AG Mortgage Investment Trust Inc (MITT) 2023 Q3 法說會逐字稿

Good day, and thank you for standing by. Welcome to the AG Mortgage Trust third quarter 2023 earnings conference call. (Operator Instructions) Please be advised that today's conference is being recorded. (Operator Instructions)

美好的一天，感謝您的支持。歡迎參加 AG Mortgage Trust 2023 年第三季財報電話會議。 （操作員指示）請注意，今天的會議正在錄製中。 （操作員說明）

I'd now like to turn the call over to Jenny Neslin, General Counsel for the company. Please go ahead.

我現在想將電話轉給公司總法律顧問珍妮‧內斯林 (Jenny Neslin)。請繼續。

Thank you. Good afternoon, everyone, and welcome to the third quarter 2023 earnings call for AG Mortgage Investment Trust.

謝謝。大家下午好，歡迎參加 AG 抵押投資信託公司 2023 年第三季財報電話會議。

With me on the call today are T.J. Durkin, our CEO and President; Nick Smith, our Chief Investment Officer; and Anthony Rossiello, our Chief Financial Officer.

今天和我一起參加電話會議的是 T.J. Durkin，我們的執行長兼總裁；尼克‧史密斯，我們的首席投資長；和我們的財務長 Anthony Rossiello。

Before we begin, please note that the information discussed in today's call may contain forward-looking statements.

在我們開始之前，請注意，今天的電話會議中討論的資訊可能包含前瞻性陳述。

Any forward looking statements made during today's call are subject to certain risks and uncertainties which are outlined in our SEC filings, including under the heading cautionary statement regarding forward-looking statements, risk factors and management's discussion and analysis.

今天電話會議期間所做的任何前瞻性陳述都受到我們向美國證券交易委員會提交的文件中概述的某些風險和不確定性的影響，包括有關前瞻性陳述、風險因素以及管理層討論和分析的警告聲明標題下的風險和不確定性。

The company's actual results may differ materially from these statements. We encourage you to read the disclosure regarding forward-looking statements contained in our SEC filings, including our most recently filed Form 10-K for the year ended December 31, 2022, our quarterly report on Form 10-Q for the quarter ended June 30, 2023, and our subsequent reports filed from time to time with the SEC.

公司的實際結果可能與這些陳述有重大差異。我們鼓勵您閱讀我們向SEC 提交的文件中包含的有關前瞻性陳述的披露信息，包括我們最近提交的截至2022 年12 月31 日的年度10-K 表格、截至6 月30 日的季度的10- Q 表格季度報告，2023 年，以及我們不時向 SEC 提交的後續報告。

Except as required by law, we are not obligated and do not intend to update or to review or revise any forward-looking statements, whether as a result of new information, future events or otherwise.

除法律要求外，我們沒有義務也不打算更新或審查或修改任何前瞻性陳述，無論是由於新資訊、未來事件或其他原因。

During this call today, we will refer to certain non-GAAP financial measures. Please refer to our SEC filings for reconciliations to the most comparable GAAP measures.

在今天的電話會議中，我們將提及某些非公認會計準則財務指標。請參閱我們向 SEC 提交的文件，以了解與最具可比性的 GAAP 衡量標準的對帳情況。

We will also reference the earnings presentation posted to our website this morning. To view the slide presentation turn to our website, www.agmit.com, and click on the link for the Q3 2023 earnings presentation on the homepage.

我們也將參考今天早上發佈在我們網站上的收益報告。要查看幻燈片演示文稿，請訪問我們的網站 www.agmit.com，然後單擊主頁上 2023 年第三季度收益演示文稿的連結。

Again, welcome to the call, and thank you for joining us today. With that, I'd like to turn the call over to T.J.

再次歡迎您致電，並感謝您今天加入我們。說到這裡，我想把電話轉給 T.J.

Thank you, Jenny, and good afternoon, everyone. The third quarter continued to be a challenging one for fixed income and mortgage markets. And I'm extremely happy with how MITT performed in what was a busy quarter for the team.

謝謝你，珍妮，大家下午好。對於固定收益和抵押貸款市場來說，第三季仍然充滿挑戰。我對 MITT 在團隊繁忙的季度中的表現感到非常滿意。

I think the team did a great job of protecting book value again as we have over the past few quarters, with a modest drop in adjusted book value of just $0.14 from $11.52 per share in June to $11.38, before factoring in one-time transaction related expenses of $7.6 million, driving adjusted book value to an even $11 per share as of quarter end.

我認為該團隊在保護帳面價值方面再次做得很好，就像我們在過去幾季所做的那樣，在考慮一次性交易相關因素之前，調整後的帳面價值僅小幅下降0.14 美元，從6月的每股11.52 美元降至11.38 美元。760 萬美元的支出，使得截至季度末調整後的每股帳面價值達到 11 美元。

During the quarter, MITT generated $0.10 of EAD and paid its $0.18 dividend. We are reporting a $0.33 loss, again, mainly driven by one-time transaction expenses as well as the valuation adjustment at Arc Home, which Anthony will walk through in more detail.

本季度，MITT 產生了 0.10 美元的 EAD 並支付了 0.18 美元的股息。我們再次報告虧損 0.33 美元，主要是由於一次性交易費用以及 Arc Home 的估值調整所致，安東尼將更詳細地介紹這一點。

As we've discussed in prior calls, our prudent and disciplined securitization strategy is beginning to evidence itself in our earnings power. The EAD improvement quarter over quarter reflects a combination of higher NIM off of our investment portfolio and related hedging strategy as well as improving fundamentals at Arc Home.

正如我們在先前的電話會議中所討論的那樣，我們審慎且嚴格的證券化策略已開始在我們的盈利能力中得到證明。 EAD 環比改善反映了我們的投資組合和相關對沖策略的較高淨利差以及 Arc Home 基本面的改善。

During the third quarter, we remained disciplined completing two securitizations, which lowered our economic leverage to 1.2 times from 1.6 times, and have ample liquidity of almost $119 million to end the quarter.

第三季度，我們仍然有紀律地完成了兩項證券化，這將我們的經濟槓桿從 1.6 倍降至 1.2 倍，並在本季末擁有近 1.19 億美元的充足流動性。

As I stated last quarter, we continued to see an environment with higher ROEs based on some competition retreating and opportunities that we believe are just beginning to present themselves, given the lingering effects of the disruption amongst the regional bank balance sheets.

正如我上季度所說，鑑於區域銀行資產負債表混亂的揮之不去的影響，我們繼續看到基於一些競爭退卻而帶來的淨資產收益率較高的環境，以及我們認為剛剛開始出現的機會。

Finally, to address the WMC merger, we are happy to report our shareholders who voted today were successful in approving the merger.

最後，為了解決 WMC 合併問題，我們很高興地報告今天投票的股東成功批准了合併。

Meanwhile, as you maybe aware WMC has adjourned the shareholders' meeting due to a lack of quorum and is still in process of obtaining the required shareholder approval.

同時，正如您可能知道的那樣，WMC 由於缺乏法定人數而推遲了股東大會，並且仍在獲得所需的股東批准。

The WMC Board continues to unanimously recommend that WMC stockholders approved the transaction, and we will continue to work with them towards successfully completing the merger. The transaction is still expected to close during the fourth quarter.

WMC 董事會繼續一致建議 WMC 股東批准此項交易，我們將繼續與他們合作，以成功完成合併。該交易預計仍將在第四季完成。

Now as we head into the fourth quarter and 2024, I believe we have taken material actions to help improve the profitability of MITT for the future through the strategic merger with WMC to gain scale efficiencies, along with our focus on improving Arc Home's volumes and profitability through management changes, which we believe is now complete with Arc Home's recent addition of Brian Devlin as its new incoming President, and will become Arc Home's CEO.

現在，隨著我們進入第四季度和2024 年，我相信我們已採取重大行動，透過與WMC 的策略合併來提高規模效率，並專注於提高Arc Home 的銷量和盈利能力，從而幫助提高MITT 未來的盈利能力透過管理層變動，我們相信隨著 Arc Home 最近任命布萊恩·德夫林 (Brian Devlin) 擔任新任總裁，這一變動現已完成，並將成為 Arc Home 的首席執行官。

With more than two decades of diverse mortgage industry experience, Brian's extensive background in product development, capital markets, and the non-agency space positions him as the ideal leader to steer Arc Home during its next phase of growth. The Arc Home team is very excited for what lies ahead.

Brian 擁有二十多年的多元化抵押貸款行業經驗，在產品開發、資本市場和非代理領域的廣泛背景使他成為引導 Arc Home 下一階段成長的理想領導者。 Arc Home 團隊對未來的發展感到非常興奮。

I'll now turn it over to Nick to discuss our investment activities and Arc Home in more detail.

現在我將把它交給尼克，更詳細地討論我們的投資活動和 Arc Home。

Thanks, T.J. Before considering transaction expenses associated with the WMC merger and the two loan securitizations executed during the quarter, our book value was down approximately 1.2%. Having the benefit of most mortgage REITs reporting already, MITT's results represent a significant outperformance on a relative basis. While the third quarter presented similar challenges as past quarters, residential credit spreads were resilient relative to their more liquid counterparts such as Agency RMBS.

謝謝，T.J.在考慮與 WMC 合併和本季執行的兩項貸款證券化相關的交易費用之前，我們的帳面價值下降了約 1.2%。受益於大多數抵押房地產投資信託基金的報告，MITT 的表現在相對基礎上表現出顯著的優異表現。儘管第三季面臨與過去幾季類似的挑戰，但住宅信貸利差相對於機構 RMBS 等流動性更強的信貸利差具有彈性。

This combined with MITT's modest economic leverage resulted in comparatively better performance. During the third quarter, we securitized nearly $0.75 billion of residential whole loans across two transactions and attractive costs of funds while selling out a significant portion for Agency RMBS exposure.

這與 MITT 適度的經濟槓桿相結合，帶來了相對較好的表現。第三季度，我們透過兩筆交易和有吸引力的資金成本將近 7.5 億美元的住宅整體貸款證券化，同時出售了很大一部分機構 RMBS 敞口。

Along with this activity, we also sold certain non-agency loans and legacy credit-sensitive loans, generating capital we can deploy in our target asset classes.

除了這項活動之外，我們還出售了某些非機構貸款和傳統信用敏感貸款，產生了我們可以部署在目標資產類別中的資本。

This activity decreased economic leverage to approximately 1.2 times, the lowest in over two years after pivoting to our securitization strategy in 2021. In the previous quarters prepared remarks, we have emphasized that we would appropriately size the aggregation risk based on current and expected market conditions.

這項活動將經濟槓桿降低至約1.2 倍，這是自2021 年轉向我們的證券化策略以來兩年多來的最低水平。在前幾個季度準備的言論中，我們強調我們將根據當前和預期的市場狀況適當調整聚合風險。

Although bond market volatility is well off highs of recent quarters, we expect it to remain elevated given the massive buildup in rich countries' public debts, the unwinding of quantitative easing, along with significant economic uncertainty and geopolitical risk.

儘管債券市場波動性遠低於最近幾季的高點，但考慮到富裕國家公共債務的大量累積、量化寬鬆政策的退出以及重大的經濟不確定性和地緣政治風險，我們預期債券市場波動性仍將維持在較高水準。

Given this uncertainty, we continue to manage the balance sheet to modest levels of leverage while remaining focused on credit. While residential mortgage credit fundamentals and technicals remained resilient, creating a backdrop for this quarter's relative outperformance, we have not and will not widen our credit box to combat origination volumes, even as we face three- to four-decade lows in existing home sales and housing affordability, along with multi-decade highs in mortgage rates. Instead, we're focused on items we can control.

鑑於這種不確定性，我們繼續將資產負債表控制在適度的槓桿水平，同時繼續關注信貸。雖然住宅抵押貸款信貸基本面和技術面仍然具有彈性，為本季的相對優異表現創造了背景，但我們沒有也不會擴大信貸範圍以打擊發放量，即使我們面臨著三到四年來的現有房屋銷售和貸款低點。房屋負擔能力，以及數十年來的抵押貸款利率高點。相反，我們專注於我們可以控制的項目。

Third quarter funding volumes at Arc Home of approximately $530 million were 225% of the first quarter's volumes. When normalizing this versus aggregate mortgage originations reported by the MBA, this represents an approximately 67% increase in market share relative to the overall market.

Arc Home 第三季的融資額約為 5.3 億美元，是第一季融資額的 225%。當將此與 MBA 報告的抵押貸款發放總額進行標準化時，這意味著市場份額相對於整個市場增加了約 67%。

These gains have been made largely by taking market share from other wholesale non-agency focused originators, along with significant growth in other channels as large and medium-sized retail originators have adopted non-agency products to offset agency production declines.

這些收益主要是透過從其他以批發為主的非代理發起者那裡奪取市場份額以及其他通路的顯著增長來實現的，因為大中型零售發起者採用非代理產品來抵消代理產量的下降。

Although we expect origination margins to remain compressed, we do expect modest gains in the coming quarters. These gains, along with continued growth, puts Arc Home on a path to become profitable in the coming quarters. We acknowledge this is behind schedule, but it's worth noting that the original projections were estimated based upon more favorable economic backdrop that has been realized.

儘管我們預計起始利潤率仍將受到壓縮，但我們確實預計未來幾季將出現適度成長。這些收益以及持續成長使 Arc Home 走上了未來幾季實現盈利的道路。我們承認這已經落後於計劃，但值得注意的是，最初的預測是根據已實現的更有利的經濟背景估算的。

Moving on to our portfolio. Earlier in our prepared remarks, we reiterated our commitment to maintaining prudent underwriting standards even as many competitors have not. We believe that because of this discipline, MITT's existing exposure continues to significantly outperform the original underwriting.

繼續我們的投資組合。早些時候，在我們準備好的發言中，我們重申了我們對維持審慎承保標準的承諾，儘管許多競爭對手沒有這樣做。我們相信，由於這項紀律，MITT 現有的風險敞口繼續顯著優於最初的承保。

As you can see on page 9, the delinquency of the aggregate exposure of the securitized and non-securitized portfolio is only approximately 1%. This strong credit performance combined with ample liquidity for reinvestment and attractive yields and obtaining term debt prior to the move to significantly higher rates is the foundation on which the earnings power of the company is built on.

正如您在第 9 頁上看到的，證券化和非證券化投資組合的總風險敞口的拖欠率僅為約 1%。強勁的信用表現，加上充足的再投資流動性和有吸引力的收益率，以及在利率大幅提高之前獲得定期債務，是公司盈利能力的基礎。

I will now turn the call over to Anthony.

我現在將把電話轉給安東尼。

Thank you, Nick. Good afternoon. The notable themes of MITT's third quarter includes stable book value performance, improvement in EAD, an increase in purchase and securitization activity, while also transacting strategic sales of certain assets, and our continued progress towards closing our merger with WMC.

謝謝你，尼克。午安. MITT 第三季的顯著主題包括穩定的帳面價值表現、EAD 的改善、購買和證券化活動的增加，同時也進行某些資產的策略性銷售，以及我們在完成與 WMC 合併方面的持續進展。

During the third quarter, the company recorded book value of $11.37 per share and adjusted book value of $11 per share. This represents a decrease of 4.5% from prior quarter. However, the decline in book value this quarter was primarily driven by transaction-related expenses.

第三季度，該公司每股帳面價值為 11.37 美元，調整後帳面價值為每股 11 美元。這比上一季下降了 4.5%。然而，本季帳面價值的下降主要是由交易相關費用所推動的。

During the quarter, MITT incurred $4.9 million of expenses related to the pending merger with WMC, along with $2.7 million of upfront expenses recorded in connection with two securitizations. In aggregate, these transaction expenses accounted for approximately 3.3% of the book value decline.

本季度，MITT 因與 WMC 即將進行的合併而產生了 490 萬美元的費用，以及與兩項證券化相關的前期費用 270 萬美元。總的來說，這些交易費用約佔帳面價值下降的3.3%。

On the income side, we recognized a GAAP net loss available to common shareholders of approximately $6.8 million, or $0.33 per fully diluted share, which again is largely driven by $7.6 million or $0.38 of transaction-related expenses.

在收入方面，我們確認普通股股東可獲得的GAAP 淨虧損約為680 萬美元，即每股完全攤薄後的每股0.33 美元，這又主要是由760 萬美元或0.38 美元的交易相關費用造成的。

When evaluating our performance exclusive of the impact of transaction-related expenses, we experienced continued improvement in earnings available for distribution and mark-to-market losses on our investment portfolio were largely offset by gains on our securitized debt and interest rate swaps.

在評估我們的績效（不包括交易相關費用的影響）時，我們發現可供分配的收益持續改善，我們的投資組合按市值計價的損失在很大程度上被我們的證券化債務和利率掉期的收益所抵銷。

Our book value performance is also reflective of a reduction in the fair value of our investment in Arc Home as we reduce the valuation multiple from 0.94 of book to 0.89 of book. This reduction resulted in an unrealized mark-to-market loss of $1.9 million to MITT or a decline in book value of approximately 1%.

我們的帳面價值表現也反映了我們對 Arc Home 的投資公允價值的下降，因為我們將估值倍數從帳面價值的 0.94 降低到帳面價值的 0.89。這一減少導致 MITT 未實現的以市值計價損失 190 萬美元，或帳面價值下降約 1%。

Our investment portfolio increased 5% quarter over quarter to $4.7 billion, driven by loan purchases of approximately $700 million. We were also active in the securitization market this quarter securitizing approximately $725 million of EAD.

在約 7 億美元貸款購買的推動下，我們的投資組合環比成長 5%，達到 47 億美元。本季我們也活躍於證券化市場，將約 7.25 億美元的 EAD 進行了證券化。

In addition, we sold approximately $149 million of Agency RMBS, $74 million of non-agency loans, and $69 million of legacy reperforming loans, which returned capital for reinvestment.

此外，我們還出售了約 1.49 億美元的機構 RMBS、7,400 萬美元的非機構貸款以及 6,900 萬美元的遺留再履行貸款，這些貸款返還了用於再投資的資本。

As a result of these securitizations and asset sales, our financing profile also improved with 87% of our financing funded through securitization at a weighted average cost of 4.7%. Our economic leverage ratio at quarter end was 1.2 turns, of which 0.9 turns related to our credit portfolio and 0.3 to our Agency RMBS portfolio.

由於這些證券化和資產出售，我們的融資狀況也得到改善，87%的融資是透過證券化提供的，加權平均成本為4.7%。季度末我們的經濟槓桿率為 1.2 倍，其中 0.9 倍與我們的信貸投資組合相關，0.3 倍與我們的代理 RMBS 投資組合相關。

In addition, we ended the quarter with approximately $1.9 billion of borrowing capacity to support continued growth in our portfolio. We generated earnings available for distribution or EAD of $0.10 per share for the third quarter.

此外，本季結束時，我們的借貸能力約為 19 億美元，以支持我們投資組合的持續成長。第三季我們產生了每股 0.10 美元的可供分配或 EAD 的收益。

Net interest income, inclusive of interest earned on our hedge portfolio, was $0.74 per share, which is $0.01 higher from prior quarter.

淨利息收入（包括我們對沖投資組合賺取的利息）為每股 0.74 美元，比上一季高 0.01 美元。

Net interest income exceeded operating expenses and our preferred dividends generating earnings of $0.17 per share. This was offset by a loss of $0.07 contributed from Arc Home. However, Arc Home's contribution to EAD improved by $0.02 quarter over quarter when excluding the impact of gains recorded by Arc Home's loans sold to MITT.

淨利息收入超過營運費用和優先股股息，產生每股 0.17 美元的收益。 Arc Home 貢獻的 0.07 美元損失抵消了這一損失。然而，如果排除 Arc Home 出售給 MITT 的貸款所記錄的收益影響，Arc Home 對 EAD 的貢獻比上一季提高了 0.02 美元。

Lastly, as of September 30, our total liquidity approximated $119 million of cash, and we continue to deploy this capital into our target assets to post quarter end.

最後，截至 9 月 30 日，我們的總流動資金約為 1.19 億美元現金，我們將繼續將這筆資金部署到我們的目標資產中，直到季度末。

This concludes our prepared remarks, and we'd now like to open the call for questions.

我們準備好的發言到此結束，現在我們開始提問。

(Operator Instructions) Trevor Cranston, JMP Securities.

（操作員指示）Trevor Cranston，JMP 證券。

Hey, thanks. Can you guys talk a little bit about the yield and return profile of the loans that you strategically sold during the quarter?

嘿，謝謝。你們能談談你們在本季策略性出售的貸款的收益率和回報情況嗎？

And then as a second part of the question, as you're looking at new investments, can you talk about the supply of loans you're seeing available, and if there's been any additional supply coming in of banks looking to get ahead of regulatory changes? Thanks.

然後，作為問題的第二部分，當您正在考慮新的投資時，您能否談談您所看到的可用貸款的供應情況，以及銀行是否有任何額外的供應進來，以領先於監管機構變化？謝謝。

Yes, certainly. Thanks, Trevor. This is Nick. On the loans we sold, as Anthony mentioned, some of the loans we sold were credit-sensitive loans from legacy positions where the thesis of the original investment have very much played out. The debt was inefficient in our balance sheet.

是的，當然了。謝謝，特雷弗。這是尼克。正如安東尼所提到的，在我們出售的貸款中，我們出售的一些貸款是來自遺留頭寸的信用敏感型貸款，這些遺留頭寸已經在很大程度上發揮了原始投資的作用。我們的資產負債表中的債務效率低。

For the loans that are part of our targeted asset class, there has been a narrative that others have spoken about as well of there being strong real money bids for these insofar as we can sell assets at levels through where our equity -- target equity returns are, we will evaluate that, and oftentimes, execute on that.

對於屬於我們目標資產類別一部分的貸款，其他人也談到過這樣一種說法，即只要我們可以按照我們的股本目標股本回報率的水平出售資產，就會對這些貸款進行強勁的真實貨幣出價。是的，我們會對此進行評估，並且通常會據此執行。

With regard to your second question, I believe that's very much an evolving story that Wall Street Journal and others have picked up on as recently as today. We are seeing additional opportunities there. I think it's in its early stages and we're paying close attention to it.

關於你的第二個問題，我認為這是一個不斷演變的故事，《華爾街日報》和其他媒體直到今天才注意到這一點。我們在那裡看到了更多的機會。我認為它還處於早期階段，我們正在密切關注它。

I think some of the folks that have pounded the table saying it's such an amazing opportunity or maybe a little bit ahead of it, but we are expecting that to become more meaningful.

我想有些人拍桌子說這是一個令人驚嘆的機會，或者可能有點超前，但我們希望這變得更有意義。

And we continue to see ROEs in the, call it, mid to high teens after deploying, call it, a turn of less of leverage on our approximately 0% to 5% or 0% to 10% retained interests.

在部署之後，我們繼續看到 ROE 處於中高位，這意味著我們大約 0% 到 5% 或 0% 到 10% 的保留權益的槓桿率降低了。

Got it. Okay. And on the transaction expenses related to the merger, are you expecting any additional expenses to flow through in the fourth quarter? Or was that solely a third quarter event?

知道了。好的。關於與合併相關的交易費用，您預計第四季會產生額外的費用嗎？或者這只是第三季的事件？

Hey, Trevor. It's Anthony. Yes, so the expenses that came through this quarter are the bulk of it. On the mid side, we have about another $1.1 million that we're expecting to come through in the fourth quarter.

嘿，特雷弗。是安東尼。是的，所以本季的支出佔了大部分。中期而言，我們預計第四季將獲得約 110 萬美元的收入。

And then obviously, there's -- when you think about the total transaction expenses, there's the termination fee, which is on the other side of the house.

顯然，當你考慮總交易費用時，就會有終止費，它位於房子的另一邊。

Okay. Appreciate the colour. Thank you.

好的。欣賞顏色。謝謝。

Bose George, KBW.

博斯·喬治，KBW。

Hey, good afternoon. I just got a follow-up to that in terms of deploying new capital. I guess you showed you've got $119 million of cash. How should we think about the timeline for deploying that? And how much of a cash cushion do you want to keep?

嘿，下午好。我剛剛得到了部署新資本的後續進展。我想你已經證明你有 1.19 億美元的現金。我們應該如何考慮部署它的時間表？您想保留多少現金緩衝？

On the cash cushion side, we closely monitor reserves based upon our internal risk models. On the cash deployment side, that leaves us probably, call it, $40 million-ish to spend where we're looking today relative to that reserve, but that reserve obviously moves over time relative to the repositioning of assets. So I wouldn't say that that's a hard number certainly that can evolve over time as we rotate the portfolio.

在現金緩衝方面，我們根據內部風險模型密切監控儲備。在現金部署方面，相對於該儲備金，我們可能可以稱之為 4000 萬美元左右的支出，但該儲備金顯然會隨著時間的推移而相對於資產的重新定位而變化。所以我不會說這是一個硬性數字，隨著我們輪換投資組合，這個數字肯定會隨著時間的推移而改變。

So just because the $40 million is what's available to invest or after the cash cushion?

那麼僅僅因為這 4000 萬美元是可用於投資的，還是在現金緩衝之後呢？

Yeah, versus approximately where we size risk reserves today. That being said, over time, risk reserves can move around, and we can rotate the portfolio.

是的，與我們今天的風險準備金規模大致相當。話雖這麼說，隨著時間的推移，風險儲備可以移動，我們可以輪換投資組合。

Okay. And so, if we take that and deploy that to the ROE that you've got there, the 17%, and then run your expense ratio through there, do you feel like you guys can get to a double-digit return with the scale? I guess you'll have some benefit from Western in terms of taking the cost base down. But so where do you kind of -- and after all that's kind of in the numbers, do you get to a double-digit ROE?

好的。因此，如果我們將其部署到您所獲得的 ROE（17％），然後將您的費用率計算到那裡，您是否認為您可以透過規模獲得兩位數的回報？我想在降低成本方面你會從西方公司得到一些好處。但是，畢竟從數字上看，你的 ROE 能達到兩位數嗎？

Yeah. So Bose, I think the way we're breaking it up premerger is I think the investment portfolio with the associated hedges is getting to that double-digit return. Arc Home's ROE, if you bifurcated the balance sheet or the equity, has been the drag.

是的。所以，Bose，我認為我們在合併前打破這種局面的方式是，我認為具有相關對沖的投資組合正在獲得兩位數的回報。如果將資產負債表或股本一分為二，Arc Home 的股本報酬率一直是拖累。

And so that's why I think the investment portfolio, if you look back over the last, call it, four to eight quarters, I think has done really well considering the market conditions. And I think we've really got that part of the business humming. I think we've been focused over the last few quarters on really helping drive ROEs in that Arc Home part of the equity pie, if you will.

因此，這就是為什麼我認為投資組合，如果你回顧過去，稱之為四到八個季度，考慮到市場狀況，我認為投資組合做得非常好。我認為我們的這部分業務確實很活躍。我認為過去幾季我們一直致力於真正幫助提高 Arc Home 股權部分的 ROE（如果你願意的話）。

And then on a forward-looking basis pro forma, if the deal were to consummate as expected, we do get significant G&A savings, which we gave you a preview in that supplemental we published a month or two ago that's out there to give you a little bit more of a drill down on the G&A savings.

然後，在前瞻性的基礎上，如果交易按預期完成，我們確實會節省大量的一般行政費用，我們在一兩個月前發布的補充材料中為您提供了預覽，該補充材料可以為您提供進一步深入了解一般行政費用節省。

So the investment portfolio is doing good, I think. We need to get Arc Home ROEs up and then we're going to get G&A savings pro forma post-closing the deal.

所以我認為投資組合表現良好。我們需要提高 Arc Home 的股本回報率，然後我們將在交易結束後獲得一般行政費用節省。

Okay. Great. And then just one more on leverage, when should we see a normalized leverage, especially with the agency and the mix? How should we think about that number?

好的。偉大的。然後再問一個關於槓桿的問題，我們什麼時候應該看到槓桿正常化，特別是在機構和組合方面？我們該如何看待這個數字？

Yeah. I wouldn't think of having a lot of agency in the mix. So I think the way we're looking at, it really depends on where we are in that aggregation period.

是的。我不認為有太多的代理商參與其中。所以我認為我們的看待方式實際上取決於我們在那個聚合時期的位置。

So post securitization, as Nick just hit on, I think you can run that risk retention, if you will, or the routine subordinates at about one turn. And then again, depending where we are in ramping on the loan side that will be the arithmetic to look at the overall corporate leverage. So --

因此，在證券化之後，正如尼克剛剛提到的那樣，我認為如果你願意的話，你可以承擔保留風險，或者在大約一個回合內承擔常規下屬的風險。話又說回來，根據我們在貸款方面的進展情況，這將是衡量企業整體槓桿率的算術。所以 -

Okay. Great. Thanks.

好的。偉大的。謝謝。

(Operator Instructions) Matthew Erdner, JonesTrading.

（操作員指示）Matthew Erdner，JonesTrading。

Hey, guys. Thanks for taking the question. So WACC volume was real strong in the third quarter. Do you guys have any expectations just given the seasonality of what we should expect in terms of securitizations going forward through the winter?

大家好。感謝您提出問題。因此，第三季的 WACC 成交量確實強勁。鑑於我們對整個冬季證券化的季節性預期，你們有什麼期望嗎？

Yes. Good afternoon. So when we think about WACC volumes in this environment, more and more and more seasonality is a component of that. We would like to think that interest rates have had their full impact on volumes and that's been widely reported by the MBA and others.

是的。午安.因此，當我們考慮這種環境下的 WACC 數量時，越來越多的季節性因素是其中的一個組成部分。我們認為利率已經對交易量產生了全面的影響，MBA 和其他人已經廣泛報導了這一點。

So when you extrapolate that, the expectation is from a seasonality standpoint, where probably WACC volumes will decrease, commensurate with the industry as a whole. That being said, we have a healthy pipeline for deals going into the end of the year and early next year.

因此，當您進行推斷時，預期是從季節性角度來看，WACC 數量可能會減少，與整個行業相稱。話雖這麼說，我們有一個健康的交易管道，將持續到今年年底和明年初。

Great. Thanks. And then just as a follow-up to that, could you guys comment on the dividend for the fourth quarter, that $0.08 interim there? And then how should we think about that for 2024? Is it going to be a full re-evaluation or just the assumption that it's going back to $0.18 after the deal closes? Thanks.

偉大的。謝謝。作為後續行動，你們能否評論一下第四季度的股息，即 0.08 美元的中期股息？那麼對於 2024 年我們該如何思考呢？是全面重新評估還是只是假設交易結束後價格會回到 0.18 美元？謝謝。

Yes. I mean I think our EAD continues like quarter-over-quarter to kind of grow into that and then we'll look at the impact of the G&A savings into 2024. So it will be evaluated over time. But we're seeing progress in terms of the portfolio shifting more and more into that post-securitization leverage or financing.

是的。我的意思是，我認為我們的 EAD 會繼續逐季度增長，然後我們將研究 G&A 節省到 2024 年的影響。因此，它將隨著時間的推移進行評估。但我們看到投資組合越來越多地轉向後證券化槓桿或融資方面取得了進展。

And I think that's what's driving the EAD up towards $0.18 versus going the other way due to delevering like you might be seeing in the agency REITs, et cetera.

我認為這就是推動 EAD 上漲至 0.18 美元的原因，而不是因為去槓桿化而走向相反的方向，就像您在機構房地產投資信託基金等中看到的那樣。

All right. Thank you. There are no further questions in the queue at this time. So I'd like to turn the floor back over to our speakers for any additional or closing remarks.

好的。謝謝。目前隊列中沒有其他問題。因此，我想請我們的發言人發表補充或結束語。

Thank you to everyone for joining us for your questions. We very much appreciate it. Look forward to speaking with you again in the new year.

感謝大家加入我們並提出問題。我們非常感激。期待在新的一年裡再次與您交談。

Thank you, everyone. This does conclude today's call, and we appreciate your participation. You may disconnect at any time.

謝謝大家。今天的電話會議到此結束，我們感謝您的參與。您可以隨時斷開連線。