7 turns at the beginning of the year. And that largely reflects the decline in book value per share, but it also reflects our more constructive outlook on Agency RMBS as we enter the second-quarter. At quarter end, our $7.3 billion investment portfolio consisted of $5.2 billion Agency RMBS, $1.2 billion Agency TBA and $0.9 billion Agency CMBS, and we maintained a sizable balance of unrestricted cash and unencumbered investments totalling $493.1 million.

在市場環境演變之下，我們的經濟槓桿（負債對股東權益）比率於季末升至 7.5 倍，較年初的 7 倍提高。這主要反映每股帳面價值下滑，但也反映我們在進入第二季時對機構 RMBS 的看法更為建設性。季末，我們 73 億美元的投資組合包含 52 億美元機構 RMBS、12 億美元機構 TBA，以及 9 億美元機構 CMBS；同時我們維持相當規模的未受限制現金與未設質投資，合計 4.931 億美元。

Our earnings available for distribution declined modestly from $0.56 in the fourth-quarter of last year to $0.55 in the first-quarter. And as of quarter end, we hedged 96% of our borrowing costs with interest rate swaps and US Treasury futures.

可供分配盈餘（earnings available for distribution）由去年第四季的每股 0.56 美元小幅下降至第一季的每股 0.55 美元。截至季末，我們以利率交換與美國公債期貨對沖了 96% 的借款成本。

Entering the second-quarter, agency mortgages have performed well as the risk sentiment has improved and interest rate volatility has moderated. While near-term inflation concerns remain elevated, they've eased somewhat with two-year TIPS breakevens now below 3%, suggesting a modest stabilization in inflation expectations. And as a result, positively, our book value has improved by approximately 2% since the end of the first-quarter.

進入第二季後，隨著風險情緒改善且利率波動趨緩，機構抵押資產表現良好。雖然短期通膨疑慮仍偏高，但已有所緩解，兩年期 TIPS 損益兩平通膨率目前已低於 3%，顯示通膨預期略有穩定。因此，我們的帳面價值自第一季末以來已正向改善約 2%。

So looking ahead, I'll note that we believe a further reduction in geopolitical tensions would likely provide additional support for risk assets. And from a supply and demand perspective, Agency RMBS net issuance should remain manageable, the GSEs continue to provide steady demand, and bank participation is likely to increase, supported by recent Basel capital framework proposals that improve capital efficiency of high-quality mortgage assets.

展望未來，我們認為若地緣政治緊張進一步降溫，可能會對風險資產提供額外支撐。從供需角度來看，機構 RMBS 的淨發行量應仍屬可控，GSEs 持續提供穩定需求，而銀行參與度可能提高，因近期巴塞爾資本框架提案改善了高品質抵押資產的資本效率。

So together, these macro and market technical factors create a more constructive backdrop for Agency RMBS holdings, particularly as wider spread levels relative to the prior quarter offer more attractive entry points. In addition, despite elevated supply, Agency CMBS continues to offer attractive risk-adjusted yields and diversification benefits, just given its stable cash flow profile and its lower sensitivity to interest rate fluctuations.

綜合而言，這些總體與市場技術面因素為機構 RMBS 持有部位創造了更具建設性的背景，尤其相較前一季更寬的利差水準提供了更具吸引力的進場點。此外，儘管供給偏高，機構 CMBS 仍因其穩定的現金流特性與對利率波動較低的敏感度，持續提供具吸引力的風險調整後殖利率與分散化效益。

And so away from market developments and away from our outlook, it's, I think, also worth highlighting that we successfully reduced preferred equity to less than 20% of our total equity. So that's reduced costs, but it's also benefited returns for common stockholders. We've also taken steps to deepen alignment with investors, including transitioning this year from quarterly to monthly dividend distributions.

此外，撇開市場發展與我們的展望，我也認為值得強調的是：我們已成功將特別股權益降至總權益的 20% 以下。這降低了成本，也提升了普通股股東的報酬。我們也採取措施加深與投資人的一致性，包括今年將股利發放由按季改為按月發放。

And so on that note, I want to highlight that we have received positive feedback that our capital structure positions us competitively within the sector and that our monthly dividend approach better aligns the cash flow needs of income investors, but it also provides important monthly touch points regarding our key financial metrics.

因此在此我想強調，我們收到正面回饋，認為我們的資本結構使我們在同業中具競爭力，而按月配息的作法更能貼合收益型投資人的現金流需求，同時也提供每月就我們關鍵財務指標進行溝通的重要接觸點。

So with that, I'll now turn the call over to Brian to go through more details regarding the portfolio.

接下來，我將把電話會議交給 Brian，請他進一步說明投資組合的細節。

Thanks, Kevin, and good morning to everyone listening to the call. I'd like to begin by also congratulating John on his well-deserved retirement and Kevin and Dave on their newly appointed roles. As Kevin noted, the four of us have worked closely together for nearly 20 years, including the almost 17 years since IVR's IPO in June 2009. I and the rest of the team are very excited for him as he enters the next phase of his life, and I'd like to express my sincere gratitude for his immeasurable contributions to IVR over the past 17 years.

謝謝你，Kevin，也向所有收聽本次電話會議的各位道早安。我也想先恭賀 John 當之無愧地退休，並恭賀 Kevin 與 Dave 獲得新任命的職務。如 Kevin 所提，我們四位已緊密合作將近 20 年，包括自 2009 年 6 月 IVR IPO 以來將近 17 年。我與團隊其他成員都為他進入人生下一階段感到非常高興，也要對他過去 17 年對 IVR 無可估量的貢獻致上誠摯的感謝。

These transitions clearly illustrate the advantages of the relationship with Invesco, our external manager, given the vast resources and deep bench from which our team benefits. Kevin and Dave bring a wealth of experience, consistency, and familiarity to their new roles, and I have no doubt that they, along with Mark and I, have all the resources necessary to continue the strong momentum that IVR has enjoyed in recent years. I'm extremely excited for the future of IVR as we embark on the next chapter in our company's leadership.

這些人事交接清楚展現了我們與外部管理人 Invesco 之關係所帶來的優勢，因為我們的團隊得以受益於其龐大資源與深厚人才庫。Kevin 與 Dave 在新職務上帶來豐富經驗、一貫性與高度熟悉度；我毫不懷疑他們與 Mark 及我一起，具備持續延續 IVR 近年強勁動能所需的一切資源。隨著我們展開公司領導團隊的下一篇章，我對 IVR 的未來感到非常振奮。

So switching gears to financial markets on slide 4. Interest rate volatility moved notably higher during the first-quarter as expectations for near-term monetary policy shifted amid concerns regarding AI's impact on employment in February, to the inflationary impact of the conflict in the Middle East in March. The 10-year treasury yield traded in a 50 basis point range, closing at a low of 3.94% on February 27 before closing sharply higher at 4.43% on March 27 and finishing the quarter at 4.32%.

那麼把焦點轉到第 4 頁的金融市場。第一季期間，隨著對短期貨幣政策的預期轉變，利率波動性明顯上升：2 月市場擔憂 AI 對就業的影響；3 月則轉為關注中東衝突帶來的通膨影響。10 年期美國公債殖利率在 50 個基點的區間內波動，2 月 27 日收在 3.94% 的低點，3 月 27 日大幅走高至 4.43%，並於季末收在 4.32%。

As depicted in the chart on the lower left, two cuts to Fed funds were anticipated for 2026 at the beginning of the year. Those expectations were largely priced out in March amid escalating oil prices and a robust economy that shows little sign of impact from the conflict.

如左下圖所示，年初市場原本預期 2026 年聯邦基金利率將降息兩次。然而，隨著油價上漲以及經濟強勁、幾乎看不出衝突造成影響，這些預期在 3 月大多已被市場重新定價而消退。

This led to a flattening of the yield curve as two-year yields ended the quarter 32 basis points higher, while 30-year yields increased just 7 basis points. Positively, as shown in the upper right chart, repo markets for our assets have been remarkably stable despite broader market volatility, with financing readily available and spreads over one-month SOFR remaining within a tight range.

這導致殖利率曲線趨於平坦：2 年期殖利率季末上升 32 個基點，而 30 年期殖利率僅上升 7 個基點。正面的是，如右上圖所示，儘管整體市場波動加劇，我們資產的回購（repo）市場仍然相當穩定，融資供給充足，且相對於 1 個月 SOFR 的利差維持在狹窄區間內。

Slide 5 provides more detail on the agency mortgage market. The sector enjoyed a strong start to the quarter as the positive momentum from the second half of 2025 carried over into the new year, aided by low interest rate volatility, a steeper yield curve and supportive supply and demand technicals.

第 5 頁提供機構房貸市場的更多細節。該板塊在本季初表現強勁，2025 年下半年延續的正向動能帶入新年度，並受惠於較低的利率波動、較陡峭的殖利率曲線，以及供需技術面（technicals）的支持。

Although the GSEs have been adding to their retained portfolios throughout the second half of 2025, the announcement of a $200 billion mortgage purchase program on January 8 ignited a sharp response as investors rushed to get ahead of the program, leading to significantly higher valuations and lower mortgage rates in a matter of days. However, the new tighter spreads faded the rest of January and into February as further details on the program were scarce, yet the prescribed presence of the GSEs as a buyer in the market was a clear indication that the supportive supply and demand technicals are on even stronger footing in the coming months and quarters.

儘管 GSE 在 2025 年下半年持續增加其保留投資組合，1 月 8 日宣布 2,000 億美元的房貸購買計畫仍引發市場劇烈反應，投資人爭相搶先布局，數日內即推升估值並壓低房貸利率。然而，由於計畫細節有限，新的較緊利差在 1 月其餘時間及 2 月逐步消退；但 GSE 作為市場買方的既定存在，清楚顯示未來數月與數季供需技術面的支撐將更為穩固。

As interest rate volatility increased in February and March, agency mortgage performance continued to wane, but the resulting underperformance was much more orderly than in previous episodes of market stress in recent years. Lower coupons fared best in this environment, outperforming treasury hedges for the quarter despite the volatility. Meanwhile, higher coupons lagged throughout the period, initially due to investor concerns on prepayment risk given the administration's focus on mortgage rates and subsequently because of their elevated sensitivity to interest rate volatility as compared to lower coupons.

隨著 2 月與 3 月利率波動上升，機構房貸表現持續走弱，但由此造成的相對落後程度較近年以往市場壓力情境更為有序。在此環境下，較低票息表現最佳，儘管波動加劇，仍在本季相對於美債避險部位呈現超額表現。與此同時，較高票息在整段期間落後：起初是因投資人擔憂在政府著重壓低房貸利率的背景下，持有部位的提前還款風險上升；其後則因相較低票息，較高票息對利率波動的敏感度更高。

Positively, pay-ups improved during the quarter, offsetting some of the underperformance of higher coupons relative to lower coupons given increased investor demand for additional prepayment protection in premium dollar priced bonds. We continue to believe that owning prepayment protection via carefully selected specified pools, particularly in premium priced holdings, remains an attractive opportunity for mortgage investors and helps mitigate convexity risk inherent in agency mortgage portfolios.

正面的是，本季 pay-ups 有所改善，因投資人對溢價（premium）價格債券中額外提前還款保護的需求增加，抵銷了部分高票息相對低票息的落後。我們仍認為，透過審慎挑選的指定池（specified pools）來持有提前還款保護，特別是在溢價價格持倉中，對房貸投資人而言仍是具吸引力的機會，並有助於緩解機構房貸投資組合固有的凸性風險。

In addition to the GSEs, bank and overseas demand also improved in the quarter, providing additional support for the sector, while money managers and mortgage REITs were also steady contributors. The supply and demand technicals improved the economics for the dollar roll market, with most coupons enjoying attractive implied financing rates. Although this dynamic faded for conventional coupons in the latter half of the quarter, dollar rolls on production coupon Ginnie Mae TBA remain quite attractive with implied financing rates well below one month SOFR.

除 GSE 外，銀行與海外需求在本季也有所改善，為該板塊提供額外支撐；同時，資產管理機構與房貸 REIT 亦持續穩定貢獻。供需技術面改善了美元轉倉（dollar roll）市場的經濟性，多數票息享有具吸引力的隱含融資利率。雖然此動態在本季後半段對傳統（conventional）票息有所減弱，但生產票息（production coupon）的 Ginnie Mae TBA 之 dollar roll 仍相當具吸引力，其隱含融資利率遠低於 1 個月 SOFR。

Slide 6 details our Agency RMBS investments as of March 31. Our portfolio increased 19% quarter-over-quarter as we invested proceeds from common stock ATM issuances. We sold our modest allocation to 6.5% coupons early in the quarter as efforts to reduce mortgage rates increased prepayment risk in our holdings, while purchases were primarily focused in 4.5% through 5.5% coupons. The decline in our 6% allocation is a result of paydowns and the overall growth in the portfolio, as we had limited trading activity in the coupon during the quarter.

第 6 頁說明截至 3 月 31 日我們的機構 RMBS 投資。我們的投資組合較前一季增加 19%，主要因我們將普通股 ATM 發行所得投入。由於降低房貸利率的相關作為提高了我們持倉的提前還款風險，我們在本季初出售了少量 6.5% 票息配置；而買入則主要集中於 4.5% 至 5.5% 票息。6% 配置的下降，係因本金償還（paydowns）以及投資組合整體成長所致，因本季我們在該票息的交易活動有限。

Agency TBA securities represented the majority of our purchases on the quarter as we sought to benefit from the attractive environment in the dollar roll market, ultimately increasing our allocation to approximately 17% of the total portfolio. Despite the increase in our TBA allocation, our total portfolio continues to benefit from significant prepayment protection, with over 80% of the portfolio allocated to securities with some form of prepayment protection via over $5 billion of specified pool Agency RMBS and nearly $900 million of Agency CMBS. We continue to favour specified pools with lower loan balances given their superior predictability of future cash flows, while we remain well diversified across collateral rates with limited changes during the quarter.

本季我們的買入以機構 TBA 證券為主，旨在受惠於 dollar roll 市場的有利環境，最終將配置提高至約占總投資組合的 17%。儘管 TBA 配置增加，我們的整體投資組合仍受惠於顯著的提前還款保護：超過 80% 的投資組合配置於具某種形式提前還款保護的證券，包括逾 50 億美元的指定池機構 RMBS，以及近 9 億美元的機構 CMBS。我們仍偏好貸款餘額較低的指定池，因其對未來現金流的可預測性更佳；同時，我們在抵押品利率上維持良好分散，本季變動有限。

Levered returns on Agency RMBS hedged with swaps remain attractive, with the current coupon spreads to the 5- and 10-year SOFR blend ending the quarter near 165 basis points, 25 basis points wider than year-end and equating to levered gross returns in the high teens. April's outperformance has since narrowed the spread by 10 basis points, with levered returns remaining attractive in the mid- to upper teens.

以利率交換（swaps）避險後的機構 RMBS 槓桿報酬仍具吸引力；本季末，現行票息（current coupon）相對於 5 年與 10 年 SOFR 混合基準的利差約為 165 個基點，較年末擴大 25 個基點，對應的槓桿毛報酬落在十幾%的高檔。4 月的超額表現使利差收斂 10 個基點，但槓桿報酬仍維持在十幾%的中高區間。

Slide 7 provides detail on our Agency CMBS portfolio. Risk premiums tightened meaningfully in January, consistent with Agency RMBS spreads, but also proved resilient amid the sharp increase in interest rate volatility in the latter half of the quarter, only modestly widening in February and March.

第 7 頁提供我們機構 CMBS 投資組合的細節。風險溢酬在 1 月明顯收斂，與機構 RMBS 利差走勢一致；但在本季後半段利率波動大幅上升之際亦展現韌性，僅在 2 月與 3 月小幅走寬。

Our Agency CMBS position performed in line with expectations, providing stability in times of stress and outperforming Agency RMBS across the coupon stack for the quarter. Despite the lack of new purchases, we continue to believe Agency CMBS offers many benefits, mainly through its inherent prepayment protection and fixed maturities, which reduce our sensitivity to interest rate volatility.

我們的機構 CMBS 部位表現符合預期，在壓力時期提供穩定性，且本季在各票息層級上均優於機構 RMBS。儘管沒有新增買入，我們仍認為機構 CMBS 具備多項優勢，主要在於其內建的提前還款保護與固定到期日，可降低我們對利率波動的敏感度。

Levered gross returns are in the low double digits and remain consistent with lower coupon Agency RMBS, while financing capacity has been robust as we continue to fund our positions with multiple counterparties at attractive levels. We will continue to monitor the sector for opportunities to increase our allocation to the extent the relative value between Agency CMBS and Agency RMBS is attractive in order to provide additional stability to the portfolio, recognizing the overall benefits as the sector diversifies risks associated with Agency RMBS.

槓桿毛報酬落在低雙位數，並與較低票息的機構 RMBS 大致一致；同時，融資額度依然充裕，我們持續以多家交易對手在具吸引力的水準為部位融資。我們將持續監測該板塊，若機構 CMBS 與機構 RMBS 之間的相對價值具吸引力，將把握機會提高配置，以為投資組合提供額外穩定性；並認知到該板塊可分散與機構 RMBS 相關的風險，帶來整體效益。

Slide 8 details our funding and hedge book at quarter end. Repurchase agreements collateralized by our Agency RMBS and Agency CMBS investments decreased from $5.6 billion to $5.3 billion as most of our purchases during the quarter were in Agency TBA, while the total notional of our hedges increased from $4.9 billion to $5.1 billion. Our hedge ratio increased from 87% to 96%, primarily due to the increased allocation to Agency TBA.

第 8 頁說明季末我們的融資與避險部位。以我們的機構 RMBS 與機構 CMBS 投資作為擔保的回購協議，從 56 億美元降至 53 億美元，因本季多數買入集中於機構 TBA；同時，我們避險名目本金總額從 49 億美元增至 51 億美元。我們的避險比率由 87% 升至 96%，主要因機構 TBA 配置提高。

The composition of our hedges remained weighted towards interest rate swaps, with 81% of our hedges consisting of interest rate swaps on a notional basis and 65% on a dollar duration basis. Swap spreads tightened during the quarter, creating a modest headwind to performance. Despite the recent tightening, we remain comfortable maintaining the majority of our hedges and interest rate swaps as we believe swap spreads are relatively tight and offer an attractive hedge profile relative to treasury futures.

我們的避險組成仍以利率交換為主：按名目本金計，81% 的避險為利率交換；按美元久期（dollar duration）計則為 65%。本季交換利差（swap spreads）收斂，對績效造成些許逆風。儘管近期收斂，我們仍樂於維持以利率交換為主的避險配置，因我們認為交換利差相對偏緊，且相較於美債期貨提供更具吸引力的避險特性。

To conclude our prepared remarks, the sector experienced a more challenging environment in the first-quarter as the supportive trend of moderating financial market volatility reversed amid escalating geopolitical tensions. While higher coupon agency mortgage valuations recovered a portion of their first-quarter underperformance in April, developments in the Middle East conflict will continue to drive interest rate markets in the near term, leaving the sector somewhat vulnerable to headlines and further bouts of increased volatility.

作為我們事先準備發言的結語，本板塊在第一季面臨較具挑戰的環境，因地緣政治緊張升溫使金融市場波動趨緩的支撐性趨勢出現反轉。雖然 4 月較高票息的機構房貸估值已收復部分第一季的相對落後，但中東衝突的進展在短期內仍將主導利率市場，使該板塊對新聞標題與進一步波動升高的情況仍較為脆弱。

Positively, the supply and demand environment for the sector is at its most supportive in a number of years, with money managers, mortgage REITs, banks, overseas investors and the GSEs providing more than enough demand to absorb net supply, both organic and runoff, from the Fed's balance sheet. This supportive environment has resulted in, and should continue to result in, reduced spread volatility from the levels experienced in recent years, producing opportunities to benefit from episodes of cheaper valuations with reduced risk of a more significant or a more protracted dislocation.

正面的是，該板塊的供需環境正處於多年來最具支撐的狀態：資產管理機構、房貸 REIT、銀行、海外投資人以及 GSE 提供的需求，足以吸收來自聯準會資產負債表的淨供給（包含自然生成與到期/縮表 runoff）。此一支撐環境已導致、且應將持續導致利差波動低於近年水準，從而在估值變得更便宜的階段創造受益機會，同時降低發生更劇烈或更長時間錯位（dislocation）的風險。

Lastly, our liquidity position remains ample, providing substantial cushion to withstand additional market stress while also allowing sufficient capital to deploy into our target assets as the investment environment improves. While we view near-term risks as balanced, we believe that agency mortgages are poised to perform well as geopolitical tensions moderate and their impact on the US economy becomes more clear.

最後，我們的流動性部位仍然充裕，提供可觀緩衝以承受進一步的市場壓力，同時也保留足夠資本，隨投資環境改善而部署於我們的目標資產。雖然我們認為短期風險大致均衡，但我們相信，隨著地緣政治緊張緩和且其對美國經濟的影響更為明朗，機構房貸有望表現良好。

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

感謝各位持續支持景順房貸資本（Invesco Mortgage Capital），接下來我們將開放 Q&A。

(Operator Instructions)

（接線員指示）

Marissa Lobo, UBS.

Marissa Lobo，瑞銀（UBS）。

On the equity issuance this quarter, can you speak a little to the timing of those raises and how you're thinking about future ATM activity?

關於本季的股權發行，您能否稍微談談這些募資的時點安排，以及您如何看待未來透過 ATM 的活動？

Yes, sure. So I guess I'll start by saying that we raised nearly $134 million net of issuance costs in Q1 through our ATM. I would say that those were timed pretty steadily throughout the quarter. And I would say that one of the things as we're thinking about future issuance is that our capital structure is now well positioned to support IVR's long-term success.

好的，當然。我想先說，我們在第一季透過 ATM 在扣除發行成本後，淨募得接近 1.34 億美元。我會說這些發行在整個季度中相當均衡地分散進行。至於我們在思考未來發行時，我會說其中一點是：我們目前的資本結構已處於良好位置，可支持 IVR 的長期成功。

But we do plan to selectively access the ATM to raise common stock when it provides a clear benefit to our shareholders. We do continue to think that the ATM is the most efficient mechanism for raising capital. And I guess lastly, I would emphasize that responsible growth really reduces our fixed cost per share and it improves liquidity in our stock. So it's all things that we think are beneficial for the company.

但我們確實計畫在能為股東帶來明確利益時，有選擇性地透過 ATM 發行普通股募資。我們仍然認為 ATM 是最有效率的募資機制。最後我想強調，負責任的成長確實能降低每股固定成本，並改善我們股票的流動性。這些都是我們認為對公司有利的事情。

Got it. And just on risk management, can you speak to some of the decisions that were made for the portfolio during the volatile period in March? And would you describe upcoming periods of volatility as a trading opportunity or a constraint on your risk taking?

了解。再就風險管理方面，您能談談在 3 月波動期間，投資組合做出的一些決策嗎？另外，您會把接下來可能出現的波動期視為交易機會，還是對風險承擔的限制？

Marissa, this is Brian. Yes, I think the improved environment for agency mortgages that we've seen really over the past, call it, 10 to 11 months gave us more comfort that the volatility that we saw in March would pass and that mortgage valuations or spreads would be much less volatile than, for example, what we saw last April and in previous episodes.

Marissa，我是 Brian。是的，我認為我們在過去大約 10 到 11 個月看到的機構房貸（agency mortgages）環境改善，讓我們更有信心：3 月看到的波動會過去，而且房貸估值或利差的波動性會遠低於例如去年 4 月以及更早之前的幾次事件。

And so we've decided -- we were able to raise ATM throughout the first-quarter, which allowed us to absorb some of that volatility as well. And we did not sell assets as a result of any increased volatility, and we're able to kind of invest along with -- and put money to work at wider levels as that volatility occurred.

因此我們決定——我們在整個第一季都能透過 ATM 募資，這也讓我們能吸收部分波動。我們並未因波動加劇而出售資產；相反地，在波動發生時，我們能一邊投資、一邊把資金投入到利差更寬的水準。

Jason Weaver, JonesTrading.

Jason Weaver，JonesTrading。

First of all, congrats on Kevin and David on the elevation. And well, thanks to John on his transition after a long tenure there. First of all, I was curious about the plan for the TBA position. Is this a structural hold part of the portfolio or planned more or less as a placeholder for rolling into specified cash pools over time?

首先，恭喜 Kevin 和 David 升任；也感謝 John 在任期很長之後的職務轉換。首先我想了解一下 TBA 部位的規劃。這會是投資組合中結構性持有的一部分，還是更像一個過渡性的占位，隨時間逐步轉入指定的現金池（specified cash pools）？

Jason, it's Brian. Yes, I think TBAs certainly have a place in the portfolio structurally. I think probably right now, because they're so attractive, that our allocation is a little bit heavier or at the higher end of what you'd be comfortable with. Naturally, I think our inclination is to own more specified pools as it's a bit more durable of a profile -- return profile. But right now, I think we're very comfortable with where TBA dollar roll markets are, and we think it's quite attractive. And so I think, at least in the near term, our plan is to keep that allocation where it is.

Jason，我是 Brian。是的，我認為 TBA 在投資組合中確實有其結構性的位置。我想目前因為它們非常有吸引力，我們的配置可能稍微偏重，或接近你能接受的較高端。自然地，我們的傾向是持有更多指定池，因為其報酬特性更耐久——更穩健。但就目前而言，我們對 TBA 的 dollar roll 市場水準非常滿意，也認為相當有吸引力。因此至少在短期內，我們的計畫是維持目前的配置比重。

Got it. Thanks for that.

了解。謝謝。

Sorry, I would just also add. I mean, agency TBAs do offer increased liquidity for the portfolio that allow us to shift leverage as we see fit in a very efficient manner. So like I said, I think structurally, they do have a place in the portfolio as long as they're not too punitive from a return perspective.

抱歉，我也補充一下。機構 TBA 的確能為投資組合提供更高的流動性，使我們能以非常有效率的方式，依需要調整槓桿。所以如我所說，只要從報酬角度來看不至於太具懲罰性，我認為它們在結構上確實在投資組合中有其位置。

That's helpful color. And then I see the swap book maturity termed out a bit, particularly in the 5-year bucket. Was that largely a function of rolling down from those shorter duration 6.5s into the 5 and 5.5?

這些說明很有幫助。接著我看到利率交換（swap）部位的到期結構拉長了一些，特別是在 5 年期那一段。這主要是因為從較短久期的 6.5 年往下滾動到 5 年與 5.5 年嗎？

Yes. Well, I think the swap maturities were kind of rolling down the curve themselves. I think moving from 6.5s into lower coupons would actually require us to extend hedges. And that was largely done, well, really through a mixture of both treasury futures and swaps. So we tend to own a bit more longer duration treasury hedges than we do in swaps. A lot of our swaps are kind of at the front end of the curve.

是的。我想 swap 的到期本身就在曲線上往下滾動。從 6.5 年轉到較低票息其實會需要我們延長避險，而這主要是透過公債期貨與 swap 的組合來完成。因此相較於 swap，我們通常持有較多長久期的公債避險；我們的 swap 多數偏向曲線前端。

Got it. And one more, if I may. Do you have an updated book value, quarter-to-date?

了解。若可以再問一個：截至目前（本季迄今）的每股淨值（book value）有更新嗎？

Yes. We're up about 2% since the end of the quarter.

有的。自季末以來大約上升了 2%。

(Operator Instructions)

（接線員指示）

Doug Harter, BTIG.

Doug Harter，BTIG。

Just following up on the risk/reward. How are you thinking about what is the range that we're likely to be in for spreads and how to think about the risks that we either break out on either side of -- on the high end or the low end of that range?

延續風險／報酬的問題。你們如何看待利差可能落在的區間範圍？以及如何思考我們可能在該區間兩端——上緣或下緣——突破時的風險？

Hey Doug, and welcome back. Yes. I think mortgage spreads, particularly relative to swaps, again, are quite attractive. They're maybe not quite as attractive as they were in previous years when volatility was much higher. But in the current environment, they're attractive, and we could see a little bit of further spread tightening.

嗨 Doug，歡迎回來。是的，我認為房貸利差，特別是相對於 swap 而言，仍然相當有吸引力。它們或許不像波動性更高的前幾年那麼吸引人，但在目前環境下仍具吸引力，而且我們可能還會看到利差進一步小幅收斂。

I think that could come from actually wider swap spreads, as opposed to necessarily tighter mortgage spreads versus treasuries. Because I think from a mortgage to treasury basis, valuations are, call it, fair to slightly tight. So there's not a lot of spread compression in that basis. But in the mortgage to swap basis, I think that there is some room for compression there.

我認為這可能其實來自 swap 利差走寬，而不一定是房貸相對公債的利差收斂。因為從房貸對公債的基差來看，估值大致屬於合理到略偏緊，所以在那個基差上沒有太多壓縮空間。但在房貸對 swap 的基差上，我認為仍有一些壓縮空間。

(Operator Instructions)

（接線員指示）

Trevor Cranston.

Trevor Cranston。

Can you just talk about how the GSEs are performing as a backstop buyer of MBS impacts? You know, you’re thinking on leverage and having sort of a lower level of downside risk necessarily equates to being willing to run at a higher leverage level going forward?

你能談談 GSE 作為 MBS 的後盾買方（backstop buyer）所帶來的影響嗎？也就是說，你們在思考槓桿時，較低的下行風險是否必然等同於未來願意以更高的槓桿水準運作？

Yes. Sure, Trevor. It's Brian. The GSEs, I think, particularly in March, we did see Fannie Mae kind of come in and act as that backstop. They added, I believe, $18 billion in March alone. The GSEs did add about $35 billion to their retained portfolios in the first-quarter. So they still have about $117 billion left under their current cash.

可以，Trevor。我是 Brian。我認為 GSE，特別是在 3 月，我們確實看到房利美（Fannie Mae）進場扮演後盾角色。據我所知，他們僅 3 月就增加了 180 億美元。GSE 在第一季合計也讓其保留投資組合（retained portfolios）增加約 350 億美元。因此在其目前的額度下，仍大約剩下 1,170 億美元可用。

And so we do think that while they are much more opportunistic than, say, the Fed during times of quantitative easing and they are being a bit more selective on coupons and actual stuff on pool story , they're certainly -- at least in March, they did help absorb a lot of that volatility.

因此我們確實認為，雖然他們在量化寬鬆期間不像聯準會那樣持續性地買入、而是更偏機會型，而且在票息與實際標的／池特性上更為挑選，但他們——至少在 3 月——確實有助於吸收大量波動。

And you're right, that does -- that reduces spread volatility, that does give us more comfort. Like I said, we did let leverage drift higher in March without selling assets because we did feel more comfortable in this environment, and we will continue to be that way. But again, I think the out-performance in April has brought leverage back down to closer to where we were at the beginning of the year. And I think that's probably a more normal long-term run rate for us as we feel very comfortable from a liquidity and risk perspective there.

你說得對，這會降低利差波動，也讓我們更安心。如我所說，我們在 3 月讓槓桿自然上升而未出售資產，因為在這個環境下我們感到更有把握，未來也會維持這樣的做法。不過，4 月的超額表現已使槓桿回落到更接近年初的水準。我認為那大概是我們長期較正常的運行水準，因為在那個水準下，從流動性與風險角度我們都非常舒適。

Got it. Okay. Then on the hedge portfolio, you just mentioned that a lot of the sort of longer tenor hedges are in the treasury bucket currently. Can you talk about how you think about the balance between swap spreads being more negative the further up the curve you go and potentially using longer-dated swaps to capture some of the negative swap spreads versus the liquidity and using treasury hedges on that side of the curve?

了解。那在避險投資組合方面，你剛提到較長天期的避險目前多在公債那一籃。你能談談你們如何在以下兩者間取得平衡嗎：一方面 swap 利差在曲線越長端越負、可能用長天期 swap 來捕捉負的 swap 利差；另一方面則是流動性考量，以及在曲線那一端使用公債避險？

Yes. Sure, Trevor. Yes, definitely, swap spreads, particularly in the 30-year portion of the curve are quite negative here, negative 80, whereas in the front end, like 5s and 10s are more like 30 to 45 on the negative side. So you're right, certainly more attractive from a negative spread perspective. But you also get a lot of spread duration out there. And so modest changes will add a lot more volatility to the portfolio in that regard.

可以，Trevor。是的，swap 利差，特別是在曲線的 30 年端，確實非常負，大約負 80；而在前端，例如 5 年與 10 年端，則大約是負 30 到負 45。所以你說得對，從負利差角度看確實更有吸引力。但在那個位置你也會承擔很大的利差久期，因此小幅變動就會在這方面為投資組合帶來更大的波動。

So I think we're much more comfortable, just given that spread versus swaps across the curve are still very attractive. We're much more comfortable kind of reducing that swap spread volatility by hedging with swaps at the front end of the curve, call it, between 0 and 10 years as opposed to going out as far as 30 years. We do own some 30-year swaps. But to the extent that we hedge out there, it's mostly in treasury futures.

因此我認為我們更傾向於——考量到整條曲線上相對 swap 的利差仍非常有吸引力——透過在曲線前端（大約 0 到 10 年）用 swap 來避險，以降低 swap 利差波動，而不是一路做到 30 年端。我們確實持有一些 30 年 swap，但若要在那一端做避險，多數是使用公債期貨。

Thank you. And at this time, I'll turn the call back over to the speakers.

謝謝。現在我把電話交回給發言人。

With no other questions, I just want to note that we appreciate everyone on the call's interest in Invesco Mortgage Capital, and we look forward to future engagement.

如果沒有其他問題，我只想表示我們感謝各位在電話會議中對景順房貸資本（Invesco Mortgage Capital）的關注，也期待未來能有更多交流。

Thank you. And that does conclude today's conference. We thank you for your participation. At this time, you may disconnect your lines.

謝謝。今天的電話會議到此結束。感謝各位的參與。此時您可以掛斷電話。