Orchid Island Capital Inc (ORC) 2025 Q1 法說會逐字稿

Good morning, and welcome to the first-quarter 2025 earnings conference call for Orchid Island Capital. This call is being recorded today, April 25, 2025. At this time, the company would like to remind the listeners that statements made during today's conference call relating to matters that are not historical facts are forward-looking statements subject to the Safe Harbor provisions of the Private Securities Litigation Reform Act of 1995.

早安，歡迎參加蘭嶼資本 2025 年第一季財報電話會議。本次通話於今天（2025 年 4 月 25 日）錄製。此時，公司想提醒聽眾，今天的電話會議中所作的有關非歷史事實的陳述均屬於前瞻性陳述，受《1995 年私人證券訴訟改革法》安全港條款的約束。

Listeners are cautioned that such forward-looking statements are based on information currently available on the management's good faith, belief with respect to future events, and are subject to risk and uncertainties that could cause actual performance or results to differ materially from those expressed in such forward-looking statements. Important factors that could cause such differences are described in the company's filings with the Securities and Exchange Commission, including the company's most recent annual report on Form 10k. The company assumes no obligation to update such forward-looking statements to reflect actual results, changes in assumptions, or changes in other factors affecting forward-looking statements.

請聽眾注意，此類前瞻性陳述是基於管理層的誠信、對未來事件的信念而得出的當前可用信息，並受風險和不確定性的影響，這些風險和不確定性可能導致實際業績或結果與此類前瞻性陳述中表達的業績或結果存在重大差異。該公司向美國證券交易委員會提交的文件中描述了可能導致此類差異的重要因素，包括該公司最新的 10k 表年度報告。本公司不承擔更新此類前瞻性陳述以反映實際結果、假設的變化或其他影響前瞻性陳述的因素的變化的義務。

Now, I would like to turn the conference over to the company's Chairman and Chief Executive Officer, Mr. Robert Cauley. Please go ahead, sir.

現在，我想將會議交給公司董事長兼執行長羅伯特·考利先生。先生，請繼續。

Thank you, operator, and good morning. Thank you for joining us today. I'm sitting here with Jerry Sintes, our Controller; and Hunter Haas, our Chief Investment Officer and Chief Financial Officer. We will follow -- oh, by the way, before we start, I hope everybody had a chance to download the deck, which we'll be following under the course of the call. So presuming you have that with you, we will be proceeding in chronological order.

謝謝接線員，早安。感謝您今天加入我們。我和我們的財務主管 Jerry Sintes 以及我們的首席投資長兼財務長 Hunter Haas 坐在一起。我們將跟進——哦，順便說一下，在我們開始之前，我希望每個人都有機會下載該演示文稿，我們將在通話過程中跟進。因此，假設您有這些，我們將按時間順序進行。

Just to give you a summary of what we'll do, we'll first have Jerry go over our financial results for the quarter. I'll then discuss the market developments that shaped the decisions we did and the performance of the portfolio. Then Hunter will dive into the portfolio and hedging positions to describe where we stand and what we've done. And then finally, I will do a kind of wrap-up, and then we'll open the call up to question and answers. So with that, I will turn the call over to Jerry Sintes.

為了讓您了解我們將要做的事情，我們首先讓傑瑞介紹本季的財務表現。然後我將討論影響我們所做的決策和投資組合表現的市場發展。然後，亨特將深入研究投資組合和對沖頭寸，描述我們的現狀和所做的工作。最後，我將進行總結，然後我們將開始問答環節。因此，我將把電話轉給傑瑞辛特斯 (Jerry Sintes)。

Thank you. If we turn to page 5. We'll start with the financial highlights for the quarter. For Q1, we earned $0.18 per share compared to $0.07 in Q4. Book value at 3/31 was $7.94 per share compared to $8.09 at 12/31. Total return for the quarter was 2.6% unannualized compared to 0.6% for Q4. And we declared and paid dividends of $0.36 per share for each quarter.

謝謝。如果我們翻到第 5 頁。我們將從本季的財務亮點開始。第一季度，我們的每股收益為 0.18 美元，而第四季度為 0.07 美元。3 月 31 日的帳面價值為每股 7.94 美元，而 12 月 31 日的帳面價值為每股 8.09 美元。本季總回報率為 2.6%，而第四季為 0.6%。我們每季宣布並支付每股 0.36 美元的股息。

If you turn to page 6, we go to some portfolio highlights. For Q1, the average portfolio was just under $6 billion compared to $5.3 billion in Q4. Our leverage ratio at 3/31 was 7.8 compared to 7.3 at 12/31 and prepayment speeds were 7.8 at Q1 compared to 10.5 for Q4. Liquidity at 3/31 was 52.2% compared to 52.9% at 12/31.

如果您翻到第 6 頁，我們會看到一些投資組合亮點。第一季的平均投資組合略低於 60 億美元，而第四季的平均投資組合為 53 億美元。我們的槓桿率在 3 月 31 日為 7.8，而 12 月 31 日為 7.3；第一季的預付款速度為 7.8，而第四季為 10.5。3 月 31 日的流動性為 52.2%，而 12 月 31 日的流動性為 52.9%。

On page 7 is our summarized financial statements, which you can read at your convenience. And now I'll turn it back over to Bob for market development discussion.

第 7 頁是我們的財務報表摘要，您可以隨時閱讀。現在我將把話題交還給鮑勃，進行市場開發討論。

Thanks, Jerry. And before we move on to the market developments, I just want to apologize, in our initial release back in the month, I think it was on the 9th when we released our preliminary earnings per share and book value numbers, we had the breakdown of earnings per share between net interest income and capital gains and loss reversed and it implied that the capital gain component was the larger of the two. And in fact, it was the much smaller. As we show in the press release, it was roughly a little under $0.02 for the capital gains and the rest of it was from net interest income. So I do apologize for that.

謝謝，傑瑞。在我們討論市場發展之前，我想先說聲抱歉，在我們本月首次發布的數據中，我想應該是在 9 日，我們發布了初步每股收益和賬面價值數字，我們將每股收益細分為淨利息收入和資本收益及損失，這意味著資本收益部分是兩者中較大的一個。事實上，它要小得多。正如我們在新聞稿中所展示的，資本利得大約略低於 0.02 美元，其餘部分來自淨利息收入。所以我對此深表歉意。

Turning now to slide 9, Q1 was actually very much a continuation of what we saw in Q4, absent what happened very late in the quarter and then, of course, very much changed a lot in early April. So just with respect to Q1, as you see on the top left, you can see the red line there. That's just where we were at the end of the year, and we had a significant rally in the cash treasury curve on the green line. And then since quarter end, we've had a significant move with respect to the tariffs and their expected impact on the economy and inflation.

現在翻到第 9 張投影片，第一季實際上是我們在第四季看到的情況的延續，除了本季末發生的事情之外，當然，4 月初也發生了很大變化。因此，就 Q1 而言，正如您在左上角看到的，您可以看到那裡的紅線。這正是我們在年底時的情況，綠線上的現金國庫曲線出現了大幅上漲。自本季末以來，我們在關稅及其對經濟和通膨的預期影響方面採取了重大舉措。

The market moved to price in three Fed cuts or three-plus Fed cuts by the end of the year and the long end sold off quite a bit. The initial concern was that this was foreigners dumping treasuries with the safe haven status of the dollar and US Treasury somewhat in doubt. Not so sure now that that's the case. We did see earlier this week the results of last week's auctions last specifically the 10- and 30-year, and there was really nothing that changed with respect to foreign participation in those auctions.

市場預期聯準會將在年底前降息三次或三次以上，而長期債券則遭遇了相當多的拋售。人們最初的擔心是，這是外國人拋售美國國債，而美元和美國國債的避風港地位受到質疑。現在不太確定情況是否如此。本週早些時候，我們確實看到了上週拍賣的結果，特別是 10 年期和 30 年期公債拍賣的結果，外國參與這些拍賣的情況實際上並沒有什麼變化。

But what we have seen in long end pressure, there's probably a couple of trading trends that explain that. One is what are known as basis trades with respect to the futures market. They're typically very highly levered trades put on by hedge funds. And when they have to delever, they involve selling the long end quite a bit. Another is just the fact that with the forced selling that was caused by the disruptions in the market, dealers had to take a lot of bonds onto their balance sheet, and that tends to, one, just selling of treasuries or any instrument that was liquid enough to be sold.

但我們在長期壓力中看到的，可能有幾個交易趨勢可以解釋這一點。一類是期貨市場的基差交易。它們通常是對沖基金進行的高槓桿交易。當他們必須去槓桿時，他們就會出售大量長端資產。另一個原因是，由於市場混亂導致被迫拋售，交易商不得不將大量債券計入其資產負債表，而這往往會導致國債或任何具有足夠流動性的工具被拋售。

But also when dealers take on a lot of positions on balance sheet, you typically see movements in swap spreads downward, more negative. And in fact, if you look just to the right, you can see what happened in the swap curve. It's notable, two things. One, if you look at the movements over the course of the quarter from 12/31 to 3/31, similar to what happened in the cash market. And of course, what happened since quarter end kind of mirrors that as well.

但當交易商在資產負債表上持有大量部位時，你通常會看到掉期利差向下變動，甚至出現更大的負面走勢。事實上，如果你看向右邊，你就能看到掉期曲線上發生了什麼事。值得注意的是兩件事。首先，如果你觀察一下從 12 月 31 日到 3 月 31 日這個季度的走勢，你會發現它與現貨市場的情況類似。當然，自本季末以來發生的事情也反映了這一點。

But notably, the absolute numbers are much lower. So swap spreads moved meaningfully negative late in the quarter and into April. And that had a lot to do with mortgage performance, which we'll get to in a minute. In fact, arguably, movements in swap spreads are the biggest drivers of mortgage performance today, and we'll talk about that, as I mentioned.

但值得注意的是，絕對數字要低得多。因此，掉期利差在本季末和 4 月出現了顯著的負成長。這與抵押貸款表現有很大關係，我們稍後會討論。事實上，可以說，掉期利差的變動是當今抵押貸款表現的最大驅動力，正如我所提到的，我們將討論這一點。

Moving on to the next slide on slide 10, as you can see at the top, this is just the spread of the current coupon mortgage to the 10-year. Over very large periods of time, that's probably the most appropriate benchmark, but more meaningfully of late, it's really the 5-year just because the current coupon mortgage is a higher coupon premium or premium but higher coupon security and it has a shorter duration than a 10-year.

繼續看第 10 張投影片，正如您在頂部看到的，這只是當前息票抵押貸款與 10 年期息票抵押貸款的利差。在很長一段時間內，這可能是最合適的基準，但最近更有意義的是，它實際上是 5 年期，因為當前的息票抵押貸款是更高的息票溢價或溢價，但更高的息票安全性，並且其期限比 10 年期更短。

So really, if you look at this versus five-year, you would see that the spread had widened out quite a bit because basically looking here, you would say that we really haven't widened that much. However, as I mentioned previously, swap spreads are very negative. And if you look at the spread of the current coupon to benchmarks of the swap curve, that spread is at very wide levels, widest we've seen probably since the outbreak of the COVID pandemic.

因此，實際上，如果將其與五年期進行比較，您會發現利差已經擴大了不少，因為基本上從這裡看，您會說我們實際上並沒有擴大那麼多。然而，正如我之前提到的，掉期利差非常低。如果你看一下目前票面與掉期曲線基準之間的利差，你會發現這個利差處於非常大的水平，可能是自 COVID 疫情爆發以來我們所見過的最大利差。

The bottom left, you can see the performance of mortgages, absolutely happened late in the quarter and early April did quite well. In fact, if you look at the Bloomberg indices mortgages, agency mortgages were the second best sector in the fixed income markets behind only tips. And as you can see here on the left here, as we approach late February into March, the market was rallying. Mortgages did very well. Orchid did well.

在左下角，您可以看到抵押貸款的表現，絕對發生在本季末，而 4 月初的表現相當不錯。事實上，如果你看一下彭博指數抵押貸款，你會發現機構抵押貸款是固定收益市場中僅次於小貼士的第二好行業。正如您在左側看到的，隨著二月底進入三月，市場開始回升。抵押貸款表現非常好。蘭花做得很好。

Most of our peers had solid positive returns and kind of characteristic with mortgage market as a whole. To the right, you see the roll market. I'll point out a couple of things. On the left, two-thirds of that slide, you can see during most of 2024, rolls were not very attractive. That did change quite a bit in the first quarter.

我們的大多數同行都獲得了穩健的正回報，並且具有整個抵押貸款市場的特徵。在右邊，您可以看到卷市場。我要指出幾點。在左側，也就是該投影片的三分之二處，您可以看到在 2024 年的大部分時間裡，卷都不是很有吸引力。第一季的情況確實發生了很大變化。

They did quite well. That also just helps the class as a whole. There's a lot of factors that drive roles, one of which is just the technical supply and demand such that if there's demand for mortgages in the front month, but there's not a lot of supply, the price of the front month mortgage can get bid up and the drop appears to be larger, and that gives you a nice attractive role.

他們做得很好。這也有助於整個班級。有很多因素會影響角色，其中之一就是技術供應和需求，如果前一個月有抵押貸款需求，但供應不多，那麼前一個月抵押貸款的價格可能會上漲，而降幅似乎更大，這給你一個很有吸引力的角色。

Most of what we saw in the first quarter was actually demand from CMO desks for mortgages as they were generating unprecedentedly high levels of CMO floaters, mainly for the banking community. So that helps support the role, did fall off quite a bit as we enter April.

我們在第一季看到的大部分情況實際上是來自 CMO 部門的抵押貸款需求，因為它們產生了前所未有的高水準的 CMO 浮動利率，主要針對銀行業。因此，這有助於支持這一角色，但進入四月後，這一角色確實下降了不少。

Now, just moving on to slide 11, volatility as you can see, the top slide is quite high. This top slide is a 12-month look back. We are at the highest levels for that period. I would note that the VIX, which is equity vol was also very high and correlations, which we typically see that have been in place for decades between bonds, treasuries rates, treasuries in particular, and equities has really broken down to a large extent over the last month or so.

現在，請繼續看投影片 11，波動性如您所見，頂部投影片相當高。這張頂部幻燈片是對 12 個月的回顧。我們處於那個時期的最高水準。我想指出的是，VIX，即股票波動率，也非常高，而且我們通常看到的債券、國債利率（特別是國債）和股票之間幾十年來的相關性在過去一個月左右已經大幅下降。

So for instance, when you would typically have equity weakness and a flight to quality bid, you would see treasuries rally. In fact, we saw just the opposite and their correlations have become more positive, which is very atypical. Just looking at some perspective here on the bottom just shows these Vol levels going back 10 years. And you can see we're at quite high levels. The big spike you see in March of '23 is the regional banking crisis. And then back in March of '20, that's the COVID pandemic. So the Vol has generally been elevated. And outside of the regional banking crisis, the current level of vol is really at the highs of the range that we've had for the last few years.

舉例來說，當股市普遍疲軟、投資人紛紛轉向優質資產時，就會看到國債價格上漲。事實上，我們看到的恰恰相反，它們的相關性變得更加正向，這是非常不典型的。只要從底部的某個角度看，就能看到這些波動率水準回溯到 10 年前。您可以看到我們的水平相當高。23 年 3 月出現的大高峰是區域性銀行業危機。然後回到 2020 年 3 月，那是新冠疫情。因此，Vol 總體上是上升的。除地區銀行業危機外，目前的波動率水準實際上處於過去幾年的高點。

Now moving on to slide 12, and this is a new slide. This shows swap spreads. As I mentioned, they've moved quite a bit. So what we show here are just four different tenors. The top one is the two-year. The orange line is the 5-year, the green line is the 7-year and the blue line is the 10-year. As you can see, they have moved dramatically and become quite volatile of late.

現在轉到第 12 張投影片，這是一張新投影片。這顯示了掉期價差。正如我所提到的，他們已經移動了不少。所以我們這裡展示的只是四種不同的男高音。最上面的是兩年。橘線為 5 年期，綠線為 7 年期，藍線為 10 年期。如您所見，它們最近發生了劇烈波動，並且變得相當不穩定。

So there's two takeaways from this. One, if you have new capital to deploy today and you're looking to hedge that with swaps, the investment opportunities are phenomenal, extremely attractive spreads, the widest spreads we've seen in quite a time. The flip side of that is if you entered this period by hedging with swaps, it might have been painful. Hunter is going to talk at length about what we've done in the portfolio. I will just give you a brief executive summary.

因此，我們可以得出兩個結論。首先，如果您今天有新的資本要部署，並且希望透過掉期來對沖，那麼投資機會是驚人的，利差極具吸引力，是我們相當長一段時間以來見過的最大利差。另一方面，如果你透過掉期對沖進入這段時期，那麼可能會很痛苦。亨特將詳細講述我們在投資組合中所做的工作。我僅向你們提供一份簡短的執行摘要。

What we generally did, we raised quite a bit of capital during the quarter. We deployed a lot of that proceeds into higher coupon but shorter-duration assets. So shorter duration assets, and we hedge them predominantly with longer duration hedges. So the combination of a short-duration asset being hedged by a longer duration hedge means that you don't need as much notional to do so. So that mitigated our exposure to these decline in swap spreads.

我們通常的做法是，我們在本季籌集了相當多的資金。我們將大部分收益投入票面利率較高但期限較短的資產。因此，對於期限較短的資產，我們主要以期限較長的避險來避險。因此，短期資產與長期資產對沖的組合意味著你不需要那麼多名目金額來實現這一點。因此，這減輕了我們對掉期利差下降的影響。

And going forward, we would also change the mix, not as much swaps we use more treasury futures. And so if you, for instance, look at our swap notional versus our repo balance, it's much lower. And the reason is the repo balance tends to track your asset size, but because the asset mix has moved to more shorter-duration assets, and we're using longer tenure swaps or futures, the notionals are low in relation to the repo liability.

展望未來，我們也將改變組合，不再使用掉期交易，而是使用更多的國債期貨。因此，如果你看一下我們的掉期名目金額與回購餘額，你會發現它要低得多。原因是回購餘額往往會追蹤您的資產規模，但由於資產組合已轉向更多短期資產，且我們使用較長期限的掉期或期貨，因此相對於回購負債而言，名目金額較低。

Moving on to slide 13, this story remains the same. It's just what we've been experiencing for quite some time. The top left, the blue line there is just the refi index. We are at historically low levels. And the red line is mortgage rates, they are very, very high, and it's keeping refinancing activity low. If you look at the bottom chart, you can see that the percentage of the mortgage universe that's refinanceable is very low by historical standards.

翻到第 13 張投影片，這個故事仍然是一樣的。這正是我們長期以來所經歷的。左上角的藍線就是再融資指數。我們正處於歷史最低水準。紅線是抵押貸款利率，非常非常高，導致再融資活動處於低點。如果您查看底部圖表，您會發現以歷史標準來看，可再融資的抵押貸款比例非常低。

The top right just shows the primary-secondary spread. That chart is somewhat misleading, just reflects the fact that one, rates have been very, very volatile, but also we have rate data on a minute-by-minute, day-by-day basis. Mortgage rates, we don't get the data as regularly. And so sometimes you just have timing differences where you can lead to apparent spikes down in the primary secondary spread basis, but that really has been fairly stable. One thing with respect to spreads, we do want to mention is that, as you probably heard, the merge between Rocket Mortgage and Nationstar, this has the potential to definitely increase speeds or hurt the convexity of the mortgage universe.

右上角僅顯示了主次傳播。這張圖表有點誤導，只是反映了一個事實：一方面，利率一直非常不穩定，但我們也有逐分鐘、逐天的利率數據。我們沒有定期取得抵押貸款利率資料。因此，有時只是存在時間差異，這可能會導致主要次要利差基礎出現明顯的峰值，但這實際上是相當穩定的。關於利差，我們確實想提一下，正如您可能聽說的那樣，Rocket Mortgage 和 Nationstar 的合併有可能肯定會提高速度或損害抵押貸款領域的凸性。

We have added a slide to the appendix, which we will talk about later, slide 28, and it basically breaks down our exposure to loans serviced by Nationstar. And obviously, there's a potential for this development to affect performance and the pay-ups for specified pools. But as of yet, we really don't have any hard data to point to. So that's still TBD.

我們在附錄中添加了一張幻燈片，稍後我們會討論，第 28 張幻燈片，它基本上分解了我們對 Nationstar 提供的貸款的風險敞口。顯然，這種發展可能會影響特定資金池的表現和支付。但到目前為止，我們確實還沒有任何確切的數據可供參考。所以這仍有待確定。

Slide 14, I don't really have much to say about that other than it just shows you the long-term historical relationship between nominal GDP and the money supply. And as you can see, as the government has been running massive deficits of late, money supply is very far above its long-term trend growth and has corresponded into higher GDP growth. With that, that's it for the market, and I will turn it over to Hunter. He will go through the portfolio.

投影片 14，除了向您展示名目 GDP 和貨幣供應量之間的長期歷史關係之外，我對此沒有太多要說的。正如你所看到的，由於政府最近出現巨額赤字，貨幣供應量遠高於其長期趨勢增長，並與更高的 GDP 增長相對應。市場情況就是這樣，我將把它交給亨特。他將審查該投資組合。

Thank you, Bob, and good morning. We have a lot to discuss this morning. We've been very busy, quite active in the capital markets in the first quarter. And so I have a lot of updates for you. We also want to be mindful of letting our shareholders, as well as the counterparties with which we have credit relationships, know what measures we've been taking to safeguard ourselves from recent market volatility.

謝謝你，鮑勃，早安。今天早上我們有很多事情要討論。第一季我們在資本市場上非常忙碌、非常活躍。因此我有很多更新資訊要告訴你們。我們還希望注意讓我們的股東以及與我們有信貸關係的交易對手了解我們採取了哪些措施來保護自己免受近期市場波動的影響。

As such, I'll be discussing activity and several metrics that are as fresh as last night's close. And I just want to mention that's April 24. I just want to reiterate how important it is that these discussions related to activity this month are our company's best estimates and are internally generated, unaudited, subject to change, and all the things that Howard said in the Safe Harbor discussion at the beginning of the call. So with that, on slide 16, as I mentioned, we were quite busy. We raised quite a proportion to our size, or quite a bit of capital in the first quarter, $206 million worth.

因此，我將討論與昨晚收盤時一樣新鮮的活動和幾個指標。我只想說那是 4 月 24 日。我只是想重申，這些與本月活動相關的討論非常重要，它們都是我們公司的最佳估計，是內部生成的、未經審計的、可能會發生變化，以及霍華德在電話會議開始時在安全港討論中所說的所有內容。因此，正如我在第 16 張投影片上提到的那樣，我們非常忙碌。我們在第一季籌集了相當比例的資金，或者說相當多的資金，價值 2.06 億美元。

In fact, we sold 25 million shares of stock. We estimate that the shares that we sold were a little bit accretive, slightly accretive to shareholders, and so above book value in the aggregate, net of any fees we would have had to pay. With that said, as the market became more volatile coming into the end of March and more so in April, the stock price just didn't perform very well, and we reactivated our buyback program. April month to date, we've repurchased over 1 million, 1.1 million shares of stock. We did so at a weighted average price net of commissions of $6.44 at a time when we spotted our book value at roughly $7.36, give or take. So there's that buyback was also quite accretive to shareholders' equity.

事實上，我們賣出了 2500 萬股股票。我們估計，我們出售的股票有一點增值，對股東來說略有增值，因此總體上高於帳面價值，扣除我們必須支付的任何費用。話雖如此，隨著 3 月底和 4 月市場波動加劇，股價表現不佳，我們重新啟動了回購計畫。截至 4 月份，我們已經回購了超過 100 萬、110 萬股股票。我們以扣除佣金後的加權平均價格 6.44 美元來計算，而當時我們的帳面價值約為 7.36 美元。因此，回購對股東權益的增值也相當大。

Getting back to the portfolio and what we did with that capital that we raised in the first quarter, we bought quite a bit of Fannie 5.5s, 6s and 6.5s, exclusively those 3 coupons. We did early in the quarter, we've been carrying a $200 million Fannie 3 short just because that role was trading really poorly.

回到投資組合以及我們如何使用第一季籌集的資金，我們購買了相當多的房利美 5.5 倍、6 倍和 6.5 倍債券，只購買了這 3 張票面利率債券。我們在本季初就確實持有價值 2 億美元的 Fannie 3 空頭頭寸，因為該頭寸的交易情況非常糟糕。

It firmed up a little bit, and we found some slow-paying Fannie 3s that really weren't doing anything for us and more or less just delivered them into that TBA. I think we got a little bit of pay up for the pools we sold, but we just sold them on swap and took a little pay up in, reduced our exposure to Fannie 3s by $200 million and really sort of helped the carry of the portfolio overall.

它稍微堅固了一些，我們發現一些付款緩慢的 Fannie 3s 實際上並沒有為我們帶來任何好處，或多或少只是將它們交付給了 TBA。我認為我們出售的資產池獲得了少量回報，但我們只是以掉期交易的方式出售它們並收取少量回報，從而將我們對 Fannie 3s 的敞口減少了 2 億美元，並確實在一定程度上幫助了整個投資組合的持有。

So going back to the new capital. We added approximately $306 million Fannie 30-year Fannie 5.5s. Those were all either New York or Florida pools. We're kind of on to the Florida story, I think, relatively early and think that those are going to be good assets to hold, especially in the premium space. We added a lot of 30-year 6s, predominantly Floridas and low loan balance pools in kind of the 200,000 to 275,000 max range and some FICOs.

所以回到新首都。我們增加了約3.06億美元的房利美30年期5.5%房利美債券。這些債券全部來自紐約或佛羅裡達的資產池。我認為，我們對佛羅裡達的故事了解得比較早，並認為這些將是值得持有的良好資產，特別是在高端領域。我們增加了許多 30 年期 6 個月期債券，主要是佛羅裡達州債券和最高金額在 200,000 至 275,000 之間的低貸款餘額池以及一些 FICO。

And we also added $458 million 30-year 6.5s. Again, those are the same sort of combination as the 6s, 225Ks, Florida, FICO. During the month, we also put on a little bit of a basis hedge or what we hope would be a little bit of a basis hedge in a door 15 Fannie 5.5 swap. We like that for times when mortgages get a little too snug as they were really going into February.

我們也增加了4.58億美元的30年6.5秒貸款。這些組合與6秒貸款、225K貸款、佛羅裡達州貸款和FICO貸款的組合相同。在這個月裡，我們還在 15 房利美 5.5 掉期中進行了少量基差對沖，或者我們希望能進行少量基差對沖。我們喜歡這樣的情況，因為抵押貸款變得有點太緊張，就像進入二月一樣。

With respect to the -- going back to slide 16, sorry. I just want to point out one more thing or two more things. The WAC of the portfolio, importantly, at the end of December was 503. As you can see, the result of the securities repurchased in the quarter, that drifted up to 532. And we have sold some assets since the end of the quarter and so the WAC of the portfolio has drifted up a little bit more. And that leads me to some activity that's taken place since the end of the period.

關於——回到第 16 張投影片，抱歉。我只想再指出一兩件事。重要的是，12 月底該投資組合的 WAC 為 503。如您所見，本季回購證券的結果上升至 532。自本季末以來，我們已出售了一些資產，因此投資組合的加權平均資本成本 (WAC) 有所上升。這讓我想到了自該時期結束以來發生的一些活動。

We sold roughly $690 million worth of securities, basically to get our leverage back in check. Our leverage at the end of December was 7.3%, 7.8% at the end of the first quarter, and I spotted it last night at 7.4%. Just to kind of carry through that thought. You have a choice to make any time that you suffer some losses and the portfolio is down in value. We estimate that the portfolio was down book value was down roughly 8.3% as of last night.

我們出售了價值約 6.9 億美元的證券，主要是為了重新掌控我們的槓桿率。我們的槓桿率在 12 月底是 7.3%，第一季末是 7.8%，昨晚我發現是 7.4%。只是為了貫徹這個想法。當您遭受損失並且投資組合價值下降時，您可以隨時做出選擇。我們估計，截至昨晚，該投資組合的帳面價值已下跌約 8.3%。

And so as we moved down a book value, experienced some losses, you have the choice to either explicitly let your leverage ratio rise or mitigate that by selling some securities. We thought it would be prudent to go ahead and sell some bonds. And so the ones we sold were lower carry assets, lower coupons. As I discussed, the WAC of the portfolio drifted up slightly because of what we sold. We sold $353 million Fannie 4s, $125 million 5s and $114 million 5.5s. We also put on a TBA hedge shorting $200 million more Fannie 4s.

因此，當我們的帳面價值下降，遭受一些損失時，您可以選擇明確提高槓桿率，或透過出售一些證券來緩解損失。我們認為繼續出售一些債券是謹慎的做法。因此，我們出售的是持有率較低、息票較低的資產。正如我所討論的，由於我們出售的資產，投資組合的加權平均資本成本 (WAC) 略有上升。我們出售了3.53億美元的房利美4年期債券、1.25億美元的5年期債券和1.14億美元的5.5年期債券。我們也進行了TBA對沖，做空了2億美元的房利美4年期債券。

As it looked last night, I think that we're maybe 4 or 5 basis points tighter on a mortgage swap basis than we were at the time that we executed these sales. And the market has swung around violently since the first few first couple of days of this week. And so we're starting to recover some. The past three days have been quite positive for mortgage assets.

正如昨晚所見，我認為我們的抵押貸款掉期利率可能比我們執行這些銷售時低 4 或 5 個基點。自本周初幾天以來，市場波動劇烈。因此我們開始恢復一些。過去三天，抵押資產的表現相當積極。

And so we'll jump back into those securities as and if things continue to quiet down, volatility drops, portfolio gains value and our leverage ratio would then start going lower and lower. So we like where we are positioned, kind of mid-7s leverage ratio. We're comfortable with that. Our liquidity position is actually a little bit higher than it was at the end of 3/31. And so we feel good about the risk of our portfolio and the steps that we've taken to mitigate potential for future losses.

因此，如果情況繼續平靜下來，波動性下降，投資組合價值增加，我們的槓桿率就會開始越來越低，我們就會回到這些證券。因此，我們喜歡我們現在的定位，即 7 秒左右的槓桿率。我們對此感到滿意。我們的流動性狀況實際上比 3 月 31 號末的水平略高一些。因此，我們對我們的投資組合的風險以及我們為減輕未來損失的可能性而採取的措施感到滿意。

Slide 17 is just kind of a rehash of the portfolio stats that we've just discussed. The funding on slide 18, at the end of 12/31, our weighted average repo rate was 4.46%. I'm sorry, 4.46% at the end of March. And as of last night, the weighted average repo rate was 4.47%. So not a lot of change there.

投影片 17 只是我們剛剛討論過的投資組合統計的重新整理。投影片 18 的融資，截至 12 月 31 日末，我們的加權平均回購利率為 4.46%。不好意思，3月底是4.46%。截至昨晚，加權平均回購利率為4.47%。因此那裡沒有太多變化。

We have not seen a change in any material changes in haircuts or the counterparties pulling back from the space so far at least. So I think that people in our space are reasonably well positioned. And while we might incur some losses, it's nothing as dramatic as it was, say, during COVID times. But who knows anything can change, right? So the average term for the repo book was also 26 days at the end of December, 40 days at the end of March, and it's currently 30 days right now.

至少到目前為止，我們還沒有看到折扣有任何實質性的變化，也沒有看到交易對手退出該領域。所以我認為我們這個領域的人處於相當有利的位置。雖然我們可能會遭受一些損失，但並不像新冠疫情期間那麼嚴重。但誰知道什麼事情都會改變，對吧？因此，回購簿的平均期限在 12 月底也是 26 天，在 3 月底是 40 天，目前是 30 天。

So not a lot of changes to report in the repo side of the house. As it relates to slide 19, we talk about our hedges. Of course, I mentioned we unwound several different mortgage securities. We also unwound a number of swaps to offset that risk. We just kind of go through some of the hedging activity that we did in the period.

因此，回購方面沒有太多需要報告的變化。由於它與幻燈片 19 相關，我們討論了我們的對沖。當然，我提到我們解除了幾種不同的抵押貸款證券。我們也解除了一些掉期交易以抵銷這種風險。我們只是回顧一下我們在此期間進行的一些對沖活動。

Early in the quarter, as expectations for Fed cuts were low, the Fed funds curve was very flat really with only one full cut priced into 2025 and 2026. We use that as an opportunity to unwind $500 million, 1- and 2-year swaps on the very front end of the curve. We moved that duration out the curve to kind of 10-year point. And then as we added assets during Q1, we predominantly hedged them with a mix of 5, 7s and 10s, skewing a little more heavily towards the 7s and 10 years and skewing more heavily to swaps and treasuries. We did short some 10-year ultra futures.

本季度初，由於對聯準會降息的預期較低，聯邦基金曲線實際上非常平坦，只有一次全面降息被計入2025年和2026年。我們利用這個機會在曲線的最前端解除 5 億美元 1 年期和 2 年期掉期交易。我們將該持續時間從曲線移至 10 年左右。然後，當我們在第一季增加資產時，我們主要用 5 年期、7 年期和 10 年期債券組合來對沖它們，稍微偏向 7 年期和 10 年期債券，並且更偏向掉期和國債。我們確實做空了一些10年期超長期貨。

Late in February, early March, the market had gone from pricing in only 1 cut in '25 to '26 to almost 4. And so we reestablished a hedge on the front end of the yield curve to economically lock in those projected Fed cuts. We did so by adding a two-year SOFR future strip and I think, $115 million and a $250 million six-month two-year forward starting swap. Those were done at rates around 360 because I think the yield that we have achieved on the incremental capital that we put to work was in the 5 kind of 60 area, whereas the legacy portfolio is quite a bit lower than that. So we feel good about where we got in and where we've been able to hedge our funding costs.

2 月底、3 月初，市場對 2025 年至 2026 年降息的預期從僅一次上升至近四次。因此，我們在殖利率曲線的前端重新建立了對沖，以在經濟上鎖定聯準會的預期降息。我們透過增加兩年期 SOFR 期貨條（我認為是 1.15 億美元）和 2.5 億美元的六個月期兩年期遠期起始掉期來實現這一目標。這些都是以 360 左右的利率完成的，因為我認為我們投入的增量資本所實現的收益率在 5 到 60 之間，而傳統投資組合的收益率要比這低得多。因此，我們對我們所處的階段以及我們能夠對沖融資成本的能力感到滿意。

Slide 20 is just more kind of the hedge picture. You can see the stats gone through most of this. As I mentioned, we added some 5, 7s and 10s since quarter end. So this gives you a breakdown of the portfolio from 12/31 or from the hedging book from 12/31 to 3/31. And subsequent to that, most of what we've done on the unwinds has been in the eight- and nine-year forward curve. So we unwound $474 million, seven- and eight-year pay swaps, and we shorted $200 million.

幻燈片 20 更像是一種樹籬圖片。您可以看到統計數據經歷了大部分這樣的過程。正如我所提到的，自季度末以來我們增加了一些 5、7 和 10。因此，這將為您提供從 12 月 31 日開始的投資組合或從 12 月 31 日至 3 月 31 日的對沖帳簿的細目分類。此後，我們所做的大部分平倉工作都是在八年和九年的遠期曲線上進行的。因此，我們解除了價值 4.74 億美元的七年期和八年期薪酬互換合同，並做空了 2 億美元。

Slide number 21, I'll just leave this with you. It's just like what the return and risk reward comparison of the coupon stack. This is generic TBAs and this isn't really specific to our portfolio, although we do it's a little confusing, we do add our portfolio allocation over these are just generic TBAs. Of course, our portfolio is constructed almost all specified pools that have some sort of story to them.

第 21 張投影片，我就把它留給你們了。這就像優惠券堆疊的回報和風險回報比較一樣。這是通用的 TBA，並不是真正特定於我們的投資組合，儘管我們確實有點困惑，但我們確實在這些只是通用的 TBA 上添加了我們的投資組合分配。當然，我們的投資組合幾乎都是由某種故事的指定資金池所構成的。

So we don't really have anything. We have some lower pay-up bonds, which is a lot of what we sell in times like April distressed periods, but we don't have anything we really call TBA. The Page 22 is our interest rate sensitivity profile. It has a DV01 of the portfolio listed there as well as kind of the dollar and percent change of up and down 50 shot. I'd just note that since the end of March number one, this was at the end of March, this was very flat.

所以我們其實什麼都沒有。我們有一些低償付債券，其中很大一部分是我們在四月份困難時期出售的，但我們沒有真正稱為 TBA 的債券。第 22 頁是我們的利率敏感度概況。它列出了投資組合的 DV01，以及美元種類和上下 50 倍的百分比變化。我只是想指出，自三月底以來，情況一直很平穩。

This won't guard against basis widening that we've seen. Almost all of our losses that we've experienced in the fourth quarter sorry, in the second quarter have been attributable to basis widening. This profile is even more flat as of yesterday. It's down 0.05% in the down 50% and down 0.24% in the up 50%. We keep an eye on this every day as well as several other risk measures.

這無法防止我們已經看到的基礎擴大。我們在第二季度，也就是第四季遭遇的幾乎所有損失，都是由於基礎擴大造成的。截至昨天，這一概況變得更加平坦。在下跌 50% 的區間內，其下跌了 0.05%，而在上漲 50% 的區間內，下跌了 0.24%。我們每天都會關注這一點以及其他幾項風險措施。

Slide number 23 is our prepayment experience. As you can see, speeds were 6.2% in Jan, 7.3% in Feb and 9% in March. On an average basis for the first quarter, that was 7.5% versus 10.2% in the fourth quarter. I would note that as we've added assets that are higher in coupon, we're going to start seeing that speed probably creep up a little bit. And April was jumped up a little bit.

第 23 張投影片是我們的預付款經驗。如您所見，1 月份速度為 6.2%，2 月份速度為 7.3%，3 月份速度為 9%。第一季平均成長率為 7.5%，而第四季為 10.2%。我想指出的是，隨著我們增加票面利率更高的資產，我們將開始看到速度可能會略有上升。艾普莉爾 (April) 有點興奮。

It was 9%. How that relates to our book value, we had in January, $1.2 million worth of accretion. So our discounts were paying fast enough that they overwhelmed the paydowns associated with our premiums to the tune of $1.2 million. So paydowns actually helped us in that case. February, that number was $800,000.

佔比為 9%。這與我們的帳面價值有何關係？ 1 月我們的帳面價值增加了 120 萬美元。因此，我們的折扣回報速度足夠快，以至於超過了與我們的保費相關的 120 萬美元的還款。因此，在這種情況下，還款實際上幫助了我們。2 月份，這個數字是 80 萬美元。

March, it was $640,000. And then as I just alluded to, we've skewed up much higher in coupon over the course of the first quarter. So we had $325,000 worth of paydown related amortization in the month of April. That's about all I have for you. So I'll turn it back over to Robert to give you the outlook and the Q1 wrap-up.

三月份，這一數字為 64 萬美元。然後，正如我剛才提到的，我們在第一季的票面利率大幅上升。因此，我們在四月的還款相關攤銷價值為 325,000 美元。這就是我要告訴你的全部內容。因此我將把主題交還給羅伯特，讓他為您介紹前景和第一季的總結。

Thanks, Haas. Just to summarize, kind of looking back, Q1 for the most part, was a very good quarter. Mortgage performance was very strong. That was reflected in the price of the stock as well. We were able to raise capital on an accretive basis, and we did take some meaningful changes to the portfolio, and we're happy with how we've repositioned the portfolio. Looking forward, tons of uncertainty.

謝謝，哈斯。總而言之，回顧一下，第一季整體來說是一個非常好的季度。抵押貸款表現非常強勁。這也反映在股票價格上。我們能夠在增值的基礎上籌集資金，並且我們確實對投資組合進行了一些有意義的改變，我們對重新定位投資組合的方式感到滿意。展望未來，充滿著不確定性。

The market has become quite volatile. The driver of the volatility, as we all know, are, of course, the tariffs and the impact they will have on trade relationships, inflation growth, but also the fact that a lot of this information, as we all know, comes out kind of in the form of headlines, which means they're kind of hard to predict. It's not like regularly scheduled economic data that's actually taken a big backseat to these developments. In fact, given the fact that most of the economic data is backward looking, it tends to be disregarded by the market for the most part. And everything is focused on everything with respect to trade, tariffs and so forth.

市場變得相當動盪。眾所周知，波動的驅動因素當然是關稅及其對貿易關係、通膨成長的影響，但眾所周知，許多此類資訊都是以頭條新聞的形式出現的，這意味著它們很難預測。它不像定期發布的經濟數據那樣，實際上在這些發展面前處於次要地位。事實上，鑑於大多數經濟數據都是回顧性的，因此市場往往忽略它們。一切都集中在與貿易、關稅等有關的事情上。

Clearly, the market has taken all of this and process that and try to guess what this means going forward. Obviously, the tariffs are expected to have some potential impact on inflation, drive prices higher, at least in the short term, even if it is a onetime shock in nature, remains to be seen whether or not it plays out in that regard. But in any event, it's expected to be at least short-term inflationary, but also drive growth slower. We've already seen the economy being resilient, but not robust. And these events are likely to cause us to slow.

顯然，市場已經接受了這一切，並對其進行了處理，並試圖猜測這對未來意味著什麼。顯然，關稅預計將對通膨產生一些潛在影響，並推高價格，至少在短期內如此，即使這本質上是一次性衝擊，但是否能起到作用還有待觀察。但無論如何，預計至少會引發短期通膨，還會拖累經濟成長放緩。我們已經看到經濟具有彈性，但並不強勁。這些事件可能會導致我們放慢腳步。

As we mentioned before, the market is pricing in three or fourcuts this year, maybe as soon as June. And so you'll expect this combination of slower growth, which would put upward pressure on the unemployment rate and tariffs and pricing pressures, which put upward pressure on inflation, those work against both of the Fed's mandates. So the Fed is clearly in a predictment here. In any event, we don't know with any degree of certainty. We have no basis of having any conviction in our outlook in terms of how exactly this is going to play out.

正如我們之前提到的，市場預計今年降息三次或四次，最早可能在六月。因此，你會預期經濟成長放緩會對失業率造成上行壓力，而關稅和物價壓力則會對通膨造成上行壓力，這些都違背了聯準會的兩項職責。因此，聯準會顯然做出了預測。無論如何，我們都無法確定。對於事情究竟會如何發展，我們沒有任何確信的基礎。

It's just too volatile and too much remains to be seen. But as I mentioned, the kind of general takeaway from this is it's probably slower for growth. There's potential for Fed eases, and it's going to push inflation up, which would tend to push long-term rates up. Both of those developments lead to a steeper curve, which is good for us. So if you look at the way we're positioned with a skew towards higher coupon, shorter duration assets, that generate lots of carry, hedged on the long end predominantly and the steepness of the curve, the should work quite well.

它太不穩定了，還有太多事情要觀察。但正如我所提到的，從中可以看出，成長速度可能會變慢。聯準會有可能放鬆政策，這將推高通膨，進而推高長期利率。這兩項發展都導致曲線更加陡峭，這對我們來說是有利的。因此，如果你看一下我們的定位方式，即偏向於票面利率較高、期限較短的資產，這些資產產生大量的套利，主要對沖長期資產，並且曲線陡峭，那麼應該會效果很好。

We're very happy with our position, but we also are very, very aware of the fact that this can all change. And we, like everybody else, are just watching the market every day and just interpreting the events as they occur and hoping we can be positioned or repositioned as effectively and quickly as possible. But by and large, we are, all things considered, happy with our positioning. And that's about it. With that, we can turn the call over to questions, operator. So that is all of our prepared remarks.

我們對自己的立場非常滿意，但我們也非常清楚這一切都可能改變。和其他人一樣，我們每天都在關注市場，解讀事件的發生，希望能盡可能有效且快速地定位或重新定位。但總的來說，我們對自己的定位感到滿意。就是這樣。這樣，我們可以將電話轉給提問者了，接線生。這就是我們所有準備好的發言。

(Operator Instructions) Jason Weaver, Jones Trading.

（操作員指示）Jason Weaver，Jones Trading。

First of all, can you tell me where you see your duration gap both at the end of the quarter and to date after the sales you made?

首先，您能否告訴我，在季度末以及銷售之後，您認為持續時間差距在哪裡？

We don't do that. Hunter mentioned that we don't look at it in terms of just numbers. We do it in DV01 basis. And I think on slide 22, we have that as $13. Is that what that represents? So that will be $13. It's very narrow. And I think you mentioned it was about the same as of now.

我們不這麼做。亨特提到，我們不能只從數字的角度來看這個問題。我們在 DV01 基礎上進行。我認為在第 22 張投影片上，我們將其定為 13 美元。這就是它所代表的嗎？所以是 13 美元。它非常狹窄。我認為您提到現在的情況大致相同。

Yes, it's very, very flat. It's slightly we're kind of in this convexity elbow. So we have a decline in value in this 50 basis point shift. We narrow it in a little bit more, the duration one hasn't changed materially since the end of.

是的，它非常非常平坦。我們稍微有點處於這種凸肘狀態。因此，在這 50 個基點的轉變中，價值有所下降。我們將其範圍再縮小一點，自結束以來持續時間並沒有發生實質的變化。

Got it. I was just thinking about how you made the comments about how you were hedging with longer-dated swaps, and I didn't know if that had changed post quarter end. But it seems like you would benefit from a seasoning action in that.

知道了。我只是在想你是如何評論如何利用較長期掉期進行對沖的，我不知道這在季度末之後是否有所改變。但看起來你會從其中的調味行動中受益。

Yes. We unwound predominantly longer assets. Most of what we unwound were discounts. So 4s, I think 5.5s and 5. So the 5.5% is a little closer to par. But like I said, I think we really only had to unwind 2 swaps and one was a 7-year and one was kind of like a 2-year old, 2-year-old 10-year, yes. So other than that, yes, we didn't really have to unwind anything. And it added some TBA hedge as well. So --

是的。我們主要平倉長期資產。我們解除的大部分是折扣。所以是 4s，我認為是 5.5s 和 5。因此 5.5% 稍微接近票面利率。但就像我說的，我認為我們實際上只需要解除 2 筆掉期合約，一筆是 7 年期，一筆是 2 年期，一筆是 2 年期 10 年期，是的。所以除此之外，是的，我們真的不需要放鬆任何東西。並且它還增加了一些 TBA 對沖。所以--

And just one more clarification. I heard you mention your quarter-to-date book value was 8 something, and I got cut off.

還有一點需要澄清。我聽到您提到您的本季度迄今為止的賬面價值是 8 多，但我被打斷了。

Yes. Let me just go through that. So I know a lot of our peers have already reported and they reflected their book as of last Thursday. Our book last Thursday estimate was 7.24. That's down 8.8%.

是的。讓我簡單介紹一下這一點。所以我知道很多同行已經報告了，他們在上週四反映了他們的書。我們上週四的帳面估值為7.24。下降了8.8%。

We had a rough day Monday, but the market has been good since then. So as of last night, our estimate is $7.28, so $0.04 above where it was last Thursday, and that equates to a decline of 8.3% quarter-to-date. And as we mentioned, our leverage ratio was about 7.4. It's actually lower on the quarter. It's worth throwing in.

週一我們度過了艱難的一天，但從那時起市場一直很好。因此，截至昨晚，我們的估計為 7.28 美元，比上週四高出 0.04 美元，相當於本季迄今下降了 8.3%。正如我們所提到的，我們的槓桿率約為 7.4，實際上比本季有所下降。值得投入。

I always like to mention the total returns as well when we talk about book value because our dividend is relatively high. So when we think about how the total return was, of course, it was 2.6% we mentioned for the first quarter. Quarter to date, the change in book value reflects the dividend accrual. So it's dividend has been taken out of book, if you will. And so the total return, if we put the dividend account for the dividend that's going to be paid in May is 6.8% quarter-to-date and year-to-date having the benefit of 3 more months worth of dividends, our total return is negative 4.08%.

當我們談論帳面價值時，我總是喜歡提及總回報，因為我們的股息相對較高。因此，當我們考慮總回報率時，當然，我們提到的第一季回報率是 2.6%。本季度迄今為止，帳面價值的變動反映了股利的累積。因此，如果你願意的話，它的股息已經從帳簿中扣除了。因此，如果我們將 5 月份支付的股息計入總回報率，則本季累積回報率為 6.8%，而年初至今還可獲得 3 個月以上的股息，那麼總回報率為-4.08%。

Jason Stewart, Janney Montgomery.

傑森史都華、珍妮蒙哥馬利。

A question, after these portfolio changes and hedge changes, where do you see gross ROE sitting today?

問題是，在這些投資組合變化和對沖變化之後，您認為今天的總 ROE 處於什麼位置？

Well, versus swaps, very, very high. I mean pick your moment because they're very volatile. But I would say 20%, I don't have the numbers in front of me, but these are the highest levels we've seen in some time.

嗯，與掉期相比，非常非常高。我的意思是選擇時機，因為它們非常不穩定。但我想說的是 20%，我沒有具體數字，但這是我們一段時間以來見過的最高水平。

Yes. We look at the spreads seven-year swaps versus current coupon is above 200 basis points or I don't know what it is like the second but has been over the course of the last week or so. Like you said, it's been very volatile. So on a mark-to-market basis, it wasn't quite that wide at 331. But going forward, if we were, say, putting new money to work, I think, very high teens and even in the low 20s is probably achievable in the context of our leverage framework that our current leverage framework.

是的。我們來看看七年期掉期與目前票面利率的利差，超過 200 個基點，或者我不知道第二個利差是多少，但在過去一周左右的時間裡一直如此。正如您所說，情況非常不穩定。因此，以市價計算，331 的價差並不算太大。但展望未來，如果我們投入新的資金，我認為，在我們目前的槓桿框架下，非常高的收益率，甚至 20% 出頭的收益率，都是可以實現的。

And then as it relates to that return environment and your cautiousness going forward in terms of spreads, capital raising activity versus buybacks and the dividend, it kind of seems like cost of capital is a little north of where the returns are. How are you looking at the dividend issuance and buybacks?

然後，當它與回報環境以及您在利差、融資活動與回購和股息方面的謹慎態度相關時，似乎資本成本略高於回報率。您如何看待股利發放和回購？

Cost of capital, well, let me see to start with where the stock is trading now, obviously, buybacks off the table. We got so cheap there that we basically waited for the market to calm down, and we felt somewhat comfortable using some cash to buy back stock, we did, given where our stock is trading today, we're not far from book.

資本成本，好吧，讓我先看看現在股票的交易情況，顯然，回購已經取消。我們在那裡得到瞭如此便宜的價格，我們基本上等待市場平靜下來，我們覺得用一些現金回購股票有點舒服，我們確實這樣做了，考慮到我們股票今天的交易情況，我們離賬面價值不遠了。

I would say that going forward, assuming nothing changes from where we sit today, which is a big if, but we would even consider raising some capital just if nothing else to add liquidity, not so much to miss as much as the market is appealing and we would love to put money to work, we would also be cognizant of the need maybe just to add some liquidity just because you never know when the turbulent period is going to come back. But even if you do, I mean, investing at these levels, the yield on the stock got what it was at the lows, I assume mid-20s when we were trading in the low 6s. It's come up.

我想說的是，展望未來，假設我們目前的狀況沒有任何變化，這是一個很大的假設，但我們甚至會考慮籌集一些資金，即使沒有其他辦法來增加流動性，也不會錯過市場吸引力，我們很樂意將資金投入使用，我們也會意識到可能需要增加一些流動性，因為你永遠不知道動盪時期何時會回來。但即使你這樣做了，我的意思是，在這樣的水平上進行投資，股票的收益率也會達到低點，我估計當我們以 6 出頭的價格交易時，收益率會達到 20 多美元。它出現了。

So it's not as Hain as the yield, but these are pretty attractive returns. And I know this question comes up a lot when people look at the dividend yield and so forth. A component of the dividend that we pay and have always paid is derived from hedges in particular, closed hedges. And so you can't ignore the fact that when you put on significant hedges and then close them out that they have a lasting impact on your taxable earnings because the gains on those derivatives at the time you close them are amortized basically over the remaining term of that hedge. I know us and our peers in the past have talked about the benefit of these closed hedges.

因此，雖然收益率不如 Hain，但回報相當有吸引力。我知道當人們關注股息收益率等時，這個問題經常出現。我們支付的、並且一直支付的股息的一部分來自對沖，特別是封閉式對沖。因此，您不能忽視這樣一個事實：當您進行大量對沖然後將其平倉時，它們會對您的應稅收入產生持久影響，因為在您平倉時這些衍生品的收益基本上會在該對沖的剩餘期限內攤銷。我知道我們和我們的同行過去曾談論過這些封閉式對沖的好處。

But that's coming out of book value. Those dollars are no longer present on the balance sheet, right? And so if you look at the dividend that's paid versus taxable earnings, it looks like it's fully covered, but not necessarily by current period GAAP earnings. So I want to make that distinction of what you can earn today, forgetting the effective hedge, and hedge accounting and tax accounting is extremely attractive if you're hedging with swaps. And like I said, we haven't seen anything like this in some time. So --

但這是來自帳面價值。這些美元不再出現在資產負債表上，對嗎？因此，如果您將支付的股息與應稅收益進行比較，看起來它已被完全覆蓋，但不一定會被當期 GAAP 收益覆蓋。因此，我想區分一下您今天可​​以賺多少錢，忘記有效的對沖，如果您使用掉期進行對沖，那麼對沖會計和稅務會計就非常有吸引力。正如我所說的，我們已經很久沒有見過這樣的事情了。所以--

Yes. I'd just reiterate that point. Companies in the space talk about earnings available for distribution and those types of non-GAAP metrics. We prefer to talk about tax, I guess. And for tax, you defer the benefit of those closed hedges and realize them over time.

是的。我只是想重申這一點。該領域的公司談論可供分配的收益和那些類型的非公認會計準則指標。我想我們更願意談論稅收。對於稅收，您可以推遲這些封閉式對沖的利益並隨著時間的推移實現它們。

But for GAAP, once it's mark-to-market, it's coming out of book value to the extent that you have an in-the-money swap, whether it's open or closed. So yes, that's just a slightly different tact we take and how we approach that.

但對於 GAAP 來說，一旦以市價計價，它就會超出帳面價值，直到您擁有價內掉期為止，無論是開放的還是封閉的。是的，這只是我們採取的略微不同的策略以及處理方式。

I guess just coming back to the economic side of it, though. I mean, the dividend on a book value basis compared to the marginal return, it seems like once you take out operating costs, I'm struggling to see why raising capital here is accretive on an economic basis relative to the dividend unless you obviously change the dividend.

不過，我想還是回到經濟方面的問題。我的意思是，以帳面價值計算的股息與邊際收益相比，似乎一旦你扣除營運成本，我就很難理解為什麼在這裡籌集資金相對於股息在經濟基礎上會增值，除非你明顯改變股息。

Well, like I said, the dividend that you're paying is closely related to taxable earnings. So some of that's coming out of book because it's closed, a component of that are the deferred interest expenses associated with hedges that have been closed. And that's coming out of book, simple as that. Those dollars are no longer here. Let me explain it another way.

嗯，就像我說的，您支付的股息與應稅收入密切相關。因此，由於已關閉，其中一些款項已從帳簿中扣除，其中一部分是與已關閉的對沖相關的遞延利息費用。這就是從書上學到的，就這麼簡單。那些美元已經不存在了。讓我用另一種方​​式來解釋。

Let's say you have a $1 billion portfolio and you hedge it. Let's say the market sells off and the value of your assets goes up by $100,000, and the value of your hedges goes up by $100,000. So there's no impact on book, right? Now let's say, shortly after that, you close those hedges, the value of the open equity in that hedge, $100,000 is amortized against interest expense over the balance of that hedge period, right? However, in my example, you had a $100,000 gain on your hedge and $100,000 gain or loss on your assets.

假設您擁有 10 億美元的投資組合並且您對其進行了對沖。假設市場拋售，您的資產價值上漲 100,000 美元，您的對沖價值也上漲 100,000 美元。那麼這對書沒有影響，對嗎？現在假設，此後不久，您關閉了這些對沖，該對沖中未平倉權益的價值 100,000 美元將在該對沖期餘額中攤銷以抵消利息費用，對嗎？然而，在我的例子中，您的對沖收益為 100,000 美元，資產收益或損失為 100,000 美元。

Now let's assume that your counterparties are efficient with respect to margining activity. So in other words, your hedges went in your favor by $100,000, you called in $100,000. Your assets went against you by $100,000, and your counterparties called you for $100,000. So your net economic impact of that is 0, right? $100,000 went in, $100,000 went out.

現在讓我們假設您的交易對手在保證金活動方面是有效率的。換句話說，您的對沖為您帶來了 100,000 美元的收益，您收回了 100,000 美元。您的資產損失了 100,000 美元，而您的交易對手又要求您償還 100,000 美元。那麼這帶給你的淨經濟影響是 0，對嗎？投入 10 萬美元，支出 10 萬美元。

So your cash balance is unchanged. For tax purposes, that $100,000 of gain on those hedges, if you close the swaps at the end of that period, is amortized against interest expense for the remainder of that term. Let's say, it's a 10-year swap. You're going to reduce interest expense over the remaining term of that 10-year swap by $100,000. You don't have that in book value, right?

因此您的現金餘額保持不變。出於稅務目的，如果您在該期間結束時關閉掉期交易，則這些對沖獲得的 100,000 美元收益將在該期限剩餘時間內攤提以抵銷利息費用。假設這是一筆 10 年期的掉期交易。您將在該 10 年期掉期剩餘期限內減少 100,000 美元的利息支出。您的帳面價值沒有那麼多，對嗎？

That $100,000 was sent out to your asset counterparties when they called you, but it's a component of taxable income. So you pay a dividend based on that. And you say, well, look, the yield on that dividend is so high, why would you raise new capital? But how much of that dividend, which is a byproduct of taxable earnings is actually being earned in the future. It's coming out of book.

當您的資產交易對手打電話給您時，這 100,000 美元就發送給他們了，但這是應稅收入的一部分。所以你根據此支付股息。你說，好吧，你看，股息殖利率這麼高，為什麼還要籌集新資本？但是，作為應稅收益副產品的股利實際上有多少是在未來獲得的？它來自書本。

So you have to look at what are you going to earn on a purely economic basis versus what you're paying on a purely economic basis, apples-to-apples, and it is higher in the current market.

因此，你必須考慮一下從純粹的經濟角度來說你能賺多少錢，以及從純粹的經濟角度來說你要付出多少錢，進行對比，在當前市場上，這個價格更高。

I guess I'd just add that the portfolio hasn't changed so much, and it could very well change. If we have to cut the portfolio more, we might get in a position where we're not earning as much. But our outlook now is that we have a tax obligation. We have a distribution obligation to pay out taxable income as we go through the course of this year. And part of that is attributable to things that aren't on the books anymore.

我想我只想補充一點，投資組合併沒有太大變化，但很可能會發生變化。如果我們必須進一步削減投資組合，我們可能會陷入收益減少的情況。但我們現在的觀點是我們有納稅義務。我們有義務在今年支付應稅收入。部分原因在於一些已經不再存在於書籍中的東西。

So we don't have a lot of leeway there. We either pay taxes or we can pay a dividend. With respect to your question about whether or not it's prudent to raise capital, I don't think either one of us were trying to say that we're 100% going to be doing that. The market has been very volatile. We're just pointing out the fact that we are trading close to book, closer than we were, especially when we bought back shares.

所以我們在這方面沒有太多的迴旋餘地。我們要么納稅，要么支付股息。關於你提出的籌集資金是否明智的問題，我認為我們兩人都不是想說我們 100％ 會這樣做。市場一直非常不穩定。我們只是想指出一個事實，那就是我們現在的交易價格比以前更接近帳面價值，尤其是當我們回購股票的時候。

I mean, when we bought back the shares at $6.44 after commissions, book value we estimated at that time was around mid-7.30s, right? So that was enormously accretive. It's much less so now is the only point.

我的意思是，當我們扣除佣金後以 6.44 美元的價格回購股票時，我們當時估計的帳面價值約為 7.30 美元中段，對嗎？因此，這具有巨大的增值潛力。現在情況已經大大減少了，這是唯一的一點。

I got it. I understand the accounting. One last just question, and then I'll jump out. So the expectation is that at the current dividend level and based on your taxable earnings outlook, the 2025 dividend would be 100% taxable income and not return of capital?

我得到了它。我懂會計。最後一個問題，然後我就跳出來了。因此，預計在當前股息水準下，並根據您的應稅收益前景，2025 年股息將是 100% 應稅收入，而不是資本回報？

Certainly not going to say that in late April. I did mention earlier this year, with respect to 2024, I think it was 96% of the 2024 dividend was taxable. At this point, I would say that does not appear to have changed, but we've got a lot of months to go. And we have no idea what's going to happen. And the last thing I want to do is say on a recorded earnings call that our dividend is going to be all taxable earnings for 2025.

四月底一定不會這麼說。我今年早些時候確實提到過，關於 2024 年，我認為 2024 年股息的 96% 需要納稅。目前，我想說情況似乎沒有改變，但我們還有很多個月的時間。我們不知道接下來會發生什麼事。我最不想做的就是在錄音收益電話會議上說我們的股息將全部是 2025 年的應稅收益。

I have no basis for making such a statement. Year to date, what was the case in 2024 has been the case. In other words, the percentage of the dividend that's taxable earnings is retained and stayed in that level. The balance of the year is completely uncertain.

我做出這樣的陳述沒有任何依據。今年迄今為止，2024 年的情況依然如此。換句話說，股息中應稅收益的百分比被保留並保持在該水平。今年的餘額完全不確定。

Yes. Year-to-date, our taxable income has been right on top of our distribution. So yes. And those are massive estimates at this point in the year. But we're not formally doing those. But we do keep track of tax on a month-to-month basis every time factors come out. And so far, the distribution has been right on top of taxable earnings.

是的。今年迄今為止，我們的應稅收入一直高於我們的分配。是的。就今年而言，這些估計金額相當大。但我們並沒有正式這麼做。但每當出現因素時，我們確實會按月追蹤稅務狀況。到目前為止，分配額一直高於應稅收入。

Mikhail Goberman, Citizens.

米哈伊爾·戈伯曼，公民。

Not much for me given all the terrain that we've already covered. But if I could ask, you mentioned slide 28 in the appendix. Just maybe some thoughts on the Rocket-Mr. Cooper deal and how that affects what prepay speeds in the MSRs there.

對我來說，考慮到我們已經涵蓋的所有地形，沒什麼好說的。但如果我可以問的話，您提到了附錄中的第 28 張投影片。也許只是對 Rocket-Mr 的一些想法。Cooper 交易以及這對 MSR 的預付費速度有何影響。

Yes. So I did want to go over that, and I'm glad you brought it up. So on the bottom of the slide, it just shows you by coupon, the dollar amount of loans serviced by Nationstar versus our total holdings in that coupon. As you can see, it runs in the generally high single to low double digits. I think what's constructive to consider is what percent of the universe is serviced by Nationstar and how do we stack up?

是的。所以我確實想討論這個問題，我很高興你提出這個問題。因此，在幻燈片的底部，它僅按息票向您顯示了 Nationstar 提供的貸款金額與我們在該息票中的總持有量。如您所見，它的運行速度一般在較高的個位數到較低的兩位數之間。我認為值得考慮的是 Nationstar 為宇宙提供服務的百分比是多少，以及我們與它的比較結果如何？

So for instance, let's say in the 6% coupon across the cohort, Nationstar serviced 15% and only 12.1% of ours are. So that's somewhat beneficial position to be in. So that's just an observation. We know that Rocket is a very fast servicer, and we presume that once they start servicing Nationstar loans, they're going to get faster. So the convexity of the mortgage universe will be impacted in a negative way.

舉例來說，假設在整個群體的 6% 票中，Nationstar 服務了 15%，而我們只有 12.1%。因此，這是一個比較有利的立場。這只是一種觀察。我們知道 Rocket 是一家速度非常快的服務商，我們推測，一旦他們開始為 Nationstar 貸款提供服務，他們的速度就會變得更快。因此，抵押貸款領域的凸度將受到負面影響。

We own specified pools, specified pools trade at a pay up. The reason they trade a pay up is because of a relatively slower speed. Now in this case, it remains to be seen. Certainly, the specified poles would be expected to pay faster because more of them are going to be serviced by Nationstar. Same with respect to the TBA though, the underlying cohort.

我們擁有指定的池，指定的池以付款方式進行交易。他們之所以選擇加薪是因為速度相對較慢。現在，對於這個案例，還有待觀察。當然，指定的電線桿預計會更快獲得回報，因為更多的電線桿將由 Nationstar 提供服務。但對 TBA 而言，基礎群體也是一樣。

So they're both going to get faster. The question is, does the relative speed stay the same? In other words, does 150k 6 pay at 80% of TBA or does it pay at 90? That will determine over time how TBAs evolve. That remains to be seen. But there's no question that having Rocket service a greater percentage of the mortgage universe is not a good thing from the perspective of the convexity of the mortgage universe.

所以它們都會變得更快。問題是，相對速度不變嗎？換句話說，150k 6 支付的是 TBA 的 80% 還是 90？這將決定 TBA 隨著時間的推移如何發展。這還有待觀察。但毫無疑問，從抵押貸款領域的凸性角度來看，讓 Rocket 服務於更大比例的抵押貸款領域並不是一件好事。

Yes. I would just add that we have a lot discounts. I think this slide kind of alludes to the fact that at the time we put this together at 3/31, 5.5s and below were discounts and 6, 6.5 and 7s were premiums. So we have a little bit of exposure in the premium space, but we will also notice the Rocket's are faster for out-of-money borrowers as well. So a mixed bag of TBD.

是的。我只想補充一點，我們有很多折扣。我認為這張投影片暗示了這樣一個事實：當我們在 3 月 31 日將這些放在一起時，5.5 及以下是折扣，而 6、6.5 和 7 是溢價。因此，我們在高端領域有一點曝光，但我們也會注意到，對於資金不足的借款人來說，Rocket 的速度也更快。因此，這是一個有待解決的問題。

I don't think it's today's problem. It might be coming down the pike in a few months as the transfers have occurred and the loan officers are able to start using Rocket's technology to try to refi people. So I'm not terribly worried about it. We did see in the GSEs sold some pools earlier in the month. Fannie Mae didn't really restrict the percent of Nationstar on their list, might have even come out before the announcement.

我認為這不是今天的問題。隨著轉帳的進行，貸款人員可以開始使用 Rocket 的技術為人們提供再融資，這項措施可能在幾個月內就會實現。所以我對此並不太擔心。我們確實看到政府支持企業在本月初出售了一些資金池。房利美實際上並沒有限制 Nationstar 在其名單上的持股比例，甚至可能在公告發布之前就已經公佈了。

And then Freddie pulled back and limited the amount going into the cash window pools to 10% going forward. And I think they've indicated that going forward, they're going to keep that rule in place. We have some things to do to the extent we have a few pools that are high Nationstar percentages, we can combine them with other pools we own and get the kind of the percent Nationstar/Rocket down. I don't expect it to be a material impact to the portfolio. It's been certainly something to talk about though.

隨後，房地美撤回了這項措施，並將未來進入現金窗口池的金額限制在 10% 以內。我認為他們已經表示今後將繼續執行這項規定。我們有一些事情要做，因為我們有幾個 Nationstar 百分比較高的礦池，我們可以將它們與我們擁有的其他礦池結合起來，並降低 Nationstar/Rocket 的百分比。我不認為這會對投資組合產生重大影響。但這確實是一件值得談論的事情。

Great. And just a follow-up on a piece of that. Slide 2 slides prior to that, given perhaps expectations that the margin for Fed easing at some point, what are your thoughts generally on the MBS supply going forward if that were to happen?

偉大的。這只是對其中一部分的後續跟進。在此之前的第 2 張投影片中，考慮到對聯準會在某個時候放鬆貨幣政策的預期，如果這種情況真的發生，您對未來 MBS 供應的總體看法是什麼？

I'm going to mention the one thing we don't have on our slide is affordability, which as we all know, is extremely low. And if there's any credence to the argument that these tariffs are going to be harmful to growth, slow growth, drive the unemployment rate higher, I don't see supply getting too high. I mean as far as the coming summer, I would expect it to be a below average supply summer. And there's just a combination of too many factors working against it. Affordability is low, rates are still high.

我要說的是，我們的幻燈片上沒有提到的一點就是可負擔性，眾所周知，可負擔性非常低。如果有證據證明這些關稅將損害經濟成長、減緩成長、推高失業率，那麼我認為供應不會過高。我的意思是，就即將到來的夏季而言，我預計今年的供應量將低於平均值。但有太多因素阻礙了這一進程。負擔能力低，利率仍然高。

If there's inflationary impacts on these tariffs, it's going to keep the long end higher. And if you have people worried about their jobs, that's not good. One thing that's interesting, you mentioned that the home sales data that came out, new home sales. I don't know what the change was month-over-month, but if you look at the details, the absolute number of new homes for sale is the highest since 2009. And we all know what happened in 2008 and 2009.

如果這些關稅產生通膨影響，那麼長期來看，關稅將持續走高。如果人們擔心自己的工作，那就不好了。有趣的是，您提到了公佈的房屋銷售數據，即新房屋銷售數據。我不知道環比變化如何，但如果你看一下細節，你會發現待售新房的絕對數量是 2009 年以來最高的。我們都知道 2008 年和 2009 年發生了什麼事。

That's not a good sign. So there's builder buydowns. That's very prevalent. They can support the market that way. But I don't think we're going to have a huge surge of supply.

這不是一個好兆頭。因此存在建築商的買斷。這種現象非常普遍。他們可以透過這種方式來支持市場。但我不認為我們的供應量會大幅成長。

No, I totally agree. Best of luck going forward.

不，我完全同意。祝你未來好運。

Eric Hagen, BTIG.

BTIG 的 Eric Hagen。

I want to ask about whether you think the level of spreads has reset higher, wider as a result of the tariff war, like in a scenario where interest rate vol comes down and spreads tighten, like what do you think the level that we could tighten to is? And has that level changed over these last few weeks?

我想問一下，您是否認為由於關稅戰，利差水平已經重新設定得更高、更寬，例如在利率波動率下降、利差收窄的情況下，您認為我們可以收緊到的水平是多少？過去幾週這個水準有變化嗎？

Well, pre-COVID, it was 80. I don't think we're going there. We haven't seen on slide 26, banks have been not very aggressive participants. They used to be kind of the backbone bid. Money managers were very supportive of late.

嗯，在新冠疫情之前，這個數字是 80。我認為我們不會去那裡。我們在第 26 張投影片上沒有看到，銀行並不是非常積極的參與者。他們曾經是競標的骨幹。基金經理人最近非常支持。

They've had redemptions. They haven't been tighter. It depends on your benchmark. Obviously, swap spreads a wider number than the 10-year or the 5-year. I think tightening, but I don't think we're going to have an outsized tightening.

他們已經得到了救贖。它們還沒有變得更加緊密。這取決於你的基準。顯然，掉期利差比 10 年期或 5 年期還要大。我認為會收緊，但我不認為我們會採取過度收緊的措施。

Yes. It's tough to say, on an OAS basis, and versus treasuries, mortgages don't look nearly as compelling as they do versus swaps. I think that's because treasuries have almost kind of traded like a risk asset here in this more recent move in April. So there could certainly be constraints just owing if we're entering a period where the market expects increased volatility, that's certainly not good for mortgages, and that keeps spreads on the wider side. But it's been amazing to see how with one tape bomb, things tighten back up.

是的。很難說，從 OAS 角度來看，與國債相比，抵押貸款的吸引力遠不及掉期貸款。我認為這是因為在四月的最新走勢中，國債幾乎像風險資產一樣進行交易。因此，如果我們進入市場預期波動性增加的時期，肯定會有限制，這對抵押貸款來說肯定不是好事，而且會使利差保持在較大範圍內。但令人驚訝的是，儘管發生了一盤磁帶炸彈，事情卻又恢復正常了。

So on fire power day 21, it was looking pretty bleak, and then we've come back as much as $0.26 in a couple of days very quickly. So yes, I think that comes full circle, I guess, if this is going to be how things are, I think investors are going to demand a wider spread to deal with that uncertainty and the ability for them to take leverage down to a more appropriate level for this type of volatile environment.

因此，在火力爆發的第 21 天，情況看起來相當黯淡，但很快我們在幾天內就回升至 0.26 美元。所以是的，我認為這已經是一個完整的循環了，我想，如果事情是這樣的話，我認為投資者會要求更大的利差來應對這種不確定性，並要求他們能夠將槓桿率降低到更適合這種動盪環境的水平。

I would say one thing, this is truly speculation though, but if there is really a softening in the economy and it really truly weakens, mortgages could just benefit from spread widening in the corporate bond market, high yield and investment grade, and they could be deemed to be more of a safe haven asset, that could be beneficial in the short term, especially if long end stays high and speeds are slow, you could see that in the near term, money managers making relative value allocations, but they were pretty overweight mortgages not long ago. So I don't know how much more they could go back the other way from where they are now. So, no, I don't see any catalyst for us to materialize tightening in the near term.

我想說的是，雖然這確實只是猜測，但如果經濟真的出現疲軟，並且真的走弱，抵押貸款可能會從公司債券市場、高收益債券和投資級債券利差擴大中受益，它們可能被視為更安全的避險資產，這在短期內可能會從公司債市場、高收益債券和投資級債券利差擴大中受益，它們可能被視為更安全的避險資產，這在短期內可能是有利的，特別是如果長期抵押債券保持高位且速度緩慢，你可以看到，在短期內，基金會相當大，但不久所以我不知道他們還能從現在的位置走多遠。所以，我不認為有任何因素能促使我們在短期內實現緊縮政策。

Okay. I appreciate you guys. What are your thoughts on buying swaptions and just the overall cost of hedging volatility right now? Like, do you feel like you have the flexibility and the liquidity to hedge if you wanted to or are we basically kind of like getting the 20% yield as a result of sort of not hedging that volatility risk?

好的。我很感謝你們。您對購買掉期選擇權以及目前對沖波動性的整體成本有何看法？例如，如果您願意的話，您是否覺得自己擁有對沖的靈活性和流動性，或者我們基本上是透過不對沖波動​​性風險來獲得 20% 的收益？

Well, it's expensive, right? So --

嗯，很貴吧？所以--

Yes. Great idea in February.

是的。二月的好主意。

Putting that on now would be pretty pricy.

現在穿上它會非常昂貴。

Well, we do. I think as you know, we have in years past been quite active in all trades, really caught off guard by feeling pretty good about the world going into the first quarter of this year. So we certainly didn't see the market reacting to the tariff talks and threats as violently as they did, particularly in the treasury market. So yes, it's something that we look at a lot. We spend a lot of time on trades that we don't execute.

嗯，是的。我想，正如你們所知，過去幾年我們在各行各業都相當活躍，但對今年第一季的世界局勢感到十分樂觀，這讓我們措手不及。因此，我們當然沒有看到市場對關稅談判和威脅做出如此激烈的反應，尤其是在國債市場。是的，這是我們經常關注的事情。我們花費大量時間進行那些並未執行的交易。

We had a great one that we looked at, perfect for this scenario. We've executed dual digital options in the past, whereby rates up or down and equities down as well. We had one that we evaluated in December, opted not to do it, and taking ourselves a little bit for that. But yes, we will try to be more cognizant certainly of volatility. I just think it's tough to lag in right now.

我們有一個非常棒的方案，非常適合這種情況。我們過去曾執行過雙重數位選擇權，即利率上升或下降，股票也下降。我們在 12 月對一個專案進行了評估，但最終決定不做，並為此付出了一點代價。但是的，我們肯定會努力更了解波動性。我只是認為現在落後是很困難的。

That's a tough trade to do right now. So we're just going to keep doing as we have been, which is sort of delta hedging and staying on top of keeping our leverage in check and adding when we've had a few days of strength and to the extent that we feel more uncertain about things, we like to use the leverage lever to really help us manage our risk because we can't ever get away completely away from the risk of this portfolio without some volatility and convexity hedging, but we can insulate it through lowering leverage.

目前這是一筆很難完成的交易。因此，我們將繼續像以前一樣做事，即進行 Delta 對沖，並控制我們的槓桿率，當我們有幾天的強勢時，當我們對事情感到更加不確定時，我們喜歡使用槓桿來真正幫助我們管理風險，因為如果沒有一些波動性和凸性對沖，我們就無法完全擺脫這個投資組合的風險，但我們可以通過降低槓桿來隔離它。

Just one final point, not to belabor it, but a lot of our use of swaptions is usually driven by attractive entry points into those positions when those present themselves. And sometimes it's just because the vol is lower, sometimes it's because you can do a long and a short to get your all-in cost down. That's just really challenging to do right now.

最後再說一點，我不想過度強調，但我們對掉期選擇權的使用通常都是因為當出現有吸引力的切入點時，才會考慮這些切入點。有時這只是因為波動率較低，有時是因為您可以做多和做空以降低總成本。現在做到這一點確實很有挑戰性。

We tend to focus on data minimization strategies where we're doing some kind of a spread trade or putting on a trade that is very highly geared where we have kind of a defined risk where we are comfortable losing 100% of our premium, but are looking for outcomes that might have 8 to 10x multiples of that premium to the extent that the hedge goes our way. And these tend to be kind of tail-risk-type of events. And so it's just tough to put on a tail risk trade when you're in the middle of kind of the tail. We're deep in the tail.

我們傾向於專注於資料最小化策略，在這種策略中，我們會進行某種價差交易或高度槓桿的交易，我們有一定的風險，即使損失 100% 的溢價，我們也願意接受，但我們希望獲得的結果可能是溢價的 8 到 10 倍，只要對沖結果對我們有利。這些往往屬於尾部風險類型的事件。因此，當你處於尾部風險中間時，進行尾部風險交易是很困難的。我們已深入尾部。

Christopher Nolan, Ladenburg Thalmann & Company.

克里斯多福諾蘭，拉登堡塔爾曼公司。

I'll be short. I was really surprised by your comments saying the banks are not coming back into the market because looking at the steepening of the treasury curve, deteriorating commercial real estate asset quality, it would seem to me that the banks naturally be increasing their purchases of MBS. Where am I wrong on that?

我就長話短說吧。我對您的評論感到非常驚訝，您說銀行不會重返市場，因為從國債殖利率曲線的陡峭化和商業房地產資產品質的惡化來看，在我看來，銀行自然會增加對 MBS 的購買。我哪裡錯了？

I know they have in Ginnie space. I don't know that we've seen in structured space in agencies, but I don't think we've seen a lot in pass-throughs, conventional pass-throughs.

我知道他們在 Ginnie 空間。我不知道我們是否在機構的結構化空間中見過，但我認為我們在直通、傳統直通中沒有見過很多。

They're there. I don't think enough to overwhelm, what we've seen in money manager redemptions and hedge fund redemptions, that deleveraging.

他們就在那兒。我認為，我們所看到的基金經理人贖回和對沖基金贖回不足以抵銷去槓桿化的影響。

They may, as we speak, because mortgages are attractive. But when you look at early April, when you had all the forced selling, money managers, a lot of T+1 settle because when they get a redemption, they have to meet it the next day. So they're selling what they can, mortgages and treasuries for T+1 settle. So that overwhelmed it, and that created a very cheap, attractive mortgage universe. They may be now.

正如我們所說，他們可能會這麼做，因為抵押貸款很有吸引力。但當你回顧四月初，當所有強制拋售發生時，基金經理人會進行大量的 T+1 結算，因為當他們獲得贖回時，他們必須在第二天兌現。因此，他們盡可能地出售抵押貸款和國債，以 T+1 結算。因此，這壓倒了它，並創造了一個非常便宜、有吸引力的抵押貸款世界。現在可能就是這樣了。

But really in this week, the commentary, mortgage has done well this week. I haven't seen anything other than Ginnies, and again, in some structured product.

但實際上，就本週的評論而言，抵押貸款本週表現良好。除了 Ginnies 以外，我還沒有看到任何其他東西，而且，在一些結構化產品中也沒有看到。

Yeah. inal question would be on housing affordability, the question that was asked earlier. Higher property insurance costs are part of it. In some places, you can't even get homeowners' insurance. And my question is, why hasn't there been more new insurance pools formed for home insurance, because rates are so hard there. I don't know.

是的。最後一個問題是關於住房負擔能力，這個問題之前已經被問過了。財產保險費用上漲是其中的一部分。在某些地方，你甚至無法獲得房屋保險。我的問題是，既然那裡的保險費率如此嚴格，為什麼沒有形成更多新的家庭保險保險池呢？我不知道。

It's really hard. I mean, that's two things. One, the yield book, which we all use in this space, was updated with the model yesterday. One of the changes in the model was to reflect the slow prepayment activity of Florida pools because of insurance. Insurance is very, very high.

這真的很難。我的意思是，這是兩件事。首先，我們在這個領域使用的收益率手冊昨天已根據模型進行了更新。該模型的變化之一是為了反映佛羅裡達州游泳池因保險而導致的緩慢的預付款活動。保險費非常非常高。

I've always been a believer that global warming will manifest itself through that. Given what's happened over the last six months with fires in California, hurricanes here, reinsurance prices are on the moon. New polls, I mean, I think that's a government source from the government.

我一直相信全球暖化將會透過這一點表現出來。考慮到過去六個月加州發生的火災和颶風，再保險價格飛漲。新的民意調查，我的意思是，我認為這是來自政府的消息來源。

Private capital is going to be very expensive. I would think the risk premium associated with entering that business would be very, very high. Whether you believe in global warming or not, there's no question in the last few years between hurricanes, floods, and whatever, they're very, very high, and the costs are staggering, and you have to deal with regulators.

私人資本將會非常昂貴。我認為進入該行業的風險溢價會非常非常高。無論你是否相信全球暖化，毫無疑問，在過去幾年裡，颶風、洪水等災害的發生頻率非常高，成本驚人，而且你必須與監管機構打交道。

I look at California, where when they set insurance rates, it's backward-looking based on historical losses versus projected losses. A lot of the high-end homes in California are insured by D&O providers, which have staggeringly higher premiums and what they call retention or deductibles. I think there's going to be meaningful money brought to the insurance market, it's going to have to come from the government.

我觀察了加州，當他們制定保險費率時，都是根據歷史損失與預計損失進行回顧性的。加州的許多高端住宅都由 D&O 保險公司承保，這些保險公司的保費高得驚人，而且還有所謂的留存額或免賠額。我認為保險市場將會有大量資金流入，而這些資金必須來自政府。

(Operator Instructions) I'm showing no additional questions in the queue at this time. I'd like to turn the conference back over to Mr. Cauley for any closing remarks.

（操作員指示）目前隊列中沒有其他問題。我想將會議交還給考利先生，請他作最後發言。

Thank you, operator, and thanks everyone for listening in. To the extent that a question comes to mind after the call or if you listen to the replay and have a question, please feel free to reach out to us at the office. The number is 772-231-1400. Otherwise, we look forward to talking to you at the end of the second quarter. Thank you.

謝謝接線員，也謝謝大家的收聽。如果您在通話後想到任何問題，或在聽重播時有疑問，請隨時聯絡我們的辦公室。電話號碼是 772-231-1400。否則，我們期待在第二季末與您交談。謝謝。

Ladies and gentlemen, thank you for participating in today's conference. This concludes the program. You may now disconnect. Everyone, have a wonderful day.

女士們、先生們，感謝大家參加今天的會議。本節目到此結束。您現在可以斷開連線。祝大家有美好的一天。