Orchid Island Capital Inc (ORC) 2026 Q1 法說會逐字稿

Good day and thank you for standing by. Welcome to the Orchid Island Capital first -quarter 2026 earnings call. (Operator Instructions) Please be advised that today's conference is being recorded.

大家好，感謝您耐心等候。歡迎參加 Orchid Island Capital 2026 年第一季財報電話會議。(接線員指示) 請注意，今天的會議將被錄音。

I would now like to hand the conference over to Melissa Alfonso, Office Manager. Please go ahead.

現在我想將會議交給辦公室經理 Melissa Alfonso。請開始。

Good morning and welcome to the first-quarter 2026 earnings conference call for Orchid Island Capital. This call is being recorded today, April 24, 2026.

各位早安，歡迎參加 Orchid Island Capital 2026 年第一季財報電話會議。本次電話會議於今天 2026 年 4 月 24 日錄音。

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. 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 risks and uncertainties that could cause actual performance or results to differ materially from those expressed in such forward-looking statements.

此時，公司提醒各位聽眾，今天電話會議中所提及、與非歷史事實相關之事項的陳述，均屬於《1995 年私人證券訴訟改革法案》安全港條款所規範的前瞻性陳述。敬請聽眾注意，此等前瞻性陳述係基於管理層目前可得資訊，以及管理層對未來事件之善意信念，並受可能導致實際表現或結果與該等前瞻性陳述所表達內容存在重大差異之風險與不確定性影響。

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 10-K. 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.

可能導致上述差異的重要因素，已於公司向美國證券交易委員會（SEC）提交之文件中說明，包括公司最近一期的 Form 10-K 年度報告。公司不承擔更新該等前瞻性陳述之任何義務，以反映實際結果、假設之變動或其他影響前瞻性陳述之因素變化。

Now, I'd 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 Robert Cauley 先生。先生，請開始。

Thank you, Melissa, and good morning, everyone. I hope everybody has had a chance to download our deck as usual. That will be kind of the basis of our call today.

謝謝你，Melissa，各位早安。我希望大家一如往常都已下載我們的簡報。那將會是我們今天電話會議的主要依據。

First off, I'd just like to walk you through the agenda as usual. Jerry Sintes, our Controller, will walk you through the financial results. I'll then go through the market developments, basically discuss briefly the market variables that impact our decision-making and our performance, and just some -- have a few comments on those. Hunter then will talk about the portfolio and our hedging positions, and then we will open the call up for questions.

首先，我照例帶大家快速看一下議程。我們的財務主管（Controller）Jerry Sintes 將帶大家回顧財務結果。接著我會說明市場發展，基本上簡要討論影響我們決策與績效表現的市場變數，並對此做一些—發表幾點看法。然後 Hunter 會談投資組合以及我們的避險部位，最後我們會開放提問。

With that, I'll turn it over to Jerry.

那麼，我把時間交給 Jerry。

Thank you, Bob. If we start on page 5, we'll look at the financial highlights of the first quarter. For the first quarter, we had a net loss of $0.11 per share compared to net income of $0.62 in Q4. Our book value at 3/31 was $7.08 per share compared to $7.54 at December 31. Total return for the quarter was a negative 1.3% compared to 7.8% in Q4, and we declared dividends of $0.36 during both quarters.

謝謝你，Bob。如果我們從第 5 頁開始，先看第一季的財務重點。第一季每股淨損為 0.11 美元，相較之下第四季（Q4）每股淨利為 0.62 美元。截至 3/31 的每股帳面價值為 7.08 美元，相較於 12 月 31 日的 7.54 美元。本季總報酬率為負 1.3%，相較於 Q4 的 7.8%；而兩個季度我們皆宣告每股股利 0.36 美元。

On page 6, portfolio highlights: our portfolio continued to grow. During Q1, we had an average balance of approximately $11 billion compared to $9.5 billion in Q4. Our leverage ratio increased 7.9% compared to 7.4% at 12/31. 3-month CPR during the quarter was 14.7% compared to 15.7%, and our liquidity at 3/31 was 54.5% compared to 57.7%. On page 7 is our financial statements, which are also presented in our earnings release last night and will also be available in our 10-Q later.

第 6 頁是投資組合重點：我們的投資組合持續成長。在第一季（Q1），我們的平均餘額約為 110 億美元，相較於 Q4 的 95 億美元。我們的槓桿比率上升至 7.9%，相較於 12/31 的 7.4%。本季 3 個月 CPR 為 14.7%，相較於 15.7%；截至 3/31 的流動性為 54.5%，相較於 57.7%。第 7 頁是我們的財務報表，昨晚發布的財報新聞稿中也有呈現，稍後也會在我們的 10-Q 中提供。

And with that, I'll turn it back over to Bob for a discussion of the market development.

以上，我把時間交回給 Bob，請他談談市場發展。

Thanks, Jerry. All right. I will start on slide number 9, as I mentioned. We're just going to go through the market variables that impact our decision-making and our performance. So on page -- or slide 9, we have the interest rate curves on the top of the page. On the top left is the nominal or cash market curve. On the right is the swap curve. On the bottom is just the spread between 3-month treasury bills and 10-year treasuries.

謝謝你，Jerry。好。如我所提到的，我將從第 9 張投影片開始。我們將檢視影響我們決策與績效表現的市場變數。在第 9 頁—或第 9 張投影片，上方是利率曲線。左上是名目利率或現金市場曲線。右邊是交換（swap）曲線。下方則是 3 個月期國庫券與 10 年期公債之間的利差。

Just a few general comments, obviously, in this environment, the war headlines with respect to the war are driving performance of not just interest rates, but basically all risk assets. We kind of have competing forces at play. On the one hand, you have forces that are inflationary in nature. Others are kind of impact growth or slow growth. The ultimate outcome is yet to be seen. We could end up with both. We could end up with stagflation.

先做幾點概括性的評論：顯然在目前環境下，與戰爭相關的新聞標題正在驅動不僅是利率、基本上所有風險資產的表現。我們可以說有幾股相互競爭的力量同時存在。一方面，有些力量本質上偏向推升通膨。另一些則會影響成長、或使成長放緩。最終結果仍有待觀察。我們可能兩者都會遇到。我們可能會走向停滯性通膨。

With respect to the economic data we've seen, it's actually been fairly resilient, although I would characterize it as mix. We've had some strong, some weak. But that being said, most of the data that we've seen so far is really for the pre-war period, so we haven't seen a lot to gauge the impact of the war.

就我們看到的經濟數據而言，其實表現相當有韌性，儘管我會形容它是好壞參半。有些很強，有些偏弱。但即便如此，我們目前看到的大多數數據其實仍屬於戰前期間，因此我們還沒有太多資料可用來衡量戰爭的影響。

I'd also like to point out that while the war kind of represents a headwind to economic activity and maybe supportive of inflation, there are also tailwinds impacting the economy. The One Big Beautiful Bill was passed last year. The government is running a very significant fiscal deficit. Both of those factors should be kind of supportive of the economy. And I think they go a long way in explaining why the data has been so resilient.

我也想指出，雖然戰爭某種程度上代表經濟活動的逆風，並可能對通膨形成支撐，但也有一些順風正在影響經濟。「One Big Beautiful Bill」已於去年通過。政府正處於非常顯著的財政赤字狀態。這兩項因素都應該在某種程度上支撐經濟。我認為它們在很大程度上解釋了為何數據一直如此有韌性。

And kind of finally, as we're fairly far into Q1 earnings, the earnings have been very strong. So at least so far, the impact of the war seems to be modest.

最後，隨著我們已經進入第一季財報季相當後段，企業獲利表現非常強勁。因此至少到目前為止，戰爭的影響似乎相對有限。

With respect to rates, as I mentioned, rates have been very stable. If you look on the left, you can see that the curve has flattened. The market is pricing out most Fed cuts that were in the market three months ago or pre-war. Now, there's virtually nothing priced in terms of cuts for the balance of '26, a few basis points. But the curve has been very stable. The impact of inflation is driving Fed cuts out of the market and the impact on growth is keeping longer-term rates stable.

就利率而言，如我所提到的，利率一直非常穩定。如果看左邊，你可以看到曲線已經趨於平坦。市場已將三個月前或戰前所反映的大部分聯準會降息預期移除。現在，對於 2026 年剩餘期間的降息，幾乎沒有任何定價，只剩下幾個基點。但整體曲線一直非常穩定。通膨的影響正在把聯準會降息預期擠出市場，而對成長的影響則使較長天期利率維持穩定。

On the right-hand side, you can see the swap curve, even more stable, same kind of flattening. I would say that the difference between these two is simply just swap spreads. And if you look at where swap spreads are for some context, most spreads across the curve are at or slightly above their 12-month averages. They have been moving in Q1. I'll say a little bit about that in a moment.

在右側，你可以看到交換（swap）曲線更為穩定，同樣呈現趨平。我會說這兩者之間的差異，單純就是交換利差（swap spreads）。若提供一些背景來看交換利差的位置，目前曲線上多數期限的利差都在其 12 個月平均值附近或略高。它們在第一季（Q1）期間一直在變動。我稍後會再談一點。

Moving on to the next kind of variable for us, obviously, mortgage spreads and the performance of TBAs. We do not own typically a lot of TBAs. We do own spec pools, but they trade at a spread to TBAs, so obviously, the performance of this matters.

接著談下一類對我們而言的變數，顯然是房貸利差以及 TBA 的表現。我們通常不會持有很多 TBA。我們確實持有特定池（spec pools），但它們是以相對於 TBA 的利差交易，所以很明顯，這部分的表現很重要。

If you look on the top, you can see the spread of the current coupon mortgage to the 10-year treasury. This data goes back 16 years, so it gives you a lot of perspective.

如果你看上方，你可以看到當期票息房貸相對於 10 年期美國公債的利差。這份資料回溯 16 年，因此能提供很多視角。

As you can see on the right-hand side, for quite a while, mortgage has been tightening. I think it's noteworthy to note that's pretty solid performance and also without the participation of one of the largest -- typically one of the largest holders of mortgages, which are the large banks. They have not been active in the market and yet this market has performed well.

如你在右側所見，在相當長一段時間內，房貸利差一直在收斂。我認為值得注意的是，這是相當穩健的表現，而且還是在缺少其中一個最大——通常也是最大的房貸持有者之一——大型銀行參與的情況下。它們並未積極參與市場，但市場仍然表現良好。

If you look at the extreme right, you can see the tightening. As we all know, early in January, President Trump put out a post on TruthSocial, indicating that the GSE, Fannie and Freddie, would be buying up to $200 billion in mortgages this year. Mortgages gap tighter.

如果你看最右端，你可以看到利差收斂。眾所周知，一月初，川普總統在 TruthSocial 發文表示，GSE（房利美與房地美）今年將購買最多 2,000 億美元的房貸。房貸利差跳空收斂。

That was in early January. As we moved into February, the performance of the sector was still very solid. At the end of the month, the war hit, we gapped wider. But as you can see, we've been tightening since. And so -- and the way I look at that is that the tightening that we've seen in place for two years appears to be resuming. In terms of the extent of the tightening, our book was down about 6.1%. We've gotten back a little under half of that, but this week, we've given back a little bit, but we basically recouped about half.

那是在一月初。進入二月後，該板塊的表現仍然非常穩健。月底戰爭爆發，我們跳空走寬。但如你所見，此後我們一直在收斂。因此——我看待這件事的方式是：過去兩年已經存在的收斂趨勢似乎正在恢復。就收斂幅度而言，我們的投資組合一度下跌約 6.1%。我們已收復了略低於一半；但本週又回吐了一點，不過基本上收復了約一半。

With respect to the prices of TBAs on the bottom left, as we always show, these prices are normalized. So for each coupon, we start at 100. I just basically want to show the change over the quarter. Obviously, the announcement by President Trump early in the month caused most mortgages to do very, very well, the exception being the orange line there. Those are higher coupon mortgages, are representative of higher coupons, and they would be impacted by speeds. The rationale for the buying of the GSEs is to try to drive spreads tighter, which would presumably impact refinancing driving it higher.

至於左下方的 TBA 價格，如同我們一貫展示的，這些價格已做標準化處理。也就是每個票息都從 100 開始。我主要是想展示本季的變化。顯然，川普總統月初的宣布使多數房貸表現非常、非常好，唯一的例外是那條橘色線。那代表較高票息的房貸，會受到提前償還速度（speeds）的影響。GSE 買入的理由是試圖推動利差收斂，而這推測會透過再融資使提前償還上升。

So higher coupons did poorly. Then you see the impact of the war as we move into March and performance was all given up. Since quarter end, we've gotten some of that back, and we're pretty much back to neutral.

因此高票息表現較差。接著你會看到進入三月後戰爭的影響，先前的表現全部回吐。自季末以來，我們收回了一部分，目前大致回到中性。

With respect to the roll market, it's really with the exception of one coupon or maybe two, it's been pretty benign. Most of the activity there was just driven by a presumed technical thing that those mortgages -- the float was small and buying by the GSEs might have caused a squeeze, but that's actually gone away.

就 roll 市場而言，除了某一個票息、或可能兩個票息之外，整體相當溫和。那裡的大部分活動只是由一個推測的技術性因素所驅動：那些房貸——流通量（float）很小，而 GSE 的買入可能造成軋空，但那其實已經消退了。

The next big variable for us, obviously, is implied volatility in interest rates. Obviously, mortgages have a lot of vol component. So when vol is high, mortgages do poorly. When vol is low, they do well. And as you can see on the top, this chart really basically goes back a year or Liberation Day, April 2 of last year, and you can see after the initial spike, vol has continued to tighten.

對我們而言下一個重大變數，顯然是利率的隱含波動率。顯然，房貸含有很大的波動率成分。因此當波動率高時，房貸表現較差。當波動率低時，房貸表現較好。如你在上方所見，這張圖基本上回溯一年，或說回到去年的「解放日」——4 月 2 日；你可以看到在最初的飆升之後，波動率持續收斂。

The onset of the war drove it higher, but we've come pretty much all the way back. So to the extent that vol stays at this type of level, this is very conducive for our business model. In fact, all of these variables, stable interest rates, low swap yields, and mortgage performance that's steady, all of these are very conducive for our business model.

戰爭爆發使其走高，但我們幾乎已經完全回落。因此只要波動率維持在這種水準，這就非常有利於我們的商業模式。事實上，所有這些變數——利率穩定、低掉期殖利率，以及穩定的房貸表現——都非常有利於我們的商業模式。

Moving on to swap spreads in particular, you can see on the left of slide 12 that spreads have been moving more negative or tightening. That's bad for our hedges because it's offsetting the impact of them, but then it's creating more spread for marginal cash investments. As you see since quarter end, they started to wind back out.

接著特別談掉期利差，你可以在第 12 張投影片左側看到，利差一直在變得更為負值或收斂。這對我們的避險不利，因為它在抵消避險的效果，但同時也為邊際現金投資創造了更多利差。如你所見，自季末以來，它們開始回擴。

Of note, Hunter put on a trade during the quarter, whereby after TBAs had widened quite a bit after the war, we took a lot of our hedges out of TBAs and put them into swaps because they had tightened. And since then, that trade has worked quite well.

值得一提的是，Hunter 在本季做了一筆交易：在戰爭後 TBA 大幅走寬之後，我們把許多原本放在 TBA 的避險移出，改放到掉期，因為掉期利差已經收斂。而自那之後，這筆交易的效果相當不錯。

If you look on the right-hand side, you see the DV01 composition of the hedge book. The green area represents swaps. So that's higher than it was prior to that, so that trade has worked out quite well.

如果你看右側，你會看到避險部位的 DV01 組成。綠色區域代表掉期。因此它比先前更高，這筆交易的結果相當好。

The next state variable, if you will, is refinancing activity. The current mortgage rate available to borrowers is around 6.4% depending on the day. As a result, refinancing activity has been fairly benign. We did have elevated levels.

下一個狀態變數（如果你願意這麼稱呼）是再融資活動。借款人可取得的目前房貸利率約在 6.4% 左右，視當天而定。因此，再融資活動一直相對溫和。我們確實曾看到較高的水準。

As I mentioned, the President Trump's announcement, ultimately, the yield on the 10-year treasury dipped below 4% in late February, and we did see a couple of months of fast speeds. But with the backup in rates since then, and mortgage rates sitting around 6.4%, for instance, on the bottom of the page, the gray area, the percentage of the universe that's refinanceable while it's higher, it's not high, and refinancing activity has been -- and we expect it to stay relatively benign. Hunter will have a lot more to say about that when we talk about the current construction of the portfolio, how we see that evolving over time, and how we're positioned with respect to prepayment levels.

如我提到的，川普總統的宣布最終使 10 年期美國公債殖利率在二月下旬跌破 4%，我們確實看到兩個月的快速提前償還速度。但隨後利率回升、房貸利率例如在本頁底部約 6.4%，灰色區域所示——整體可再融資的比例雖然較高，但並不算高；再融資活動一直——而且我們預期將維持——相對溫和。當我們談到投資組合目前的建構、我們如何看待其隨時間演變，以及我們在提前償還水準方面的部位配置時，Hunter 會對此有更多說明。

The final variable that I would talk about would be the funding markets. I'm not going to say a lot about that now. We'll talk about that later. But the short answer is that the funding markets are far more stable than they've been. We had actions taken by the Federal Reserve, for instance, to put in place a reserve management policy, whereby mortgages as they roll off the Fed's balance sheet are invested in bills.

我最後要談的變數會是資金市場。我現在不會多談。我們稍後會再談。但簡而言之，資金市場比過去穩定得多。例如，聯準會採取了行動，建立準備金管理政策：當房貸自聯準會資產負債表到期退出時，會把資金投資於國庫券（bills）。

Spreads available to us are at very attractive levels, and we don't have the spikes that we've had in the past at quarter end or year-end. So pretty much all of the variables that impact our market, whether it's the level of rates, implied fall in rates, swap spreads, funding levels, everything is in a very good state, if you will, right now. So it's very conducive and leaves us very bullish on the business model and levered MBS investing.

我們可取得的利差處於非常具吸引力的水準，而且不像過去在季末或年末會出現尖峰。因此，幾乎所有影響我們市場的變數——無論是利率水準、利率的隱含下行、掉期利差、資金成本水準——一切目前都處於非常好的狀態（如果你願意這麼說）。所以這非常有利，並使我們對商業模式與槓桿式 MBS 投資保持非常看多。

With that, I will turn it over to Hunter.

接下來，我把時間交給 Hunter。

The investment portfolio section of the presentation starts on slide 16, if you're following along. Mortgage spreads continued their tightening trend that began following the volatility we saw last April, and that move accelerated meaningfully after the President's GSE purchase announcement on January 8.

如果您有跟著簡報進行，投資組合的章節從第 16 頁開始。房貸利差延續了自去年 4 月我們看到的波動之後開始的收斂趨勢，而在 1 月 8 日總統宣布購買 GSE 之後，這一走勢明顯加速。

This drove spreads tighter by roughly 20 to 25 basis points versus swaps almost instantaneously within a couple of days. As we moved into February, those spreads began to drift a little bit wider and that widening accelerated sharply around the geopolitical events in the Middle East, jumping as much as 40 basis points wider at its peak versus the tights of the quarter.

這使得相對於利率交換（swaps）的利差在短短幾天內幾乎瞬間收斂約 20 到 25 個基點。進入 2 月後，這些利差開始小幅走寬，而在中東地緣政治事件前後，走寬明顯加速；相較於本季最緊水準，利差在高點時一度走寬多達 40 個基點。

We closed the quarter near those wides and have begun seeing some stabilization since then as spreads have retraced about 20 basis points. So had a pretty volatile quarter in terms of spreads, first tightening sharply by 20 to 25 basis points before blowing out 40 and then quarter-to-date so far in April, we've tightened back in around 20 basis points.

我們在接近那些最寬水準時結束本季，而此後利差回吐約 20 個基點，開始出現一些穩定跡象。因此，就利差而言，本季相當波動：先是急速收斂 20 到 25 個基點，接著擴大 40 個基點；而截至目前 4 月的季內表現，我們又收斂回約 20 個基點。

So against that backdrop, we remain focused on maintaining a highly liquid 100% agency portfolio and deploying capital opportunistically through this volatility. We raised approximately $108 million in the quarter and an additional $28 million in early April.

在這樣的背景下，我們仍專注於維持高度流動性的 100% 機構（agency）投資組合，並在這段波動中把握機會性地部署資本。本季我們募得約 1.08 億美元，並在 4 月初另外募得 2,800 萬美元。

Importantly, we were able to deploy that capital at attractive levels. Roughly half the capital as spreads drifted off their tight levels and at levels similar to those we saw in December and then the remainder of the capital we deployed after the big geopolitical shock.

重要的是，我們能在具吸引力的水準部署這些資本。約一半的資本是在利差自最緊水準回到較寬、且水準與我們在 12 月看到的相近時投入；其餘資本則是在重大地緣政治衝擊之後部署。

In total, we purchased approximately $1.6 billion of agency specified pools and TBAs with a focus on call protected collateral, including loan balance stories, borrower credit attributes and structures that we expect to perform well across the recent rate range.

合計而言，我們買入約 16 億美元的機構指定池（specified pools）與 TBA，重點放在具備防提前清償（call protected）的抵押品，包括貸款餘額特徵、借款人信用屬性，以及我們預期在近期利率區間內表現良好的結構。

The net impact was a modest reduction in the weighted average coupon of the portfolio, reflecting a shift slightly towards slightly lower coupons. That included $182 million of loan balance 4.5s, $624 million of 5s, $425 million of FICO and LTV 5.5s and $138 million of 6 is mostly in the form of Geo pools and FICO.

淨影響是投資組合的加權平均票息小幅下降，反映我們略微轉向較低票息。其中包括 1.82 億美元的貸款餘額 4.5%、6.24 億美元的 5%、4.25 億美元的 FICO 與 LTV 5.5%，以及 1.38 億美元的 6%，主要以 Geo pools 與 FICO 的形式持有。

We also purchased $250 million of 15-year 4.5s. And as Bob alluded to, we've swapped out some of our TBA shorts that we had on in Fannie 30-year 5.5s for swaps at the kind of local wides.

我們也買入 2.5 億美元的 15 年期 4.5%。此外，如 Bob 所提到的，我們把原先在房利美（Fannie）30 年期 5.5% 上的部分 TBA 空頭部位，於相對偏寬的當地水準改以利率交換（swaps）替換。

The net effect, as I mentioned, was a slight reduction in the weighted average coupon of the portfolio from 5.64% to 5.75%. More broadly, over the past several quarters, we've continued to refine the portfolio towards production coupons, say, at dollar prices around 99 to 101.

如我所述，淨效果是投資組合的加權平均票息從 5.64% 小幅降至 5.75%。更廣泛地說，過去幾個季度，我們持續將投資組合精煉至新發行票息（production coupons），也就是美元價格約在 99 到 101 左右。

So this encompasses the kind of 5% to 6% range of coupon buckets and that's where we see the best balance between carrying duration and convexity. As we've discussed, we've reduced our exposure to lower coupons that tend to exhibit greater spread duration and become -- can become a source of volatility during risk off periods, particularly when money managers are actively selling.

因此，這涵蓋了約 5% 到 6% 的票息分層，而我們認為這裡在持有久期與凸性之間提供最佳平衡。如我們先前討論過的，我們已降低對較低票息的曝險；這類資產往往呈現較高的利差久期，並且在避險情緒（risk-off）期間可能成為波動來源，特別是在資產管理機構積極賣出時。

At the same time, we remain disciplined around prepayment risk. The portfolio continues to be heavily concentrated in specified pools with strong call protection. At quarter end, approximately 92% of the portfolio was backed by specified pools with at least 10 ticks of payup.

同時，我們在提前清償風險方面仍維持紀律。投資組合仍高度集中於具強勁防提前清償特性的指定池。截至季末，約 92% 的投資組合由指定池支撐，且至少有 10 ticks 的加價（payup）。

Turning to the funding side of the equation, slide 19, if you're following along. Our funding conditions continue to improve over the quarter, allowing us to more fully realize the benefit of the December 10 rate cut. Both SOFR relative to Fed funds and our observed repo funding spreads to SOFR continue to grind tighter as reserve management operations helped stabilize the funding market. At present, we're currently funding in the 11 to 13 basis point range over SOFR, which is quite a drastic improvement from what we saw in the fourth quarter.

接著談資金端，若您有跟著簡報，請看第 19 頁。本季我們的融資條件持續改善，使我們能更充分地實現 12 月 10 日降息帶來的效益。SOFR 相對於聯邦基金利率（Fed funds），以及我們觀察到的回購（repo）融資利差相對於 SOFR，皆持續逐步收斂；準備金管理操作有助於穩定資金市場。目前我們的融資成本約為 SOFR 之上 11 到 13 個基點，較第四季所見有相當大幅的改善。

Turning to the hedge positions, from a hedging perspective, we maintain a pretty consistent framework. The hedge coverage is approximately 65% of our repo balance, and we continue to put an emphasis on interest rate swaps. At March 31, our duration gap was approximately 0.07 years, which equates to a net long DV01 of roughly $375,000, I think $372,000 from the deck in the earlier slides.

接著談避險部位；從避險角度來看，我們維持相當一致的架構。避險覆蓋率約為我們回購餘額的 65%，且我們持續強調使用利率交換。截至 3 月 31 日，我們的久期缺口約為 0.07 年，換算為淨多頭 DV01 約 37.5 萬美元；我想在前面投影片的資料是 37.2 萬美元。

In terms of partial durations, our hedge profile remains barbelled between the 2- and 3-year part of the curve and the 7- to 10-year part of the curve. We do have a lot of swaps on in the middle, but that's just kind of -- if there were -- if I were to suggest there is a skew, it's to the front and longer end of the curve. By long end, I mean, 7 to 10 years.

就分段久期而言，我們的避險配置仍呈槓鈴式（barbell），分布在殖利率曲線的 2 到 3 年端，以及 7 到 10 年端。我們在中段也有不少交換部位，但那只是某種程度上——如果要說有偏斜的話——是偏向曲線前端與較長端。所謂長端，我指的是 7 到 10 年。

Prepayment speeds did pick up during the period, during the quarter in response to rates reaching local lows. Speeds increased from 10.9 CPR in January to 16.3% CPR in March. Looking forward, we expect speeds to ease in the coming months.

在本期間、也就是本季內，因利率觸及局部低點，提前清償速度確實有所加快。速度從 1 月的 10.9 CPR 上升至 3 月的 16.3% CPR。展望未來，我們預期未來幾個月速度將趨緩。

I think the latest Street projections are for the prepaid universe to come down by approximately 15% expected to see as much, if not even a greater impact on us owing to the fact that we own more recent production in most of the portfolio. rates have moved higher. So that's really going to be the impetus for that slowdown in speeds.

我認為最新的華爾街預估是，整體提前清償範圍（prepaid universe）將下降約 15%；由於我們的投資組合多數持有較近期的新發行券種，預期對我們的影響可能同等甚至更大。利率已走高。因此，這將是提前清償速度放緩的主要推動因素。

From a positioning standpoint, the portfolio remains somewhat defensive against the risk of inflation reaccelerating. The 6% higher coupon portion of the portfolio, which represents over 40% of total mortgage assets performed very well during this most recent sell-off, less -- did less so in the earlier parts of the quarter when rates were rallying.

就部位配置而言，投資組合對通膨再度加速的風險仍偏防禦。投資組合中 6% 的較高票息部分占總房貸資產的 40% 以上，在最近這波拋售中表現非常好；但在本季較早、利率走低反彈時，表現則相對沒那麼好。

That said, marginal capital, we continue -- we expect to continue allocating towards production coupons, as I alluded to, kind of first discount or first premium part of the stack. And this is going to serve to gradually reduce our exposure to higher premium assets over time.

即便如此，對於邊際資本，我們仍將——並預期持續——如我先前提到的，配置到新發行票息，也就是結構中第一個折價或第一個溢價的區段。這將隨時間推移逐步降低我們對較高溢價資產的曝險。

Looking forward, while spreads have retraced from their recent wides, we continue to see an attractive environment for agency mortgages. At quarter end, the modeled returns for our combined portfolio, inclusive of hedges and at current funding levels were between 15% and 17% range return on equity. We believe those returns can move higher if prepay speeds do, in fact, trend lower or if the outlook for additional Fed easing reemerges.

展望未來，儘管利差已自近期最寬水準回吐，我們仍認為機構房貸的環境具吸引力。截至季末，在目前融資水準下、且納入避險後，我們合併投資組合的模型化報酬率（股東權益報酬率）約在 15% 到 17% 的區間。我們相信，若提前清償速度確實走低，或聯準會進一步寬鬆的前景再度浮現，這些報酬仍有機會上升。

With that, I will turn it back over to Bob for his concluding remarks.

那麼，我把時間交回給 Bob，請他做結語。

Thanks, Hunter. Just to kind of give you kind of a quick rehash. Over the course of the last four or five quarters, Orchid has more than doubled in size. There have been benefits to us.

謝謝你，Hunter。我簡單快速地幫大家回顧一下。在過去四到五個季度的期間，Orchid 的規模已經成長到原來的兩倍以上。這對我們帶來了好處。

As a result of doing that, we've been able to lower our cost structure. I would like to just turn your attention before I move on to any further points to slide 31. Everybody would quickly turn to that page. What we have on page 31 is basically 10 years of data.

因此，我們得以降低成本結構。在我繼續談其他重點之前，我想請各位先把注意力放到第 31 頁投影片。請大家快速翻到那一頁。第 31 頁基本上呈現的是 10 年的資料。

32.

32。

I'm sorry, 32. This is 10 years of data. On the top, we show our stockholders' equity going back to 2015. As you can see, it's been a very -- and by the way, this is annualized data. So this is annual data, not annualized, annual data.

抱歉，是第 32 頁。這是 10 年的資料。上方我們展示自 2015 年以來的股東權益。如各位所見，這一直是非常——順帶一提，這是年化資料。所以這是年度資料，不是年化，年度資料。

So the change year-over-year for both equity and our expenses. And as you can see, our shareholders' equity has grown by 442% over the last 10 years, which is an annualized growth rate of 18.4%. And our expenses have grown 159% or at a 10% annualized rate.

因此，這裡呈現的是股東權益與我們費用的年度同比變化。如各位所見，過去 10 年我們的股東權益成長了 442%，相當於 18.4% 的年化成長率。而我們的費用成長了 159%，或以年化 10% 的速度成長。

The benefit of that or the offshoot of that is on the next slide, slide 33, and you can see where our expense ratio is. Again, that's for calendar year 2025. As we move through the year, we will probably start to show this on a four-month rolling average until we get to the end of the year when we can fully update the graph.

其帶來的好處或延伸效果在下一張投影片、第 33 頁，可以看到我們的費用率。同樣地，這是以 2025 曆年為基準。隨著年度進行，我們可能會開始用四個月滾動平均來呈現，直到年底我們能完整更新圖表。

As you can see, our expense ratio has moved from just under 3% or our G&A load to 1.7%, which is, as you know, very low in regard to most of our peers and actually only lower than all but the two largest peers. So that's one thing I wanted to point out.

如各位所見，我們的費用率（或一般及行政費用負擔）已從略低於 3% 降至 1.7%；如各位所知，相較於多數同業這是非常低的水準，實際上也只比最大的兩家同業略高。這是我想特別指出的一點。

With respect to the portfolio, just to kind of quickly summarize what Hunter said, we expect prepayments to be benign, but we still have a very well protected portfolio with a very modest premium dollar price.

就投資組合而言，簡單快速總結 Hunter 的說法，我們預期提前償還將維持溫和，但我們仍擁有保護性很高的投資組合，且溢價美元價格相當溫和。

Hunter mentioned that returns in the sector are approximately mid-teens, call it, 15% to 17% the current yield on the portfolio with a $0.10 per month dividend and the current book value is very much in that exact same range.

Hunter 提到，該產業的報酬率大約在十幾%的中段，約 15% 到 17%；以每月每股 0.10 美元股利計算，投資組合的當期殖利率，以及目前的帳面價值，也大致落在同一個區間。

So unlike last year, the yield of the portfolio in terms of the dividend divided by the book and returns in the market are very much in line. So to the extent that we were deploying new capital, it would not have any meaningful impact on the yield of the portfolio. And as we just alluded to, as we've grown the portfolio in the company, our expense ratio tends to come down. So in that -- the bottom line of that basically is that growth is accretive to earnings.

因此，不同於去年，以「股利除以帳面價值」衡量的投資組合殖利率，與市場報酬率目前非常一致。所以若我們部署新資本，對投資組合殖利率不會造成任何顯著影響。而如我們剛才提到的，隨著公司與投資組合規模成長，我們的費用率往往會下降。因此——歸根結底，成長對盈餘是具增益性的。

With respect to our outlook, the market is very appealing to us. Returns are still attractive. They're not as attractive as they were a year ago, but they are still quite attractive. And all of the variables that matter to us, interest rates, the level, the level of swap spreads versus yields on assets, the level of implied vol, the funding markets, everything is in a very great state. And therefore, we are quite bullish on the market going forward.

就我們的展望而言，市場對我們非常有吸引力。報酬仍然具吸引力。雖然不如一年前那麼吸引人，但仍相當不錯。而所有對我們重要的變數——利率水準、交換利差相對於資產殖利率的水準、隱含波動率水準、資金市場——一切都處於非常良好的狀態。因此，我們對未來市場相當看多。

The big variable, of course, is the war. Nobody knows how that's going to play out, but it seems my personal observation, which is that the big tail risk going into the war was a massive escalation meaningful and lasting damage to production capacity in the Middle East.

當然，最大的變數是戰爭。沒有人知道會如何發展，但以我個人的觀察，戰爭爆發前最大的尾端風險，是局勢大幅升級，對中東的生產能力造成重大且持久的損害。

It seems that, that risk is now much lower. I think that kind of explains why the markets have become pretty benign over the last week or two, while we still react to headlines from the war, generally, the risk assets have done well. And I presume that, that's just because we think that the big outsized tail risk is quite low. So that's our outlook.

看起來，這個風險現在已經低很多。我想這也解釋了為什麼過去一兩週市場變得相當平穩；雖然我們仍會對戰爭相關新聞標題有所反應，但整體而言，風險性資產表現不錯。我推測，這是因為我們認為那種特別巨大的尾端風險相當低。以上就是我們的展望。

With that, we'll turn the call over to questions.

那麼，接下來我們把電話會議交給提問環節。

(Operator Instructions) Jason Weaver, JonesTrading.

(接線員指示) Jason Weaver，JonesTrading。

First, I noticed it looks like the effective duration of the portfolio extended a bit to about 3 as of 3/31. Was that intentional tactical decision around the purchase of the GSE purchase announcement or maybe just a consequence of adding those belly coupons?

首先，我注意到截至 3/31，投資組合的有效存續期間似乎拉長了一些，約到 3 左右。這是因應 GSE 購買公告而做的刻意戰術性決策，還是只是因為增加了那些中段票息（belly coupons）所造成的結果？

Yes, a little bit of both. And rates have drifted higher. The portfolio extended a little bit, and we're trying to sort of not add too much hedge at the local highs, so we don't mind that the portfolio duration drifts a little bit higher as we approach higher rates.

是的，兩者都有一點。而且利率也逐步走高。投資組合的存續期間拉長了一些；我們也試著不要在局部高點時增加太多避險，所以當利率走向較高水準時，我們不介意投資組合存續期間略微上升。

In the beginning of the first quarter, when rates were pushing much lower, particularly in January and early Feb, we noticed underperformance in kind of higher coupons and wanted to make kind of a strategic shift to getting into some more 4.5s and 5s to have a little bit more balance.

在第一季初，當利率大幅走低時——特別是在 1 月與 2 月上旬——我們注意到較高票息的標的表現相對落後，因此想做一個策略性調整，增加一些 4.5% 與 5% 的部位，以取得更好的平衡。

It is particularly true whenever we are at local highs in rates. I would just add to that. I agree with everything he said. If you look on slide 21, we did move more of the hedge book to swaps. And if you look at the average maturity, it did go out a little bit kind of coinciding with what Hunter just said, so we moved the average life of the hedge book out about 0.3 a year. So moved it further out the curve. And that was a conscious decision in response to the movements in the portfolio.

尤其是在利率處於局部高點時，這點特別明顯。我再補充一下。我同意他剛才說的所有內容。如果你看第 21 頁，我們確實把更多避險部位轉到利率交換（swaps）。而如果你看平均到期年限，它也稍微拉長，與 Hunter 剛才所說的相呼應；因此我們把避險部位的平均年期延長了約 0.3 年。也就是把它往殖利率曲線更遠端移動。這是因應投資組合變動而做出的有意識決策。

Got it. That makes sense. And then on the dividend, I know you're methodical about this, and it's obviously never easy to make the decision to make a cut. But can you talk about the sort of level of core spread income coverage at a floor that you need to establish the run rate going forward?

了解。這很合理。接著談股利，我知道你們在這方面一向很有條理，而且做出減配決策顯然從來都不容易。但你能否談談，為了建立未來的常態化配息水準，你們需要核心利差收入（core spread income）覆蓋率至少達到什麼底線？

Well, yes, I'm glad you asked that. I know everybody is concerned with that. A couple of things in mind. We have a distribution obligation. So in '24 and '25, we were paying a $0.12 dividend, which at the end of the year was 95% covered by taxable income.

嗯，是的，我很高興你問到這個。我知道大家都很關心。有幾點要記在心上。我們有配息分配義務。因此在 2024 與 2025 年，我們支付每股 0.12 美元的股利，而到年底時，應稅所得對該股利的覆蓋率是 95%。

A lot of that was driven by hedges, the performance of our hedges during the tightening cycle, where we had a lot of equity in those hedges, which actually when you close them and they have significant positive equity, which was the case, that basically creates a liability, if you will, of future taxable income that has to be distributed over the remaining life of those hedges. So for that reason, we had a dividend yield on a tax basis that was slightly above the GAAP earnings of the portfolio. But as we mentioned in the last call, as we move into the new calendar year, we reevaluate.

其中很大一部分是由避險所驅動，也就是我們在緊縮週期中避險部位的表現；我們在那些避險上有相當多的權益，而當你把它們平倉且它們具有顯著的正向權益（本次確實如此）時，基本上就會形成一項（如果你願意這麼說）未來應稅所得的負債，必須在這些避險剩餘存續期間內分配出去。因此，從稅務基礎來看，我們的股利殖利率略高於投資組合的 GAAP 盈餘。但如同我們在上次電話會議提到的，當我們進入新的曆年時，我們會重新評估。

We've seen the effect of those closed hedges, one, wear off and two, be diluted just because of the growth of the company and the portfolio, shares outstanding. And so now when we appraise the current run rate, that's what drove us to move the dividend where it is. in terms of where that is in relation to what the portfolio is generating, they're very much in line.

我們已看到那些已平倉避險的影響：第一，逐漸消退；第二，因公司與投資組合的成長以及流通在外股數增加而被稀釋。因此，當我們評估目前的經常性水準（run rate）時，這就是促使我們把股利調整到目前水準的原因。就其相對於投資組合所產生的收益而言，兩者非常一致。

So right now, the dividend yield is very much in line with what the portfolio is generating and what you can earn in the market today on marginal capital, all in that 15% to 17% yield range. So they're all pretty much in line. And just next year, I will tell you, sometime in the first quarter, we will be again reevaluating where we see taxable earnings running for 2027.

所以目前，股利殖利率與投資組合所產生的收益，以及你今天在市場上以邊際資本所能賺取的報酬非常一致，整體都落在 15% 到 17% 的殖利率區間。所以基本上都相當一致。另外，明年我可以告訴你，我們會在第一季的某個時間點再次重新評估我們對 2027 年應稅盈餘的看法。

And to the extent necessary, we'll adjust. We don't, of course, have any insight into that at the moment. But now based on where we see things running, it would seem the prudent thing to do. And as I said, they're all in line now. We should be -- have our earnings of the portfolio, our dividend yield and the marginal return on capital all be pretty much in line.

如有必要，我們會進行調整。當然，我們目前對此沒有任何洞見。但就我們現在看到的運行狀況而言，這似乎是審慎之舉。而且如我所說，現在它們都一致。我們應該讓投資組合的盈餘、我們的股利殖利率，以及邊際資本報酬率三者基本上保持一致。

(Operator Instructions) Mikhail Goberman, Citizens JMP.

(接線員指示) Citizens JMP 的 Mikhail Goberman。

Just a quick one first. Could you update us on current book value?

先快速問一個。可以更新一下目前的帳面價值嗎？

Book is up about 2.5% as of yesterday. We've given back some this week. If you had asked me the same question last Friday, it was a little higher than that. But this week, we've given back some of that. So we're up about 2.5% from where we were.

截至昨天，帳面價值上升約 2.5%。本週我們回吐了一些。如果你上週五問我同樣的問題，會比這個數字略高一些。但這週我們回吐了部分漲幅。所以相較於之前，我們大約上升 2.5%。

Got you. And if I can just squeeze in one more. You talked about investment opportunities being pretty attractive at the moment. Assuming rates on MBS continue to kind of creep up higher. How does that sort of look to your portfolio construction of your premium portfolio going forward?

了解。如果我再塞一個問題。你提到目前投資機會相當有吸引力。假設 MBS 的利率持續緩步走高，這對你們未來溢價（premium）投資組合的投組建構會有什麼影響？

You say rates, you mean mortgage rates available to borrowers?

你說的利率，是指借款人可取得的房貸利率嗎？

Yes.

是的。

That would be beneficial. That improves carry. We have a slight premium in the portfolio, as I mentioned, Hunter mentioned about $1 to $1.5 price. We have call protection, which Hunter alluded to. In fact, I should just take over. I mean, that's your question.

那會是有利的。那會改善 carry（利差收益）。如我提到的，我們的投資組合有些微溢價；Hunter 提到大約是 1 到 1.5 的價格。我們有買回保護（call protection），Hunter 也提到了。其實我應該直接接著說。我的意思是，這就是你的問題。

No, yes, it's -- like I said in my prepared remarks, the portfolio is over 40% in that 6%, 6.5% bucket, we have a couple of 7s. Those have been paying. The speeds were elevated, particularly in March. And as mortgage rates have risen, and spreads have blown out a little bit with respect to rates available to borrowers, we expect to see a corresponding slowdown in prepay speeds.

不，是的——就像我在事先準備的發言中說的，投資組合有超過 40% 落在 6%、6.5% 這個區間，我們也有幾檔 7%。那些一直在償付。償付速度偏快，特別是在 3 月。隨著房貸利率上升，且相對於借款人可取得利率的利差（spreads）略為擴大，我們預期提前償還速度會相應放緩。

So yes, we're probably -- we have intentionally skewed both the portfolio and the hedge book to guard against kind of rising rate environment. Our house view has been not quite as, I guess, sanguine as the rest of the market with respect to Fed eases.

所以是的，我們可能——我們刻意讓投資組合與避險部位都偏向防範利率上升的環境。我們內部的看法，對於聯準會降息的預期，坦白說沒有市場其他人那麼樂觀。

We've come along since held that we didn't think we were going to get as many as what was priced into the current market. That's played out. And so now that we're at the kind of higher end of the range, we're looking to restack the deck a little bit with a little bit more of a skew towards lower coupons as we add additional capital and to the extent that we have to pay down, so we'll probably buy more 5s and kind of first discount type coupons just because of where we are with respect to kind of the recent range in rates.

我們一路以來都認為，實際降息次數不會像目前市場定價所反映的那麼多。結果也確實如此。因此，現在我們處在區間的較高端，我們希望稍微重新調整配置：在增加額外資本、以及在需要償還（pay down）的情況下，我們可能會把配置更偏向較低票息；所以我們大概會多買一些 5% 票息，以及偏向第一類折價（first discount）型的票息，主要是因為就近期利率區間而言，我們目前所處的位置。

And I'm currently showing no further questions at this time.

我目前顯示此時沒有其他問題。

I'd now like to hand the call back over to Robert Cauley for closing remarks.

現在我想把電話交回給 Robert Cauley 作結語。

Thank you, operator, and thank you, everyone. We very much appreciate you listening in on the call. To the extent you have another question that comes up or you don't listen to the call live and have a question that comes up after listening to the replay, as always, feel free to call.

謝謝你，接線員，也謝謝各位。我們非常感謝各位收聽本次電話會議。如果你之後又想到其他問題，或是你沒有即時收聽、在聽完重播後又有問題，一如往常，歡迎隨時來電。

The number here in the office is (772) 231-1400. Otherwise, we look forward to speaking to you at the end of the second quarter. Everybody, have a good day. Thank you.

我們辦公室的電話是 (772) 231-1400。否則，我們期待在第二季結束時再與各位交流。各位，祝你們有美好的一天。謝謝。

This concludes today's conference. Thank you for your participation. You may now disconnect.

今天的會議到此結束。感謝各位的參與。您現在可以掛線。