PennyMac Mortgage Investment Trust (PMT) 2022 Q4 法說會逐字稿

Good afternoon, and welcome to the fourth quarter and full year 2022 earnings discussion for PennyMac Mortgage Investment Trust. The slides that are accompanying this discussion are available on the PennyMac Mortgage Investment Trust website at pmt.pennymac.com.

下午好，歡迎參加 PennyMac Mortgage Investment Trust 第四季度和 2022 年全年收益討論。本次討論的幻燈片可在 PennyMac Mortgage Investment Trust 網站 pmt.pennymac.com 上獲取。

Before we begin, let me remind you that our discussion contains forward-looking statements that are subject to the risks identified on Slide 2 that could cause our actual results to differ materially. Now I'd like to introduce David Spector, PMT's Chairman and Chief Executive Officer, who will discuss the company's fourth quarter and full year 2022 results.

在我們開始之前，讓我提醒您，我們的討論包含前瞻性陳述，這些陳述受制於幻燈片 2 中確定的風險，這些風險可能導致我們的實際結果存在重大差異。現在我想介紹 PMT 的董事長兼首席執行官 David Spector，他將討論公司第四季度和 2022 年全年的業績。

Thank you, Isaac. For the fourth quarter 2022, PMT reported a net loss attributable to common shareholders of $5.8 million or $0.07 per common share as solid income, excluding the impacts of market-driven fair value changes was more than offset by fair value declines in PMT's interest. rate and credit-sensitive strategies.

謝謝你，艾薩克。在 2022 年第四季度，PMT 報告歸屬於普通股股東的淨虧損為 580 萬美元或每股普通股 0.07 美元，作為穩健收入，不包括市場驅動的公允價值變化的影響被 PMT 利益的公允價值下降所抵消。利率和信用敏感策略。

PMT paid a common dividend of $0.40 per share. Book value per share decreased to $15.78 from $16.18 at the end of the prior quarter. Dan Perotti, Senior Managing Director and Chief Financial Officer, will review additional details of PMT's financial performance later on in this discussion. During the quarter, PMT repurchased 1.2 million shares of common stock for $14 million at an average price of $11.80, significantly below current book value per share. And through January 31, PMT repurchased an additional 22,000 shares for an approximate cost of $278,000 at $12.63 per share.

PMT 支付了每股 0.40 美元的普通股息。每股賬面價值從上一季度末的 16.18 美元降至 15.78 美元。高級董事總經理兼首席財務官 Dan Perotti 將在本次討論的稍後部分審查 PMT 財務業績的更多細節。本季度，PMT 以 1400 萬美元的價格回購了 120 萬股普通股，平均價格為 11.80 美元，遠低於當前每股賬面價值。到 1 月 31 日，PMT 以每股 12.63 美元的價格回購了額外的 22,000 股股票，成本約為 278,000 美元。

One of PMT's greatest strengths is its ability to organically generate investments through our high-quality loan production sourced from correspondent sellers across the country. This quarter, $6.8 billion in UPB of PMT conventional correspondent production led to the creation of $127 million in high-quality mortgage servicing rights. With mortgage interest rates currently still above 6%, the most recent third-party forecast for 2023 originations range from $1.6 trillion to $1.9 trillion, down meaningfully from 2022.

PMT 最大的優勢之一是它能夠通過我們從全國各地的代理銷售商那裡獲得的高質量貸款產品有機地產生投資。本季度，PMT 常規代理生產的 UPB 價值 68 億美元，導致創造了 1.27 億美元的高質量抵押貸款服務權。由於抵押貸款利率目前仍高於 6%，第三方對 2023 年發起貸款的最新預測範圍為 1.6 萬億美元至 1.9 萬億美元，較 2022 年大幅下降。

While many industry participants have taken the appropriate steps to reduce capacity, it has been happening slowly, and we believe overcapacity still remains. It is our expectation that mortgage REITs with diversified investment portfolios, efficient cost structures and strong risk management practices, such as PMT, are best positioned to manage through the volatility presented by the current market environment.

儘管許多行業參與者已採取適當措施來減少產能，但進展緩慢，我們認為產能過剩仍然存在。我們預計，具有多元化投資組合、高效成本結構和強大風險管理實踐的抵押房地產投資信託基金（如 PMT）最有能力應對當前市場環境帶來的波動。

Although returns in PMT's credit-sensitive strategies were impacted by wider market credit spreads in 2022, we've seen a material improvement in early 2023, which has driven improvements in structured product markets and which may generate additional attractive investment opportunities over time. The underlying fundamentals of our lender risk share investments remain strong, consisting of seasoned loans with a weighted average current loan-to-value of 53%, benefiting from the strong home price appreciation we have seen in recent years.

儘管 PMT 的信用敏感策略的回報在 2022 年受到市場信用利差擴大的影響，但我們在 2023 年初看到了實質性改善，這推動了結構性產品市場的改善，並可能隨著時間的推移產生更多有吸引力的投資機會。我們的貸方風險分擔投資的基本面依然強勁，包括加權平均當前貸款價值比為 53% 的經驗豐富的貸款，這得益於我們近年來看到的強勁房價升值。

With delinquency rates at pre-COVID levels and current strong employment data, recent realized losses on our CRT investments have been limited. In our interest rate sensitive strategies, the fair value of PMT's MSRs increased as interest rates increased and prepayment speeds have fallen significantly. With increased visibility with respect to the Federal Reserve's projected terminal rate, we expect reduced volatility going forward for this segment.

由於拖欠率處於 COVID 之前的水平和當前強勁的就業數據，我們 CRT 投資最近實現的損失有限。在我們的利率敏感策略中，PMT 的 MSR 的公允價值隨著利率上升和預付速度顯著下降而上升。隨著美聯儲預測終端利率的可見度提高，我們預計該部分未來的波動性會降低。

Additionally, higher short-term rates are expected to continue contributing to earnings from custodial balances and deposits in the coming quarters. Over the long term, we believe the underlying performance of PMT's MSR portfolio will be strong, supported by PFSI's industry-leading servicing capabilities, workflows and proprietary technology.

此外，較高的短期利率預計將在未來幾個季度繼續為託管餘額和存款的收益做出貢獻。從長遠來看，在 PFSI 行業領先的服務能力、工作流程和專有技術的支持下，我們相信 PMT 的 MSR 產品組合的潛在表現將會強勁。

Turning to correspondent production. Though we expect volumes to remain constrained in the near term given the reduced forecast for originations, our customers are increasingly selling loans to stable capital partners like PennyMac as they seek to manage profitability and enhance liquidity. And with the exit of Wells Fargo from the channel, we expect to see additional opportunities for market share growth, largely driven by the smaller bank and community credit union sector of the market, where Wells Fargo previously had a strong presence.

轉向相應的生產。儘管我們預計由於對發起的預測減少，短期內交易量將受到限制，但我們的客戶越來越多地向 PennyMac 等穩定的資本合作夥伴出售貸款，因為他們尋求管理盈利能力和提高流動性。隨著 Wells Fargo 退出該渠道，我們預計將看到市場份額增長的更多機會，這主要是由市場中規模較小的銀行和社區信用合作社部門推動的，而 Wells Fargo 此前在這些領域佔有一席之地。

With a strong capital base and consistent commitment to the channel, we believe PMT is well positioned to continue leading as we provide our partners the stability and support they need to successfully navigate the current challenging mortgage market. We stand ready and able to absorb the volumes left by Wells Fargo's exit and remain committed to being a strong capital partner for independent mortgage companies throughout the country.

憑藉強大的資本基礎和對渠道的一貫承諾，我們相信 PMT 有能力繼續保持領先地位，因為我們為合作夥伴提供成功駕馭當前充滿挑戰的抵押貸款市場所需的穩定性和支持。我們隨時準備並能夠吸收富國銀行退出後留下的業務量，並繼續致力於成為全國獨立抵押貸款公司的強大資本合作夥伴。

Now I'd like to turn the call over to Vandy Fartaj, Senior Managing Director and Chief Investment Officer, who will talk about the outlook for PMT and its fourth quarter investment performance.

現在我想把電話轉給高級董事總經理兼首席投資官 Vandy Fartaj，他將談論 PMT 的前景及其第四季度的投資業績。

Thank you, David. Let's now take a look at our potential returns across the investment portfolio.

謝謝你，大衛。現在讓我們來看看我們整個投資組合的潛在回報。

On Slide 7 of our fourth quarter earnings presentation, we illustrate the run rate potential from PMT's investment strategies, which represents the average annualized return and quarterly earnings potential that PMT expects over the next 4 quarters. In total, we expect a quarterly run rate for PMT strategies to average $0.40 per share or a 10% annualized return on common equity.

在我們第四季度收益演示的幻燈片 7 中，我們說明了 PMT 投資策略的運行率潛力，它代表了 PMT 預計未來 4 個季度的平均年化回報和季度收益潛力。總的來說，我們預計 PMT 策略的季度運行率平均為每股 0.40 美元或 10% 的普通股年化回報率。

This run rate potential reflects performance expectations in the current mortgage market. In our credit-sensitive strategies, the potential return from PMT's organically-created CRT investments increased from last quarter, reflecting credit spreads that continue to widen in the fourth quarter.

這種運行率潛力反映了當前抵押貸款市場的業績預期。在我們的信用敏感策略中，PMT 有機創造的 CRT 投資的潛在回報比上一季度有所增加，反映出第四季度信用利差繼續擴大。

In the interest rate-sensitive strategies, we expect increased returns on MSRs due to low levels of expected prepayment speeds, offset by increased financing costs and decreasing MBS returns. In correspondent production, our expectations are similar to the prior quarter due to the competitive production environment. This analysis excludes potential contributions from additional opportunistic investments and opportunities under exploration, such as new credit-sensitive investments or the introduction of new products.

在利率敏感策略中，由於預期提前還款速度較低，我們預計 MSR 的回報率會增加，但會被融資成本增加和 MBS 回報率下降所抵消。在相應的生產中，由於競爭激烈的生產環境，我們的預期與上一季度相似。該分析不包括額外的機會主義投資和正在探索的機會的潛在貢獻，例如新的信用敏感投資或新產品的推出。

Now let's discuss the drivers of fourth quarter results in our Correspondent Production segment. Total correspondent loan acquisition volume was $20.8 billion in the fourth quarter. 51% or $10.7 billion were conventional loans and 49% or $10.1 billion were government loans. As we mentioned last quarter, PMT began selling certain of its conventional correspondent loan production to PFSI, which totaled $3.9 billion in UPB.

現在讓我們討論我們通訊製作部門第四季度業績的驅動因素。第四季度代理貸款收購總額為 208 億美元。 51% 或 107 億美元是常規貸款，49% 或 101 億美元是政府貸款。正如我們上個季度提到的，PMT 開始將其某些傳統代理貸款產品出售給 PFSI，UPB 總計 39 億美元。

Purchase volume was 93% of total acquisitions, up from 90% last quarter. Conventional lock volume in the fourth quarter was $12.3 billion, up 15% from the prior quarter. $4.8 billion of these locks were for PFSI's account. In the first quarter, PMT will continue selling certain of its conventional correspondent loans to PFSI at cost plus a sourcing fee of 1 to 2 basis points. PMT's Correspondent Production segment pretax income as a percentage of interest rate lock commitments was 9 basis points, up from 6 basis points in the prior quarter, and the weighted average fulfillment fee was 18 basis points, unchanged from the prior quarter.

採購量佔總採購量的 93%，高於上一季度的 90%。第四季度常規鎖交易量為 123 億美元，環比增長 15%。其中 48 億美元鎖定在 PFSI 的賬戶上。第一季度，PMT 將繼續以成本價加 1 到 2 個基點的採購費向 PFSI 出售某些常規代理貸款。 PMT 的代理生產部門稅前收入占利率鎖定承諾的百分比為 9 個基點，高於上一季度的 6 個基點，加權平均履行費用為 18 個基點，與上一季度持平。

Acquisition volumes in January are estimated to be $6.8 billion, and locks are estimated to be $6.1 billion. PMT's interest rate-sensitive strategies consist of our investments in MSR sourced from our correspondent production and investments in Agency MBS, non-Agency Senior MBS and interest rate derivatives with offsetting interest rate exposure. The fair value of PMT's MSR investments at the end of the fourth quarter was $4 billion, up slightly from $3.9 billion at the end of the prior quarter. The increase reflects both newly originated MSRs resulting from conventional production volumes and fair value gains.

1 月份的收購量估計為 68 億美元，鎖定估計為 61 億美元。 PMT 的利率敏感策略包括我們對 MSR 的投資，這些投資來自我們的代理生產和對機構 MBS、非機構高級 MBS 和利率衍生品的投資，以抵消利率風險。第四季度末 PMT 的 MSR 投資的公允價值為 40 億美元，略高於上一季度末的 39 億美元。這一增長反映了傳統產量和公允價值收益產生的新 MSR。

The UPB of loans underlying PMT's MSR investments also continue to grow as new production more than offset runoff from prepayments. While delinquency rates for borrowers underlying PMT's MSR portfolio increased marginally from the prior quarter, they remain consistent with seasonal trends and our expectations for a conventional loan portfolio. Servicing advances outstanding for PMT's MSR portfolio increased to $178 million at year-end from $61 million at September 30 due to seasonal property tax payments. No principal and interest advances are currently outstanding as prepayment activity continues to sufficiently cover remittance obligations.

PMT 的 MSR 投資所依據的貸款的 UPB 也繼續增長，因為新的生產超過了預付款的徑流。雖然作為 PMT MSR 投資組合基礎的借款人的拖欠率較上一季度略有上升，但仍與季節性趨勢和我們對傳統貸款組合的預期保持一致。由於季節性財產稅支付，PMT 的 MSR 投資組合未償還的服務預付款從 9 月 30 日的 6100 萬美元增加到年底的 1.78 億美元。由於預付款活動繼續足以支付匯款義務，目前沒有未償還的本金和利息預付款。

Now I would like to discuss PMT's credit-sensitive strategies, which primarily consist of investments in organically-created CRT from PMT's production, investments in non-agency subordinate bonds from private label securitizations of PMT's production and opportunistic investments in GSE CRT. The fair value of PMT's organically-created CRT investments as of December 31 was $1.1 billion, down slightly from $1.2 billion at September 30, primarily due to prepayments.

現在我想討論 PMT 的信用敏感策略，主要包括對 PMT 生產中有機創建的 CRT 的投資、對 PMT 生產的自有品牌證券化的非機構次級債券的投資以及對 GSE CRT 的機會性投資。截至 12 月 31 日，PMT 有機創造的 CRT 投資的公允價值為 11 億美元，略低於 9 月 30 日的 12 億美元，主要是由於預付款。

The outlook for our current investments in organically-created CRT remains favorable, as David mentioned, with a current weighted average loan-to-value ratio of 53%. The 60-plus day delinquency rate underlying these organically created GSE CRT investments increased slightly to 1.25% at December 31 from 1.14% at September 30. We will continue to evaluate investments across the mortgage landscape and be prudent in the deployment of capital given current market conditions.

正如 David 提到的那樣，我們目前對有機創建的 CRT 的投資前景仍然看好，當前加權平均貸款價值比為 53%。這些有機創建的 GSE CRT 投資的 60 多天拖欠率從 9 月 30 日的 1.14% 小幅上升至 12 月 31 日的 1.25%。我們將繼續評估整個抵押貸款領域的投資，並在當前市場情況下審慎部署資本狀況。

Now I would like to turn the call over to Dan, who will review our quarterly financial results.

現在我想把電話轉給丹，他將審查我們的季度財務業績。

Thank you, Vandy. PMT reports results through 4 segments: credit-sensitive strategies, which contributed $10.8 million in pretax income; interest rate-sensitive strategies, which contributed $9.3 million in pretax loss; correspondent production, which contributed $7.1 million in pretax income; and the corporate segment, which had a pretax loss of $14.1 million.

謝謝你，萬迪。 PMT 通過 4 個部分報告業績：信用敏感策略，貢獻了 1080 萬美元的稅前收入；利率敏感策略，造成 930 萬美元的稅前虧損；代理製作，貢獻了 710 萬美元的稅前收入；企業部門的稅前虧損為 1,410 萬美元。

Income from PMT's organically-created CRT investments this quarter totaled $4.7 million. This amount included $8.1 million in market-driven fair value losses, reflecting the impact of wider credit spreads in the fourth quarter. Gains on PMT's organically-created CRT investments also included $17.8 million in realized gains in carry, $1.2 million of net realized losses recognized during the period, $11.7 million in interest income on cash deposits and $15.5 million of financing expenses.

本季度 PMT 有機創造的 CRT 投資收入總計 470 萬美元。這一數額包括 810 萬美元的市場驅動的公允價值損失，反映了第四季度信用利差擴大的影響。 PMT 有機創造的 CRT 投資的收益還包括 1780 萬美元的已實現收益收益、120 萬美元在此期間確認的已實現淨虧損、1170 萬美元的現金存款利息收入和 1550 萬美元的融資費用。

PMT's interest rate-sensitive strategies contributed a loss of $9.3 million in the quarter. MSR fair value increased $44 million as prepayment speeds were lower than expected during the quarter and due to expectations for lower prepayment activity in the future. These fair value gains were more than offset by net interest rate hedge fair value declines, which drove a tax benefit of $10 million. The net fair value of Agency MBS interest rate hedges and related tax impacts declined by $74 million.

PMT 的利率敏感策略在本季度造成了 930 萬美元的虧損。 MSR 公允價值增加了 4,400 萬美元，這是因為本季度預付款速度低於預期，並且由於預期未來預付款活動會減少。這些公允價值收益被淨利率對沖公允價值下降所抵消，這帶來了 1000 萬美元的稅收優惠。機構 MBS 利率對沖和相關稅收影響的淨公允價值下降了 7400 萬美元。

PMT's Correspondent Production segment contributed $7.1 million of pretax income for the quarter. PMT's Corporate segment includes interest income from cash and short-term investments, management fees and corporate expenses. The segment's contribution for the quarter was a pretax loss of $14.1 million. Excluding market-driven value changes and the related tax impact, PMT reported $39 million of net income across its strategies.

PMT 的通訊製作部門在本季度貢獻了 710 萬美元的稅前收入。 PMT 的企業部門包括來自現金和短期投資的利息收入、管理費和企業開支。該部門本季度的貢獻是稅前虧損 1,410 萬美元。不包括市場驅動的價值變化和相關稅收影響，PMT 報告其戰略的淨收入為 3900 萬美元。

We have maintained strong financing structures related to our MSR and CRT investments. With respect to PMT's $450 million of MSR term notes maturing in April of 2023, PMT has the option to extend the maturity for 2 years at its own discretion and is likely to do so given current market conditions. Our first 3 CRT transactions, representing 7% of the total fair value, are currently financed by securities repurchase agreements. As we discussed last quarter, the CRT term notes financing a portion of our sixth CRT transaction that originally matured in December of 2022 were settled and the underlying investment has also been financed by securities repurchase agreements with multiple banks.

我們保持了與 MSR 和 CRT 投資相關的強大融資結構。關於 PMT 將於 2023 年 4 月到期的 4.5 億美元 MSR 定期票據，PMT 可以自行決定將到期期限延長 2 年，並且在當前市場條件下很可能會這樣做。我們的前 3 筆 CRT 交易，占公允價值總額的 7%，目前由證券回購協議提供資金。正如我們上個季度所討論的那樣，為我們最初於 2022 年 12 月到期的第六次 CRT 交易的一部分融資的 CRT 定期票據已經結算，基礎投資也由與多家銀行簽訂的證券回購協議提供資金。

For our CRT investments financed by repurchase agreements, PMT holds an appropriate level of associated reserves for potential margin calls. Additionally, the maturity for the CRT term notes originally due in March of this year has been extended for 2 years. The remainder of PMT's CRT investments are financed with term notes that do not contain mark-to-market or margin call provisions. This has served us extraordinarily well as we are not obligated to post collateral for the majority of our CRT investments if fair values decline. All CRT term notes contain the option to extend the maturity for 2 years at PMT's discretion, except $54 million of term notes due in October 2024.

對於我們通過回購協議資助的 CRT 投資，PMT 持有適當水平的相關準備金以應對潛在的追加保證金通知。此外，原定於今年 3 月到期的 CRT 定期票據的期限已延長 2 年。 PMT 其餘的 CRT 投資由不包含按市值計價或追加保證金規定的定期票據融資。這對我們非常有用，因為如果公允價值下降，我們沒有義務為我們的大部分 CRT 投資提供抵押品。除了 2024 年 10 月到期的 5400 萬美元定期票據外，所有 CRT 定期票據都包含由 PMT 自行決定將期限延長 2 年的選擇權。

And with that, I'll turn the discussion back over to David for some closing remarks.

就此，我將把討論轉回給 David 做一些結束語。

Thanks, Dan. While performance in recent periods has not met our expectations, relative performance over the long term remains strong as PMT shareholder returns remain well above comparable indices and its peer group. Additionally, we've seen a material improvement in credit markets in early 2023 as well as increased interest rate stability.

謝謝，丹。雖然近期表現未達到我們的預期，但長期的相對錶現依然強勁，因為 PMT 股東回報率仍遠高於可比指數及其同行。此外，我們還看到 2023 年初信貸市場有了實質性改善，利率穩定性也有所提高。

With PMT's current portfolio of seasoned investments in credit risk transfer and hedge mortgage servicing rights, we remain confident in its ability to deliver attractive returns to its shareholders over the long term. We encourage investors with any questions to reach out to our Investor Relations team by e-mail or phone. Thank you.

憑藉 PMT 目前在信用風險轉移和對沖抵押貸款服務權方面經驗豐富的投資組合，我們仍然相信它有能力長期為股東提供有吸引力的回報。我們鼓勵有任何問題的投資者通過電子郵件或電話聯繫我們的投資者關係團隊。謝謝。

This concludes PennyMac Mortgage Investment Trust fourth quarter earnings discussion. For any questions, please visit our website at pmt.pennymac.com or call our Investor Relations department at (818) 224-7028. Thank you.

PennyMac Mortgage Investment Trust 第四季度收益討論到此結束。如有任何疑問，請訪問我們的網站 pmt.pennymac.com 或致電我們的投資者關係部 (818) 224-7028。謝謝。