Great Ajax Corp (AJX) 2023 Q1 法說會逐字稿

Good day, everyone, and welcome to the Great Ajax Corp. Q1 2023 Financial Results Conference Call. At this time, I would like to hand things over to Mr. Larry Mendelsohn, CEO. Please go ahead, sir.

大家好，歡迎參加 Great Ajax Corp. 2023 年第一季度財務業績電話會議。在這個時候，我想把事情交給首席執行官拉里門德爾松先生。請繼續，先生。

Thank you. Thank you, everyone, for joining us for our first quarter 2023 investor call. Before we get started, I'd like to point out Page 2, the safe harbor disclosure for forward-looking statements. I apologize for my voice. The allergy season in Portland is [waning] right now.

謝謝。感謝大家參加我們 2023 年第一季度的投資者電話會議。在我們開始之前，我想指出第 2 頁，即前瞻性陳述的安全港披露。我為我的聲音道歉。波特蘭的過敏季節現在正在 [減弱]。

Before we get started, I want to give you a little introduction. Q1 of 2023 was as expected and predominantly as we discussed on the March 2 call. A couple of things to note before we get into the details though.

在我們開始之前，我想給你做一個簡單的介紹。 2023 年第一季度符合預期，而且主要是我們在 3 月 2 日的電話會議上討論的那樣。不過，在我們進入細節之前需要注意幾件事。

In the first quarter, loan performance continued to increase and loan cash flow velocity from reinstatements on delinquent loans and from sales of homes by borrowers, particularly in March. This continued into the second quarter of 2023 as well. Prepayments from borrowers refinancing the mortgages, however, continued their slower pace as you would expect.

第一季度，貸款業績繼續增長，貸款現金流速度從拖欠貸款的恢復和借款人出售房屋開始，尤其是在 3 月份。這也持續到 2023 年第二季度。然而，如您所料，借款人為抵押貸款再融資的預付款繼續放緩。

The regular payment performance of our mortgage loans and mortgage loans in our 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 the purchase discount accretion because of required application of CECL.

我們的抵押貸款和抵押貸款在我們的合資結構中的定期支付表現，超出了我們在收購時的模型預期，對於以折扣價購買的 UPB 貸款，通過加速購買折扣增加增加了以前的 GAAP 收入，因為需要CECL的應用。

This then reduces forward GAAP interest income and return on equity thereafter. However, the increase in cash flow velocity in the first quarter, particularly in March, has increased even the post-CECL GAAP yields a bit. We've seen this in the second quarter as well so far. At March 31, we had approximately $49 million of cash as well as a significant amount of unencumbered securities and loans, which I'll point out later in the table.

然後，這會減少遠期 GAAP 利息收入和之後的股本回報率。然而，第一季度現金流速度的增加，尤其是 3 月份，甚至略微提高了 CECL 後的 GAAP 收益率。到目前為止，我們在第二季度也看到了這一點。截至 3 月 31 日，我們擁有大約 4900 萬美元的現金以及大量未支配的證券和貸款，我將在表格後面指出。

On Page 3 business overview. Our managers data science guides our analysis of loan characteristics and the geographic market metrics for performance and resolution, probabilities and the ability to source these mortgage loans through long-standing relationships has enabled us to acquire loans that we believe have a material probability of prepayment and/or long-term continuing reperformance.

在第 3 頁業務概述。我們的經理數據科學指導我們分析貸款特徵和地理市場指標，以了解績效和解決方案、概率以及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提前還款可能性的貸款， /或長期持續再表現。

We've acquired loans in 378 different transactions since 2014, only 3 transactions, however, in the first quarter of 2023.

自 2014 年以來，我們在 378 筆不同的交易中獲得了貸款，但到 2023 年第一季度只有 3 筆交易。

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 almost 20% interest. Internalizing the management of Great Ajax would result in recording a material GAAP capital gain from our 19.8% interest in our manager.

我們以 0 的基礎擁有我們經理 19.8% 的股權，我們不在資產負債表上按市值計價我們的所有權權益。因此，我們的賬面價值並未反映我們近 20% 權益的市場價值。將 Great Ajax 的管理內部化將導致我們從我們的經理 19.8% 的權益中記錄重大的 GAAP 資本收益。

Additionally, our affiliated service for Gregory Funding provides a strategic advantage in non-performing and non-regular paying loan resolution processes and timelines and data feedback loop for our managers' analytics.

此外，我們為 Gregory Funding 提供的附屬服務在不良和非定期支付貸款解決流程和時間表以及我們經理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 at the manager working closely with the servicer is essential. We've certainly seen the benefit of this with the significant increases in loan performance, our consistent prepayment from property sales by borrowers especially for delinquent loans, and with our AAA-rated structures that permit up to 40% of loans to be greater than 60 days or more delinquent at the time of securitization. Like our 20% interest in our manager, we now have a 21.6% economic interest in our servicer at a very low basis as well.

在當今多變的環境中，讓我們的投資組合團隊和經理的分析小組與服務商密切合作至關重要。我們當然已經看到了這樣做的好處，包括貸款業績的顯著提高、我們對借款人出售房產的持續預付款，尤其是拖欠貸款，以及我們的 AAA 級結構允許高達 40% 的貸款大於 60在證券化時拖欠天數或更長時間。就像我們在我們的經理中擁有 20% 的權益一樣，我們現在也以非常低的基礎在我們的服務商中擁有 21.6% 的經濟權益。

In January, we increased our direct ownership in the parent of our servicer from 8% to 9.6%, and we also own warrants for an additional 12%. We don't mark-to-market our equity interest in the servicer on our balance sheet either. Our servicer is currently evaluating a private equity round as part of rolling out some new data technology-driven programs through strategic joint ventures and MSR joint ventures as well.

1 月，我們將我們在服務母公司的直接所有權從 8% 增加到 9.6%，我們還額外持有 12% 的認股權證。我們也不在資產負債表上按市值計價我們在服務商的股權。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和 MSR 合資企業推出一些新的數據技術驅動計劃的一部分。

We still have low leverage. At March 31, our year-end corporate leverage was 3.3x. Our quarter 1 asset-based leverage was 2.6x. 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 several large national veterinary practice aggregators.

我們的槓桿率仍然很低。截至 3 月 31 日，我們的年終公司槓桿率為 3.3 倍。我們第一季度基於資產的槓桿率為 2.6 倍。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，以及與幾家大型國家獸醫實踐聚合商合作的三重淨租賃、獨立獸醫診所物業.

We carry our Gaea interest on balance sheet to lower cost per market. Gaea completed an additional round of equity in the first quarter of '22 at a premium to our carrying value, but our balance sheet and income statement do not reflect any markup. We currently expect Gaea to raise additional equity and ultimately become a public company. Our current environment of bank runs and commercial real estate loan opportunities create significant optionality for Gaea.

我們將 Gaea 權益計入資產負債表，以降低每個市場的成本。 Gaea 在 22 年第一季度以高於我們賬面價值的價格完成了另一輪股權，但我們的資產負債表和損益表沒有反映任何加價。我們目前預計 Gaea 將籌集更多股權並最終成為一家上市公司。我們當前的銀行擠兌環境和商業房地產貸款機會為 Gaea 創造了重要的選擇權。

On Page 4, just some highlights for the quarter. Net interest income from loans and securities, including $0.6 million of interest income from the application of CECL, was approximately $4.1 million in the first quarter.

在第 4 頁，只有本季度的一些亮點。第一季度來自貸款和證券的淨利息收入約為 410 萬美元，其中包括來自應用 CECL 的 60 萬美元利息收入。

Our gross interest income, including the $0.6 million from the application of CECL was $18.5 million. There are 3 reasons why GAAP gross interest income is lower. First, we had approximately $50 million lower average interest-earning assets on balance sheet in the first quarter versus the fourth quarter of '22.

我們的總利息收入，包括來自 CECL 申請的 60 萬美元，為 1850 萬美元。 GAAP 總利息收入較低的原因有 3 個。首先，與 22 年第四季度相比，我們第一季度資產負債表上的平均生息資產減少了約 5000 萬美元。

Second, we're continuing to have significantly more delinquent loans than expected to become performing. As delinquent loans 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.

其次，我們的拖欠貸款繼續比預期的要多得多。隨著拖欠貸款開始發揮作用，它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。

However, in a recession and in declining house price environment, low LTV loans provide a material hedge as increased delinquency shortens duration and significantly increases corresponding yields.

然而，在經濟衰退和房價下跌的環境下，低 LTV 貸款提供了一種重要的對沖，因為拖欠率增加會縮短期限並顯著提高相應的收益率。

The third reason for lower interest income is the design of CECL. CECL was primarily designed for banks with loans with a par basis so that accelerating reserve capture came after a write debt. We established an allowance under CECL when we acquire new pools of loans, if the NPV of the loan pools contractual cash flows is greater than the NPV of our expected cash flows.

利息收入較低的第三個原因是CECL的設計。 CECL 主要是為以平價貸款的銀行設計的，因此在寫入債務後加速準備金捕獲。如果貸款池合同現金流量的淨現值大於我們預期現金流量的淨現值，我們在獲得新貸款池時根據 CECL 設立準備金。

And net allowance is allocated to part of our purchase discount. If the expected cash flows on those loans increases in subsequent periods, we are required to reverse the related allowance into interest income. This immediate recognition of the increase in the change in cash flows reduces future yields and discount accretion. We also accelerated discount accretion when loans pay in full.

淨津貼分配給我們的部分採購折扣。如果這些貸款的預期現金流量在後續期間增加，我們需要將相關撥備轉回利息收入。這種對現金流量變化增加的立即確認減少了未來收益率和貼現增加。當貸款全額支付時，我們還加速了貼現增長。

Despite the application of CECL, yield on interest-earning assets increased a little due to increased prepayment and reinstatement, particularly in the month of March. A GAAP item to keep in mind, though, is that interest income from our portion of joint ventures shows up in income from securities, not interest income from loans. For these joint venture interests, servicing fees for securities are paid out of the securities waterfall.

儘管應用了 CECL，但由於提前還款和恢復的增加，特別是在 3 月份，生息資產的收益率略有上升。不過，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。

So our interest income from joint ventures 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 loans outside of joint ventures by the amount of the servicing fees, and GAAP servicing expense will decrease by the corresponding offsetting amount.

因此，我們來自合資企業的利息收入是扣除服務費的，這與貸款的利息收入不同，後者是扣除服務費後的收入。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數額，GAAP 服務費用將減少相應的抵消金額。

An important part of discussing interest income is the payment performance of our loan portfolio. At March 31, 81.3% of our loan portfolio by UPB made at least 12 of the last 12 payments for 74% at June 30 of '22 and 79.6% at December 31, '22. This compares to 13% at the time we purchased the 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 3 月 31 日，UPB 81.3% 的貸款組合在過去 12 筆付款中至少支付了 12 筆，在 2022 年 6 月 30 日為 74%，在 22 年 12 月 31 日為 79.6%。相比之下，我們購買貸款時這一比例為 13%。

Our NPL purchases over the last 15 months increased materially relative to RPL purchases. Previous increases in housing prices helps maintain these payment -- prepayment patterns and leads to decreases in the present value of expected reserves. And related income recognition of $0.6 million of unallocated loan purchase that reserves under CECL in the first quarter, and the additional reserve recaptures we've had in each of the previous 8 quarters.

我們過去 15 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——預付模式，並導致預期準備金現值的下降。以及第一季度在 CECL 下儲備的 60 萬美元未分配貸款購買的相關收入確認，以及我們在前 8 個季度的每個季度收回的額外儲備金。

While loans become regularly paying produce higher total cash flows over the life of the loans on average, they can extend duration. And because we purchase loans at discounts, this can reduce percentage yield on the loan portfolio and interest income.

雖然定期支付的貸款平均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和利息收入。

Loans that do not migrate to regular monthly pay status typically have materially shorter durations and therefore, result in higher yields. We are seeing that prepayments from property sales for both regularly paying and nonregularly paying loans is continuing and even increasing.

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，因此會導致更高的收益率。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甚至增加。

Our weighted average cost of funds in the first quarter was higher than the fourth quarter by approximately 40 basis points, most of this comes from the remaining floating rate repurchase agreements on loans getting ready for securitization and some joint venture securities repurchase agreements and related increases in SOFR. We expect a significant percentage of floating rate funding will be reduced through rated securitizations in Q2.

我們一季度的加權平均資金成本比四季度高出約 40 個基點，其中大部分來自剩餘的準備證券化貸款的浮動利率回購協議和一些合資證券回購協議以及相關的增加SOFR。我們預計第二季度通過評級證券化將減少相當大比例的浮動利率資金。

The other reason weighted average cost of funds are up is because as we delevered the unsecured debt that we issued in late August becomes a higher percentage of our total debt outstanding, which increases the weighted average cost of funds.

加權平均資金成本上升的另一個原因是，隨著我們去槓桿化，我們在 8 月下旬發行的無擔保債務占我們未償還債務總額的比例更高，這增加了加權平均資金成本。

Net income attributable to common stockholders was negative $7.9 million or $0.34 per share. There are several items of note that had an impact on earnings in the first quarter. To make it a little easier to follow, we have a table that ties GAAP to operating income on Page 16 of this presentation as well as in our 10-K. Operating earnings was negative $2.1 million or $0.09 per share. Taxable income net of preferred dividends was $0.05 a share.

歸屬於普通股股東的淨收入為負 790 萬美元或每股 0.34 美元。有幾個值得注意的項目對第一季度的收益產生了影響。為了使其更容易理解，我們在本演示文稿的第 16 頁以及我們的 10-K 中有一個將 GAAP 與營業收入聯繫起來的表格。營業收入為負 210 萬美元或每股 0.09 美元。扣除優先股股息後的應稅收入為每股 0.05 美元。

Taxable income decreased in the first quarter for 2 primary reasons: first, significant increase in monthly performance in delinquent loans, which extends taxable income yield duration, even more than GAAP yield duration as taxable income per performing loans is based on contractual duration of the loan. So the loan has 30 years remaining to maturity, taxable income comes in equal installments over 30 years unless the loan prepays.

第一季度應稅收入下降主要有兩個原因：首先，拖欠貸款的月度表現顯著增加，這延長了應稅收入收益率的持續時間，甚至超過了 GAAP 收益率持續時間，因為每筆履約貸款的應稅收入是基於貸款的合同期限.因此，貸款還有 30 年到期，應稅收入在 30 年內等額分期付款，除非貸款提前償還。

Second, we saw prepayments increase on performing loans, which typically have a higher tax basis relative to prepayment on nonperforming loans. Taxable income is not affected by the CECL-related reserve recapture. So when we actually receive cash payments from borrowers and capture purchase discount because of larger than contractual payments, it creates taxable income.

其次，我們看到優質貸款的預付款增加，與不良貸款的預付款相比，這些貸款通常具有更高的稅基。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因大於合同付款而獲得購買折扣時，就會產生應稅收入。

This is the first quarter where we've seen significant increase in property sales for performing loans versus delinquent loans. We recorded a loss on investments in affiliates of $100,000 as a result of the flow-through of the mark-to-market decline in the price of our common shares owned by our manager in the first quarter.

這是第一季度，我們看到執行貸款與拖欠貸款的房地產銷售顯著增加。由於我們的經理在第一季度擁有的普通股價格按市值計價下跌，我們記錄了 100,000 美元的關聯公司投資損失。

Our manager receives a significant portion of its management fee in shares and changes in market value of those shares flows through to us based on our 20% ownership interest percentage. Other income declined as we recorded $3 million loss from the sale of Class A senior debt securities in one of our joint venture transactions in February as we discussed in our subsequent events section in our March 2 earnings call. $2.2 million of this was already reflected in book value at December 31.

我們的經理從股票中收取很大一部分管理費，這些股票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。正如我們在 3 月 2 日的財報電話會議的後續事件部分中討論的那樣，我們在 2 月份的一項合資交易中因出售 A 類高級債務證券而錄得 300 萬美元的損失，因此其他收入有所下降。其中 220 萬美元已反映在 12 月 31 日的賬面價值中。

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 and yield at that time.

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票息，並按當時的市場票息和收益率定價。

This Class A senior bond thereby had a low coupon and had negative carry from repurchase agreement funding, and it made sense to sell the Class A senior security and redeploy the capital for higher returns.

因此，這種 A 級高級債券的票息很低，回購協議資金的利差為負，出售 A 級高級債券並重新配置資本以獲得更高回報是有意義的。

Book value per share was $12.58 at March 31. Book value decreased primarily by our GAAP loss and dividends paid with an offset from a positive mark-to-market adjustment of our joint venture debt securities. There is a table on Page 17 in this presentation that details the change in book value. We do not mark-to-market our ownership interest in our manager and servicer and have close to a 0 basis on their balance sheet, their market values are significantly above 0, but book value would not reflect that.

截至 3 月 31 日，每股賬面價值為 12.58 美元。賬面價值的下降主要是由於我們的 GAAP 虧損和支付的股息被我們的合資債務證券按市值計價的積極調整所抵消。本演示文稿第 17 頁的表格詳細說明了賬面價值的變化。我們沒有按市值計價我們在經理和服務商的所有權權益，並且在他們的資產負債表上有接近 0 的基礎，他們的市場價值遠高於 0，但賬面價值不會反映這一點。

In February, we refinanced our unrated 2019 -E, -G and -H joint ventures into Ajax Mortgage Loan Trust 2023A. 2023A is a rated joint venture structure. We retained 5% of the AAA securities as required by vertical risk retention rules and 20% of the AA through B-rated securities and equity of the structure.

2 月，我們將未評級的 2019 -E、-G 和 -H 合資企業再融資到 Ajax Mortgage Loan Trust 2023A。 2023A為額定合資結構。根據垂直風險保留規則的要求，我們保留了 5% 的 AAA 證券和 20% 的 AA 至 B 級證券和結構的股權。

At March 31, we had approximately $49 million of cash. And for Q1 of 2023, we had an average daily cash and cash equivalent balance of approximately $50 million. We had approximately $44 million of cash collections in the first quarter. At March 31, we also have significant amount of unencumbered securities from our securitizations and joint ventures and unencumbered mortgage loans, and we'll discuss this more in detail on Page 12.

截至 3 月 31 日，我們擁有大約 4900 萬美元的現金。 2023 年第一季度，我們的平均每日現金和現金等價物餘額約為 5000 萬美元。我們在第一季度收到了大約 4400 萬美元的現金。在 3 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，我們將在第 12 頁上更詳細地討論這個問題。

Approximately 81.3% of our portfolio by UPB made at least 12 of their last 12 payments compared to a small fraction at the time of loan acquisition. This increased from 79.6% at December 31 and June 30 of 74.2%. This is despite buying significantly more NPLs and RPLs for the last 15 months.

在我們 UPB 的投資組合中，大約 81.3% 的人在過去 12 次付款中至少支付了 12 次，而在獲得貸款時只有一小部分。這比 12 月 31 日的 79.6% 和 6 月 30 日的 74.2% 有所增加。儘管在過去 15 個月中購買了明顯更多的不良貸款和 RPL。

This increases life of loan cash flow, but the duration extension reduces yield and interest income in the current quarter. As more purchased delinquent loans reperform rather than prepay or default, this lowest current cash flow [comp] well. Purchased -- if we go to Page 5, purchased RPLs represent approximately 89% of our portfolio at March 31. They represented 96% a year earlier. We primarily purchased RPLs that has made less than 7 consecutive payments, and NPLs at a certain loan level and underlying property specifications that our analytics suggest lead to positive payment migration, early property sales and related prepayment on average.

這增加了貸款現金流的壽命，但延長期限會降低本季度的收益率和利息收入。隨著更多購買的拖欠貸款重新履行而不是預付或違約，這種最低的當前現金流 [comp] 很好。已購——如果我們轉到第 5 頁，截至 3 月 31 日，已購 RPL 約占我們投資組合的 89%。它們在一年前佔 96%。我們主要購買了連續支付少於 7 次的 RPL，以及我們的分析表明在一定貸款水平和基礎財產規格下的不良貸款平均會導致積極的支付遷移、早期財產銷售和相關預付款。

We typically buy well-seasoned lower LTV loans. Since November 22, we have seen residential loan prices increase materially, especially for regular paying loans but also for nonperforming residential loans. For residential loans, we continue to see stronger performance than expected in our portfolio. However, given the increase in interest rates, credit tightening and the potential for material economic slowing, we would expect an increase in delinquency and default at some point. And therefore, an increase in availability of subperforming and nonperforming loans.

我們通常購買經驗豐富的較低 LTV 貸款。自 11 月 22 日以來，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。對於住宅貸款，我們繼續看到我們投資組合的表現強於預期。然而，鑑於利率上升、信貸緊縮和經濟實質性放緩的可能性，我們預計拖欠和違約在某個時候會增加。因此，不良貸款和不良貸款的可用性增加。

As a result, we have been hesitant to be aggressive in residential loan acquisitions as we expect a better opportunity set will develop. 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 financially attached to their properties and therefore, more determined to maintain regular payments.

因此，我們一直猶豫是否要積極收購住宅貸款，因為我們預計會出現更好的機會。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，使借款人更加參與並在經濟上依賴於他們的財產，因此更加堅定地維持定期還款。

Historically, we have frequently seen mortgage borrowers pay credit cards and auto loans and HELOCs before paying first mortgages in times of financial stress. However, as a result of significant increases in absolute dollars of equity for older loans, we are now seeing increased delinquency for their credit cards and auto loans and the opposite for their first mortgages.

從歷史上看，我們經常看到抵押借款人在遇到財務壓力時先支付信用卡、汽車貸款和 HELOC，然後再支付第一筆抵押貸款。然而，由於舊貸款的絕對資產美元顯著增加，我們現在看到他們的信用卡和汽車貸款拖欠率增加，而他們的第一筆抵押貸款則相反。

Commercial real estate loans have not fared as well, and we are beginning to see opportunities. We believe there will be significant opportunities of sub-performing and nonperforming commercial real estate loans in many markets as we get later into this calendar year and thereafter. As we mentioned on the third quarter and fourth quarter 2022 earnings calls, we see one of the material market risk as the Fed breaking the system.

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及之後，許多市場將出現不良和不良商業房地產貸款的重大機會。正如我們在 2022 年第三季度和第四季度的財報電話會議上提到的那樣，我們認為美聯儲破壞系統是重大市場風險之一。

We have seen a preview of this in the last few months and is having a less talked about effect on midsized and sub-midsized bank liquidity and loan portfolio performance. They frequently have higher percentages of their loan portfolios with commercial real estate exposure. We are beginning to see CRE loans for sale from these institutions and expect that opportunity set will grow. We also expect that resulting bank consolidation will stimulate this as well.

我們在過去幾個月看到了這種情況的預演，很少有人談論它對中型和次中型銀行流動性和貸款組合績效的影響。他們的貸款組合中經常有更高比例的商業房地產敞口。我們開始看到這些機構出售 CRE 貸款，並預計機會會增加。我們還預計由此產生的銀行整合也將刺激這一點。

We have joint venture partners that would like us to find $1 billion-plus of commercial opportunities as they develop. From these same banks, we are seeing agency and non-agency MSRs being put up for sale in sub-1 billion UPB increments as well as large MSR offerings from larger banks and originators. As these banks look for predictable liquidity, they are marketing MSRs as MSR sales take 2 to 4 months to sell. One thing to note, however, is many of these small offerings now are not actually trading as the MSR bids are below current marked value at these banks.

我們有合資夥伴希望我們在他們發展的過程中找到超過 10 億美元的商業機會。從這些相同的銀行，我們看到代理和非機構 MSR 以低於 10 億的 UPB 增量出售，以及大型銀行和發起人提供的大量 MSR 產品。由於這些銀行尋求可預測的流動性，因此他們正在營銷 MSR，因為 MSR 銷售需要 2 到 4 個月才能售出。然而，需要注意的一件事是，由於 MSR 出價低於這些銀行的當前標價，因此許多這些小額發行現在實際上並沒有交易。

We think there is also going to be significant MSR opportunity set and having Gregory as a servicer and owning 21.6% economic interest in it will be beneficial. We are in discussions with several institutional MSR administers on joint venture structures.

我們認為也將有大量的 MSR 機會，讓 Gregory 作為服務商並擁有 21.6% 的經濟利益將是有益的。我們正在與多家 MSR 管理機構就合資企業結構進行討論。

On Page 6, we own lower LTV loans but we did not buy many loans in the first quarter. 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 in a recessionary environment.

在第 6 頁，我們擁有較低的 LTV 貸款，但我們在第一季度沒有購買很多貸款。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。這在經濟衰退的環境中變得更加重要。

On Page 7. Since the third quarter and fourth quarter of 2021, we significantly increased our NPL purchases versus RPLs. NPLs, on average, can have shorter duration than RPLs. For NPLs on our balance sheet, our overall purchase price is 89% of UPB, 84% of the owning balance, including arrears and 47% of property value.

在第 7 頁。自 2021 年第三季度和第四季度以來，我們的不良貸款購買量相對於 RPLs 大幅增加。平均而言，NPL 的期限可能比 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為 UPB 的 89%，擁有餘額的 84%，包括欠款和財產價值的 47%。

As a result of the low loan-to-value and higher absolute dollars of equity on average for our NPL portfolio, we have seen significant reinstatement and reperformance on our NPLs. As I mentioned earlier, for both RPLs and NPLs, purchasing age low LTV loans at 50% discounts to property values. And that our significant absolute dollars of equity provides a natural credit hedge to housing price declines and recession as resulting increases in delinquencies, shorten duration and increases corresponding yields quite materially.

由於我們的不良貸款組合的平均貸款價值比較低且絕對股本美元較高，我們已經看到不良貸款的顯著恢復和重新表現。正如我之前提到的，對於 RPL 和 NPL，購買年齡低的 LTV 貸款都比房產價值低 50%。而且我們大量的絕對股權為房價下跌和經濟衰退提供了自然的信貸對沖，因為房價下跌和經濟衰退導致拖欠率增加，期限縮短並顯著提高相應的收益率。

On Page 8. At March 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 spent nearly 40% of all prepayments in 2021, 2022 and first quarter of 2023. Our California mortgage loans are primarily in Los Angeles, Orange and San Diego counties.

第 8 頁。截至 3 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%。然而，加州在 2021 年、2022 年和 2023 年第一季度花費了所有預付款的近 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。

Florida represents approximately 17% of our portfolio and Miami, [Fort Lauderdale] and Palm Beach counties are approximately 75% of that. We continue to see demand for homes in our price range targets in our markets, both for potential homeowners and single-family rental buyers.

佛羅里達州約占我們投資組合的 17%，而邁阿密、[勞德代爾堡] 和棕櫚灘縣約佔其中的 75%。我們繼續看到市場對我們目標價格範圍內的房屋的需求，包括潛在的房主和單戶租賃買家。

On Page 9. At March 31, approximately 81.3% of our loan portfolio made at least 12 of the last 12 payments as compared to under 74.2% a year ago. Approximately 72% of our loan portfolio made at least 24 of the last 24, compared to 69% 3 months ago. Over 83% have now made at least 7 consecutive payments. This compares to a small fraction the time of purchase. The significant increase in monthly performance is more notable given that since Q3 of '21, we purchased primarily NPLs rather than RPLs.

第 9 頁。截至 3 月 31 日，我們的貸款組合中約有 81.3% 在過去 12 筆付款中至少支付了 12 筆，而一年前這一比例低於 74.2%。在過去的 24 筆貸款中，我們大約 72% 的貸款組合中至少有 24 筆獲得了貸款，而 3 個月前這一比例為 69%。超過 83% 的人現在至少連續付款了 7 次。這與購買時間的一小部分相比。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。

Much of this is likely due to Gregory Funding working with delinquent borrowers on a personal basis and to absolute dollars of home appreciation as our target markets are significantly determined by data analytics that predict forward home price appreciation for each market in dollars.

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屋升值的絕對美元，因為我們的目標市場在很大程度上取決於數據分析，這些數據分析預測每個市場的遠期房價升值（以美元為單位）。

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.

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次付款已經是統計轉折點。

Subsequent Events on Page 10. We have 18 million UPB of RPLs and NPLs under contract at a price of approximately 83% of UPB and 54% of underlying property value. We expect these to close in the next week. We declared a cash dividend of $0.20 per share to be paid on May 31 to holders of record on May 15.

後續事件見第 10 頁。我們有 1800 萬 UPB 的 RPL 和 NPL 合同，價格約為 UPB 的 83% 和相關財產價值的 54%。我們預計這些將在下週關閉。我們宣布將於 5 月 31 日向 5 月 15 日登記在冊的股東派發每股 0.20 美元的現金股息。

We expect that taxable income will likely exceed GAAP income as a result of CECL as cash yield loans exceeds CECL impacted GAAP yields on loans. To the extent the Fed continues significantly raising rates, the impact on remaining floating rate financing will have some offsetting effect on taxable income. However, credit tightening and resulting recession will likely increase taxable income by shortening loan duration.

我們預計，由於 CECL，應稅收入可能會超過 GAAP 收入，因為現金收益率貸款超過 CECL 影響了 GAAP 貸款收益率。如果美聯儲繼續大幅加息，對剩餘浮動利率融資的影響將對應稅收入產生一定的抵消作用。然而，信貸緊縮和由此導致的經濟衰退可能會通過縮短貸款期限來增加應稅收入。

And the securitizations we have in the pipeline will replace more expensive floating rate funding and, thereby, likely increase taxable income also. We also see investment opportunities (inaudible) as a result of recession risk and banking sector risk issues as well.

我們正在進行的證券化將取代更昂貴的浮動利率融資，因此也可能增加應稅收入。由於經濟衰退風險和銀行業風險問題，我們還看到了投資機會（聽不清）。

On Page 11, some financial metrics. Average loan yields and average yields on beneficial equity interest in our joint ventures increased a little, primarily due to significant loan cash flow in March and also so far in April. For debt securities and beneficial interests, remember that yield is net of servicing fees and yield on loans is gross of servicing fees.

在第 11 頁，一些財務指標。我們合資企業的平均貸款收益率和實益股權平均收益率略有上升，這主要是由於 3 月份和 4 月份到目前為止的大量貸款現金流。對於債務證券和實益權益，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。

Debt securities and beneficial interest is how our interest in our JVs are presented under GAAP and have increased in 2020, '21 and '22 relative to loans. Since we purchased loans at a discount, the increased reperformance of delinquent loans materially in excess of expectations can extend duration and reduce yield.

債務證券和實益權益是我們在合資企業中的權益在 GAAP 下的呈現方式，並且在 2020 年、21 年和 22 年相對於貸款有所增加。由於我們以折扣價購買貸款，拖欠貸款的重新表現大大超出預期可能會延長期限並降低收益率。

The significant absolute dollars of equity for our loans, both from the types of loans we buy and the home price appreciation in our target markets, on average, both accelerated prepayment from home sales on delinquent loans. And led to material reperformance in excess of expectations, which reduces ongoing yield for loans purchased at a discount.

平均而言，無論是我們購買的貸款類型還是我們目標市場的房價升值，我們貸款的大量絕對權益都加速了拖欠貸款的房屋銷售提前還款。並導致超出預期的實質性再表現，這降低了以折扣價購買的貸款的持續收益率。

The sale of underlying properties by borrowers with delinquent loans with certain minimum absolute dollar amounts of equity in underlying geography, and borrower demographics has been steady. But it was marginally lower in January and February, and it has increased again in March and April. Leverage continues to be low, especially for companies in our sector. We ended the first quarter with asset level debt of 2.6x, which is lower than it was at year-end '22.

有拖欠貸款的借款人出售標的財產，在標的地理區域擁有一定的最低絕對美元數額的權益，並且借款人的人口統計數據一直很穩定。但1月和2月略有下降，3月和4月又有所上升。槓桿率仍然很低，尤其是對我們行業的公司而言。我們在第一季度末的資產負債率為 2.6 倍，低於 22 年底時的水平。

Our total average debt cost was higher in Q1, primarily the result of rising SOFR base rates for repurchase agreement funding and the issuance of our unsecured notes in August, since they were a higher percentage of total outstanding debt as asset debt pays down from loan prepayment.

我們在第一季度的平均總債務成本較高，這主要是由於回購協議融資的 SOFR 基準利率上升以及我們在 8 月份發行的無擔保票據，因為資產債務從貸款預付款中償還，因此它們佔未償債務總額的比例較高.

Fixed rate securitized debt at March 31 is more than 60% of our total debt. We expect fixed rate debt to continue increasing as a percentage of our total debt as we have 3 securitizations in the pipeline. So far in '23, we have seen a significant recovery in securitized senior bond credit spreads relative to the fourth quarter as well as in rate levels for those funds.

3 月 31 日的固定利率證券化債務占我們總債務的 60% 以上。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，因為我們正在進行 3 項證券化。 23 年到目前為止，我們已經看到證券化高級債券信用利差相對於第四季度以及這些基金的利率水平顯著回升。

On Page 12. Our total repurchase agreement related debt at March 31 was approximately $418 million, down from $446 million at December 31. $209 million was non-mark-to-market, nonrecourse mortgage loan financing and $198 million was financing, primarily on Class A1 senior bonds in our joint ventures with remaining expected lives of less than 2 years.

在第 12 頁。截至 3 月 31 日，我們與回購協議相關的債務總額約為 4.18 億美元，低於 12 月 31 日的 4.46 億美元。2.09 億美元為非按市值計價、無追索權的抵押貸款融資，1.98 億美元為融資，主要針對類別我們合資企業的 A1 高級債券，剩餘預期壽命不到 2 年。

We also have significant unencumbered assets. We expect the amount of our floating rate debt to continue declining relative to fixed rate debt significantly, now that securitization markets are more functional.

我們還有大量未支配資產。我們預計我們的浮動利率債務相對於固定利率債務的數量將繼續顯著下降，因為證券化市場更加有效。

And with that, I'd be happy to answer any questions anybody might have.

有了這個，我很樂意回答任何人可能提出的任何問題。

(Operator Instructions)

（操作員說明）

We do have a question. It comes from Matt Howlett, B. Riley.

我們確實有一個問題。它來自 B. Riley 的 Matt Howlett。

I'm intrigued by the comments on your expectation in the residential and of course, the commercial loan market. Just walk me through. Loan residential holding price is still well bid, but do you think there's going to be -- when these banks start selling, I know they've already started. What do you think the catalyst is to see sort of more supply come out? I mean when do you think it will come out and what do you think prices can go? I mean, can you -- do you think you could get unlevered yields, the teams from these whole loans or commercial? I mean, some people are out there are saying 15%, 20%. I mean what type of products are we talking about if you believe that's the case?

我對您對住宅，當然還有商業貸款市場的期望的評論很感興趣。帶我過去。貸款住宅持有價格仍然很好，但你認為會有 - 當這些銀行開始出售時，我知道他們已經開始了。您認為催化劑是什麼導致出現更多供應？我的意思是你認為它什麼時候會出來，你認為價格會怎樣？我的意思是，你能——你認為你能從這些全部貸款或商業中獲得無槓桿收益嗎？我的意思是，有些人說是 15%、20%。我的意思是，如果您認為是這種情況，我們在談論什麼類型的產品？

Sure. It depends on the specific type of commercial. I don't think you're going to see unlevered teams in residential. You will, however, I think, see more supply as delinquency increases as it leaks from credit cards into single-family and as you see bank consolidation. It's one of the things we've seen both in residential and commercial over the years is when bigger bank buys a smaller bank, it wants the classified assets off the balance sheet of a smaller bank before closing. And that way, it can flush through the loss in the purchase price at a onetime charge.

當然。這取決於具體的商業類型。我不認為你會在住宅區看到沒有槓桿的團隊。然而，我認為，隨著拖欠率的增加，你會看到更多的供應，因為拖欠率會從信用卡洩漏到單戶家庭，而且你會看到銀行合併。多年來我們在住宅和商業領域看到的事情之一是，當大銀行收購一家小銀行時，它希望在關閉之前將分類資產從小銀行的資產負債表中刪除。這樣一來，它就可以一次性沖銷購買價格的損失。

In commercial, depending on what it is and what kind of liquidity risk profile it has. So for example, on $500 million office buildings, there's -- people are going to need to make a lot more than they will off of buying a portfolio of business purpose, DSCR loans, for example. So -- but I think you're going to see a significant opportunity, definitely double-digit unlevered in some strip mall loans, in some mixed-use loans. You'll see them in some broken office, not just loans that you'll see double-digit teens unlevered, no questions about that.

在商業中，取決於它是什麼以及它具有什麼樣的流動性風險狀況。因此，例如，在價值 5 億美元的辦公樓上，人們將需要比購買商業目的組合（例如 DSCR 貸款）賺取更多的錢。所以 - 但我認為你會看到一個重要的機會，在一些露天購物中心貸款和一些混合用途貸款中肯定是兩位數的無槓桿。你會在一些破舊的辦公室裡看到他們，而不僅僅是貸款，你會看到兩位數的青少年沒有槓桿，對此毫無疑問。

When will you start to see that. We're starting to see it leak as banks are looking for liquidity, although the one thing we're seeing is that the banks are selling the things they can sell the quickest and the closest to their current mark versus other things. But we think that probably in -- by the Q3, Q4 and 2024, it's really going to be picking up in probably 2024 more so than 2023.

你什麼時候開始看到這一點。我們開始看到它洩漏，因為銀行正在尋找流動性，儘管我們看到的一件事是，銀行正在出售他們可以賣得最快、最接近當前標記的東西，而不是其他東西。但我們認為，到第三季度、第四季度和 2024 年，它可能真的會在 2024 年比 2023 年更多地回升。

It depends on the number of waves, is how I describe it in this, what's going on in banking (inaudible). One of the things we've seen like in '94 and '98, '04 and '08 is everything was multiple waves that went over periods of time. And the question is how many, how long and what's the severity between them all? So it's a pretty interesting time, and we certainly have had a bunch of our big institutional partners and also bond investors reach out to us. And we've set up kind of here's what we want to buy together-type structures.

這取決於波浪的數量，我是如何描述它的，銀行業正在發生什麼（聽不清）。我們在 94 年和 98 年、04 年和 08 年看到的一件事是，一切都是在一段時間內發生的多波浪潮。問題是它們之間有多少、持續多長時間以及嚴重程度如何？所以這是一個非常有趣的時刻，我們當然有很多大型機構合作夥伴和債券投資者與我們聯繫。我們已經建立了一種我們想要一起購買的結構。

And I'm assuming on the residential side, you've looked to the securitization market. You have it opened -- it's open to you. I'm assuming these are private deals that you're doing. Just give us an update on the state of securitization market. And is it still -- what's your outlook for? Do you think it's going to come in more?

我假設在住宅方面，你已經關注了證券化市場。你打開了它——它對你開放。我假設這些是您正在進行的私人交易。請向我們提供有關證券化市場狀況的最新信息。它仍然是——你的前景如何？你認為它會進來更多嗎？

So the AAAs have tightened and obviously, the treasury curve has come in significantly in what I'll call kind of 3-year, 4-year-type expected lives. And most of our AAAs that we issue are expected lives between, call it, high 2s in 4 years. And that those in rates have come in dramatically and AAA spreads have tightened. So the transaction we did in February, we did a plus-150 to the expected life of I think 3.4 years. That market has been pretty strong for our RPL deals. We have what I'll call a regular group of buyers. For 2 of the 3 deals, 80% of the seniors are pre-subscribed, so it's really the other -- 2 of the 3 deals, the other 20%. And the third deal, which is actually the first one we're going out with, we'll just bring out to [fold] these market.

所以 AAA 已經收緊，顯然，國債曲線已經顯著進入我稱之為 3 年、4 年類型的預期壽命。我們發行的大多數 AAA 預期壽命介於 4 年內，稱之為高 2。而且利率大幅上漲，AAA 級利差收緊。所以我們在 2 月份進行的交易，我們對我認為 3.4 年的預期壽命做了 150 加分。這個市場對我們的 RPL 交易來說非常強勁。我們有我稱之為普通買家的群體。對於 3 筆交易中的 2 筆，80% 的老年人是預購的，所以實際上是另一筆交易——3 筆交易中的 2 筆，另外 20%。第三筆交易，實際上是我們要進行的第一筆交易，我們將推出 [棄牌] 這些市場。

Got you. It makes a lot of sense. And then I guess the last one, Larry, for you. So I get this phenomenon, the prepayments, I think you sort of started to pick up in March, and I get this phenomenon. What's going on with the way, the yields are on the performing loans are weighing on your taxable, your GAAP end even more so your taxable income. And of course, you have the repo, which is just about probably done here, the Fed. It's probably done here. If not, they're probably going to be cutting in the next move, if not sooner rather than later. My question to you is, how should we look at taxable income and the dividend, how we think about that trajectory for the rest of the year?

明白了這很有道理。然後我想最後一個，拉里，給你。所以我得到了這種現象，預付款，我認為你在 3 月份開始回升，我得到了這種現象。發生了什麼事，執行貸款的收益率正在影響你的應稅收入，你的 GAAP 結束甚至更多，所以你的應稅收入。當然，你有回購協議，這很可能在這裡完成，美聯儲。大概是在這裡完成的。如果沒有，他們可能會在下一步行動中削減，如果不是更早而不是更晚的話。我的問題是，我們應該如何看待應稅收入和股息，我們如何看待今年剩餘時間的軌跡？

Sure. So taxable income, when you think about prepayment, prepayment on performing loans, okay? Since we have a higher tax basis on performing loans, actually generates less taxable income than prepayment on nonperforming loans. So right, which is -- so it's really tax. You should pay more for nonperforming loans than performing loans at a high tax basis, pertaining to capture less discounts sooner and the taxable income from prepayment is all about the tax, and the discounted tax basis.

當然。所以應稅收入，當你考慮預付款時，預付款執行貸款，好嗎？由於我們對不良貸款有更高的稅基，實際上產生的應稅收入少於不良貸款的預付款。是的，這是 - 所以它真的是稅收。您應該為不良貸款支付比高稅基貸款更多的費用，以便更快地獲得更少的折扣，而預付款項的應稅收入完全與稅收和貼現稅基有關。

So the -- and one of the things that's weird is for taxable income, when loans pay like clockwork, you take it over the contractual life of the loan unlike GAAP, which is over the expected life of the loan, right? And prepayments just accelerated. So until the loan prepays, our $360 million month loan, you're taking [1 360] into tax basically -- or actually it's based on the principle that we see, which is very little in the early years.

所以 - 其中一件奇怪的事情是應稅收入，當貸款像發條一樣支付時，你會在貸款的合同期限內接受它，這與 GAAP 不同，它超過了貸款的預期期限，對吧？預付款只是加速了。因此，在貸款預付之前，我們的 3.6 億美元月貸款，你基本上要將 [1 360] 納入稅收 - 或者實際上它是基於我們看到的原則，這在早年很少。

These are going to be level yield with a fixed [prepayment] and assumption yield regardless, and it's dictated by the deal document for securitization transactions. And then we have other pools of loans where every time you get a payment, you basically take a percentage of discount and at great cover. Literally, is it a 780 month mortgage or...

這些將是具有固定 [prepayment] 和假設收益率的水平收益率，並且由證券化交易的交易文件決定。然後我們還有其他貸款池，每次您收到付款時，您基本上都可以享受一定比例的折扣並獲得很好的保障。從字面上看，它是 780 個月的抵押貸款還是...

Over 780 month -- so it's not based on expected life like GAAP. So when loans pay like [clockwork] taxable income is less. And when loans don't pay and you also get big lumps from, for example, liquidations or property sales that accelerates taxable income.

超過 780 個月——所以它不像 GAAP 那樣基於預期壽命。因此，當貸款像 [clockwork] 一樣支付時，應稅收入就會減少。當貸款無法償還時，你也會從清算或財產銷售中獲得大筆收入，從而加速應稅收入。

And unlike GAAP, for taxable income, it requires a fixed year yield and prepayment assumption at closing. It may not change over the life of the pool of the loan.

與 GAAP 不同的是，對於應稅收入，它要求在收盤時有固定的年度收益率和預付款假設。它可能不會在貸款池的整個生命週期內發生變化。

Right. Unless the loan goes away.

正確的。除非貸款消失。

Unless the loan goes away.

除非貸款消失。

Right. So it's unlike GAAP, where as borrowers take behavior expected life changes in tax, expected life doesn't change.

正確的。所以它與 GAAP 不同，在 GAAP 中，當借款人將行為預期壽命改變計入稅收時，預期壽命不會改變。

I got you. At some point, they all have to emerge, right? I mean at this point...

我接到你了。在某個時候，它們都必須出現，對嗎？我是說此時...

Yes, yes, yes. When both loans are gone, they're the same. When the borrower pays off, tax and GAAP are the same for that loan.

對對對。當兩筆貸款都沒有了，他們是一樣的。當借款人還清貸款時，該筆貸款的稅收和公認會計原則相同。

Right. Well, they're starting to get more velocity, right, it sounds like taxable income is going to -- absolutely. But taxable income should be moving up and we get more velocity, that sort of what...

正確的。好吧，他們開始獲得更快的速度，對，聽起來應稅收入將會 - 絕對。但是應稅收入應該會上升，我們會得到更快的速度，諸如此類……

So we thought starting in late '21, we started buying specifically low LTV, high absolute dollars of equity, nonperforming loans because we thought that recession was going to come and that would cause more delinquency and shorter duration. And you pick up discount faster, okay?

因此，我們認為從 21 世紀末開始，我們開始購買特別低的 LTV、高絕對股本美元、不良貸款，因為我們認為經濟衰退即將到來，這將導致更多的拖欠和更短的持續時間。而且你可以更快地獲得折扣，好嗎？

What we didn't anticipate is that so much HPA would change borrower behavior and cause them to pay their mortgage before their credit cards, their auto loans and their HELOCs. Because if you look historically, it's usually the other way around. You pay your revolvers first. So you've always maintained access to credit, and you pay your car loans so you have your right to work.

我們沒有預料到的是，如此多的 HPA 會改變借款人的行為，並導致他們在支付信用卡、汽車貸款和 HELOC 之前支付抵押貸款。因為如果你回顧歷史，通常情況恰恰相反。你先付你的左輪手槍。因此，您始終能夠獲得信貸，並支付汽車貸款，這樣您就有工作的權利。

And what we've seen in our borrowers is credit card delinquencies increased, HELOC delinquency has increased. Auto loan delinquencies has increased and mortgage delinquency is decreased.

我們在藉款人身上看到的是信用卡拖欠率增加，HELOC 拖欠率增加了。汽車貸款拖欠率增加，抵押貸款拖欠率下降。

Yes. We've seen that across the board and it's...

是的。我們已經全面看到了這一點，它是……

Yes, so our NPLs as a result have become extremely performing, which decreases taxable and decreases GAAP.

是的，因此我們的不良貸款表現非常出色，這減少了應稅收入並降低了 GAAP。

Right. And it should be the other way around. I sort of look forward to referring to growth here with the environment.

正確的。它應該是相反的。我有點期待在這裡提到環境的增長。

Yes, we're getting a lot of -- we think that commercial is going to be a significant opportunity. It's [brewing] right now. It's not completely here yet, but it's coming. You're starting to see it, and it's going to increase in velocity. I think that's pretty clear.

是的，我們得到了很多——我們認為商業將是一個重要的機會。現在正在[醞釀]。它還沒有完全到來，但它即將到來。你開始看到它，而且它的速度會加快。我認為這很清楚。

Certainly, a lot of the big investors like Starwood has made the same statement as some others. They, obviously, look at much bigger-type properties than we do. We like diversification in specific locations and things like that. But there's going to be significant opportunities sent to commercial, we think, as well as in MSRs. We're working with a bunch of MSR funds about joint venturing on MSRs and have regularly be the sub-servicer in MSR.

當然，許多像喜達屋這樣的大投資者也發表了與其他一些人相同的聲明。顯然，他們看的是比我們大得多的類型的屬性。我們喜歡特定地點的多元化等等。但我們認為，將有大量機會用於商業，以及 MSR。我們正在與一群 MSR 基金合作，共同投資 MSR，並定期成為 MSR 的子服務商。

And on those, you don't have to really put any capital up, right? A lot of that is just the third party, right? And you guys get to think -- is that how to think about that?

在這些上，你不需要真正投入任何資金，對吧？很多只是第三方，對吧？你們開始思考 - 這是如何思考的？

Right. And those -- the third party would be 95%.

正確的。而那些——第三方將是 95%。

Wow. That could be incredible in terms of the accretion to Ajax.

哇。就 Ajax 的增長而言，這可能是不可思議的。

Yes. Yes, and to the kind of forward market value of Gregory as well.

是的。是的，還有格雷戈里的那種遠期市場價值。

Right, which yields plus-20%.

是的，收益率為+20%。

Exactly right.

非常正確。

(Operator Instructions)

（操作員說明）

We'll hear from Eric Hagen, BTIG.

我們將聽到來自 BTIG 的埃里克·哈根 (Eric Hagen) 的意見。

Got a couple here. Just how are you thinking about the severity of losses in this environment versus, say, a year ago or even when rates mortgage spreads were tighter just in general? And how does that drive how aggressive you get, especially in the JV structures where it sounds like you'll be maybe the most active. Hopefully, you can also talk about some of the sources of leverage in the JV structures. And then the second kind of question here, the warrants that you hold in the servicer. What are the conditions by which you think you'd exercise those warrants?

這裡有一對。您如何看待這種環境下損失的嚴重性，例如，一年前，甚至在一般情況下利率抵押貸款利差收緊時？這又是如何推動你變得更具侵略性的，尤其是在聽起來你可能是最活躍的合資企業結構中。希望您也可以談談 JV 結構中的一些槓桿來源。然後是第二種問題，您在服務商中持有的認股權證。您認為行使這些認股權證的條件是什麼？

Okay. So let me answer the last one first because that's the simplest. The warrants are based on valuations so you would exercise them in a monetization event or in case of a special dividend.

好的。所以讓我先回答最後一個，因為這是最簡單的。認股權證基於估值，因此您可以在貨幣化事件或特別股息的情況下行使它們。

For kind of loss severities. In residential land for our portfolio, we tend to buy plus 50%-plus discounts to market that -- property market value. And we tend to like having, at least, $130,000 of equity on average. A minimum kind of target equity dollars amounts of equity. So that if you have a 20% across-the-board decline in home prices, and if you add 100% defaults of our portfolio, I would actually increase unlevered yields by 350 to 400 basis points in our portfolio because of duration changes. Because for most of our portfolio, a default is a prepayment part, actually par plus [coverage].

對於某種損失嚴重性。在我們投資組合的住宅用地中，我們傾向於購買比市場價值高 50% 以上的折扣——房地產市場價值。我們傾向於平均擁有至少 130,000 美元的股權。一種最低種類的目標股權美元金額的股權。因此，如果房價全面下跌 20%，並且如果您將我們的投資組合 100% 違約，那麼由於久期的變化，我實際上會將我們投資組合的無槓桿收益率提高 350 至 400 個基點。因為對於我們的大部分投資組合而言，違約是預付款部分，實際上是面值加上 [coverage]。

The bigger risk, I think, in residential is much newer. We've seen a number of pools of loans, of what I'll call newer origination, where they're kind of 80 LTVs. But when we look at the properties, we really think the kind of 90, 92 LTVs. And we think that there's more delinquency -- there's more loss severity risk in those than there is in kind of the things we own.

我認為住宅中更大的風險要新得多。我們已經看到了一些貸款池，我稱之為較新的貸款，它們大約有 80 個 LTV。但是當我們看屬性時，我們真的會想到 90、92 LTV 的那種。而且我們認為有更多的拖欠——與我們擁有的東西相比，這些東西的損失嚴重性風險更大。

We've been somewhat hesitant to be out buying kind of brand new kind of push the envelope AV LTV alter-the-document, stuff and things like that, just because we think there is going to be some increase in loss severity for newer versus older loans that have had the benefit of HPA.

我們一直有點猶豫要不要購買一種全新的、突破極限的 AV LTV 修改文件之類的東西，只是因為我們認為新的和新的相比損失嚴重程度會有所增加受益於 HPA 的舊貸款。

On the commercial side, we think there's going to be significant loss severity in the commercial side and that loans are going to have to trade at material discounts. We're, obviously, very focused on buying things to property value, and we have a kind of fundamental rule is that you have to buy the loan at a discount to what you'd be willing to buy the property at on the commercial portfolio.

在商業方面，我們認為商業方面將出現嚴重的損失，貸款將不得不以重大折扣進行交易。顯然，我們非常專注於購買符合房產價值的東西，我們有一條基本規則，就是你必須以低於你願意在商業投資組合中購買房產的價格購買貸款.

Because one thing that you don't have in commercial to the extent that you have in residential is in the foreclosure in residential, there's a lot of single-family rental buyers that buy in foreclosure sales, especially moms and pops that buy foreclosure sales. You don't have moms and pops doing that in commercial land and you don't have moms and pops in $20 million office land. So that's going to have to be more institutional, and it's less predictable and less liquid. And so it creates a little bit more severity.

因為你在住宅中沒有的一件事是住宅的止贖，所以有很多單戶租賃買家購買止贖銷售，尤其是購買止贖銷售的媽媽和流行音樂。在商業用地上，您沒有媽媽和流行音樂，在價值 2000 萬美元的辦公用地上也沒有媽媽和流行音樂。所以這將必須更加製度化，而且它更不可預測，流動性也更差。因此，它會產生更多的嚴重性。

So from an opportunity set, we like it, because the more thinking it requires you to do, the more opportunity there is and the less liquidity there is, the more opportunity there is in the going inside. In residential land, we're -- we kind of want to wait for it to melt a little bit before we get too involved.

所以從一個機會集中，我們喜歡它，因為它需要你做的思考越多，機會就越多，流動性越少，進入內部的機會就越多。在住宅用地上，我們有點想等它融化一點，然後再介入。

And everyone, at this time, there are no further questions. I'll hand things back to our speakers for any additional or closing remarks.

而各位，這個時候，也沒有其他的問題了。我會把事情交還給我們的演講者，以徵求任何補充或結束語。

Thank you, everybody, for joining us for our first quarter presentation. I apologize for being the same time as Apple's call, but feel free to reach out if you have questions. And look forward to talking to you over the next few weeks, best regards.

謝謝大家參加我們第一季度的演講。很抱歉與 Apple 通話時間相同，但如果您有任何疑問，請隨時聯繫我們。期待在接下來的幾週內與您交談，致以最誠摯的問候。

Once again, everyone, that does conclude today's conference. Thank you all for your participation. You may now disconnect.

各位，今天的會議到此結束。謝謝大家的參與。您現在可以斷開連接。