PennyMac Mortgage Investment Trust (PMT) 2023 Q3 法說會逐字稿

Good afternoon, and welcome to PennyMac Mortgage Investment Trust Third Quarter 2023 Earnings Call. Additional earning material, including the presentation slides that will be referred to in the call are available on PennyMac Mortgage Investment Trust website at pmt.pennymac.com.

下午好，歡迎參加 PennyMac 抵押投資信託 2023 年第三季財報電話會議。其他獲利資料，包括電話會議中提到的簡報幻燈片，可在 PennyMac Mortgage Investment Trust 網站 pmt.pennymac.com 上取得。

Before we begin, let me remind you that this call 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 as well as non-GAAP measures that have been reconciled to their GAAP equivalent in the earning material.

在我們開始之前，請允許我提醒您，本次電話會議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業績以及非公認會計準則衡量標準存在重大差異。已與盈利材料中的 GAAP 等值進行調整。

I would like to remind everyone we will only take questions related to PennyMac Mortgage Investment Trust, or PMT. (Operator Instructions) Now I'd like to introduce David Spector, PennyMac Mortgage Investment Trust Chairman and Chief Executive Officer; and Dan Perotti, PennyMac Mortgage Investment Trust Chief Financial Officer. You may begin.

我想提醒大家，我們只會回答與 PennyMac 抵押投資信託 (PMT) 相關的問題。 （操作員須知）現在我介紹一下David Spector，PennyMac 抵押貸款投資信託董事長兼執行長；丹‧佩羅蒂 (Dan Perotti)，PennyMac 抵押投資信託公司財務長。你可以開始了。

Thank you, operator. PMT had an outstanding third quarter. Annualized ROE was 14%, reflecting very strong financial results and growth in book value per share from the prior quarter due to meaningful income contributions from all 3 of its investment strategies.

謝謝你，接線生。 PMT 第三季表現出色。年化股本回報率為 14%，反映出非常強勁的財務業績以及由於所有 3 項投資策略的顯著收入貢獻而導致每股賬面價值較上一季度增長。

As a result, book value per share net of the $0.40 dividend increased to $16.01. As you can see on Slide 4 of the presentation, mortgage rates have continued to increase from record lows in recent years and are now near 8%. As a result, many borrowers who locked in a low fixed rate mortgage in recent years have been incentivized to stay in their homes given their low mortgage payments.

結果，扣除 0.40 美元股息後，每股帳面價值增至 16.01 美元。正如您在簡報的幻燈片 4 中看到的那樣，抵押貸款利率從近年來的歷史低點持續上升，目前已接近 8%。因此，許多近年來鎖定低固定利率抵押貸款的借款人由於抵押貸款付款較低而被激勵留在自己的房屋中。

This has resulted in an extremely low inventory of homes for sale, driving expectations for the lowest unit origination volume since 1990. Additionally, we believe quarterly run rate origination volumes are trending lower than the average estimate from third parties for this year of $1.6 trillion.

這導致待售房屋庫存極低，從而推動了自 1990 年以來最低單位發行量的預期。此外，我們認為季度運行率發行量趨勢低於第三方對今年 1.6 兆美元的平均估計。

Turning to Slide 5. Though the current origination market remains constrained, I'm very enthusiastic about PMT's opportunities in this environment. Approximately 2/3 of PMT's shareholders' equity is currently invested in a seasoned portfolio of MSRs and the unique GSE lender risk share transactions which we invested in from 2015 to 2020.

轉向投影片 5。儘管目前的發起市場仍然受到限制，但我對 PMT 在這種環境下的機會非常熱情。 PMT 約 2/3 的股東權益目前投資於經驗豐富的 MSR 投資組合以及我們在 2015 年至 2020 年期間投資的獨特 GSE 貸方風險分擔交易。

Given the majority of mortgages underlying these assets were originated during periods of very low interest rates, we believe these investments stand to perform well over the foreseeable future as low expected prepayments extend the expected asset life. Additionally, delinquencies remain low due to the overall strength of the consumer and the substantial accumulation of home equity in recent years due to continued home price appreciation.

鑑於這些資產的大部分抵押貸款都是在利率非常低的時期發起的，我們相信這些投資在可預見的未來將表現良好，因為較低的預期預付款延長了預期資產壽命。此外，由於消費者的整體實力以及近年來房價持續上漲導致房屋淨值大量積累，拖欠率仍然較低。

Mortgage servicing rights investments account for about half of PMT's deployed equity. The underlying mortgages are far out of the money given current mortgage rates, reducing the sensitivity for MSR fair values. As a result, we expect the MSR asset to produce stable cash flows over an extended period of time.

抵押貸款服務權投資約佔 PMT 已部署股本的一半。考慮到目前的抵押貸款利率，基礎抵押貸款的價值遠遠不足，從而降低了 MSR 公允價值的敏感度。因此，我們預計 MSR 資產將在較長時間內產生穩定的現金流。

MSR value should also find additional support in a higher for longer environment as the placement fee income PMT receives on custodial deposits is closely tied to short-term interest rates. Similarly, low delinquencies and very low current loan-to-value ratios on the mortgages underlying PMT's large investment in lender risk share are expected to support the performance of these assets over the long term and we ultimately expect the realized losses over the life of these investments to be limited.

MSR 的價值也應該在長期較高的環境中找到額外的支持，因為 PMT 從託管存款中獲得的安置費收入與短期利率密切相關。同樣，PMT 對貸方風險份額進行大量投資的抵押貸款的低拖欠率和非常低的當前貸款價值比率預計將支持這些資產的長期表現，我們最終預計這些資產在整個生命週期內的已實現損失投資受到限制。

PMT's current capital deployment is focused on opportunistic investments that we believe have the potential for strong, long-term risk-adjusted returns. This quarter, we invested nearly $65 million in such investments and we'll continue to monitor the markets for similar opportunities.

PMT 目前的資本配置重點是機會性投資，我們認為這些投資有潛力獲得強勁的長期風險調整回報。本季度，我們在此類投資中投資了近 6,500 萬美元，我們將繼續監控市場是否有類似的機會。

Looking at our run rate potential on Slide 7, with expectations for interest rates to remain higher for longer and a de-inversion of the yield curve during the third quarter, potential returns from the interest rate sensitive strategies have improved driven by higher projected yields relative to financing costs for MSRs and MBS.

看看我們在幻燈片7 上的運行利率潛力，由於預期利率將在更長時間內保持較高水平，並且第三季度收益率曲線不再倒掛，因此利率敏感策略的潛在回報在預期收益率相對較高的推動下有所改善。MSR 和 MBS 的融資成本。

As such, the run rate return potential expected from PMT's investment strategies over the next 4 quarters increased from $0.30 in the prior quarter to $0.35 per share or 9% annualized return on equity.

因此，PMT 投資策略在未來 4 個季度的預期運行回報率潛力從上一季的 0.30 美元增至每股 0.35 美元，即年化股本回報率為 9%。

I will now turn it over to Dan, who will review the drivers of PMT's third quarter financial performance.

我現在將其交給 Dan，他將回顧 PMT 第三季財務表現的驅動因素。

Thank you, David. Turning to Slide 11. PMT earned $51 million in net income to common shareholders in the third quarter or $0.51 per share. PMT's credit-sensitive strategies contributed $41 million in pretax income. Income from PMT's organically created CRT investments this quarter totaled $27 million.

謝謝你，大衛。轉向投影片 11。PMT 第三季為普通股股東帶來 5,100 萬美元淨利潤，即每股 0.51 美元。 PMT 的信用敏感策略貢獻了 4,100 萬美元的稅前收入。本季 PMT 有機創建的 CRT 投資收入總計 2,700 萬美元。

This amount included $14.6 million in market-driven fair value gains, reflecting the impact of tighter credit spreads. The fair value of these investments decreased slightly from the prior quarter to $1.1 billion as runoff from prepayments more than offset fair value gains.

這筆金額包括 1,460 萬美元的市場驅動的公允價值收益，反映了信貸利差收窄的影響。這些投資的公允價值較上一季略有下降，至 11 億美元，因為預付款項的徑流超過了公允價值收益的抵銷。

As David mentioned, the outlook for our current investments in organically created CRT remains favorable with an underlying current weighted average loan-to-value ratio of approximately 50% and a 60-day delinquency rate of 1.18%, both at September 30.

正如 David 所提到的，我們目前有機創建的 CRT 投資的前景仍然樂觀，截至 9 月 30 日，當前加權平均貸款價值比率約為 50%，60 天拖欠率為 1.18%。

Income from opportunistic investments in CAS and STACR bonds issued by the GSEs totaled $16.3 million in the quarter. The interest rate sensitive strategies contributed $82 million to pretax income. MSR fair values increased due to the higher interest rates, which drove expectations for lower prepayment activity and higher earnings from placement fees on custodial balances.

本季來自 GSE 發行的 CAS 和 STACR 債券的機會投資收入總計 1,630 萬美元。利率敏感策略為稅前收入貢獻了 8,200 萬美元。由於利率上升，MSR 公允價值有所上升，這推動了對預付款活動減少和託管餘額安置費收入增加的預期。

Before recognition of realization of cash flows, PMT's MSR fair value increased by $263 million. These fair value gains on MSRs held in PMT's taxable REIT subsidiary also drove the large provision for income tax expense in the quarter. Net fair value losses on agency MBS, interest rate hedges and the related tax impacts were $254 million, driven by higher interest rates.

在確認現金流量實現之前，PMT 的 MSR 公允價值增加了 2.63 億美元。 PMT 的應稅 REIT 子公司持有的 MSR 的公允價值收益也推動了本季所得稅費用的巨額撥備。由於利率上升，機構 MBS、利率對沖和相關稅收影響的淨公允價值損失為 2.54 億美元。

The fair value of PMT's MSR asset at the end of the quarter was $4.1 billion from June 30 as fair value increases and newly originated MSR investments more than offset runoff from prepayments. Delinquency rates for borrowers underlying PMT's MSR portfolio remain low and servicing advances outstanding decreased to $80 million from $94 million at June 30. No principal and interest advances are currently outstanding as prepayment activity continues to sufficiently cover remittance obligations.

自 6 月 30 日起，PMT 的 MSR 資產在本季末的公允價值為 41 億美元，原因是公允價值增加且新發起的 MSR 投資超過了預付款項的徑流。截至6 月30 日，PMT 的MSR 投資組合基礎借款人的拖欠率仍然較低，未償還的服務預付款從9,400 萬美元降至8,000 萬美元。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。

Income from PMT's correspondent production segment was up from last quarter, primarily due to higher margins. The prior quarter also included a negative impact of $4.5 million due to changes in GSE pricing. Total correspondent loan acquisition volume was $22 billion in the third quarter, up 2% from the prior quarter.

PMT 相應生產部門的收入較上季度增加，主要是由於利潤率較高。由於 GSE 定價的變化，上一季也產生了 450 萬美元的負面影響。第三季代理貸款收購總額為 220 億美元，較上一季成長 2%。

Conventional loans acquired for PMT's account totaled $2.8 billion, down 9% from the prior quarter due to the ongoing sales of certain conventional loans to PFSI. The weighted average fulfillment fee rate was 20 basis points, up from 18 basis points in the prior quarter.

由於持續向 PFSI 出售某些常規貸款，PMT 帳戶獲得的常規貸款總額為 28 億美元，比上一季下降 9%。加權平均配送費用率為 20 個基點，高於上一季的 18 個基點。

PMT reported $32 million of net income across its strategies, excluding market-driven value changes and the related tax impacts, up from $25 million last quarter. As you can see on Slide 13, in the third quarter, we also took several steps to further strengthen PMT's balance sheet.

PMT 報告稱，其策略淨利潤為 3,200 萬美元，不包括市場驅動的價值變化和相關稅收影響，高於上季度的 2,500 萬美元。正如您在投影片 13 中看到的，在第三季度，我們還採取了多項措施來進一步加強 PMT 的資產負債表。

These included the upside of a previously issued Fannie Mae term loan from $155 million to $370 million, the redemption of $450 million in Fannie Mae MSR term notes due in 2025 and the opportunistic issuance of $54 million in unsecured senior debt at very attractive terms. Finally, while there has been significant interest rate volatility since quarter end, PMT's book value per share is little changed as a result of our hedge discipline. We'll now open it up for questions. Operator?

其中包括先前發行的房利美定期貸款從1.55 億美元增至3.7 億美元、贖回2025 年到期的4.5 億美元房利美MSR 定期票據，以及以非常有吸引力的條件機會發行5,400 萬美元的無擔保優先債務。最後，雖然自季度末以來利率出現了大幅波動，但由於我們的對沖紀律，PMT 的每股帳面價值幾乎沒有變化。我們現在將開放提問。操作員？

(Operator Instructions) Your first question comes from the line of Bose George from KBW.

（操作員說明）您的第一個問題來自 KBW 的 Bose George。

Actually, going to Slide 7. If the yield curve continues to de-invert or even whatever normalizes, does that -- would that continue to push up the return? And is that a way that you potentially get back to your ROE that could cover the dividend?

實際上，轉到投影片 7。如果殖利率曲線繼續反轉，甚至正常化，那麼會繼續推高回報嗎？這是您有可能恢復股本回報率以支付股息的一種方式嗎？

Bose, this is Dan. Yes, that's exactly right. During the quarter -- quarter-over-quarter, the primary factor that drove up what we see as the run rate potential was that de-inversion of the yield curve, we've seen some additional de-inversion here as we've -- as we move further into Q4, and we would expect that to have the same impact as we saw during last quarter, which could get us back to your point, up to a $0.40 type of run rate to the extent that we see further that de-inversion continues to happen.

博斯，這是丹。是的，完全正確。在本季度中，與上一季相比，推高我們所認為的運行率潛力的主要因素是收益率曲線的去倒掛，我們在這裡看到了一些額外的去倒掛，因為我們已經- - 隨著我們進一步進入第四季度，我們預計這會產生與上季度相同的影響，這可能會讓我們回到您的觀點，最高可達0.40 美元的運行率，我們進一步看到反反轉繼續發生。

Okay. Great. And then on the mortgage banking return this quarter, I mean, would you characterize this quarter as somewhat more normal than last quarter as being impaired by the GSE pricing change? Or how would you characterize this quarter?

好的。偉大的。然後，關於本季的抵押貸款銀行回報，我的意思是，您是否認為本季比上季更正常，因為受到 GSE 定價變動的影響？或者您如何描述本季？

Yes, this quarter, I think we would characterize as somewhat more normalized. To your point, last quarter, we had the negative impact of the GSE pricing change that did not recur this quarter. And the -- in terms of the margins and other impacts on the channel. I think we're seeing something fairly similar going into Q4 here.

是的，我認為這個季度我們會更加正常化。就您而言，上個季度，我們受到了 GSE 定價變化的負面影響，但本季並未再次出現。還有——就利潤率和對通路的其他影響而言。我認為我們在第四季度看到了相當相似的情況。

So I'd say I think your characterization is right that it's a more sort of normalized result than we saw in the prior quarter.

所以我想說，我認為你的描述是正確的，這是比我們在上一季看到的更標準化的結果。

Your next question comes from the line of Kevin Barker from Piper Sandler.

您的下一個問題來自 Piper Sandler 的 Kevin Barker。

I noticed that the MSR has marked up fairly high relative to some of the peers. Now obviously, you hedge it to protect that value. But is there anything that's really driving some of that value and is there anything there that could create slight risk despite the hedging that you put in place?

我注意到，相對於一些同行，MSR 的標記相當高。現在顯然，你對沖它以保護該價值。但是，是否有什麼因素真正推動了部分價值？儘管您採取了對沖措施，但是否有任何因素可能會產生輕微的風險？

I don't think there's any -- this is Dan again. I don't think there's anything in there that would necessarily constitute a more significant risk than what we've seen in the past. In fact, given how far out of the money the borrowers are underlying the MSR, the prepayment sensitivity is lower than what we've seen historically.

我認為沒有——這又是丹。我認為其中沒有任何東西一定會構成比我們過去所看到的更大的風險。事實上，考慮到借款人在 MSR 中的資金狀況，提前還款敏感度低於我們歷史上看到的水平。

And so the sort of the hedging risk there is lower. Really what's driving at this point given that so many -- so much of the borrowers -- so many of the borrowers are far out of the money, what's driving a lot of the value or potential additional value at this point really has to do with the escrow -- the earnings on the escrow balances, which are a part of the cash flows from that projected at our part of the MSR value.

因此，對沖風險較低。考慮到如此多的借款人、如此多的借款人都嚴重缺錢，目前推動大量價值或潛在附加價值的因素確實與託管——託管餘額的收益，這是根據我們的MSR 價值部分預測的現金流的一部分。

And so as the market and the yield curve adjust to this higher-for-longer sort of scenario, that increases the expected value of those escrow balances and that -- those cash flows associated with that. But that is all incorporated into our sensitivity of the MSR asset and what we're hedging against to the extent that we see interest rate changes or volatility.

因此，當市場和殖利率曲線適應這種長期較高的情況時，這些託管餘額以及與之相關的現金流量的預期價值就會增加。但這全部都納入了我們對 MSR 資產的敏感度以及我們在看到利率變化或波動時所對沖的內容。

Helpful color. And then also, obviously, CRT was a major investment for you for a long period of time. Are you seeing any other avenues for investment in credit out there that might be attractive, whether it's other GSE products or potentially even non-GSE or non-agency products?

有用的顏色。而且，顯然，CRT 在很長一段時間內都是您的一項重大投資。您是否看到任何其他可能有吸引力的信貸投資途徑，無論是其他 GSE 產品，甚至可能是非 GSE 或非機構產品？

Kevin, it's David. Look, I think that we've brought a little bit of CAS and STACR in the third quarter. And we bought $58 million in sub bonds, albeit it's not really credit because we're buying more I would say, at the top of the credit stack.

凱文，我是大衛。看，我認為我們在第三季度引入了一些 CAS 和 STACR。我們購買了 5800 萬美元的次級債券，儘管這並不是真正的信貸，因為我想說的是，我們正在購買更多的信貸堆疊頂部的債券。

But suffice it to say, I think that given what we're seeing with the capital regs that have come up for banks, I expect there will be more securitization. Out of that, I'm hopeful that we'll see opportunities for PMT.

但我只想說，我認為鑑於我們所看到的銀行資本監管，我預計將會有更多的證券化。因此，我希望我們能看到 PMT 的機會。

PMT is really positioned well we do see an increased amount of securitization. And I think there's going to be potential for jumbo securitization -- and I think that right now, we're -- for all the closed end second production is being done in PFSI, that product is being sold (inaudible) but others are securitizing that, albeit at returns that are -- that don't meet PMT's minimum return. But ultimately, I can see there being an opportunity for securitization of close-end seconds where there is a retained investment for PMT.

PMT 的定位確實很好，我們確實看到證券化程度增加。我認為大型證券化將會有潛力——我認為現在，我們——因為所有封閉式的第二次生產都是在PFSI 中完成的，該產品正在出售（聽不清楚），但其他產品正在證券化儘管回報率未達到 PMT 的最低迴報率。但最終，我認為存在對 PMT 保留投資的封閉式秒錶進行證券化的機會。

Another factor that's sort of important to note that we called out this quarter, is just -- if you look at our current investments in the mortgage servicing rights and the GSE credit risk transfer, which 50% and 15% of our shareholders' equity together 65%.

我們本季提出的另一個需要注意的重要因素是——如果你看看我們目前在抵押貸款服務權和 GSE 信用風險轉移方面的投資，這分別占我們股東權益的 50% 和 15% 65%。

Those are all based in very low note rate -- have very low note rate borrowers underlying those investments. They're running off very slowly for that reason, and they both have very strong credit characteristics of the underlying borrowers to drive them.

這些都是基於非常低的票據利率——這些投資的基礎票據利率非常低。由於這個原因，他們的流失速度非常緩慢，而且他們都有非常強大的基礎借款人信用特徵來推動他們。

And so as we are waiting for some of these other trends to develop or we're seeing some of these other trends develop, we have this really strong base of assets that is running off at a slow rate that we expect to perform really well over time.

因此，當我們正在等待其他一些趨勢的發展或我們看到其他一些趨勢的發展時，我們擁有非常強大的資產基礎，這些資產正在以緩慢的速度流失，我們預計在未來一段時間內表現得非常好時間。

So ideally, over the long term, how would you want PMT's balance sheet structured from an equity investment standpoint, credit sensitive strategies versus interest rate sensitive strategy.

因此，理想情況下，從長遠來看，從股權投資的角度來看，您希望 PMT 的資產負債表結構如何，信用敏感型策略與利率敏感型策略。

I don't -- Kevin, I think that we always optimize for is return on equity. So I would start there. We've -- the 50% mortgage servicing rights is higher than we'd like. Now albeit some of that -- a lot of that is because of the write-up of the asset.

我不會－凱文，我認為我們總是優化股本報酬率。所以我會從那裡開始。我們 - 50% 的抵押貸款服務權比我們想要的要高。現在，儘管其中有一部分——大部分是因為資產的增記。

And I think if you saw a rate decline, you would see it get much more in line or much closer to where the credit risk is. I think all things being equal, if returns are identical to 1 another, then you could say, okay, maybe a 50-50 split -- but I think the ROE is always going to be the driving factor.

我認為，如果您看到利率下降，您會發現它更符合或更接近信用風險所在的位置。我認為在所有條件相同的情況下，如果回報率彼此相同，那麼你可以說，好吧，也許是 50-50 的分配——但我認為 ROE 永遠是驅動因素。

And then the ongoing -- if we can find the investment that is ongoing when we're creating franchise value for PMT as well as we saw going all the way back to NPLs or then followed on by the CRT we did from 2015 to 2020, that's something that we would definitely be supportive of. But as you know, I think that suffice it to say, right now, we see the 50%, 15% split between mortgage servicing rights and CRT as 1 that we'd like to get a little bit more in balance.

然後是持續的——如果我們能找到在為 PMT 創造特許經營價值時正在進行的投資，以及我們看到的一路回到不良貸款或隨後我們從 2015 年到 2020 年所做的 CRT，我們肯定會支持這一點。但如你所知，我認為現在就足以說明，我們認為抵押貸款服務權和 CRT 之間 50%、15% 的分配為 1，我們希望能夠更加平衡。

(Operator Instructions) Your next question comes from the line of Eric Hagen from BTIG.

（操作員說明）您的下一個問題來自 BTIG 的 Eric Hagen。

Just a question around risk management and managing just rate risk and leverage and such. How much more MBS do you think you need to maybe add to the portfolio for given an increase in the MSR portfolio from here?

只是一個關於風險管理和管理評級風險和槓桿等的問題。鑑於 MSR 投資組合在此基礎上有所增加，您認為您可能還需要在投資組合中添加多少 MBS？

Like are there levels of spreads for -- on the MBS side where you can -- it looks to get more aggressive there and even raise leverage? And how much room do you have to raise leverage in that portfolio?

例如MBS方面的利差水準是否會變得更加激進，甚至提高槓桿？您在該投資組合中還有多少提高槓桿率的空間？

Eric, it's Dan. Yes, given the increase in the MSR portfolio, we may add incrementally to the agency MBS portfolio. We've added certainly incrementally in terms of some of the non-agency MBS, as David mentioned. But it's not necessarily -- it's not necessary per se to add substantially due to the change in the MSR to balance out from a REIT test perspective, if that's where you were going.

艾瑞克，我是丹。是的，鑑於 MSR 投資組合的增加，我們可能會逐步增加機構 MBS 投資組合。正如大衛所提到的，我們肯定已經逐步增加了一些非機構MBS。但這不一定——如果您打算這樣做的話，由於 MSR 的變化，從 REIT 測試的角度來看，本身沒有必要大幅增加以平衡。

To the extent that we do see spreads widen and that investment as attractive, we could add additional agency MBS. We do -- our overall leverage ratio is around 5x currently. So we do have some ability to continue to increase that but we aren't necessarily looking to substantially increase our agency MBS portfolio unless we saw that as a really significant opportunity.

如果我們確實看到利差擴大並且投資具有吸引力，我們可以增加額外的機構MBS。我們確實如此——目前我們的整體槓桿率約為 5 倍。因此，我們確實有能力繼續增加這一數量，但我們不一定會大幅增加我們的機構 MBS 投資組合，除非我們認為這是一個非常重要的機會。

Yes, totally understood. Second question, I mean, just looking at the liquidity requirement, on Slide 18, you have a cushion of around $200 million of liquidity. Do you feel like that's a comfortable cushion just given the size of the balance sheet? How sensitive would you say that kind of liquidity, that regulatory liquidity is to higher interest rates and wider spreads?

是的，完全明白了。第二個問題，我的意思是，只要看看投影片 18 上的流動性要求，就有大約 2 億美元的流動性緩衝。考慮到資產負債表的規模，您是否覺得這是一個舒適的緩衝？您認為這種流動性、監管流動性對更高的利率和更大的利差有多敏感？

Yes. Q2 -- so when we are looking at our hedging position, we look at both our liquidity as well as the balance sheet value and hedge for both of those. Yes we do think that, that cushion is very sufficient to be able to manage to -- in terms of managing our liquidity for the balance sheet size that we have.

是的。第二季度——因此，當我們考慮對沖頭寸時，我們會考慮我們的流動性以及資產負債表價值和這兩者的對沖。是的，我們確實認為，就管理我們擁有的資產負債表規模的流動性而言，這種緩衝非常足夠。

It would take a pretty substantial increase in spreads to put a meaningful dent into that liquidity that we're holding here. And we do have a little bit of additional overall liquidity that we can tap that isn't on the balance sheet today. So this doesn't represent the maximum size of the liquidity where we have a bit more that we could tap as well if we did see a spread widening or something to that -- of that nature.

利差需要大幅增加才能對我們所持有的流動性產生有意義的影響。我們確實有一點額外的整體流動性可以利用，但今天的資產負債表上沒有。因此，這並不代表流動性的最大規模，如果我們確實看到利差擴大或類似的情況，我們也可以利用更多的流動性。

Yes. Did you guys give an update for your book value through October? And if I missed it, I apologize.

是的。你們有更新十月份的帳面價值嗎？如果我錯過了，我深表歉意。

Yes, we did. It's a little -- it's really a little changed from what we saw at the end of the quarter.

是的我們做了。與我們在本季末看到的情況相比，確實發生了一些變化。

(Operator Instructions) Your next question comes from the line of Matthew Erdner from JonesTrading.

（操作員說明）您的下一個問題來自 JonesTrading 的 Matthew Erdner。

I believe you didn't repurchase any shares during the quarter, if that's true, let me know. And then how are you guys weighing share repurchases versus deployment of capital, given where the stock has traded over the past couple of quarters.

我相信您在本季沒有回購任何股票，如果屬實，請告訴我。然後，考慮到該股在過去幾季的交易情況，你們如何權衡股票回購與資本部署。

Yes, this is Dan. Yes, we did not repurchase any shares over the quarter that is something that we look at as a potential deployment of our capital. Certainly, the shares were trading during most of Q3 higher than they have been over the recent couple of weeks.

是的，這是丹。是的，我們在本季沒有回購任何股票，我們認為這是我們資本的潛在部署。當然，在第三季的大部分時間裡，股價的交易價格都高於最近幾週的價格。

And I would say that we find share repurchase is more attractive, meaningfully more attractive at the levels that we're seeing today than we did at some of the levels that we saw over the -- during Q3. So that could result in some activity versus to your point, we did not repurchase any shares during Q3.

我想說的是，我們發現股票回購在我們今天看到的水平比我們在第三季度看到的某些水平更具吸引力，更有意義。因此，這可能會導致一些活動與您的觀點相反，我們在第三季沒有回購任何股票。

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

目前我們沒有進一步的問題。現在我將把電話轉回給斯佩克特先生做總結發言。

Again, I want to thank everyone for joining us here today for our Q3 earnings. If you have any questions or comments, please don't hesitate to reach out to our Investor Relations team, and I look forward to speaking with all of you in the near future. Take care.

我要再次感謝大家今天來到這裡了解我們的第三季財報。如果您有任何問題或意見，請隨時聯繫我們的投資者關係團隊，我期待在不久的將來與您所有人交談。小心。

This concludes today's conference call. Thank you for your participation, and you may now disconnect.

今天的電話會議到此結束。感謝您的參與，您現在可以斷開連接。