AG Mortgage Investment Trust Inc (MITT) 2024 Q3 法說會逐字稿

Good day and thank you for standing by. Welcome to the AG Mortgage Investment Trust Inc third quarter, 2024, 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 抵押投資信託公司 2024 年第三季收益電話會議。（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 morning, everyone and welcome to the third quarter 2024, earnings call for AG Mortgage Investment Trust. 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.

謝謝。大家早上好，歡迎來到 AG 抵押投資信託 2024 年第三季財報電話會議。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. 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 headings, cautionary statement regarding forward-looking statements, risk factors and management's discussion and analysis.

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。今天電話會議期間做出的任何前瞻性陳述都受到某些風險和不確定性的影響，這些風險和不確定性在我們的SEC 文件中概述，包括標題、有關前瞻性陳述的警告聲明、風險因素以及管理層的討論和分析。

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, 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前瞻性聲明的披露內容，包括我們最近提交的截至 2023 年 12 月 31 日的年度 10-K 表格，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. During the 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.

除法律要求外，我們沒有義務也無意更新、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。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 that was posted to our website this morning. To view this live presentation, turn to our website www.agmit.com and click on the link for the Q3 2024, earnings presentation on the home page. Again welcome to the call and thank you for joining us today.

我們也將參考今天早上發佈在我們網站上的收益報告。要觀看此現場演示，請訪問我們的網站 www.agmit.com，然後點擊主頁上 2024 年第三季收益演示的連結。再次歡迎您致電並感謝您今天加入我們。

With that I'd like to turn the call over to T.J.

我想將電話轉給 T.J.

Thank you, Jenny. I'm pleased to report our third quarter financials which shows our continued execution of the core business strategy.

謝謝你，珍妮。我很高興地報告我們第三季的財務狀況，這表明我們繼續執行核心業務策略。

Walking through its financial position. As of September 30, we saw book value move higher from $10.37 to $10.58 while paying our $0.19 dividend and producing a healthy economic return on equity of 3.9% for the quarter. With it being too early to give an estimate of October book value.

了解其財務狀況。截至 9 月 30 日，我們看到帳面價值從 10.37 美元上漲至 10.58 美元，同時支付了 0.19 美元的股息，並在本季度產生了 3.9% 的健康經濟股本回報率。現在估計 10 月的帳面價值還為時過早。

During the quarter, we earned $15.8 million of net interest income, $0.4 of earnings per share and $0.17 of EAD per share. The level of EAD for this quarter is largely driven by model assumptions of increased future prepayment speeds on our loan portfolio, given the large rate rally that occurred during the quarter.

本季度，我們獲得了 1,580 萬美元的淨利息收入、0.4 美元的每股盈餘和 0.17 美元的每股 EAD。鑑於本季發生的利率大幅上漲，本季的 EAD 水準主要是由我們貸款組合未來提前還款速度增加的模型假設所驅動的。

These prepayments have not been realized yet and given both the nonagency emphasis of our portfolio and the reversal in rates that has occurred in October. These may be conservative in terms of EAD.

鑑於我們投資組合的非機構重點以及 10 月發生的利率逆轉，這些預付款尚未實現。這些在 EAD 方面可能是保守的。

With regards to the balance sheet, we reduced leverage back to 1.5 turns during the quarter. As previously discussed, we issued approximately 100 million of investment grade unsecured bonds earlier this year in anticipation of the $86 million WMC convertible maturity date on September 16, which is now fully retired. Which also came down as we sold temporary holdings of agency RMBS to offset cash drag heading into the convertible note maturity.

在資產負債表方面，本季我們將槓桿率降低至 1.5 倍。如前所述，我們今年稍早發行了約 1 億張投資等級無擔保債券，預計 8,600 萬美元的 WMC 可轉換債券到期日為 9 月 16 日，該債券現已完全退役。當我們出售臨時持有的機構 RMBS 以抵消可轉換票據到期時的現金拖累時，這一數字也有所下降。

After accounting for this deleveraging, we ended the quarter with ample liquidity of approximately $120 million. MITT had another Act quarter issuing two agency eligible non owner occupied securitizations totaling approximately $750 million.

考慮到去槓桿化的影響，我們在本季結束時擁有約 1.2 億美元的充足流動性。麻省理工學院法案的另一個季度發行了兩項符合機構資格的非所有者佔用的證券化，總額約為 7.5 億美元。

We are sourcing this collateral from both Arc Home and some of the largest mortgage originators in the country. This quota is issuance further strengthened our market leading position in this compelling space where we are seeing credit outperform even prime Jumbo this year.

我們從 Arc Home 和國內一些最大的抵押貸款發起人那裡採購這種抵押品。這筆配額的發行進一步鞏固了我們在這個引人注目的領域的市場領先地位，我們看到今年信貸的表現甚至優於優質 Jumbo。

Another area we are excited about is the home equity space. As borrowers look to tap their growing home equity amounts while preserving their low 30 year fixed rate mortgage. We believe we are in the very early innings of this product becoming more mainstream for US consumers and Nick will go into further detail later in the call.

我們感到興奮的另一個領域是房屋淨值領域。借款人希望利用不斷增長的房屋淨值，同時保留 30 年期固定利率低抵押貸款。我們相信，我們正處於該產品成為美國消費者主流的早期階段，尼克將在稍後的電話會議中詳細介紹。

Wrapping up, we normally stay away from macro and certainly politics, but given it's election day, I'll make a few brief comments. Housing supply and affordability remain hot topics that all politicians like to pontificate on.

總結一下，我們通常會遠離宏觀經濟，當然也遠離政治，但考慮到今天是選舉日，我將發表一些簡短的評論。住房供應和負擔能力仍然是所有政客都喜歡談論的熱門話題。

Unfortunately, we see no silver bullet to solve the affordability or supply constraints facing the nation. On the positive side, tight mortgage credit and resilient home prices are positive for MITT's credit book and we believe the market is coalescing around this fact.

不幸的是，我們看不到解決國家面臨的負擔能力或供應限制的靈丹妙藥。從積極的一面來看，緊縮的抵押貸款信貸和有彈性的房價對 MITT 的信貸帳簿來說是積極的，我們相信市場正在圍繞這一事實進行整合。

With regards to Macro as displayed by this quarter's book value performance. We believe MITT is fundamentally less exposed to interest rate volatility than the average mortgage rate. While a steeper positively sloped yield curve would be supportive of earnings power. We believe Nick can still deliver strong results in this flat curve environment, as we all wait to see how the fed handles this soft landing economic scenario.

關於宏觀，如本季的帳面價值表現所示。我們認為，與平均抵押貸款利率相比，MITT 根本上受利率波動的影響較小。而更陡峭的正斜率殖利率曲線將支持獲利能力。我們相信尼克在這種平坦的曲線環境中仍然可以取得強勁的業績，因為我們都在等待聯準會如何處理這種經濟軟著陸的情況。

We'll now turn the call over to Nick.

我們現在將把電話轉給尼克。

Thank you. As T.J. just described. We had an active quarter which I will unpack in more detail and provide background on how we are thinking about future capital deployment.

謝謝。正如 T.J.剛剛描述過。我們度過了一個活躍的季度，我將對其進行更詳細的分析，並提供有關我們如何考慮未來資本部署的背景資訊。

We issued two more securitizations backed by agency eligible investor loans totaling approximately $750 million. We are currently the largest issuer in this space and expect to issue one or two more transactions before the end of the year.

我們又發行了兩筆證券化產品，由符合資格的機構投資者貸款支持，總額約 7.5 億美元。我們目前是該領域最大的發行人，預計在年底前再發行一到兩筆交易。

Recently, other reeds have announced that they intend to or have already entered this space. While we agree this sector is still attractive, we likely will commit less capital to it over the next few quarters. There are three primary reasons for this shift.

近期，其他蘆葦也宣布有意或已進入此領域。雖然我們同意這個行業仍然具有吸引力，但我們可能會在未來幾季向其投入更少的資本。這種轉變有三個主要原因。

First, Fannie and Freddie's mortgage home loan conduits often referred to as their cash windows are increasingly bidding through MBS execution. Second mortgage servicing rights valuations and third party origination channels are increasingly stretching. And lastly, we have seen increased competition from insurance companies and others in this space.

首先，房利美和房地美的抵押貸款管道（通常被稱為現金窗口）越來越多地透過 MBS 執行進行競標。第二抵押貸款服務權估值和第三方發起管道日益緊張。最後，我們看到保險公司和其他公司在這一領域的競爭日益激烈。

We closely watch these and other factors and we continue to commit capital accordingly. It is worth noting that none of this is necessarily new but is more a function of magnitude. That being said mid securitized agency eligible investor book has less delinquencies on a percentage basis than similar vintage [Non-Agency] prime Jumbo transactions.

我們密切注意這些因素和其他因素，並繼續相應地投入資金。值得注意的是，這些都不一定是新的，而更多的是數量級的函數。話雖這麼說，中期證券化機構合格投資者帳簿按百分比計算的拖欠率比類似的老式[非機構]優質巨額交易要少。

To put this in context, the major rating agency expected losses and corresponding credit enhancement is on average 2 times to 2.5 times more for agency eligible investor loans relative to the Non-Agency prime Jumbo sector. Said differently. Mixed retained investor credit positions have more than double the credit protection of comparably rated and more delinquent Prime Jumbo deals.

考慮到這一點，主要評級機構對機構合格投資者貸款的預期損失和相應的信用增強平均是非機構優質巨型行業的 2 倍至 2.5 倍。說法不同。混合保留投資者信用頭寸的信用保護是同等評級和拖欠較多的 Prime Jumbo 交易的兩倍多。

And while this probably goes without saying MITT's agency investor book has far superior convexity than prime Jumbo. Moving on to an exciting and attractive new opportunity that MITT began to pouring capital into Home Equity Loans.

雖然這可能是不言而喻的，但 MITT 的機構投資者帳簿的凸度遠優於 prime Jumbo。接下來是一個令人興奮且有吸引力的新機會，MITT 開始為房屋淨值貸款注入資金。

In the third quarter, we acquired approximately [150] million of Home Equity Loans and have committed to purchase another 200 million.

第三季度，我們獲得了約[1.5億]百萬的房屋淨值貸款，並承諾再購買2億。

This rapidly growing segment of the residential mortgage market has attracted a lot of press. This segment provides loans to homeowners that have accumulated equity in their properties for over the years, we are looking to borrow against it to fund home improvement and debt consolidation among many other uses.

住宅抵押貸款市場這一快速增長的部分吸引了許多媒體的注意。該部門向多年來積累了房產淨值的房主提供貸款，我們希望以此為抵押借款，為房屋裝修和債務合併以及許多其他用途提供資金。

Over the past 15 years, this segment was dominated by banks that use their low cost of capital to subsidize client acquisition for only the wealthiest households. In contrast today, the demand for home equity lending is much larger. With potentially interested borrowers made up of well qualified homeowners with significant equity and a sub 4.5% firstly mortgage.

在過去 15 年裡，這一領域由銀行主導，它們利用較低的資本成本僅為最富有的家庭提供客戶獲取補貼。相比之下，今天對房屋淨值貸款的需求要大得多。潛在感興趣的借款人由擁有大量股權和低於 4.5% 首次抵押貸款的合格房主組成。

Most borrowers in the US have COVID stimulus era, 30 year fixed rate mortgages, they are 2% to 4% lower than today's prevailing rates. We expect this cheap elongated financing combined with historic home price appreciation to be the primary drivers of demand in this segment.

美國的大多數借款人都擁有新冠刺激時代的 30 年期固定利率抵押貸款，比當今的現行利率低 2% 至 4%。我們預計這種廉價的長期融資加上歷史性的房價升值將成為該領域需求的主要驅動力。

We estimate the total addressable home equity lending market to be as much as 2 trillion, which we believe should result in annual loan originations of 200 billion to 300 billion.

我們估計可尋址房屋淨值貸款市場總額將高達 2 兆美元，我們認為這將導致每年發放 2,000 億至 3,000 億美元的貸款。

Well, this is a new and exciting opportunity. It is worth emphasizing that MITT's mortgage banking investment and asset management teams are leveraging the same technologies principles and expertise used over the years.

嗯，這是一個令人興奮的新機會。值得強調的是，MITT 的抵押貸款銀行投資和資產管理團隊正在利用多年來使用的相同技術原理和專業知識。

It is also worth highlighting the strong collateral characteristics of the current and target portfolio. These loans have been extended to well qualified borrowers with average credit scores in the mid 700s and have an average combined loan to value in the mid to high 60s.

也值得強調當前和目標投資組合的強大抵押品特徵。這些貸款已發放給平均信用評分在 700 多分左右、平均綜合貸款價值在 60​​ 多分左右的合格借款人。

We believe this segment offers a long term opportunity and that we will enjoy the benefits of being an early mover. We see ROEs in the 20s and expect us to be creative the EAD over the coming quarters and years.

我們相信這個細分市場提供了長期的機會，我們將享受成為先行者的好處。我們看到 ROE 在 20 多歲，並期望我們在未來幾季和幾年內對 EAD 進行創新。

Turning to Arc Home in conjunction with industry trends, Arc Home was profitable in September. Well, this is a move in the right direction, there remains a lot of room for improvement. And given the recent retracement in rates along with seasonality, there is reason to be cautious.

結合產業趨勢轉向Arc Home，9月Arc Home獲利。嗯，這是朝著正確方向邁出的一步，還有很大的進步空間。鑑於近期利率隨季節性回撤，我們有理由保持謹慎。

While Arc cannot control the path of rates. The executive leadership team continues to focus on scale efficiency and providing innovative products to the market. One potential significant area of growth for Arc Home lies in home equity lending.

而Arc無法控制利率的路徑。執行領導團隊持續專注於規模效率並為市場提供創新產品。Arc Home 潛在的重要成長領域之一是房屋淨值貸款。

Turning the call over to Anthony.

將電話轉給安東尼。

Thank you. Nick and Good morning. During the third quarter, MITT grew its book value through strong GAAP earnings, remained active in acquiring and securitizing agency eligible loans expanded our products sent into Home Equity Loans and paid off the convertible notes assumed from WMC.

謝謝。尼克和早安。第三季度，MITT 透過強勁的 GAAP 收益增加了其帳面價值，繼續積極收購和證券化符合資格的機構貸款，擴大了我們的房屋淨值貸款產品範圍，並還清了 WMC 承擔的可轉換票據。

One point of note, we've historically disclosed our book value both with and without the impact of the liquidation preference on our preferred stock and to simplify our reporting this quarter and going forward, we plan to solely report book value that has been adjusted for the liquidation preference.

值得注意的是，我們歷來都揭露了我們的帳面價值，無論有沒有清算優先權對我們的優先股的影響，為了簡化我們本季的報告，展望未來，我們計劃僅報告經過調整的帳面價值清算優先權。

Book value increased by approximately 2% this quarter to $10.58 per share. Producing a 3.9% economic return for our shareholders, when considering the $0.19 quarterly dividend. The increase in book value was primarily driven by hedge adjusted mark to market gains on our securitized loan and nonagency RMBS portfolios given the decline in benchmark rates and credit spread tightening experienced this quarter.

本季帳面價值成長約 2%，達到每股 10.58 美元。考慮到 0.19 美元的季度股息，我們為股東帶來了 3.9% 的經濟回報。帳面價值的成長主要是由於本季基準利率下降和信用利差收緊，我們的證券化貸款和非機構 RMBS 投資組合的對沖調整後的按市價計價收益推動的。

As a result, we recorded GAAP net income available to common shareholders of approximately $11.9 million or $0.4 per share. We generated EAD of $0.17 per share for the third quarter. Net interest income inclusive of our interest earned on our hedge portfolio was $0.61, which exceeded our operating expenses and preferred dividends of $0.42 generating earnings of $0.19 per share.

因此，我們向普通股股東提供的 GAAP 淨利潤約為 1,190 萬美元，即每股 0.4 美元。第三季我們產生每股 0.17 美元的 EAD。包括我們對沖投資組合賺取的利息在內的淨利息收入為 0.61 美元，超過了我們的營運費用和 0.42 美元的優先股股息，產生每股 0.19 美元的收益。

This is offset by a $0.02 loss contributed from Arc Home, which continued to improve quarter over quarter. And as a reminder, we record interest income based on effective yields derived from projected cash flows.

Arc Home 貢獻的 0.02 美元虧損抵消了這一損失，該公司季度環比持續改善。提醒一下，我們根據預期現金流得出的有效收益率來記錄利息收入。

And as T.J. mentioned earlier, net interest income decreased from prior quarter due to projecting an assumed increase in prepayment speeds on our residential loan portfolio given the rate move.

正如 T.J.前面提到，淨利息收入較上一季下降，因為考慮到利率變動，我們的住宅貸款組合的預付款速度預計會增加。

Our investment portfolio decreased slightly by approximately 1.4% to $6.8 billion. We remain active acquiring approximately $525 million of residential mortgage loans and $51 million of nonagency RMBS. However, this growth was offset by the sale of $543 million of agency RMBS and $160 million of loans.

我們的投資組合小幅下降約 1.4% 至 68 億美元。我們仍然積極收購約 5.25 億美元的住宅抵押貸款和 5,100 萬美元的非機構 RMBS。然而，這一增長被出售 5.43 億美元的機構 RMBS 和 1.6 億美元的貸款所抵消。

Our economic leverage ratio at quarter end was 1.5 turns which declined from 2.5 turns in June. As discussed last quarter, we invested excess cash from our bond issuances earlier in the year into Agency RMBS on a short term basis.

季末經濟槓桿率為1.5倍，較6月的2.5倍下降。正如上季所討論的，我們將今年稍早發行的債券中多餘的現金短期投資於機構 RMBS。

This portfolio was liquidated in September in connection with paying off the WMC convertible notes at maturity, decreasing our leverage by one turn. In addition, we've continued to prudently manage our leverage exposure on residential mortgage loans through our programmatic securitizations ending the quarter with only $226 million of warehouse financing outstanding.

該投資組合於 9 月因償還到期的 WMC 可轉換票據而被清算，從而將我們的槓桿率降低了一圈。此外，我們繼續透過計畫性證券化謹慎管理住宅抵押貸款的槓桿風險，截至本季末，未償還倉庫融資僅為 2.26 億美元。

Lastly, we ended the quarter with total liquidity of approximately $120 million consisting of $103 million of cash and $17 million of unencumbered agency RMBS.

最後，本季結束時，我們的流動性總額約為 1.2 億美元，其中包括 1.03 億美元現金和 1,700 萬美元未支配機構 RMBS。

This concludes our prepared remarks and we now like to open the call for questions. Operator?

我們準備好的發言到此結束，現在我們開始提問。操作員？

(Operator Instructions)

（操作員說明）

Bose George, KBW.

博斯·喬治，KBW。

Hey, good morning. I wanted to ask just about the home equity opportunity. It is very attractive, but how meaningful do you think it could be in terms of your equity allocation?

嘿，早安。我想問的是有關房屋淨值機會的問題。非常有吸引力，但是您認為這對您的股權配置有多大意義？

I think when we think about our equity allocation going forward, given the attractiveness of the underlying asset, we would expect a high portion of any rotation and future deployment to be in this sector. As I mentioned earlier on the call, we expect to do some of the things we've been doing in the past. But think that thematically this will be something that we will sort of dominate the next quarters and years.

我認為，當我們考慮未來的股票配置時，考慮到基礎資產的吸引力，我們預計任何輪調和未來部署的很大一部分將集中在該領域。正如我之前在電話會議中提到的，我們希望做一些我們過去一直在做的事情。但從主題上看，這將是我們在未來幾季和幾年中佔據主導地位的事情。

Okay, great. And then just in terms of, drivers of taking your earnings up, sort of closer to your dividends. Like when I look at slide 12, can the ROE go up in some of the individual buckets. And then, you noted that the slower prepay corgi date should benefit.

好的，太好了。然後就提高收入的驅動因素而言，有點接近股息。就像我看幻燈片 12 時一樣，ROE 在某些單獨的桶中是否會上升。然後，您注意到預付費較慢的柯基犬日期應該會受益。

I guess the returns in some of those buckets as well. So can you just talk about, the returns going forward?

我猜其中一些桶子也會帶來回報。那麼您能談談未來的回報嗎？

Yes. So from a return standpoint, there's certainly room as these assets mature and so the credit plays out how we expect to take out additional leverage and sort of redeploy the equity, taking that additional leverage to drive ROEs higher. Obviously, if you look at our aggregate economic leverage, it's fairly modest, particularly relative to certain peers.

是的。因此，從回報的角度來看，隨著這些資產的成熟，肯定還有空間，因此信貸發揮了我們預期如何利用額外的槓桿並重新部署股權，利用額外的槓桿來推高股本回報率。顯然，如果你看看我們的總體經濟槓桿，你會發現它相當溫和，特別是相對於某些同行而言。

So there's certainly room to increase ROEs and I think that also plays into, you know, you see the line item for Home Equity Loans, I think that's a component of it as well.

因此，淨資產回報率肯定有增加的空間，我認為這也影響到房屋淨值貸款的項目，我認為這也是其中的一個組成部分。

Okay, thanks.

好的，謝謝。

Brad Capuzzi, Piper Sandler.

布拉德·卡普齊，派珀·桑德勒。

Thank you for taking my question. I appreciate all the commentary. Can you just speak on your current thoughts on the dividend? Obviously, operating earnings dipped a bit this quarter, which was expected as you positioned to address the convert. I wanted to get your thoughts when you look at the rate outlook and what you need to see to continue covering the dividend with EAD.

感謝您回答我的問題。我感謝所有的評論。您能談談您目前對股息的看法嗎？顯然，本季營業收入略有下降，這是您為解決轉型問題而預期的結果。當您查看利率前景以及繼續使用 EAD 支付股息時需要看到什麼時，我想了解您的想法。

Yeah, so I think, you know we kind of moved through this transitionary period, but with some of the capital raising and obviously, the debt repayments, I think we probably look at the page 12, that we were just referencing. I think there's probably $40 million to $50 million of capital that we would look to rotate into, you know, higher ROE opportunities when they present themselves and we're building that pipeline.

是的，所以我想，你知道我們已經經歷了這個過渡期，但隨著一些資金籌集，顯然還有債務償還，我想我們可能會看看我們剛剛引用的第 12 頁。我認為，當他們出現時，我們可能會尋求將 4000 萬至 5000 萬美元的資本轉化為更高 ROE 的機會，而我們正在建造這條管道。

And then obviously the other headwind that we've talked about in terms of the dividend has been, on page 10, we kind of break out the Arc Home EAD per share and that's trending in the right direction. Obviously, we'd love it to be going faster, but it is moving towards, sort of break even before we obviously hope it flips into a positive contributor.

顯然，我們在股息方面討論過的另一個阻力是，在第 10 頁，我們打破了 Arc Home 每股 EAD，而且趨勢朝著正確的方向發展。顯然，我們希望它發展得更快，但在我們顯然希望它成為積極貢獻者之前，它正在朝著收支平衡的方向發展。

So those are probably the two drivers that, when you flip the profitability, you get some of that kind of capital turned into what Nick mentioned would be, round numbers 20s percent ROE. That should kind of even us out to something along the lines of our dividend, which we would think we remain consistent on for the intermediate term.

因此，這可能是兩個驅動因素，當你翻轉獲利能力時，你會得到一些這樣的資本，變成尼克提到的，大約 20% 的 ROE。這應該會讓我們在股息方面保持平衡，我們認為我們在中期保持一致。

I appreciate the color there. And then I know it was discussed during the prepared remarks, but I just was wondering if you could expand on how the team is thinking about the elections and implications from it. You know, we can see rate moves, potential volatility, housing implications, et cetera. I was just curious on how you're thinking about it and positioning both new and intermediate.

我很欣賞那裡的顏色。然後我知道在準備好的演講中對此進行了討論，但我只是想知道您是否可以詳細說明團隊如何看待選舉及其影響。你知道，我們可以看到利率變動、潛在波動、房屋影響等等。我只是好奇你是如何思考它以及如何定位新的和中級的。

Yeah, I mean, listen in terms of like near term volatility, I mean, listen we have more credit type products, we don't have a lot of leverage, most of it is turned out for securitization leverage. There isn't a ton of volatility that could really affect the portfolio in terms of I could see a lot of, whip song and rates over the next week or two, I think.

是的，我的意思是，聽聽近期波動性，我的意思是，聽聽我們有更多的信貸類型產品，我們沒有很多槓桿，其中大部分都用於證券化槓桿。我認為，在接下來的一兩週內，我可能會看到很多波動和利率，因此不會有太大的波動真正影響投資組合。

I think generally speaking, away from the election, I think just that the continued, I would say bank retrenchment, nothing to do with the election, but more capital and regulatory, I think are tailwinds for sort of special finance and non-bank origination engines. So, I don't think whoever wins the election will change that sort of motion or direction.

我認為一般來說，除了選舉之外，我認為持續的銀行緊縮與選舉無關，但更多的資本和監管，我認為是某種特殊金融和非銀行起源的順風發動機。因此，我認為無論誰贏得選舉都不會改變這種動議或方向。

Thank you. That's it for me. I appreciate it.

謝謝。對我來說就是這樣。我很感激。

Doug Harter, UBS Equities

道格哈特，瑞銀股票

Thanks Anthony. I was hoping you could size the impact of the prepay assumption in the current quarter.

謝謝安東尼。我希望您能夠評估本季預付款假設的影響。

I don't have an exact number off-hand, but I would say it was the majority of the driver just when you think about quarter to quarter from $0.21 down to $0.17.

我手頭上沒有確切的數字，但我想說的是，當你考慮每個季度從 0.21 美元降至 0.17 美元時，這是大部分驅動因素。

Okay, I appreciate that. And then as you think about the home equity opportunity and financing that, do you view securitization as kind of the likely, takeout for that financing. And if so kind of how do you think about the size you need to execute a securitization?

好的，我很欣賞。然後，當您考慮房屋淨值機會和融資時，您是否認為證券化是該融資的一種可能的外賣。如果是這樣，您如何考慮執行證券化所需的規模？

Yeah. So we've predominantly been executing in the securitization space. There are alternative ways to finance it, that are also attractive, but the appropriate sizes have ranged typically called $275 million to $500 million, probably on average right in between.

是的。因此，我們主要在證券化領域執行。還有其他融資方式也很有吸引力，但適當的規模通常為 2.75 億美元至 5 億美元，平均可能介於兩者之間。

Great and then, within the home equity space, some people are looking at, kind of close in second, some are looking at, home equity interest or appreciation. You know, kind of how are you thinking about what are the attractive ways to play and to help consumers tap into that equity?

太棒了，然後，在房屋淨值領域，有些人正在關注，緊隨其後，有些人正在關注房屋淨值利息或升值。您知道，您如何考慮有哪些有吸引力的遊戲方式並幫助消費者利用這種權益？

Yeah. So maybe addressing the products we're playing in specifically the home equity appreciation, that's not what we're doing. We're staying to more traditional type lending. Either being, closed end second or he locks. If that answers your question?

是的。因此，也許解決我們正在玩的產品，特別是房屋淨值升值，這不是我們正在做的事情。我們將繼續採用更傳統的貸款方式。要嘛是，封閉端第二，要嘛他鎖定。如果這回答了你的問題？

It does. Thank.

確實如此。感謝。

Jason Weaver, Jones Trading.

賈森‧韋弗，瓊斯貿易公司。

Hey, good morning. Thanks for taking my question. Not to belabor on the subject, but on the home equity product, can you talk a little bit more about where you're sourcing that? And if possibly Arc Home could be a source of that in the future?

嘿，早安。感謝您提出我的問題。不想過多討論這個問題，但就房屋淨值產品而言，您能多談談您在哪裡採購該產品嗎？Arc Home 是否可能成為未來的來源？

Yes, certainly. So, it's still relatively early as we stated multiple times in our prepared remarks. That being said, you know the closed and second space is somewhat a cut copy paste of, Fannie and Freddie's automated underwriting system. So you can source that from a very wide range of entrance to [HELOC] space is a little more niche.

是的，當然。因此，正如我們在準備好的發言中多次指出的那樣，現在還相對較早。話雖這麼說，你知道封閉的第二空間有點像是房利美和房地美的自動承保系統的剪切複製貼上。因此，您可以從非常廣泛的入口中發現，[HELOC] 空間是一個更利基的領域。

But you know, we think growing and going to grow bigger than the close and second space. And we are buying from everyone in, basically everyone who's active in that space at the moment.

但你知道，我們認為成長並將變得比封閉和第二空間更大。我們從每個人那裡購買，基本上是目前活躍在該領域的每個人。

Got it. So it's a pretty even mix of both banking institutions and non-bank lenders, you would say?

知道了。您會說，銀行機構和非銀行貸款機構的混合相當均勻？

We would expect going for the vast majority of this to be come from non-banks.

我們預計其中絕大多數將來自非銀行機構。

Fair enough. Okay. And then one more, I was curious how you feel what your comfort zone is around the current level of cash and unencumbered liquidity you have around $120 million.

很公平。好的。另外，我很好奇，在目前大約 1.2 億美元的現金和無阻礙流動性水平周圍，您的舒適區感覺如何。

We feel comfortable around that level. There's certainly room to draw that down and sort of enhance our enhance sort of the leverage profile of the firm.

我們在這個水平上感覺很舒服。當然還有降低這一點的空間，並在某種程度上增強我們對公司槓桿狀況的增強程度。

Got it. Okay, thank.

知道了。好的，謝謝。

Trevor Cranston, Citizens JMP.

特雷弗·克蘭斯頓 (Trevor Cranston)，公民 JMP。

Great, thanks. One more question on the prepaid projections that impacted third quarter. Can you maybe give us a sense about, how much of the portfolio you would say was in the money when kind of rates were at their recent lows versus, how much of the portfolio is actually in the money where we sit today?

太好了，謝謝。關於影響第三季的預付費預測的另一個問題。您能否讓我們了解一下，當利率處於近期低點時，您所說的投資組合中有多少是實值的，而我們今天坐的位置，投資組合中有多少實際上是實值的？

Yeah, so I don't have specific numbers. I think the answer to that is the vast majority of the portfolio is out of the money today. And I think that speaks to sort of the resilience of pretty decent rate rallies and actually increasing speeds.

是的，所以我沒有具體數字。我認為答案是絕大多數投資組合如今都處於虧損狀態。我認為這說明了相當不錯的利率上漲和實際成長速度的彈性。

Okay, got it. And then one more on the Home Equity Loans. Can you talk a little bit about, what you're seeing in terms of securitization structures and how much equity you would expect to have invested. You know, once the pool of loans is securitized?

好的，明白了。然後是關於房屋淨值貸款的另一件事。您能談談您在證券化結構方面所看到的情況以及您期望投資多少股權嗎？你知道，一旦貸款池被證券化嗎？

Yes, so very high level. If anything, the securitizations given sort of the up in credit nature of the product can be more efficient than even even Non-QM from sort of a proceeds standpoint or leverage you can take out. Obviously that's compensating for the expected losses. So they're relatively efficient. Obviously that is product dependent, but somewhat comparable to other sort of a classes out there.

是的，水平非常高。如果有的話，從收益的角度或您可以使用的槓桿來看，具有產品信用性質的證券化甚至比非 QM 更有效。顯然，這是對預期損失的補償。所以他們的效率相對較高。顯然，這取決於產品，但在某種程度上與其他類型的課程具有可比性。

Got it. Okay. I appreciate the comments. Thank you.

知道了。好的。我很欣賞這些評論。謝謝。

Eric Hagen, BTIG.

艾瑞克‧哈根，BTIG。

Hey, thanks, good morning guys. Okay, so when you think about the discounted price and the valuation for Non-QM. I mean, how much do you attribute to interest rates versus maybe concerns around weaker credit performance? And do you see there being risk evaluation in the capital structure of the narrative around a recession or borrow credit, kind of intensifies from here?

嘿，謝謝，大家早安。好的，當您考慮非 QM 的折扣價格和估值時。我的意思是，您將多少歸因於利率，而不是對信用表現疲軟的擔憂？您是否認為圍繞經濟衰退或借貸信貸的敘述的資本結構中存在風險評估，從這裡開始有所加強？

When you're talking about Eric, were you talking about like our retained book in the company or like new origination going forward?

當您談論埃里克時，您是在談論我們在公司保留的書籍還是未來的新創始？

Both but really referring more to the back-book.

兩者都是，但實際上更多地參考了後書。

Yeah, I mean, the back-book has benefited from, massive home appreciation. The delinquency pipeline is, I mean, the GA shelf is if you look at sort of sell side research, top core trial in terms of performance, we're not seeing any sort of deterioration and to the extent.

是的，我的意思是，後備帳簿受益於巨大的房屋升值。我的意思是，拖欠管道是，如果你看看某種賣方研究，在性能方面的頂級核心試驗，我們沒有看到任何形式的惡化，並且在一定程度上。

There was delinquencies, there's multiple sort of loss remediation tactics in terms of, the borrower selling their house, getting the equity out, et cetera. So, I mean, we're not seeing or we're not concerned about any sort of recession led, spike in losses by any means.

有拖欠行為，有許多損失補救策略，例如借款人出售房屋、取出股權等等。所以，我的意思是，我們沒有看到或不擔心任何形式的衰退導致的損失激增。

And I think we refer you to page 8 where, you know, it shows that our current portfolio's delinquency is 1%, 90-plus and a sub 60% you know, March market LTV.

我想我們建議您參閱第 8 頁，其中顯示我們目前投資組合的拖欠率為 1%，3 月份市場 LTV 為 90 以上，低於 60%。

So obviously there's plenty of room for degradation for the portfolio to stand up.

顯然，該投資組合還有很大的降級空間。

Yeah, okay. That's helpful. Do you guys feel like there are any scenarios of this location where you might look to raise capital, even if it's below book value, maybe at the expense of some upfront dilution.

是啊，好吧。這很有幫助。你們是否覺得在這個地方有任何情況下你們可能會尋求籌集資金，即使它低於帳面價值，也許會以一些前期稀釋為代價。

But the four returns could be really attractive. Are there scenarios where you could look to maybe tap into that? How do you guys think about that from here?

但這四項回報可能確實很有吸引力。您是否可以考慮利用這些場景？你們對此有何看法？

I mean, the short answer is probably no Eric. I mean, I think the market is fairly orderly despite sort of a lot of noise in the headlines. I don't think we're looking to entertain that.

我的意思是，簡短的答案可能是沒有艾瑞克。我的意思是，我認為市場相當有序，儘管頭條新聞中有很多噪音。我不認為我們想要娛樂這個。

Okay. All right. Thank you guys.

好的。好的。謝謝你們。

Thank you. And at this time it appears there are no further questions in queue. I will turn the call back to management for closing remarks.

謝謝。目前看來隊列中沒有其他問題了。我會將電話轉回管理層以供結束語。

Thank you everyone for joining us this morning and for your questions, we appreciate it and we will look forward to speaking with you again next quarter. Thanks everyone.

感謝大家今天早上加入我們並提出問題，我們對此表示感謝，並期待下個季度再次與您交談。謝謝大家。

This does conclude the AG Mortgage Investment Trust Inc third quarter, 2024, earnings conference call. Please disconnect your line at this time and have a wonderful day.

AG 抵押投資信託公司 2024 年第三季財報電話會議至此結束。請此時斷開您的線路，祝您有美好的一天。