Great Ajax Corp (AJX) 2022 Q4 法說會逐字稿

Thank you your patience. -- ladies and gentlemen, thank you for standing by. My name is Brent, and I will be your conference operator today. At this time, I would like to welcome everyone to the -- Great Ajax Corp. Fourth Quarter and Year-end Financial Results Conference Call. All lines have been placed on me to prevent any background noise. After the speakers' remarks, there will be question-and-answer session. If you'd like to ask a question at that time, simply press star followed by the #1 on your telephone keypad. If you would like to draw your question, again, press star 1. Thank you. It is now my pleasure to turn today's call over to Mr. Larry Mendelson, Chief Executive Officer. Please go ahead.

謝謝你的耐心。 ——女士們先生們，謝謝你們的支持。我叫布倫特，今天我將擔任你們的會議接線員。此時，我想歡迎大家參加 Great Ajax Corp. 第四季度和年終財務業績電話會議。所有線路都放在我身上以防止任何背景噪音。演講嘉賓發言後，將進行問答環節。如果您當時想提問，只需按電話鍵盤上的星號，然後按#1。如果您想提出問題，請再次按星號 1。謝謝。現在我很高興將今天的電話轉交給首席執行官拉里·門德爾森先生。請繼續。

Thank you, Brent. Thank you, everyone, for joining us for great Fourth Quarter and year-end 2022 Conference Call. Before we get started, I'd like to point out Page 2 on the presentation and the safe harbor disclosure. With me here is Mary Dale, our CFO; and also on the line is Russell Schaub, our President. A quick introduction before we get in. There's a couple of things to note before we get into the details. In Q4 2022, loan performance continued to increase and loan cash flow velocity from sales of homes by certain delinquent borrowers continued and has also continued in the first quarter of 2023. Prepayments from borrowers refinancing continues to be slower, as you would probably expect. The regular payment performance of our mortgage loans and our mortgage loan JV structures in excess of our modeled expectations at the time of acquisition, for loans purchased at a discount to UPB has increased previous GAAP income by accelerating purchase discount accretion because of the required application of CECL. This then reduces forward GAAP interest income and ROE thereafter, but not taxable income. At September 30, we had approximately $47 million of cash as well as a significant amount of unencumbered securities loans, and I will go through that in more detail later on this call. 

謝謝你，布倫特。感謝大家參加我們偉大的第四季度和年終 2022 年電話會議。在我們開始之前，我想指出第 2 頁的演示文稿和安全港披露。和我在一起的是我們的首席財務官 Mary Dale；在線的還有我們的總裁 Russell Schaub。在我們進入之前快速介紹一下。在我們進入細節之前有幾件事需要注意。 2022 年第四季度，貸款業績繼續增長，某些拖欠借款人出售房屋的貸款現金流速度繼續保持，並且在 2023 年第一季度繼續保持。正如您可能預期的那樣，借款人再融資的預付款繼續放緩。我們的抵押貸款和我們的抵押貸款合資企業結構的定期支付表現超出了我們在收購時的模型預期，對於以折扣價購買 UPB 的貸款，由於需要應用CECL。這隨後會減少遠期 GAAP 利息收入和 ROE，但不會減少應稅收入。截至 9 月 30 日，我們擁有大約 4700 萬美元的現金以及大量未支配的證券貸款，稍後我將在本次電話會議上詳細介紹。

With that, we jump to Page 3 for the business overview. Our managers data science guides the analysis of well characteristics and geographic market metrics for performance and resolution pathway probabilities and its ability to source these mortgage loans through long-standing relationships enables us to acquire loans that we believe have a material probability of prepayment and/or long-term continuing be performance. We've acquired loans in 375 different transactions since 2014 and 3 transactions and one larger one in Q4 of 2022. We own 19.8% of the equity of our manager at a 0 basis, and we do not mark-to-market our ownership interest on our balance sheet. As a result, our book value does not reflect the market value of our 19.8% interest in our manager. However, should we ever internalize the management of Great Ajax. Great Ajax would record a material GAAP capital gain from their 19.8% interest. Additionally, our ability to service for Gregory Funding provides a strategic advantage in nonperforming and nonregular paying loan resolution processes and timelines and data feedback loop for our damages analytics.

有了這個，我們跳到第 3 頁的業務概述。我們的經理數據科學指導分析油井特徵和地理市場指標，以了解績效和解決途徑的概率，以及它通過長期關係獲得這些抵押貸款的能力，使我們能夠獲得我們認為有重大可能性提前還款和/或長期持續的業績。自 2014 年以來，我們在 375 筆不同的交易中獲得了貸款，在 2022 年第四季度獲得了 3 筆交易和一筆更大的交易。我們以 0 的基礎擁有我們經理 19.8% 的股權，我們不按市值計價我們的所有者權益在我們的資產負債表上。因此，我們的賬面價值並不反映我們在經理人中 19.8% 權益的市場價值。但是，我們是否應該將 Great Ajax 的管理內部化。 Great Ajax 將從其 19.8% 的權益中獲得實質性的 GAAP 資本收益。此外，我們為 Gregory Funding 提供服務的能力在不良和非定期支付貸款解決流程和時間表以及我們的損害分析的數據反饋循環方面提供了戰略優勢。

In today's volatile environment, having our portfolio teams and the analytics group [and] the manager working closely with the servicer is quite essential. We are certainly seeing the benefit of this with the significant increases in loan performance, our consistent prepayment from property sales, especially for delistment loans. And with our 2022 A and 2022 B securitization structures and now our 2023 A securitization, AAA-rated structures that were made up to 40% of homes be greater than 60 days or more delinquent at the time of securitization. Like our 20% equity interest in our manager, we now have a 21.6% economic interest in our servicer at a very low basis as well. We know mark-to-market our equity interest and the service [aren't] on our balance sheet either. Our servicer currently is evaluating a private equity round as part of rolling out some new data and technology-driven programs through strategic joint ventures.

在當今多變的環境中，讓我們的投資組合團隊和分析團隊 [以及] 經理與服務商密切合作非常重要。隨著貸款業績的顯著提高，我們從房地產銷售中持續預付款，尤其是退市貸款，我們當然看到了這一點的好處。我們的 2022 A 和 2022 B 證券化結構以及現在的 2023 A 證券化 AAA 級結構高達 40% 的房屋在證券化時逾期超過 60 天或更長時間。就像我們在我們的經理中擁有 20% 的股權一樣，我們現在也以非常低的基礎在我們的服務商中擁有 21.6% 的經濟利益。我們知道按市值計價我們的股權和服務 [不] 在我們的資產負債表上。我們的服務商目前正在評估一輪私募股權，作為通過戰略合資企業推出一些新數據和技術驅動計劃的一部分。

The data analytics and sourcing relationships of our manager and the effectiveness of our affiliated servicer also enables us to broaden our investment reach through joint ventures with third-party institutional investors and thereby invest in larger transactions as well. The servicer's loan expertise is definitely appreciated by our JV partners as several all of our JV partners pay our servicer for providing third-party due diligence services or other transactions JV is working on and have hired our servicer to solve problems they may have with other servicers. We still have low leverage. At December 31, our year-end corporate leverage ratio was 3.3x. Our Q4 average asset base leverage was 2.7x, and our mark-to-market leverage is primarily secured by Class A1 senior bonds in our joint ventures. We own a 22% equity interest in Gaea Real Estate Corp. Gaea is currently a private equity REIT that primarily invests in repositioning multifamily properties in specific markets, and a triple net lease, freestanding veterinary clinic properties in conjunction with large national veterinary practice owners. We carry our guide interest on our balance sheet at the lower of cost per market. Gaea completed an additional round of equity about a year ago at a premium to our carrying value, but our balance sheet and income statement do not reflect any markup.

我們經理的數據分析和採購關係以及我們附屬服務商的效率也使我們能夠通過與第三方機構投資者的合資企業擴大我們的投資範圍，從而也投資於更大的交易。服務商的貸款專業知識絕對值得讚賞由我們的合資夥伴作為我們的幾個合資夥伴支付我們的服務商提供第三方盡職調查服務或 JV 正在進行的其他交易，並聘請我們的服務商解決他們可能與其他服務商遇到的問題。我們的槓桿率仍然很低。截至 12 月 31 日，我們的年終公司槓桿率為 3.3 倍。我們第四季度的平均資產基礎槓桿率為 2.7 倍，我們的市值槓桿主要由我們合資企業的 A1 級高級債券擔保。我們擁有 Gaea Real Estate Corp. 22% 的股權。Gaea 目前是一家私募股權房地產投資信託基金，主要投資於在特定市場重新定位多戶住宅物業，以及與大型國家獸醫診所所有者合作的三重淨租賃、獨立獸醫診所物業。我們以較低的每個市場成本在資產負債表上記錄我們的指導利率。大約一年前，Gaea 以高於我們賬面價值的價格完成了另一輪股權融資，但我們的資產負債表和損益表並未反映任何加價。

We currently expect Gaea to raise additional private equity and ultimately become a public company in 2023. We move to Page 4. Net interest income from loans and securities, including $1.1 million of interest income from the application of CECL was approximately $5.1 million in Q4. Our gross interest income, excluding the $1.1 million from the application of CES was $18.4 million, which is approximately $1.6 million lower than Q3 2022. There are 3 reasons why GAAP gross interest income is lower. First, we had approximately $35 million lower average interest-earning assets on balance sheet in Q4 versus Q3 of '22. Second, we're continuing to have significantly more delinquent loans than expected become performing. As delinquents become performing, they provide more cash flow but over a longer period. Since we buy loans at a discount, this increase in performance can extend expected duration, which lowers yield. However, in the recession and in declining housing price environment, low LTVs provide material hedge as increased delinquency shortens duration and corresponding yields will increase materially.

我們目前預計 Gaea 將籌集更多的私募股權，並最終在 2023 年成為一家上市公司。我們轉到第 4 頁。來自貸款和證券的淨利息收入，包括來自 CECL 應用的 110 萬美元利息收入，在第四季度約為 510 萬美元。我們的總利息收入，不包括應用 CES 的 110 萬美元，為 1840 萬美元，比 2022 年第三季度低約 160 萬美元。GAAP 總利息收入較低的原因有 3 個。首先，與 22 年第三季度相比，我們第四季度資產負債表上的平均生息資產減少了約 3500 萬美元。其次，我們繼續有比預期表現更多的拖欠貸款。隨著違約者開始表現良好，他們提供更多的現金流，但持續時間更長。由於我們以折扣價購買貸款，因此性能的提高可以延長預期期限，從而降低收益率。然而，在經濟衰退和房價下跌的環境下，低 LTV 提供了實質性的對沖，因為拖欠率增加會縮短期限，相應的收益率將大幅增加。

The third reason for lower interest income is the design of CECL. CECL was primarily designed for loans with a par basis so that accelerating reserve recapture came after a write-down. Because we buy loans at a discount requiring the acceleration of reserve capture under CECL decreases the remaining purchase discount to be accreted over the life of the loan, which lowers forward GAAP yield for CECL. GAAP yield under CECL for the required reserve recapture. A GAAP item to keep in mind is that interest income from our portion of joint ventures shows up in income from securities and not interest income from loans. For these joint venture interests, servicing fees for securities are paid out of the securities waterfall. So, our interest income from joint venture securities is net of servicing fees, unlike interest income from loans, which is gross of servicing fees. As a result, since our joint venture investments have been growing faster than our direct loan investments, GAAP interest income will be lower than if we directly purchase the loans outside of joint ventures by the amount of the servicing fees, and GAAP servicing fee expense will decrease by the corresponding offsetting amount.

利息收入較低的第三個原因是CECL的設計。 CECL 主要是為平價貸款設計的，因此在減記後加速準備金收回。因為我們以折扣價購買貸款，需要在 CECL 下加速儲備捕獲，所以減少了在貸款期限內增加的剩餘購買折扣，這降低了 CECL 的遠期 GAAP 收益率。 CECL 下的 GAAP 收益率用於所需的準備金收回。要記住的一個 GAAP 項目是我們合資企業部分的利息收入出現在證券收入中，而不是貸款利息收入中。對於這些合資企業權益，證券服務費從證券瀑布中支付。因此，我們來自合資證券的利息收入是扣除服務費的，這與貸款的利息收入不同，後者是服務費的總和。因此，由於我們的合資企業投資增長速度快於我們的直接貸款投資，GAAP 利息收入將低於我們直接在合資企業之外購買貸款的服務費金額，而 GAAP 服務費支出將減少相應的抵銷金額。

An important part of discussing interest income is the payment performance of our loan portfolio. At December 31, 79.6% of our loan portfolio by UPB made at least 12 of the last 12 payments or 74% at June 30 and compared it to a small fraction of this at the time we purchased the loans. Our NPL purchases over the last 12 months increased materially relative to RPL purchases. Previous increases in housing prices helps maintain these payment and prepayment patterns and leads to decreases in the present value of expected reserves and the related income recognition of $1.1 million of unallocated loan purchase discount reserves under CECL in Q4 and the additional reserve recaptures in each of the previous 7 quarters as well. Also, approximately 60% of our full loan payoffs in Q4 and so far in Q1 as well were from loans that were materially delinquent at the time of payoff. While loans that become regular paying produce higher total cash flows over the life of the loans, they can extend duration. And because we purchase loans at discounts, this can reduce percentage yield on loan portfolio and therefore, interest income. Loans that do not migrate to regular monthly pay status typically have materially shorter durations. We are seeing that prepayments from property sales for both regularly paying and nonregularly paying loans is continuing. Prepayment from rate term refinancing remains slow in Q4 for refinance eligible loans.

討論利息收入的一個重要部分是我們貸款組合的支付表現。截至 12 月 31 日，UPB 貸款組合中有 79.6% 支付了最後 12 筆付款中的至少 12 筆，即 6 月 30 日的 74%，並將其與我們購買貸款時的一小部分進行了比較。我們過去 12 個月的不良貸款購買量相對於 RPL 購買量大幅增加。先前的房價上漲有助於維持這些支付和預付款模式，並導致預期準備金的現值和相關收入確認 CECL 第 4 季度 110 萬美元的未分配貸款購買折扣準備金以及每個年度的額外準備金收回前 7 個季度也是如此。此外，我們在第四季度和第一季度到目前為止的全部貸款還款中，約有 60% 來自在還款時嚴重拖欠的貸款。雖然定期支付的貸款在貸款期限內產生更高的總現金流量，但它們可以延長期限。而且由於我們以折扣價購買貸款，這會降低貸款組合的收益率百分比，從而降低利息收入。不轉換為每月定期支付狀態的貸款通常具有更短的持續時間。我們看到，定期支付和非定期支付貸款的房地產銷售預付款仍在繼續。對於符合條件的再融資貸款，第四季度利率期限再融資的預付款仍然緩慢。

Our weighted average cost of funds in Q4 was higher than Q3 by approximately 100 basis points. Some of this comes from the issuance of our fixed rate unsecured notes in late August 22 and having this on balance sheet for a full quarter. Fed rate increases and related increase in silver increased the cost of our floating rate repurchase agreement financing. Net income attributable to common stockholders was negative $6.8 million or $0.30 per share. There are several items of note that had impact on earnings in Q4. To make this a little easier to follow, we have a table that ties GAAP income to operating income on Page 17 in this presentation as well as in our 10-K. Operating earnings was negative $1.3 million or $0.05 per share. Taxable income [deter] preferred dividends was $0.21 per share. Taxable income is very instructive of the current cash economics of the portfolio. Taxable income was primarily driven by continued prepayment and related loan purchase [inaudible] capture for nonperforming loans and increasing monthly payment reperformance from nonperforming loans and regularly performing loans, offset by higher interest expense and a lesser amount of loans and securities under balance sheet. Taxable income is not affected by the CECL-related reserve recapture. So, when we actually receive cash payments from borrowers and capture purchase discount, it creates taxable income. As a result, forward taxable yields, which is effectively cash loan yields is higher than GAAP yields because of CECL.

我們在第四季度的加權平均資金成本比第三季度高約 100 個基點。其中一些來自我們在 8 月 22 日下旬發行的固定利率無擔保票據，並且整個季度都在資產負債表上。美聯儲加息和相關的白銀上漲增加了我們浮動利率回購協議融資的成本。歸屬於普通股股東的淨收入為負 680 萬美元或每股 0.30 美元。有幾個值得注意的項目對第四季度的收益產生了影響。為了使這一點更容易理解，我們在本演示文稿的第 17 頁以及我們的 10-K 中有一個將 GAAP 收入與營業收入聯繫起來的表格。營業收入為負 130 萬美元或每股 0.05 美元。應稅收入 [deter] 優先股股息為每股 0.21 美元。應納稅所得額對投資組合的當前現金經濟學非常有指導意義。應稅收入主要是由於不良貸款的持續預付款和相關貸款購買[聽不清]捕獲以及不良貸款和定期貸款的月度支付再表現增加，被較高的利息支出和資產負債表下較少的貸款和證券所抵消。應稅收入不受 CECL 相關儲備金收回的影響。因此，當我們實際收到借款人的現金付款並獲得購買折扣時，就會產生應稅收入。因此，由於 CECL，遠期應稅收益率（實際上是現金貸款收益率）高於 GAAP 收益率。

We recorded a loss on investments and affiliates of $300,000 or approximately $0.02 per share as a result of the flow-through of the mark-to-market decline in the price of our common shares owned by our manager and servicer in Q4. Our manager receives a significant portion of their management [being] shares and changes in market value of those shares flows through to us based on our 20% ownership interest percentage. Other income declined by almost $4 million as we recorded a $3.8 million loss from the sale of Class A senior debt securities in one of our joint venture transactions. $2.9 million of this was already reflected in book value at September 30. This $2.9 million plus additional $900,000 loss were recognized through income as a result of selling to Class 8 securities in Q4. In our joint venture structures, we and our partners buy loans into multi-tranche securitization structures, and we each retain a pro rata vertical slice of each tranche of securities, including the equity tranche. The Class A senior is usually the lowest coupon and is priced at market coupon yield at the time. This class A senior bond, thereby had a low coupon and had negative carry versus repurchase funding, and it made sense to sell the Class A senior security and [read] to deploy the capital for higher returns. Book value per share was $13 at December 31 versus $13.75 at September 30. Good value decreased primarily by our GAAP loss, dividends paid and mark-to-market adjustment of our joint venture debt securities.

由於我們的經理和服務商在第四季度擁有的普通股價格按市值計價下跌的影響，我們記錄了 300,000 美元的投資和附屬公司虧損或每股約 0.02 美元。我們的經理收到了他們管理層的很大一部分 [being] 股份，這些股份的市場價值變化根據我們 20% 的所有權權益百分比流向我們。其他收入下降了近 400 萬美元，因為我們在一項合資交易中出售 A 類高級債務證券造成 380 萬美元的損失。其中 290 萬美元已反映在 9 月 30 日的賬面價值中。這 290 萬美元加上額外的 900,000 美元損失已通過第四季度出售給第 8 類證券的收入確認。在我們的合資企業結構中，我們和我們的合作夥伴將貸款購買到多檔證券化結構中，並且我們各自保留每檔證券（包括股權檔）的按比例垂直切片。 A 級高級債券通常是最低的票息，並按當時的市場票息收益率定價。因此，這種 A 級高級債券的票息很低，與回購資金相比具有負利差，出售 A 級高級債券並[閱讀]配置資本以獲得更高回報是有意義的。每股賬面價值在 12 月 31 日為 13 美元，而在 9 月 30 日為 13.75 美元。良好價值的下降主要是由於我們的 GAAP 虧損、支付的股息和我們合資企業債務證券的按市值調整。

There is a table on Page 19 that details the change in book value. We do not mark-to-market ownerships in our manager and servicer as opposed to 0 basis on our balance sheet, their market values are above-- are significantly above 0. At year-end, we had approximately $48 million of cash. And for the fourth quarter, we had an average of cash and cash equivalent balance of approximately $47 million. We had approximately $44 million of cash collections in Q4. As of December 31, we also have a significant amount of unencumbered securities from our securitizations and joint ventures and unencumbered mortgage lines. In late October, we co-invested with 3 third-party institutional investors and the joint venture to purchase approximately $293 million UPB of low LTV [sloppier] paying loans. The purchase price, including all joint venture formation expenses was 86.7% of UPB and 39% of the underlying property value of $653 million. We own approximately 17.5% of the joint venture. Our affiliate loan servicer, Gregory Funding is the loan servicer for the joint venture and was a due diligence provider. Approximately 79.6% of our portfolio by UPB made at least 12 of their last 12 payments as it paired to a small fraction of this at the time of loan acquisition. This increased from 73% at March 31 and 74.2% at June 30, despite buying significantly more NPLs than RPLs since the third quarter of 2021. This increases the life of loan cash flow, but the duration extension reduces yield in interest income in the current quarter.

第 19 頁的表格詳細說明了賬面價值的變化。我們的經理和服務商的所有權沒有按市值計價，而不是我們資產負債表上的 0 基礎，它們的市場價值高於 - 遠高於 0。年底時，我們擁有大約 4800 萬美元的現金。第四季度，我們的平均現金和現金等價物餘額約為 4700 萬美元。我們在第四季度收集了大約 4400 萬美元的現金。截至 12 月 31 日，我們還有大量來自我們的證券化和合資企業的未支配證券以及未支配抵押貸款額度。 10 月下旬，我們與 3 家第三方機構投資者和合資企業共同投資，購買了約 2.93 億美元的 UPB 低 LTV [sloppier] 支付貸款。包括所有合資企業組建費用在內的購買價格為 UPB 的 86.7% 和 6.53 億美元標的資產價值的 39%。我們擁有合資企業約 17.5% 的股份。我們的聯屬貸款服務商 Gregory Funding 是合資企業的貸款服務商，並且是盡職調查提供商。UPB 在我們的投資組合中約有 79.6% 在過去 12 筆付款中至少支付了 12 筆，因為它與其中的一小部分配對獲得貸款的時間。這比 3 月 31 日的 73% 和 6 月 30 日的 74.2% 有所增加，儘管自 2021 年第三季度以來購買的不良貸款明顯多於 RPL。這增加了貸款現金流的期限，但期限延長降低了當前利息收入的收益率四分之一。

If we go to Page 5, Purchased RPLs represent approximately 89% of our loan portfolio at December 31. Purchase RPLs represented 96% a year earlier. We primarily purchase RPLs that have made less than 7 consecutive payments and NPLs that have certain loan level and underlying property specifications that our analytics suggest to positive payment migration, property sales and related prepayment on average. We typically buy well-seasoned lower LTV loans. Since November 2022, we have seen residential loan prices increased materially, especially for regular paying loans but also for nonperforming residential loans. Commercial real estate loans have not fared as well, and we're beginning to see opportunities. We believe there will be significant opportunities in sub-performing and nonperforming commercial real estate loans in many markets as we get later into this calendar year. For residential loans, we continue to see stronger performance than expected. However, given the increase in interest rates and the potential for material economic slowing, we would expect an increase in delinquency and default and thereafter, an increase in availability of sub-performing and nonperforming loans. One thing we have seen is that significant home price appreciation and the resulting material increase in absolute dollars of equity, made borrowers more engaged and attached to their properties and more determined to maintain regular payments.

如果我們轉到第 5 頁，截至 12 月 31 日，購買的 RPL 約占我們貸款組合的 89%。購買 RPL 佔一年前的 96%。我們主要購買連續支付少於 7 次的 RPL 和具有特定貸款水平和基礎財產規格的不良貸款，我們的分析表明平均而言這些貸款水平和基礎財產規格有利於積極的支付遷移、財產銷售和相關預付款。我們通常購買經驗豐富的較低 LTV 貸款。自 2022 年 11 月以來，我們看到住宅貸款價格大幅上漲，尤其是定期還款貸款和不良住宅貸款。商業房地產貸款表現不佳，我們開始看到機會。我們相信，隨著我們進入本日曆年的晚些時候，許多市場的不良和不良商業房地產貸款將存在重大機會。對於住宅貸款，我們繼續看到比預期更強勁的表現。然而，鑑於利率上升和經濟實質性放緩的可能性，我們預計拖欠和違約會增加，隨後，不良貸款和不良貸款的可用性也會增加。我們已經看到的一件事是，房價大幅上漲以及由此帶來的淨資產絕對美元的實質性增加，使借款人更加參與和依附於他們的財產，並更加堅定地維持定期還款。

On Page 6, we continue to buy and own lower LTV loans. Our overall RPL purchase price is approximately 42% of current property value and 90% of UPB. We have always been focused on loans with lower LTVs with certain threshold levels of absolute dollars of equity and in target geographic locations. This has become even more important for RPLs and NPLs as well in potential recessionary environment. On Page 7, since Q3 and Q4 of 2021, we significantly increased our NPL purchases. NPL purchases on average, have shorter duration than RPLs. For NPLs on our balance sheet, our overall purchase price is 89% of UPB. 84% of total owing balance, including a [rarege] and 47% of property value. As a result of the low loan-to-value and higher absolute dollars of equity on average for our NPL portfolio, we have seen accelerated prepayment on NPLs as borrowers can turn significant equity into cash when they sell their property. We've also seen a significant increase in NPL reperformance. As I mentioned earlier, for both RPLs and NPLs, purchasing aged low LTV loans of more than 50% discounts to property values provides a natural head to housing price declines and the recession as resulting increases in delinquencies, shortest duration and increases corresponding yields. On Page 8, our target markets. At December 31, approximately 78% of our loans were in our target markets. California continues to represent the largest segment of our loan portfolio at approximately 22%. However, California has been nearly 40% of all prepayments in 2021 and 2022. Our California mortgage loans are primarily in Los Angeles, Orange and San Diego counties. Florida represents approximately 17% of our portfolio and Miami Dade and inaudible Pope counties are approximately 75% of that. Significant prepayment from property sales by borrowers with delinquent loans have continued in Florida.

在第 6 頁，我們繼續購買和持有較低 LTV 貸款。我們的整體 RPL 購買價格約為當前房產價值的 42% 和 UPB 的 90%。我們一直專注於具有較低 LTV 的貸款，這些貸款具有一定的絕對股權美元門檻水平和目標地理位置。這對於 RPL 和 NPL 以及潛在的衰退環境變得更加重要。在第 7 頁，自 2021 年第三季度和第四季度以來，我們大幅增加了不良貸款的購買量。 NPL 購買的平均期限比 RPL 短。對於我們資產負債表上的不良貸款，我們的整體購買價格是 UPB 的 89%。欠款總額的 84%，包括 [rarege] 和財產價值的 47%。由於我們的不良貸款組合的平均貸款價值比較低且權益絕對美元較高，我們發現不良貸款的提前還款速度加快，因為藉款人可以在出售房產時將大量權益變現。我們還看到不良貸款再融資顯著增加。正如我之前提到的，對於 RPL 和 NPL，購買比房產價值低 50% 以上的低 LTV 貸款自然會導致房價下跌和經濟衰退，因為拖欠率增加，期限最短，並增加相應的收益率。在第 8 頁，我們的目標市場。截至 12 月 31 日，我們大約 78% 的貸款都在我們的目標市場。加州繼續占我們貸款組合的最大部分，約佔 22%。但是，加州在 2021 年和 2022 年的所有預付款中佔了近 40%。我們的加州抵押貸款主要在洛杉磯、奧蘭治和聖地亞哥縣。佛羅里達州約占我們投資組合的 17%，而邁阿密戴德縣和聽不見的波普縣約佔其中的 75%。在佛羅里達州，拖欠貸款的借款人繼續從房地產銷售中提前還款。

We also continue to see demand for homes in our price ranges in our target markets, both for potential homeowners and rental buyers. On Page 9, at December 31, approximately 79.6% of our loan portfolio made at these 12 of the last payments as compared to 74.2% at June 30. Approximately 70% of our loan portfolio made at least 24 of the last 24 payments. 81.1% have now made at least 7 consecutive payments. This compares to a small fraction of this at the time of purchase. The significant increase in monthly performance is more notable, given that since Q3 of '21, we have primarily purchased NPLs rather than RPLs. Much of this is likely due to Gregory Funding working with delinquent borrowers on a personal basis and to home price appreciation as our target markets are determined by data analytics that predict forward HPA selection bias. Historically, we have seen that when our purchase loans reached 7 consecutive payments, they typically get to 12 consecutive payments more than 92% of the time. 7 consecutive payments have been the statistical turning point versus 6 consecutive payments. The significant outperformance, particularly for purchased NPLs at discounts to UPB requires us to accelerate reserves capture under CECL. This decreases forward GAAP interest yields and GAAP interest income.

我們還繼續看到目標市場對我們價格範圍內的房屋的需求，包括潛在的房主和租房買家。在第 9 頁，截至 12 月 31 日，我們的貸款組合中約有 79.6% 是在最近的這 12 筆付款中支付的，而在 6 月 30 日這一比例為 74.2%。我們的貸款組合中約有 70% 在最近的 24 筆付款中至少支付了 24 筆。 81.1% 的人現在至少連續付款了 7 次。相比之下，在購買時這一比例很小。鑑於自 21 年第三季度以來，我們主要購買了不良貸款而不是 RPL，因此月度業績的顯著增長更為顯著。這在很大程度上可能是由於 Gregory Funding 與拖欠借款人的個人合作以及房價上漲，因為我們的目標市場是由預測 HPA 前向選擇偏差的數據分析確定的。從歷史上看，我們已經看到，當我們的購買貸款達到連續 7 次付款時，他們通常會在超過 92% 的情況下連續付款 12 次。連續 7 次付款與連續 6 次付款相比是統計轉折點。顯著的優異表現，特別是對於以低於 UPB 的折扣購買的不良貸款，要求我們加快 CECL 下的準備金捕獲。這降低了遠期 GAAP 利息收益率和 GAAP 利息收入。

Taxable income, however, is based on the actual cash flow as opposed to CECL and significant reperformance generates more taxable income over time as a result of more total cash to be collected. On Page 10. In January, we increased our ownership in the parent of our servicer from 8% to 9.6%. We also own warrants for an additional 12%. In late February, we refinanced 3 of our 2019 NPL and [Sloppy] Pay-RPL joint venture securitization structures with the issuance of AAA-rated bonds through Ajax Mortgage Loan Trust 2023. The AAA bonds are approximately 76% of UPB of the underlying loans. We retained a 5% required percentage of the AAAs and 20% of the AA through equity certificate tranches. Our joint venture partner retained an 80% vertical percentage of AAA through equity. In February, we sold the Class A senior bond in one of our joint ventures have recognized a GAAP loss of $3 million, $2.2 million of this was already in book value, so the marginal change is $800,000. Given the coupon on that Class A senior bond, first we purchased agreement funding cost, it made sense to sell the bond, eliminate the negative interest carry and reinvest the proceeds in higher yielding and higher ROE assets. We declared a cash dividend of $0.25 per share to be paid on March 31 to 23, the holders of record on March 17 to 23. We expect the taxable income will likely exceed GAAP income as a result of CECL as cash yields on loans exceed CECL impact to GAAP yields on loads. To the extent the Fed continues significantly raising rates, the impact on remaining quarter rate financing will have some offsetting effect on taxable income.

然而，應稅收入是基於實際現金流而不是 CECL，並且隨著時間的推移，由於要收取更多的總現金，重大的重新業績會產生更多的應稅收入。在第 10 頁。1 月，我們將我們在服務母公司的所有權從 8% 增加到 9.6%。我們還持有額外 12% 的認股權證。 2 月下旬，我們通過 Ajax Mortgage Loan Trust 2023 發行 AAA 級債券，為 2019 年 NPL 和 [Sloppy] Pay-RPL 合資證券化結構中的 3 個進行再融資。AAA 債券約占基礎貸款 UPB 的 76% .我們通過股權證書部分保留了 5% 的 AAA 和 20% 的 AA。我們的合資夥伴通過股權保留了 80% 的 AAA 垂直百分比。 2 月，我們出售了一家合資企業的 A 級高級債券，確認了 300 萬美元的 GAAP 虧損，其中 220 萬美元已經計入賬面價值，因此邊際變化為 800,000 美元。鑑於該 A 類高級債券的息票，我們首先購買了協議融資成本，出售債券、消除負利率並將收益再投資於更高收益率和更高 ROE 資產是有意義的。我們宣布將於 3 月 31 日至 23 日支付每股 0.25 美元的現金股息，持有人於 3 月 17 日至 23 日在冊。我們預計應稅收入可能會因 CECL 而超過 GAAP 收入，因為貸款的現金收益率超過 CECL對 GAAP 收益率的影響。如果美聯儲繼續大幅加息，對剩餘四分之一利率融資的影響將對應稅收入產生一定的抵消作用。

On Page 11, average loan yields and average yields on beneficial equity interest in our joint ventures declined primarily due to significant loan reperformance, which extends duration and the acceleration of GAAP purchase discount recapture as a result of CECL requirements. For debt securities and beneficial interest remember that yield is net of servicing fees and yield on loans is gross of servicing fees. Debt securities and beneficial interest is how our interest in our JVs are presented under GAAP. As our JVs increase, as they did in 2020, 2021 and 2022 relative to loans, the GAAP reporting shows lower average asset yields by the amount of the servicing fees. Since we purchased loans at a discount, the increased reperformance of delinquent loans materially in excess of expectations can extend duration and reduce yield, the significant absolute dollars of equity for our loans, both from the types of loans we buy and [HP] in our target markets, on average, both accelerated prepayment from home sales on delinquent loans and led to material reperformance in excess of expectations. The sale of underlying properties for delinquent loans with certain minimum inaudible dollar amounts of equity and underlying geography demographics has been steady to slightly increasing as a result of rapidly rising interest rates and borrower nervousness regarding the potential of future equity declines. Leverage continues to be low, especially for companies in our sector. We ended Q4 '22 with asset level debt of 2.7x and average asset level debt for the quarter was 2.7x. Our total average debt cost was higher in Q4. This was primarily the result of rising base rates for repurchase agreement funding and the issuance of our unsecured notes in August 22 that were outstanding for the full fourth quarter of 2022.

在第 11 頁上，我們合資企業的平均貸款收益率和實益股權平均收益率下降，主要是由於顯著的貸款再履行，這延長了期限，並且由於 CECL 要求而加速了 GAAP 購買折扣收回。對於債務證券和實益利息，請記住收益率是扣除服務費後的收益，而貸款收益率是扣除服務費後的收益。債務證券和實益權益是我們在合資企業中的權益在公認會計原則下的呈現方式。隨著我們的合資企業的增加，正如它們在 2020 年、2021 年和 2022 年相對於貸款所做的那樣，GAAP 報告顯示服務費用的平均資產收益率較低。由於我們以折扣價購買貸款，拖欠貸款的再表現明顯超出預期的增加可能會延長期限並降低收益率，我們貸款的重要絕對權益美元，無論是我們購買的貸款類型還是我們的 [HP]平均而言，目標市場既加速了房屋銷售對拖欠貸款的提前還款，又導致了超出預期的實質性再表現。由於利率迅速上升以及借款人對未來股權下跌的可能性感到緊張，因此為拖欠貸款出售具有某些最低聽不見的股權和基礎地理人口統計數據的基礎財產一直在穩定或略有增加。槓桿率仍然很低，尤其是對我們行業的公司而言。我們以 2.7 倍的資產水平債務結束了 22 年第四季度，本季度的平均資產水平債務為 2.7 倍。我們的總平均債務成本在第四季度較高。這主要是由於回購協議資金的基準利率上升，以及我們在 8 月 22 日發行了 2022 年第四季度未償還的無擔保票據。

Fixed rate debt currently at December 31 is approximately 60% of our total debt, we expect fixed rate debt to continue increasing as a percentage of our total debt. So, far in Q1 of 2023, we've seen a significant recovery in securitized bond, credit spreads relative to Q4 of 2022. On Page 12, our total repurchase agreement related debt at December 31 was approximately $445 million, down from $463 million at September 30 and $509 million at June 30. It is down again in Q1 so far. $212 million was non-mark-to-market, nonrecourse mortgage loan financing and $222 million was financing primarily on Class A1 senior bonds in our joint ventures. We also have significant unencumbered assets. We expect the amount of our closing rate debt to continue declining relative to fixed rate debt now that securitization markets are more functional. With that, I'd like to turn it over to the operator. We're happy to take any questions that people might have.

目前截至 12 月 31 日的固定利率債務約占我們總債務的 60%，我們預計固定利率債務占我們總債務的百分比將繼續增加。因此，到 2023 年第一季度為止，我們已經看到證券化債券、信用利差相對於 2022 年第四季度有了顯著回升。在第 12 頁，我們截至 12 月 31 日的回購協議相關債務總額約為 4.45 億美元，低於 2022 年第四季度的 4.63 億美元。 9 月 30 日和 6 月 30 日的 5.09 億美元。到目前為止，它在第一季度再次下降。 2.12 億美元是非按市值計價、無追索權的抵押貸款融資，2.22 億美元主要是我們合資企業的 A1 類高級債券融資。我們還有大量未支配資產。鑑於證券化市場的功能更加強大，我們預計我們的收盤利率債務相對於固定利率債務的數量將繼續下降。有了這個，我想把它交給接線員。我們很樂意回答人們可能提出的任何問題。

At this time, if you would like to ask a question, press star followed by the #1 on your telephone keypad. Your first question comes from the line of Kevin Barker with Piper Sandler.

此時，如果您想提問，請按電話鍵盤上的星號，然後按#1。你的第一個問題來自 Kevin Barker 和 Piper Sandler 的台詞。

This is [Brack Cusi] on for Kevin Barker. Larry, considering the relative discount in the stock, do you have the flexibility to potentially buy in more stock? Or could you explore some other strategic options?

這是 Kevin Barker 的 [Brack Cusi]。拉里，考慮到股票的相對折扣，你是否有購買更多股票的靈活性？或者你能探索其他一些戰略選擇嗎？

The answer is we do. And we want to be a little bit patient, though. We actually repurchased a little in the quarter and so far, this quarter as well. We want to be patient though because we can smell an opportunity set of investments coming, probably in sequentially commercial first in residential second. And we want to make sure that we're always kind of ready to go for that. So, we wouldn't want to repurchase stock to the extent it didn't permit us to then take a jump for an opportunity set. But we can, both from a company perspective and from a capital perspective do that.

答案是我們這樣做。不過，我們希望有點耐心。我們實際上在本季度回購了一點，到目前為止，本季度也是如此。不過，我們希望保持耐心，因為我們可以嗅到一系列投資機會的到來，可能依次是商業投資，其次是住宅投資。我們希望確保我們始終做好準備。因此，我們不想回購股票，以至於不允許我們抓住機會。但我們可以，無論是從公司的角度還是從資本的角度來看。

And then just one follow-up. I know you talked about this a little bit, but home prices have declined in some key areas of the country. Do you see any risk within your portfolio in those metro areas? And then do you see any potential opportunities as banks or other entities pull back in certain metro areas?

然後只是一個跟進。我知道你稍微談過這個，但該國一些關鍵地區的房價已經下跌。您在這些都市區的投資組合中看到任何風險嗎？然後，隨著銀行或其他實體撤回某些都市區，您是否看到任何潛在機會？

Yes, we've definitely seen community banks pull back. We've seen them being under some regulatory pressure more so in the commercial area than in the residential area. From our markets, we've seen some home price decline, but not necessarily in places where we have significant assets. For example, our California portfolio is primarily L.A., Orange and San Diego counties, which have been significantly less affected than upper San Francisco. That being said, because we own our loans at such huge discounts to property value, for example, the portfolio we bought in October, the large joint venture, we [ordered] 39% of property value, and we bought it a 15-point discount in a way it's basically a hedge against recession causing increased delinquency because it shortens duration, and we recapture the discount faster. So, we actually, on purpose, have tried to buy very low LTV loans in markets where we think delinquency might increase. So, it's what I'll call a portfolio hedge. A duration hedge for our portfolio. We actually have seen modeled out that if you were to have really hard landing that caused a 20% across-the-board decline in home prices and a 100% portfolio default. It would increase unlevered yields by about 350 basis points.

是的，我們確實看到社區銀行撤退了。我們已經看到他們在商業區比在住宅區更容易受到一些監管壓力。從我們的市場來看，我們看到房價有所下跌，但不一定是在我們擁有大量資產的地方。例如，我們在加州的投資組合主要是洛杉磯、奧蘭治和聖地亞哥縣，這些縣受到的影響遠小於上舊金山。話雖這麼說，因為我們以相對於房產價值如此巨大的折扣持有我們的貸款，例如，我們在 10 月份購買的投資組合，大型合資企業，我們 [訂購] 房產價值的 39%，我們以 15 點的價格購買了它在某種程度上，折扣基本上是對沖導致拖欠率增加的衰退，因為它縮短了期限，我們可以更快地重新獲得折扣。因此，我們實際上是有意嘗試在我們認為拖欠率可能會增加的市場購買非常低的 LTV 貸款。所以，這就是我所說的投資組合對沖。我們投資組合的久期對沖。我們實際上已經看到，如果真的硬著陸會導致房價全面下跌 20% 和 100% 的投資組合違約。這將使無槓桿收益率增加約 350 個基點。

Your next question is from the line of Eric Hagen with BBIG.

你的下一個問題來自 BBIG 的 Eric Hagen。

It's Ethan on for Eric tonight. Are you seeing any opportunities in special servicing either organically or by acquiring some smaller services?

今晚埃里克輪到伊桑了。您是否看到了有機地或通過收購一些較小的服務來提供特殊服務的機會？

So, the answer is more complicated than you probably wanted to know now we're seeing 2 things. We're seeing more opportunities of being -- [have] our servicer asked to do special servicing and to bring in as a problem solver for other servicing. But we've also been reached out to by a number of private equity firms about seeing if we'd be willing to sell the servicer. Or could they make strategic investments to grow it because they want to go out and buy things or they have other things they can have the servicer do as well and grow it. So, it's kind of both fronts right now.

所以，答案比你可能想知道的要復雜得多，現在我們看到了兩件事。我們看到了更多的機會——[讓]我們的服務人員要求進行特殊服務，並作為其他服務的問題解決者引入。但一些私募股權公司也聯繫了我們，看我們是否願意出售該服務商。或者他們可以進行戰略投資來發展它，因為他們想出去買東西，或者他們有其他可以讓服務商做的事情並發展它。所以，現在是兩條戰線。

What's the lower balance of the amount of cash you feel comfortable carrying over the near term? And just on top of that, what would you need to materialize for you to raise your cash balance?

您認為短期內可以攜帶的現金數量的較低餘額是多少？最重要的是，您需要實現什麼才能增加現金餘額？

We probably don't want to be under the low 40s in cash. We have a significant number of Class A senior bonds in our joint ventures that we could sell if we wanted, which would effectively raise cash being equivalent raising capital to 6% cost. So, it's cheaper than equity, as you can imagine. But we always want to have kind of enough cash available to play defense. So, we probably want to be at a minimum in the low 40s.

我們可能不希望現金低於 40 多歲。我們在我們的合資企業中擁有大量 A 級高級債券，如果我們願意，我們可以出售這些債券，這將有效地籌集現金，相當於將資本籌集到 6% 的成本。因此，正如您想像的那樣，它比股票便宜。但我們總是希望有足夠的現金來進行防守。所以，我們可能希望至少在 40 多歲左右。

. And just what's the most you've carried historically, if you don't mind me asking?

.如果你不介意我問的話，你歷史上攜帶的最多是多少？

There's been a time that we've had $130 million, $140 million.

曾經有一段時間我們有 1.3 億美元，1.4 億美元。

There are no further questions at this time. I will now turn the call back over to the CEO, Mr. Larry Mendelson.

目前沒有其他問題。我現在將把電話轉回給首席執行官拉里·門德爾森先生。

Thank you, everyone, for joining us on our Q4 and year-end 2022 conference call. Feel free to reach out with questions. To the extent you have additional questions that we haven't discussed on the call. And again, thank you for attending. We look forward to talking further back Great.

感謝大家參加我們的第四季度和 2022 年底電話會議。如有問題，請隨時與我們聯繫。如果您還有我們未在電話中討論的其他問題。再次感謝您的出席。我們期待進一步討論 太棒了。

Ladies and gentlemen, thank you for participating. This concludes today's conference call. You may now disconnect.

女士們，先生們，感謝你們的參與。今天的電話會議到此結束。您現在可以斷開連接。