PennyMac Mortgage Investment Trust (PMT) 2023 Q2 法說會逐字稿

Good afternoon, and welcome to PennyMac Mortgage Investment Trust Second Quarter 2023 Live Earnings Q&A Session. Additional earnings materials are available on PennyMac Mortgage Investment Trust's website at pmt.pennymac.com.

下午好，歡迎來到 PennyMac 抵押投資信託 2023 年第二季度實時收益問答環節。其他收益材料可在 PennyMac Mortgage Investment Trust 網站 pmt.pennymac.com 上獲取。

Before we begin, let me remind you that this Q&A session may contain forward-looking statements that are subject to certain risks identified on Slide 2 of the earnings presentation that could cause the company's actual results to differ materially.

在我們開始之前，讓我提醒您，本次問答環節可能包含前瞻性陳述，這些陳述受到收益演示幻燈片 2 中確定的某些風險的影響，這些風險可能導致公司的實際結果出現重大差異。

I would like to remind everyone, we will only take questions related to PennyMac Mortgage Investment Trust, or PMT. The replay of the live Q&A session for PennyMac Financial Services, Inc. or PFSI will be available shortly on pfsi.pennymac.com. (Operator Instructions)

我想提醒大家，我們只會回答與 PennyMac Mortgage Investment Trust（PMT）相關的問題。 PennyMac Financial Services, Inc. 或 PFSI 的現場問答環節重播很快就會在 pfsi.pennymac.com 上提供。 （操作員說明）

Now I'd like to introduce Mr. David Spector, PennyMac Mortgage Investment Trust's Chairman and Chief Executive Officer; and Dan Perotti, PennyMac Mortgage Investment Trust's Chief Financial Officer. Please go ahead.

現在我向大家介紹一下David Spector先生，他是PennyMac抵押貸款投資信託公司的董事長兼首席執行官。丹·佩羅蒂 (Dan Perotti)，PennyMac 抵押投資信託公司首席財務官。請繼續。

Thanks, operator, and welcome, everybody, to PennyMac Mortgage Investment Trust's first live earnings Q&A session. As you all know, historically, we've not done a live earnings call. But we believe strongly in the continued evolution of our strong and accessible Investor Relations process, and that now is an appropriate time to introduce a light element into our earnings process.

感謝運營商，並歡迎大家參加 PennyMac Mortgage Investment Trust 的首次實時收益問答環節。眾所周知，從歷史上看，我們沒有進行過現場收益電話會議。但我們堅信我們強大且易於使用的投資者關係流程會持續發展，現在是在我們的收益流程中引入輕鬆元素的適當時機。

I believe these Q&A sessions will give stakeholders increased transparency into our business in a timely manner. And although we are introducing a live call, you can rest assured that we and I will maintain our ongoing commitment to investors and analysts via conferences, non-deal roadshows, phone calls and other industry events.

我相信這些問答環節將及時提高利益相關者對我們業務的透明度。儘管我們正在引入現場電話會議，但您可以放心，我們和我將通過會議、非交易路演、電話和其他行業活動維持對投資者和分析師的持續承諾。

Now we'd like to begin taking questions. Operator?

現在我們想開始提問。操作員？

(Operator Instructions) We'll now take our first question from the line of Kevin Barker with Piper [Jaffray] (sic) Sandler.

（操作員說明）我們現在將回答 Kevin Barker 和 Piper [Jaffray]（原文如此）Sandler 提出的第一個問題。

I would like -- I really appreciate it. I think it's really helpful. Also, I'd like to dig in a little bit on the correspondent production has declined significantly here. I know you saw strategies last year and how you're splitting that between PennyMac Financial and PMT. Could you just talk about the reasoning for the significant drop and if you expect to keep that production fairly low on a go-forward basis?

我願意——我真的很感激。我認為這真的很有幫助。另外，我想深入探討一下這裡的通訊產量大幅下降。我知道您去年看到了策略以及如何在 PennyMac Financial 和 PMT 之間分配策略。您能否談談產量大幅下降的原因以及您是否希望今後將產量保持在相當低的水平？

Yes. So look, I think that the -- you're right, Kevin. There's a lot that went into the correspondent production story for the quarter. The big one, as you pointed out, was the sale -- increased sale of conventional loans from PMT to PFSI.

是的。所以你看，我認為——你是對的，凱文。本季度的通訊製作故事涉及很多內容。正如您所指出的，最重要的是銷售——增加 PMT 向 PFSI 的傳統貸款銷售。

That was 38% of the total conventional production in the first quarter, jumping all the way to 70% in the third quarter. I think that, at least for this quarter, I would expect similar levels, and I would suspect it -- will stay that way for at least a few quarters after depending on the capital position of PMT and if it raises more capital.

第一季度佔常規產量的 38%，第三季度一路躍升至 70%。我認為，至少在本季度，我預計會出現類似的水平，而且我懷疑，在取決於 PMT 的資本狀況以及它是否籌集更多資本後，這種水平將至少在幾個季度內保持不變。

Look, it's a capital allocation decision for PMT. We were very heavily weighted to MSR, I mean our interest rate strategies, and we decided that we wanted to opportunistically deploy capital into credit investments that came up in the market to bring that more in line.

看，這是 PMT 的資本配置決策。我們非常重視MSR，我的意思是我們的利率策略，我們決定希望機會性地將資本配置到市場上出現的信貸投資中，以使其更加一致。

And so I would -- I think that we did a great job of getting on that initiative, and I think we've opportunistically added to the credit investment strategies. On the margin side, look, I think in PMT, it's an interesting story for this quarter. Because I think -- I know margins would have been higher at PMT seeing a $4.5 million impact on profitability from unannounced GSE pricing changes.

因此，我認為我們在實施這一舉措方面做得很好，而且我認為我們已經機會主義地增加了信貸投資策略。在利潤方面，我認為在 PMT 中，本季度這是一個有趣的故事。因為我認為——我知道 PMT 的利潤率會更高，因為未宣布的 GSE 定價變化對盈利能力產生了 450 萬美元的影響。

And these pricing changes affected PMT in an unfortunate way, and the fact that it had inventory that on its balance sheet at the end of the first quarter when we sold less loans to PFSI versus in the second quarter. So I think we saw that. And as we -- in addition, we saw some other changes that the GSE is presented to us about any pipeline protection or inventory protection.

不幸的是，這些定價變化對 PMT 產生了影響，事實上，第一季度末，當我們向 PFSI 出售的貸款少於第二季度時，該公司資產負債表上的庫存數量有所減少。所以我想我們看到了這一點。此外，我們還看到 GSE 向我們提出的有關管道保護或庫存保護的其他一些變化。

So it got all that added up to the $4.5 million hit. We've made changes to our pricing methodology to risk manage that. But I think that's the margin story, I think that as it pertains to the PMT correspondent business. And look, we're in a really strong competitive position in correspondent. I think it speaks to the synergistic relationship between PMT and PFSI. At PFSI, who wants to continue to grow its servicing portfolio and has the capital to do so can step in and fill the void when PMT wants to get better balance between its credit-sensitive strategies and interest rate-sensitive strategies.

這樣，它就獲得了 450 萬美元的票房收入。我們對定價方法進行了更改，以進行風險管理。但我認為這就是保證金故事，我認為這與 PMT 通訊業務有關。瞧，我們在通訊員方面處於非常強大的競爭地位。我認為這說明了 PMT 和 PFSI 之間的協同關係。在 PFSI，如果 PMT 希望在其信用敏感策略和利率敏感策略之間取得更好的平衡，那麼希望繼續擴大其服務組合併擁有資金的 PFSI 可以介入並填補空白。

And then from a -- from a customer standpoint, they continue to see themselves in selling the loan to the same counterparty. So they're not subjected to any of the noise after the fact that arises of where the loan goes. So it's a -- I'd expect it to be -- I expect the third quarter to be similar to the second quarter, as I said, but I don't see -- and I think that's going to be the case.

然後從客戶的角度來看，他們繼續將貸款出售給同一對手方。因此，在貸款去向發生後，他們不會受到任何噪音的影響。因此，正如我所說，我預計第三季度將與第二季度相似，但我沒有看到，而且我認為情況將會如此。

I think 1 other thing that I'd add to that, because we did buy a small bulk package of MSRs during the quarter. And really the differentiation there is that PMT on -- in terms of the servicing would prefer stable cash flows through the life with really little refinance variability and refinance -- potential refinance expectations.

我想我還要補充一點，因為我們在本季度確實購買了一小批 MSR。真正的區別在於，PMT 在服務方面更喜歡整個生命週期內穩定的現金流，再融資的可變性和再融資的潛在再融資預期很小。

And that is the character of the servicing portfolio that we bought for PMT, obviously, through correspondently are purchasing loans that are at prevailing rates. And so that's why we are selling the bulk of that through or an increasing portion through the PFSI generally has stated that their objective is to bring on [mortgage] at higher rates while the purchase of bulk package at lower rates in PMT, which is not generally available through correspondently.

這就是我們為 PMT 購買的服務組合的特點，顯然，我們相應地以現行利率購買貸款。因此，這就是為什麼我們通過PFSI 出售大部分或通過PFSI 出售越來越多的部分，一般來說，他們的目標是以更高的利率提供[抵押貸款]，而在PMT 中以較低的利率購買散裝包裹，這不是一般可通過相應渠道獲得。

Okay. And then switching gears just on capital. Leverage is running a little bit higher, I guess, the last few quarters. I mean, it obviously came down this quarter, which is good to see, relative to what we saw pre-pandemic. Yet you're buying back stock, which is supporting book value as well. Can you talk about how you weigh your leverage relative to buybacks and how you're thinking about it just broadly, given the framework of different assets that are on the balance sheet today versus what it's been in the past?

好的。然後只在資本上進行轉變。我猜，過去幾個季度槓桿率有所上升。我的意思是，與我們在大流行前看到的情況相比，本季度的情況顯然有所下降，這是一件好事。然而，你正在回購股票，這也支撐了賬面價值。您能否談談您如何權衡相對於回購的槓桿率，以及考慮到今天資產負債表上不同資產的框架與過去的情況，您如何從廣義上考慮它？

So in terms of the leverage, as you mentioned, came down pretty significantly quarter-over-quarter, a portion -- a meaningful driver of that was the reduction in the inventory that we were holding on balance sheet for PMT for the correspondent business.

因此，就槓桿而言，正如您提到的，季度環比大幅下降，其中一個重要的驅動因素是我們在對應業務的 PMT 資產負債表上持有的庫存減少。

Our leverage has increased since the pre-COVID era. Some of that is around our shift toward the interest rate-sensitive strategies. So as we moved more toward that interest rate-sensitive strategies, which is primarily appearing between the MSR and agency mortgage-backed securities. The growing size of the MSR has necessitated and increased investments into the agency mortgage-backed securities. Those agency mortgage-backed securities generally come at a high overall leverage ratio.

自新冠疫情爆發之前以來，我們的影響力有所增加。其中一些是圍繞我們向利率敏感策略的轉變。因此，當我們更多地轉向利率敏感策略時，這種策略主要出現在 MSR 和機構抵押貸款支持證券之間。 MSR 規模不斷擴大，需要並增加對機構抵押貸款支持證券的投資。這些機構抵押貸款支持證券的總體槓桿率通常較高。

And so that is what has sort of driven up the overall leverage ratio over time. To the extent that we see that allocation declining, we'd expect the leverage ratio and a reallocation toward credit-sensitive strategies. We would expect that over time to result in a decline in the overall leverage ratio on the balance sheet.

這就是隨著時間的推移推高整體槓桿率的原因。如果我們看到配置下降，我們預計槓桿率會提高，並且會重新配置到信用敏感型策略。我們預計，隨著時間的推移，這將導致資產負債表上的整體槓桿率下降。

With respect to the share repurchases as you noted, that would also serve to increase the leverage ratio. We -- I think our stance towards the share repurchase at this point is really more focused around when we see a significant deviation, the share price to book value and see real potential for accretion there. We obviously saw some of that in the first quarter. I think there's less opportunity for that today, but it is something as you mentioned that we sort of weigh when we're looking at the leverage profile versus the potential for return or accretion on the share repurchases and see some balance out those considerations.

關於您提到的股票回購，這也將有助於提高槓桿率。我認為，我們目前對股票回購的立場實際上更關注於當我們看到股價與賬面價值的重大偏差並看到那裡真正的增值潛力時。我們顯然在第一季度就看到了其中的一些情況。我認為今天的機會較少，但正如您提到的，我們在考慮槓桿狀況與股票回購的回報或增值潛力時會進行權衡，並在這些考慮因素之間找到一些平衡。

And Kevin, the one thing I'd add to that also is we had really good, I would say, success in terming out the leverage in the second quarter. So we closed the [CMT] term note deal that doesn't contain margin call provisions. I think that we extend -- I know we extended the CMT term notes that were due in May of 2023.

凱文，我要補充的一件事是，我想說，我們在第二季度的槓桿方面取得了非常好的成功。因此，我們完成了不包含追加保證金條款的 [CMT] 定期票據交易。我認為我們延長了——我知道我們延長了原定於 2023 年 5 月到期的 CMT 學期說明。

We issued a 5-year term loan secured by Fannie MSR. So it's, I would say, it's the type of leverage, it's the type of debt that we have that also I look at. And then I think given the fact that we're terming out the debt as well, is something that we made really (inaudible) team made really good progress on in the second quarter.

我們發放了由房利美 MSR 擔保的 5 年期定期貸款。所以，我想說，這是槓桿的類型，也是我所關注的我們擁有的債務的類型。然後我認為考慮到我們也正在償還債務這一事實，我們團隊在第二季度確實（聽不清）取得了非常好的進展。

Your next question comes from the line of Bose George with KBW.

您的下一個問題來自 Bose George 和 KBW 的線路。

I wanted to just ask about the run rate potential ROE being lower this quarter versus last quarter? And I mean it looks like a big part of that was the MSR expectation coming down. So just curious what drove that.

我想問的是，本季度的運行率潛在 ROE 是否低於上季度？我的意思是，看起來其中很大一部分是 MSR 預期的下降。所以只是好奇是什麼推動了這一點。

Sure. So looking quarter-over-quarter at really and the run rate is really looking at our near-term expectations for returns. Really, a lot of that is driven by our expectation for short rates over the next several quarters. So if you go back to the beginning of Q2 or the end of Q1, and the last time we presented the run rate really much more of an expectation that short rates would move down in the relatively near term, which would bring down some of the funding costs on our interest rate-sensitive strategies, which are generally -- have debt that's tied to short rates floating rate debt or to short-term repo in the case of the agency MBS with the expectation that, that will remain higher and then on the agency with an inverted curve and with spreads at the levels that they are, has constrained our expectation over the near term based on where we are roughly today or a few last week.

當然。因此，季度環比和運行率實際上是我們對近期回報的預期。事實上，這很大程度上是由我們對未來幾個季度短期利率的預期推動的。因此，如果你回到第二季度初或第一季度末，我們上次提出的運行利率實際上更多的是預期短期利率將在相對近期內下降，這將導致一些我們對利率敏感的策略的融資成本通常是與短期利率浮動利率債務或機構MBS 的短期回購掛鉤的債務，預計該利率將保持較高水平，然後該機構的曲線倒轉，利差處於當前水平，根據我們今天或上週的大致情況，限制了我們對近期的預期。

Our expectation for what we see as the returns over the next few periods given the -- effectively the spread between our funding cost, what's expected to be higher short-term rates and the yield on our long-term assets, I mean the spreads that are commensurate there. If we do see changes in that, if we see a really a greater steepening of the yield curve or becoming less inverted or spreads widen out somewhat that could meaningfully improve our expectations for the returns go forward on the interest rate-sensitive strategies.

考慮到我們的融資成本、預期更高的短期利率和我們的長期資產收益率之間的有效利差，我們對未來幾個時期的回報的預期，我的意思是利差那裡是相稱的。如果我們確實看到了這種情況的變化，如果我們看到收益率曲線確實更加陡峭，或者倒掛程度減少，或者利差有所擴大，這可能會有意義地提高我們對利率敏感策略的回報預期。

Okay. And then actually, the -- so the run rate EPS is obviously, I think, it was $0.30, so quite a bit below the dividend. So just curious if that's something you look at or this is sort of whatever transitory and so you kind of wait to see how things kind of shape up going forward?

好的。實際上，我認為運行率 EPS 顯然是 0.30 美元，遠低於股息。所以只是好奇這是否是你所關注的東西，或者這是某種暫時的東西，所以你有點等待看看事情未來會如何發展？

Yes. So look, we've been pretty public in saying that we've always tried to keep the dividend tied to GAAP earnings. At the same time, we want to make it -- we try to keep it consistent, and we try not to be reactive on a quarter-by-quarter basis. So we feel that it's important for those to understand where we see the run rate at the moment. We're going to wait and see where we are at the end of next quarter.

是的。所以看，我們一直公開表示，我們一直試圖將股息與公認會計原則收益掛鉤。與此同時，我們希望做到這一點——我們努力保持一致，並且盡量不按季度做出反應。因此，我們認為對於那些了解我們目前的運行率的情況很重要。我們將拭目以待，看看下季度末我們的情況如何。

But I think that having it tied to GAAP earnings, of course, we're having the cash to pay it. And we want to make it predictable to the extent we can. And so I think that for us, it's just, I think, a way to let few and other shareholders know that this is where we're at, and we'll address it when we come back around next quarter and then we'll decide what we want to do.

但我認為，當然，如果它與公認會計原則收益掛鉤，我們就有足夠的現金來支付它。我們希望盡可能使其可預測。因此，我認為對我們來說，這只是讓少數股東和其他股東知道這就是我們所處的位置的一種方式，我們將在下個季度回來時解決這個問題，然後我們將決定我們想要做什麼。

Your next question comes from the line of Matthew Howlett with B. Riley Securities.

您的下一個問題來自 B. Riley Securities 的 Matthew Howlett。

David, just a follow on the core EPS dividend question. Historically, you've first said there's a caveat that taxable EPS runs ahead of the core GAAP income. Is that still the case? Could you disclose sort of where capital income is growing at PMT?

大衛，接下來是核心每股收益股息問題。從歷史上看，您首先說過有一個警告，即應稅每股收益先於核心 GAAP 收入。現在還是這樣嗎？您能否透露一下 PMT 資本收入的增長情況？

Yes. So the taxable income, given that we've seen this increase in our interest rate sensitive strategies and a lot of the MSR is based in the TRS, the taxable income in the REIT, although we had a bit of a timing mismatch that we disclosed last year where that was ahead was not -- is not necessarily running ahead of staff income this quarter to date.

是的。因此，鑑於我們已經看到我們的利率敏感策略有所增加，而且很多 MSR 是基於 TRS 的，即 REIT 中的應稅收入，儘管我們披露了一些時間不匹配的情況去年，這一數字並不一定領先於本季度迄今為止的員工收入。

So to David's point, since a lot of the business is in the TRS generally, we look at the GAAP EPS as sort of the -- I mean our expectations there over time as the driver unless we're otherwise compelled to look at it differently via the taxable income, but that's not necessarily a constraining factor in this case currently.

因此，就大衛的觀點而言，由於很多業務通常都在TRS 中，因此我們將GAAP 每股收益視為——我的意思是我們隨著時間的推移作為驅動因素的期望，除非我們被迫以不同的方式看待它通過應稅收入，但這不一定是目前這種情況的限制因素。

Got you. And then on the subject of taxable income and earnings power going forward, you obviously made a lot of credit investments in the quarter, almost $100 million in the CRT and the jumbo securitization. What spreads are you seeing there, assuming they tightened towards the quarter? And then what's the outlook on the organic production via CRT or even a jumbo securitization program that you've done or you've done home equity in the past and maybe close second. Just curious on the organic outlook for credit production?

明白你了。然後，就應稅收入和未來盈利能力而言，您顯然在本季度進行了大量信貸投資，在 CRT 和巨額證券化方面投入了近 1 億美元。假設利差在本季度收緊，您認為利差是多少？然後，通過 CRT 甚至是您過去做過的大型證券化計劃或您過去做過的房屋淨值（也許緊隨其後）進行的有機生產的前景如何。只是對信貸生產的有機前景感到好奇嗎？

Yes. Look, so Matt, I think that we had really strong returns in the credit-sensitive strategies. And I think that speaks to the credit spread tightening that we saw take place. I think that we have been pretty active this year in opportunistically buying credit-sensitive assets.

是的。聽著，馬特，我認為我們在信用敏感型策略中獲得了非常強勁的回報。我認為這說明了我們看到的信貸利差收緊的情況。我認為今年我們在機會主義購買信用敏感資產方面相當活躍。

We've deployed greater than $100 million in capital against credit-sensitive investments. And look, we've seen spreads come in, and so that's worked out well for us. We're always looking and evaluating opportunities in the market, and we're going to continue to do so.

我們已針對信用敏感型投資部署了超過 1 億美元的資本。看，我們已經看到價差出現了，所以這對我們來說效果很好。我們一直在尋找和評估市場機會，並且我們將繼續這樣做。

I think on the CRT front, look, I think that the return of front-end lender risk is not in the short term or medium term. I will tell you that we continue to talk to the GSEs and FHFA about it. It's an interesting issue and the fact that I think that given the size of the mortgage market, the GSEs need as much collateral as they can to provide the critical mass that they need in issuing (inaudible).

我認為在CRT方面，看，我認為前端貸方風險的回報不是在短期或中期。我會告訴你，我們將繼續與 GSE 和 FHFA 討論此事。這是一個有趣的問題，事實上，我認為考慮到抵押貸款市場的規模，政府支持企業需要盡可能多的抵押品，以提供發行時所需的臨界質量（聽不清）。

And then as you may or may not recall, there was some difference of opinion on the value of the front-end credit risk nature that we took on lender credit risk share versus they will have loan season for 9 months before they issue (inaudible) I think we put on a forward trade and there's a value there.

然後，您可能還記得，也可能不記得，對於我們承擔的貸方信用風險分擔與他們在發行前將有 9 個月的貸款季節的前端信用風險性質的價值存在一些意見分歧（聽不清）我認為我們進行遠期交易，這是有價值的。

So there's just some differences in how we and they perceive value. Having said that, we know 1 thing for sure when it comes to GSEs and FHFA and that there's always change. And so we're continuing to have the discussions.

因此，我們和他們對價值的看法存在一些差異。話雖如此，當談到 GSE 和 FHFA 時，我們確實知道一件事，那就是總是在變化。因此我們將繼續進行討論。

And I think given our correspondent presence and market share dominance, I think that we believe that if CRT comes back, we'll be able to pivot quickly to be able to capitalize on that given our share and correspondent.

我認為，鑑於我們的通訊員存在和市場份額主導地位，我認為我們相信，如果 CRT 捲土重來，我們將能夠迅速轉向，能夠利用我們的份額和通訊員的優勢。

As it pertains to other opportunities, look, I think that they see the progress that we're making PFSI and our closed-in seconds, you can see a path to being -- to those being sold to PMT to securitize and retain the subordinate bonds. So I think that, that's something we're keeping an eye on.

至於其他機會，看，我認為他們看到了我們在PFSI 上取得的進展，以及我們在幾秒鐘內完成的工作，你可以看到一條通往存在的道路——那些被出售給PMT 以證券化並留住下屬的人債券。所以我認為，這是我們正在關注的事情。

I think, as I mentioned earlier that the bank regs that came out give me kind of a bullish view on what that can mean for securitization. And I think with that, that will mean greater opportunity in buying jumbos and securitizing jumbos.

我認為，正如我之前提到的，出台的銀行法規讓我對這對證券化意味著什麼持樂觀態度。我認為，這將意味著購買巨型資產和將巨型資產證券化的機會更大。

And look, we've seen some of the banks that have been either seized or pulled back. We're pretty strong in jumbo loan lending. And so we're -- as we've always done, we keep a close watch on that. We're not going to go down in credit, okay?

看，我們已經看到一些銀行要么被查封，要么被撤回。我們在巨額貸款方面非常強大。所以我們——正如我們一直所做的那樣，我們密切關注這一點。我們不會信用下降，好嗎？

We're not going to get into non-QM or kind of more of the [cuspier] part of the mortgage space. But there's -- I think that we're looking for -- we'll continue to look for the credit investments to be able to kind of take advantage of the core skills that the management team has, like by will and the team in our capital markets group. But I think that we're in a really good place in terms of kind of getting more balanced between the credit-sensitive strategies and the interest rate-sensitive strategies.

我們不會涉及非 QM 或抵押貸款領域的更多 [cuspier] 部分。但是，我認為我們正在尋找，我們將繼續尋找信貸投資，以便能夠利用管理團隊擁有的核心技能，比如我們的意志和團隊。資本市場集團。但我認為，在信貸敏感型策略和利率敏感型策略之間更加平衡方面，我們處於非常有利的位置。

I appreciate that. I was going to ask what the new bank rules, and it sounds like you guys are well positioned for that. Really appreciate it.

我很感激。我想問新的銀行規則是什麼，聽起來你們已經做好了準備。真的很感激。

Your next question comes from the line of Doug Harter with Credit Suisse.

您的下一個問題來自瑞士信貸銀行的道格·哈特 (Doug Harter)。

Just touching on that last comment about balance. I guess as you look forward, what is the right balance as you think about it? And at what point might you kind of retain more of the MSR creation just as you kind of think about finding that balance?

剛剛談到最後關於平衡的評論。我想當你展望未來時，你會思考什麼是正確的平衡？當您考慮尋找這種平衡時，什麼時候您可能會保留更多 MSR 創作？

Yes. Look, I think it always -- like from my perspective, it really starts out with return, okay, where is the highest return and that's always going to be the driving factor in how we manage PMT. I think that return, there's a day 1 return, there's a range of outcomes return as you think about it.

是的。聽著，我認為它總是——就像從我的角度來看，它實際上是從回報開始的，好吧，最高的回報在哪裡，這永遠是我們管理 PMT 的驅動因素。我認為回報，有第一天的回報，正如你所想，有一系列結果的回報。

I think that I know that when we were approaching 60% and the interest rate sensitive strategies, it felt really kind of at a level where we need to get it more inbounds. We brought that down into the low 50s this quarter. I think that it's something that and stands now, I think the returns that we're getting on credit risk on credit-sensitive strategies meet our hurdle rate in the REIT.

我認為我知道當我們接近 60% 和利率敏感策略時，感覺確實達到了我們需要更多投入的水平。本季度我們將其降至 50 多歲以下。我認為現在的情況是這樣的，我認為我們在信用敏感策略上獲得的信用風險回報符合我們在房地產投資信託基金中的最低門檻利率。

And I think that is exhibited by the (inaudible) small MSR portfolio, if we see MSRs that meet our return targets, we're absolutely going to invest in those. I think on the -- in the correspondent business, it's tough.

我認為（聽不清）小型 MSR 投資組合就體現了這一點，如果我們看到 MSR 能夠滿足我們的回報目標，我們絕對會投資於這些產品。我認為在通訊行業，這很艱難。

It's tough to -- I think we're seeing conventional ROAs and kind of the new issue ROAs in kind of the mid-single digits, maybe a smidge higher. But I think you put leverage on that. And I think that it comes inside of the credit-sensitive returns. So I think it's something that it's not a hard and fast rule. We know that we were much lower than 50% just a few years back. But we're kind of taking it on a quarter-by-quarter basis to try to get it more aligned.

我認為我們看到傳統的 ROA 和新發行的 ROA 都在中個位數，甚至可能更高一點，這是很困難的。但我認為你對此施加了影響力。我認為它屬於對信用敏感的回報。所以我認為這並不是一個硬性規定。我們知道幾年前我們的比例還遠低於 50%。但我們會按季度進行調整，以使其更加一致。

I think overall, generally speaking, yes, we'd like them to be between credit sensitive and interest rate sensitive over time, more even certainly in the past, credit-sensitive has been a greater proportion of PMT's investment book. .

我認為總體而言，是的，隨著時間的推移，我們希望它們介於信用敏感和利率敏感之間，更可以肯定的是，在過去，信用敏感在PMT 的投資賬目中所佔的比例更大。 。

But as David said, we are also mindful of the relative returns. And if we see an opportunity in interest rate sensitive, it's not going to preclude us from taking advantage of that.

但正如大衛所說，我們也注意到相對回報。如果我們看到對利率敏感的機會，也不會阻止我們利用它。

And I guess as you look at the landscape, there seems to be a fair amount of loans kind of lower coupon discount loans that were probably -- some relatively high in credit quality. Is that from banks? Is that something that you would seriously consider for PMT?

我想，當你觀察整個情況時，似乎有相當數量的貸款屬於較低息票貼現貸款，其中一些貸款的信用質量相對較高。是銀行寄來的嗎？您會認真考慮 PMT 嗎？

It would be. I think that's -- as I think about the servicing that we want to bring into PMT, I think that's more suited for PMT. I think it's got a longer life. It's going to be a more predictable pace of cash flows.

這將是。我認為，當我考慮我們想要引入 PMT 的服務時，我認為這更適合 PMT。我認為它的壽命更長。現金流的速度將更加可預測。

It's not as reliant on recapture as kind of current note rate. And so it's a much more pure investment from that angle. We're not -- we are seeing some packages, and we bought one of those, and it's something that we keep our eye out for PMT is the conventional low-rate servicing is right kind of in their wheelhouse. And so I think that's -- I think you've kind of hit it on what we think is better suited for PMT.

它不像當前票據利率那樣依賴於重新奪回。因此從這個角度來看，這是一項更加純粹的投資。我們沒有——我們看到了一些套餐，我們購買了其中一個，這是我們對 PMT 的關注，因為傳統的低費率服務在他們的駕駛室中是正確的。所以我認為——我認為你已經找到了我們認為更適合 PMT 的方法。

And I guess what about on the loan side, jumbo loans or something of that nature that might come out of banks?

我想在貸款方面，巨額貸款或銀行可能提供的類似性質的貸款怎麼樣？

Look, I think buying seasoned jumbo loans is not really an area with PMT. We're going to look at. We'll keep this guys busy looking at things. But I just think that right now, there are -- there's still a pretty good bank bid for that. I think that we're seeing -- we've seen private equity participation in that space as well. But I don't think that seasoned jumbo loans will be an area that you'll see us overly active in.

看，我認為購買經驗豐富的巨額貸款並不是 PMT 的真正領域。我們去看看。我們會讓這些人忙於觀察事情。但我只是認為現在銀行對此的出價仍然相當不錯。我認為我們也看到私募股權參與該領域。但我認為經驗豐富的巨額貸款不會是我們過度活躍的領域。

Your next question comes from the line of Eric Hagen with BTIG.

您的下一個問題來自 BTIG 的 Eric Hagen。

I think a couple of questions here. For the CRT portfolio, so much of that risk has been delevered at this point. Like is there a way to relever that collateral in between the debt rolling over or coming deal?

我想這裡有幾個問題。對於 CRT 投資組合來說，目前大部分風險已被去槓桿化。就像有沒有辦法在債務展期或即將達成的交易之間重新利用抵押品？

And then second question here, I mean how much more liquidity or capital do you think you'd need to scale up the servicing portfolio from here? Like after you layer in the MBS and any rate hedges on top of that, would you say there's like a rule of thumb for every $1 billion of incremental servicing, we're using x amount of capital or liquidity to support that growth?

然後是第二個問題，我的意思是，您認為您需要多少流動性或資本來擴大服務組合？就像在 MBS 和任何利率對沖之後，您是否會說，每 10 億美元的增量服務，我們都會使用 x 數量的資本或流動性來支持這種增長？

Sure. So with respect to the CRT, we've, generally speaking, I guess, in a global sense, it has been delevered, right? So looking through to the homeowner where you've got CLTVs on a lot of it, LTVs on a lot of the underlying loans have gone down pretty substantially. You got 50% LTV and so forth.

當然。因此，就 CRT 而言，我想，一般來說，從全球意義上來說，我們已經去槓桿化了，對嗎？因此，仔細觀察那些擁有大量 CLTV 的房主，很多基礎貸款的 LTV 已經大幅下降。您獲得了 50% 的 LTV 等等。

But with respect to the value of the assets that we hold the credit, the credit risk pieces that we hold, we're sort of able to relever those by issuing notes. We did some in this past quarter. There are very old deals we have on repurchase agreements that are based on the value of the pieces that we hold.

但就我們持有的信用資產的價值、我們持有的信用風險部分而言，我們可以通過發行票據來重新槓桿化這些資產。我們在上個季度做了一些工作。我們有一些非常古老的回購協議，這些協議是基於我們持有的資產的價值。

So I don't think that those have necessarily been tremendously delevered from an investment point of view although the way we think about it is that the risk has been substantially -- has substantially decreased versus when we originally entered into the contracts.

因此，我認為從投資的角度來看，這些風險不一定會大幅去槓桿化，儘管我們的想法是，與我們最初簽訂合同時相比，風險已大大降低。

With respect to -- with respect to investment in MSR roughly speaking, if you look at the leverage that we're able to apply, at least on a marginal basis in terms of the MSR really at about a, call it, a 2:1 basis.

粗略地說，關於 MSR 的投資，如果你看一下我們能夠應用的槓桿，至少在 MSR 的邊際基礎上，實際上約為 a，稱之為 a 2： 1 依據。

That probably takes into -- that roughly takes into account on the value of the MSR. So to your point, if you're buying $1 billion of MSR call it depends on the servicing strip depends on the exact type of the MSR. But just for round numbers, call it, 1.5 points.

這可能會粗略地考慮到 MSR 的價值。因此，就您的觀點而言，如果您要購買 10 億美元的 MSR 看漲期權，那麼它取決於維修帶，具體取決於 MSR 的具體類型。但對於整數來說，稱之為 1.5 點。

So overall, on $1 billion, roughly $15 million of capital gross and then 2/3 of that comes down to a, call it, a $5 million equity investment that would roughly also account for any margin call reserves or -- and the incremental amount of MBS that would be required to hedge that. So I think that's the rough estimate there.

因此，總體而言，在10 億美元中，大約有1500 萬美元的資本總額，然後其中2/3 歸結為500 萬美元的股權投資，這也大致包括任何追加保證金準備金或——以及增量金額對沖這一點所需的MBS。所以我認為這就是粗略的估計。

We have no further questions at this time. I'll now turn it back to Mr. Spector for closing remarks.

目前我們沒有進一步的問題。現在我將把它轉回給斯佩克特先生做總結髮言。

Thank you, operator. And I'd like to thank all of you for participating in our first live earnings call, and it's been good 2 calls here we've had today for both companies. And if you have any questions, we're here for you, and I look forward to speaking with all of you in the near future. Thanks again, everybody.

謝謝你，接線員。我要感謝大家參加我們的第一次現場收益電話會議，今天我們在這裡舉行的兩次電話會議對兩家公司來說都是很好的。如果您有任何疑問，我們隨時為您服務，我期待在不久的將來與大家交談。再次感謝大家。

This concludes today's conference call. You may now disconnect.

今天的電話會議到此結束。您現在可以斷開連接。