Financial Data and Key Metrics Changes - For calendar Q1, the company reported a net loss of $0.23 per share and adjusted distributable earnings of $0.26 per share [10] - The overall net interest margin increased by 20 basis points to 5.27, supported by a growing capital allocation to CLOs [10][11] - The economic return for the quarter was negative 3.2%, with book value per share at $6.08 [11] Business Line Data and Key Metrics Changes - The CLO portfolio increased by 46% to $250 million, while capital allocated to CLOs expanded to 81% from 72% [12] - The agency mortgage portfolio decreased slightly to $504 million from $512 million at the end of the previous quarter [12] - The portfolio P&L by strategy showed a negative $0.24 per share from CLOs and a positive $0.08 from agency [10] Market Data and Key Metrics Changes - The market experienced turbulence in March, with credit spreads widening and prices declining across high yield, investment grade, and CLO debt tranches [8] - Significant tariff de-escalations in May led to credit spreads and prices reversing course, retracing a significant portion of the March and April moves [9] Company Strategy and Development Direction - The company successfully completed its conversion to a registered closed-end fund and changed its fiscal calendar to begin on April 1 [5][6] - The strategy focuses on increasing the CLO portfolio while maintaining liquidity and flexibility in response to market conditions [23][30] - The company plans to add corporate debt to its liability structure later this year, which should be accretive to net investment income [30] Management's Comments on Operating Environment and Future Outlook - Management noted that while there were mark-to-market losses in calendar Q1, most price declines were driven by credit spread widening rather than realized credit losses [23] - The company is optimistic about deploying capital in a compelling market and believes it is well-positioned to drive strong earnings moving forward [30] Other Important Information - The company plans to issue monthly updates on portfolio metrics and net asset value on its website [27] - The company maintained high levels of liquidity, with approximately 18.8% of the total portfolio in cash and cash equivalents as of April 30 [28] Q&A Session Summary Question: How does the yield on newly acquired CLOs compare to the previous $250 million? - Management indicated that the weighted average yield varied from slightly wider to potentially hundreds of basis points back, depending on the type of assets purchased [34][35] Question: Do you have dry powder to deploy? - Management confirmed that they still have good dry powder available for deployment [37] Question: What are the latest thoughts on the ADE trajectory? - Management stated that they might be a little short this quarter but are on track for coverage in the third quarter [56]

Financial Data and Key Metrics Changes - The company reported a net loss of $0.07 per share for Q4 2024, with adjusted distributable earnings of $0.27 per share, maintaining a strong net interest margin of 5.07% [23][21][24] - The debt-to-equity ratio adjusted for unsettled trades increased to 2.9 times from 2.5 times at the end of Q3 2024, while the net mortgage assets-to-equity ratio decreased to 2.6 times from 3 times [27][21] - The book value per share was $6.53 at year-end, with combined cash and unencumbered assets totaling $111 million [26][21] Business Line Data and Key Metrics Changes - The CLO portfolio grew by 18% to $171 million at year-end, with capital allocated to CLOs increasing to 72% from 58% at the end of Q3 2024 [28][9] - The CLO mezzanine debt portfolio performed well, contributing positively to adjusted distributable earnings, while the Agency mortgage portfolio experienced a loss due to interest rate volatility [20][24] - The Agency RMBS holdings increased by 11% to $512 million at year-end, but the Agency strategy generated a net loss for the quarter [28][20] Market Data and Key Metrics Changes - Strong credit fundamentals and robust demand for leveraged loans supported the CLO markets, with credit spreads tightening and record high corporate loan issuance [17][18] - The CLO equity investments delivered modest returns, impacted by high pre-payment rates and coupon spread compression in the loan market [32][31] - The market experienced heightened volatility, with credit market conditions creating both challenges and opportunities for CLO investments [38][39] Company Strategy and Development Direction - The company is on track to complete its conversion to a closed-end fund on April 1, 2025, which is expected to enhance risk-adjusted returns and access to capital markets [9][51] - The focus has shifted towards liquidity in the Agency pool positions, with plans to sell these pools post-conversion to deploy capital into CLOs [16][49] - The company anticipates a fully ramped CLO portfolio by mid-year 2025, aiming to balance swift ramp-up with careful asset selection [50][49] Management's Comments on Operating Environment and Future Outlook - Management expressed optimism about the timing of the conversion, suggesting it may align well with emerging investment opportunities in the second quarter [57][51] - There are concerns about potential long-term stresses on corporate borrowers, but the company remains focused on maintaining liquidity and capitalizing on market inefficiencies [37][39] - The anticipated market volatility is seen as a chance to deploy capital effectively, with a focus on CLO equity investments [40][51] Other Important Information - The company has significantly derisked its Agency MBS portfolio by increasing short TBA hedging positions, effectively offsetting most of its Agency MBS exposure [43][42] - The transition from a mortgage REIT to a CLO-focused closed-end fund has been a complex process, supported by extensive planning and shareholder backing [46][48] Q&A Session Summary Question: How much capital will be freed up on April 1 when selling the Agency portfolio? - Management indicated that approximately 28% of the portfolio not in CLOs would be available for deployment, which is expected to be well-timed given current market volatility [54][56] Question: How have different parts of the CLO market reacted to recent volatility? - Responses highlighted that AAA tranches have seen slight declines, while equity investments have generally decreased several points, with market dynamics being manager-dependent [60][61] Question: What is the expected leverage range once fully invested in CLOs? - Management suggested a reasonable estimate of half the churn of leverage, indicating a potential for $150 million worth of CLOs for every $100 million of common equity [88][87]