艾灵顿住宅抵押贷款REIT面临第三季度亏损;投资网站(Investing.com)的数据显示，CLO配置出现增长
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艾灵顿住宅抵押房地产投资信托基金(纽约证券交易所代码:)报告称，由于高波动性和利率上升，2023年第三季度每股净亏损0.75美元。尽管如此，该公司调整后的可分配收益季度环比增长，并保持了强劲的流动性状况。该公司对其抵押贷款债券(CLO)配置的显着增长持乐观态度，认为这将推动收益增长和多元化，尽管机构MBS行业面临挑战。
财报电话会议的主要内容包括:
艾灵顿住宅抵押贷款REIT在第三季度经历了重大的价格波动，一些30年期的息票下跌超过5个百分点。
该公司强调避免在熊市抛售，并表示他们的投资组合参与了市场复苏。
EARN计划在其投资组合中增加高收益clo，以实现多元化和更高的预期回报。
该公司预计将30%的风险资本分配给CLO部门，并预计随着机构MBS部门的利差正常化，ADE和账面价值将大幅升值。
该公司发行股票是为了维持股本，降低一般及行政费用比率，并预期将继续增加继续通过ATM适度融资，以提高每股收益。
尽管经历了一个充满挑战的季度，艾灵顿住宅抵押贷款房地产投资信托基金仍对未来几个月的总回报潜力持乐观态度。该公司看到了市场上的机会，特别是在企业clo领域，并已开始向这一领域配置资金。他们预计CLO配置将大幅增长，并相信这将实现多元化并推动盈利增长。
在电话会议上，该公司讨论了其保持抵押贷款敞口不变的策略，并将其机构投资组合转向增加相对价值并提高调整后股息支出(ADE)。他们还计划在投资组合中增加高收益的贷款抵押债券(clo)，以实现多元化和更高的预期回报。EARN认为，clo将为其机构抵押贷款支持证券(MBS)投资组合提供平衡，并在利率波动加剧时减少账面价值波动。
EARN也对Agency MBS的杠杆和价格升值潜力表示乐观。他们强调了通过clo实现多元化的机会，clo提供了可观的收益，并补充了机构MBS。该公司预计在CLO领域的投资回报率将超过20%，并提到发行股票以保持股权。
展望未来，EARN预计将在未来几个季度继续在其投资组合中增加CLO资产。他们对机构抵押贷款支持证券持积极态度，并预计资本将回流该行业。该公司还计划继续通过上市(ATM)方式适度融资，以降低费用率并提高每股收益。
InvestingPro的实时数据和提示为艾灵顿住宅抵押房地产投资信托基金(纽约证券交易所代码:EARN)的财务状况和前景提供了宝贵的见解。例如，InvestingPro强调，该公司的市盈率为48.43倍。这表明EARN的市盈率很高，这是投资者对该公司未来盈利能力充满信心的潜在迹象。然而，值得注意的是，两位分析师下调了对未来一段时间的盈利预期。
InvestingPro的数据还显示，EARN的市值为8887万美元，截至2023年第二季度，该公司在过去12个月的收入为4428万美元。然而，与此同时，该公司同期的收入下降了25.9%。
InvestingPro还指出，EARN向股东支付了可观的股息，已连续11年保持股息支付。截至2023年，股息收益率高达17.11%，突显了这一点。
综上所述，虽然EARN面临一些挑战，但它也为投资者提供了潜在的机会，特别是那些寻求股息收入的投资者。要了解更多的见解和技巧，请考虑探索InvestingPro的产品，其中包括与EARN相关的10个额外技巧。
接线员:早上好，女士们，先生们。谢谢你的支持。欢迎参加艾灵顿住宅按揭房地产投资信托基金2023第三季度财务业绩电话会议。今天的电话正在录音。[操作说明]现在我很荣幸把发言交给副总法律顾问阿拉埃尔-迪恩·希勒。先生，你可以开始了。
Alaael-Deen shiller:谢谢。在我们开始之前，我想提醒大家，在本次电话会议上所作的某些陈述可能构成1995年《私人证券诉讼改革法案》安全港条款意义上的前瞻性陈述。前瞻性陈述不具有历史性质，并受到各种风险和不确定性的影响，这些风险和不确定性可能导致公司的实际结果与其信念、期望、估计和预测不同。因此，您不应依赖这些前瞻性陈述作为对未来事件的预测。我们强烈建议您查看我们向美国证券交易委员会提交的信息，包括收益发布，10-K表格，以获取有关这些前瞻性陈述以及任何相关风险和不确定性的更多信息。除非另有说明，否则在本次电话会议期间所作的陈述均以本次电话会议日期为准，公司不承担因新信息、未来事件或其他原因而提供或修改任何前瞻性陈述的义务。今天和我一起参加电话会议的是Larry Penn, Ellington Residential的首席执行官;Mark Tecotzky，我们的联席首席投资官;Chris Smernoff，我们的首席财务官。正如我们的收益新闻稿所述，我们的第三季度收益电话会议演示可以在我们的网站上找到，earnreit.com。我们今天上午的评论将跟踪演示。请注意，本演示文稿中对数字的任何引用都必须在演示文稿后面的注释中进行完整的限定。好了，请翻到演示文稿的第三张幻灯片。现在我把话筒交给拉里。
Larry Penn: Thanks, Alaael-Deen, and good morning, everyone. We appreciate your time and interest in Ellington Residential. The third quarter actually began on a constructive note. In July, inflation fell to its lowest year-over-year pace in 2 years, GDP growth beat expectations and U.S. equities and most credit fixed income sectors posted gains for the month. For Agency MBS, FDIC selling of specified pools continued to be well digested by the market and the U.S. Agency MBS Index generated a positive excess return for the month over Treasuries. EARN had a positive economic return in July as well. The quarter got considerably more challenging from there, however. Realized volatility remained high and long-term interest rates continued their upward march, which put significant pressure on Agency yield spreads. In particular, the Federal Reserve's hawkish messaging at its September meeting triggered a selloff in most fixed income sectors, Agency MBS included, while a possible government shutdown added to the uncertainty. The yield on the 10-year treasury rose 82 basis points between mid-July and September 30th. And the MOVE Index, which tracks expected short term interest rate volatility, remained elevated. Against this backdrop, Agency MBS very significantly underperformed the comparable U.S. Treasuries and interest rate swaps during the quarter, with lower coupon MBS exhibiting the most pronounced underperformance. On Slide 3 of the presentation, you can see that the dollar prices on Fannie 2.5s through 3.5s declined by more than 5 points sequentially. EARN generated an overall net loss of $0.75 per share for the quarter with net losses on our specified pools exceeding net gains in our interest rate hedges and delta hedging costs, which are tied to interest rate volatility, remaining high. On the positive side, our adjusted distributable earnings increased quarter-over-quarter, driven by further portfolio turnover capturing higher market yields, while our cost of funds remained relatively stable. In addition, a significant portion of the losses on our Agency MBS for the quarter were unrealized and resulted from yield spread widening that could be largely recoverable if market volatility subsides. We sold some pools incrementally and we were able to avoid the forced selling that we saw from others in September and October. We continued to hold a strong liquidity position at quarter end with cash and unencumbered assets representing 38% of our total equity. And with our leverage ratios roughly unchanged quarter-over-quarter, we continued to maintain additional borrowing capacity. Looking to the balance of the year, it's great to have dry powder available in a market rich with opportunities. Despite the rally of the past couple of weeks, Agency yield spreads remain very wide, and the mortgage basis looks very attractive right now with the impact of elevated volatility and higher for longer interest rate environment seemingly fully priced in. Furthermore, on a technical basis, late fall and winter seasonal effects should bring a drop in Agency RMBS supply, and the fourth quarter is typically a strong quarter for bank deposit growth and resulting security purchases. The main thing keeping money managers and banks from returning to the sector in a meaningful way has been elevated volatility. If volatility finally subsides somewhat, incremental institutional demand for Agency MBS could be a significant driver of total returns for this sector in the coming months. I'm particularly excited to report that towards the end of third quarter, we started to allocate a portion of EARN’s capital to corporate CLOs, specifically CLO mezzanine debt and CLO equity. While this has been a small allocation so far, I expect the allocation to grow significantly, and I'm very optimistic about what this could mean for EARN going forward. Yield spreads on certain CLO mezzanine and equity tranches available in the secondary market are near levels we saw last in the summer of 2020 when the credit markets were still very much recovering from their COVID lows. Furthermore, no two CLOs are alike, which, given Ellington's extensive CLO expertise, should create lots of trading opportunities and relative value opportunities for EARN to capture. Ellington's strong and longstanding track record investing in CLOs in the secondary market should position EARN well to capitalize on both the near-term and the long-term opportunities we see in this sector. We are off to a good start, as in the past 6 weeks, EARN has acquired several CLO mezzanine debt and CLO equity tranches, where we project returns on equity well in excess of 20%. I believe that CLO mezzanine debt and equity pair very well with Agency RMBS as a complementary strategy that will diversify and help drive EARN's earnings growth going forward. Mark will elaborate that later in the presentation. And I'll now pass it over to Chris to review our financial results for the third quarter in more detail. Chris?
Chris Smernoff:谢谢你，Larry，大家早上好。请看幻灯片5艾灵顿住宅公司第三季度财务业绩总结。截至9月30日的季度，我们报告每股净亏损0.75美元，调整后的可分配收益为每股0.21美元。相比之下，第二季度的每股净收入为0.09美元，每股ADE为0.17美元。ADE不包括追赶摊销调整，该调整在第三季度为正46,000美元，而上一季度为负376,000美元。在本季度，我们机构RMBS的净亏损和负净利息收入超过了我们利率对冲的净收益，而由于利率波动加剧，我们的delta对冲成本仍然很高。因此，我们在本季度出现了重大的净亏损。我们的净息差从季度环比0.93%上升至1.24%，原因是持续的投资组合周转带来了更高的资产收益率。尽管第三季度的平均持有量较低，但NIM的增加推动了ADE的连续增长。我们还继续受益于利率互换套期保值，我们获得较高的浮动利率，并支付较低的固定利率。截至9月30日，我们指定池的付费用户从6月30日的0.98%略微增加到1.02%。现在请翻到幻灯片6上我们的资产负债表。9月30日的账面价值为每股7.02美元，而6月30日的账面价值为每股8.12美元。算上本季度每股0.24美元的股息，我们的经济回报率为负10.6%。本季度末，我们拥有现金和现金等价物4000万美元，略低于6月30日的4370万美元。接下来请翻到幻灯片7，这是我们投资组合的概要。截至9月30日，我们的机构RMBS持有量下降了11%，至7.91亿美元，而截至6月30日为8.89亿美元。这种下降是由本金支付、净销售和净亏损驱动的。本季度，我们的机构RMBS投资组合周转率为19%。同期，我们持有的非机构RMBS和纯利息贷款证券的总量略有增加。在净利息收入和净收益的推动下，这些头寸对EARN的业绩做出了积极贡献。在本季度的最后一周，我们还增加了380万美元的CLO，我们预计CLO的分配可能会大幅增长。截至9月30日，经未结算购买和销售调整后的负债权益比率从6月30日的7.6倍降至7.3倍。下降主要是由于我们较小的机构RMBS投资组合的借款减少，部分被股东权益降低所抵消。在同一时期，我们的净抵押资产与权益比率从7倍小幅上升至7.1倍，因为较小的净空头TBA头寸和股东权益的下降抵消了较小的RMBS投资组合。最后在幻灯片9，你可以看到利率对冲组合的细节。本季度，我们继续通过使用利率掉期和tba、美国国债和期货的空头头寸来对冲利率风险。由于我们在本季度出售了代理资金池，我们补回了大部分的TBA空头头寸对冲，因此我们在本季度结束时持有相对较小的TBA净空头头寸。现在我把演讲交给马克。
Mark Tecotzky: Thanks, Chris. Larry already articulated many of the challenges for Agency MBS for the quarter that led to our negative return, a violent rate move, fears of money manager and mortgage REIT selling, and lots of daily rate volatility that had to be delta hedged, just to name a few of those challenges. Following quarter end, the underperformance of Agency RMBS continued for the first 3 weeks of October, but markets have since reversed course quite a bit. As of Friday, EARN’s fourth quarter to date economic return at approximately negative 1.7%. You only need to look at Slide 3 to get a sense of just how big the price movements in the quarter were. Some 30-year coupons were down over 5 points. It's important to remember that when you get into a real bear market for anything, prices often get to places that have nothing to do with fundamental value. After extreme downward price movements, certain investment vehicles become forced to sell assets to handle redemptions or margin calls, which can cause prices to spiral downward to distressed levels. And since Agency MBS are a lot more than almost anything else structured products, they're often the first thing these vehicles sell. As an investment manager in a situation like this, your top priority is to preserve value by avoiding becoming a distressed seller yourself. EARN did just that in the third quarter. This allowed our portfolio to participate in the significant market recovery the last two and a half weeks. But in any quarter with a lot of price volatility, the returns on the levered Agency strategy are driven by price changes and not spread income and we had significant unrealized losses. On Slide 10, you can see that we kept our mortgage exposure roughly constant during the quarter. You can see on Slide 8 that we have most of our mortgage exposure in the middle of the coupon stack that reduces our mortgage exposure to bank and money managers selling of lower coupons, while preserving our ability to perform if economic numbers weaken and interest rates decline, which we have observed since the third week of October. Meanwhile, we continue to turn over our Agency portfolio to add relative value and to boost ADE, replacing pools purchased at lower interest rate environments with pools that have today's higher yields, and it was that continued portfolio turnover that drove our ADE higher this quarter. We also continue to lean on our research team to find discount pools with incrementally faster prepayment speeds and to find par coupons that we think will provide call protection in an interest rate rally. Larry mentioned it, but I want to share some additional thoughts about allocating a portion of our capital to high yielding CLOs. EARN is an Agency MBS focused REIT of course, but we think it makes sense to add some diversification with other investment sectors and we have plenty of room on our REIT test for us just to buy some non REIT qualifying assets. Historically, we have supplemented EARN's Agency strategy quite successfully with non-Agency RMBS. And while that's been a relatively small allocation for us, those non-Agency investments have been a beneficial diversifier and have performed extremely well for us, including this past quarter. Still, just like Agency MBS, non-Agency MBS cash flows also come from single family mortgage payments. With the addition of CLO mezzanine debt and equity to our list of targeted assets, we have the opportunity to add some additional diversification benefits in a non-real estate sector, and we believe that this will result in higher returns for EARN over time. CLOs offer a good balance to Agency MBS. CLO mezzanine debt tranches are floating rate, while our Agency MBS are almost all fixed rate. So big swings in interest rates, which often negatively impact Agency MBS, should have much less effect on our CLO portfolio. A flat yield curve like what we saw in the third quarter generally dampen investor demand for Agency MBS, but they can be very positive for CLO performance. We also see diversification benefits from a portfolio leverage perspective. Agency MBS with very low financing costs but also lower asset yields require several turns of leverage to drive attractive dividend yields. On the other hand, CLO mezzanine debt and equity tranches, with their much higher asset yields, require much less leverage to help drive attractive dividend yields. Moreover, we can simply borrow a bit more on our Agency MBS portfolio to help fund many of our CLO purchases, especially given the relatively modest amount of leverage and disciplined interest rate hedge that we employ in our Agency strategy. I believe that by adding CLOs to our portfolio, we will reduce our quarter to quarter book value swings during times of increased interest rate volatility. CLOs may introduce price volatility in times of heightened credit concerns, but the vast majority of EARN's current holdings have no credit risk at all. So we view the introduction of some incremental credit risk with the benefit of much higher expected returns on equity as a diversification move that makes a ton of sense. Given their high expected yields, the CLO mezzanine debt and equity we are buying will generate very significant ADE, and so we expect our allocation to CLOs to be very supportive of EARN's ADE and dividend going forward. Ellington has a strong team and a great track record investing in secondary CLOs in a wide variety of vehicles. This is one of the many benefits that Ellington brings to the table as an external manager with broad capabilities. A small internally managed mortgage REIT would have a much harder time adding complementary strategies like this. As excited as I am to be adding CLOs, I'm still very constructive on Agency MBS right now. While spreads are well off their October wides, they are still very wide in the historical basis, and I believe that our levered Agency strategy will generate not only significant ADE, but also significant book value appreciation as spreads normalize. New origination volumes are low due to the lock-in effect and volumes are heading even lower with winter seasonals. Now that Treasury yields seem to be back in the range, I expect fixed income flows to improve significantly from the September and October outflows, and I suspect that many banks will begin to buy Agency MBS again. Agency MBS look very attractive relative to corporate bonds and Treasuries and that should draw on significant incremental capital to the sector. Given the current composition of our portfolio, we actually don't have much prepayment risk, and meanwhile the yield spreads on our assets should enjoy strong support given the concerns over a slowing economy and the expectations of a significantly less active Federal Reserve. Finally, while the most volatile days and weeks of 2023 might be behind us, we will remain disciplined managing our interest rate risk as always. Now back to Larry.
拉里·潘:谢谢你，马克。第三季度是我们近年来看到的机构RMBS最艰难的季度之一。在季度末之后，市场状况实际上在10月份恶化了。但11月迄今为止，市场再次逆转，长期利率下降，机构MBS息差有所回升。从经济回报的角度来看，我们估计到目前为止，第四季度的EARN下降了约0.12美元。联邦基金期货市场目前预测，美联储在未来几次会议上不会加息。如果像预期的那样，这将导致更正常的波动水平，那么资本回流到机构抵押贷款支持证券的前景将是光明的。展望未来，鉴于我们不仅在机构抵押贷款支持证券，而且在CLO、夹层债务和股票领域看到的机会，我希望在这个市场上有很多现成的资金。我想重申，我对EARN将二级市场企业CLO战略添加到其任务中感到非常兴奋，Ellington多年来在其他投资工具中成功地部署了这一战略。自季度末以来，我们继续在EARN的投资组合中增加高收益的CLO资产，我预计我们将在未来几个季度继续在EARN的投资组合中增加更多的CLO资产。在考虑行业配置时，我们将继续持机会主义态度。一如既往，我们将依靠我们的动态对冲策略和积极管理来保护账面价值。说到这里，我们现在开始提问。接线员，请讲。
接线员:[接线员说明]今天我们的第一个问题是由克里斯平·洛夫和派珀·桑德勒提出的。
克里斯平·洛夫:首先谈谈CLO投资，你们是否在这些投资中使用了杠杆?你能详细说明你所期望的增长和杠杆回报率吗?然后，随着时间的推移，你认为clo在你的总投资组合中会占多大比例?
拉里·潘:当然。好吧。所以，我不认为我们已经明确地对clo施加了任何杠杆作用，尽管我们当然打算对它们施加适度的杠杆作用。我想，正如我们在准备好的发言中提到的，我们可以，现在就从我们的机构投资组合中多借一点，这将有助于以更低的资金成本为一些增量CLO购买提供资金。所以我认为这是近期内我们可能会做的更多的事情。但无论如何，我认为，到第四季度结束时，你会看到投资组合中有一点杠杆作用。就我们能在这个领域投入多少资金而言，我认为，如果你看看我们目前所面临的限制，我的意思是，理论上，你甚至可以达到30%的风险资本配置，我的意思是，我说的是风险资本，这是我们内部使用的一个术语。显然，这不是资产，因为这些资产的杠杆率要低得多。但是，是的，我可以看到——理论上，我认为我们可以飞到那么高。当然，我们才刚刚开始，所以我们要慢慢来，看看进展如何。马克，你想详细解释一下吗?
Mark Tecotzky:不，我认为这是一个很好的总结，Larry。
克里斯平·洛夫:然后，马克，你能给我们介绍一下你对代理公司的最新看法吗?肯定会保持便宜，但在10月份波动较大，自10月25日至26日以来有所收紧，但在这种环境下对你的前景感到好奇。
Mark Tecotzky:是的。所以我认为，长期来看，机构抵押贷款支持证券有一些相当重要的有利因素。一是，如果联邦基金期货市场是正确的，美联储会在几个月内按动不动，那么利率波动可能会降低，我认为这将成为更多资本流入该领域的催化剂。此外，我们还提到了银行，它们通常是机构MBS的重要买家，但在过去一年里却成了净卖家。今年3月，硅谷银行(Silicon Valley Bank)被收购，这是其中很大一部分。如果你看看最近发生了什么，你看到的只是房利美和房地美投资组合的减值，所以不是真正的净抛售，而是通过减值而缩水，比如吉利美投资组合。所以我认为你可能会得到-我们在准备好的评论中提到了这一点，我认为你更有可能在第四季度看到比第三季度更好的计划赞助。利差很大，固定收益债券的收益率虽然没有达到今年的高点，10年期债券的收益率只有5%，但仍然很高，所以我认为这将支持固定收益债券的流动。所以我认为，从长远来看，我认为机构MBS在杠杆的基础上将带来显著的杠杆ADE和价格升值。因此，我们对它们持建设性态度，但通过clo，我们看到了在我们非常擅长的领域增加多元化的机会。它有很大的收益。有很多机会。由于我在事先准备好的发言中提到的所有原因，它是对MBS机构的一个很好的补充。这两件事就像是平行宇宙，驱动它们的风险，获得的杠杆，利率风险，我认为这是一个很好的补充。
拉里·潘:我想补充一点，克里斯，我还没有回答你关于该领域预期回报的问题。因此，我认为，在Agency MBS中，我们通常管理投资组合的方式，以及其他许多方式是，你杠杆化净息差，我们对冲利率风险。然后根据波动率的水平，你把一些杠杆NIM以delta对冲成本或其他类型的波动率相关摩擦的形式返还，对吧?clo的一个好处是持续时间不会变动太多。所以我们现在看到的回报是，如果不是更高的话，也只是适度的杠杆。现在，那里可能会有一些侵蚀，但我们真的认为，这是我们在这个领域所希望看到的。这显然会产生非常显著的影响，因为该部门的分配增加了。我想我们提到过我们已经投入了一些资金。我们预计它将实现这一目标，以及这些类型的回报。目前，我们目前所做的很多投资都有超过20%的收益。它很小，很灵活。它可以购买-积累较小的部分。所以我认为我非常乐观。
Crispin Love:最后一个问题。看看期末和本季度的平均股票数量，你在这里发行了一些股票。你能不能谈一下股票交易低于账面价值的策略?
拉里·潘:对。我们正努力维持1亿美元的股权。这是一个非常艰难的季度，我们把一部分收入还给了公司。所以把它看作是我们损失的股权的一种替代，我认为，只要我们能够保持-未来的一些季度，包括这个季度，它们不像上个季度那么残酷，我认为你不一定会看到那么多。请记住，我们的费用比率，在这个行业中当然不算高，但是，考虑到我们的规模，考虑到这些费用比率，通过ATM适度地筹集资金并在一定程度上稀释是很有意义的。因为当你从它对每股收益的增加效应来看，它通过降低你的一般及相关费用比率，这是一个相对较短的投资回收期。
Crispin Love:谢谢Larry和Mark，感谢你们回答我的问题。
接线员:这是我们今天的最后一个问题。我们感谢您参加艾灵顿住宅抵押贷款REIT第三季度2023收益电话会议。你可以在这个时候断开你的线路，并有一个美好的一天。
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