PennyMac Mortgage Investment Trust (PMT) 2023 Q4 法說會逐字稿

Good afternoon and welcome to PennyMac Mortgage Investment Trust fourth-quarter and full year 2023 earnings call.

下午好，歡迎參加 PennyMac 抵押投資信託公司 2023 年第四季和全年財報電話會議。

Additional earnings materials, including the presentation slides that will be referred to in the call are available on PennyMac Mortgage Investment Trust's website pmt.pennymac.com. Before we begin, let me remind you that this call will This call may contain forward-looking statements that are subject to certain risks identified on slide 2 of the earnings presentation that may cause the company's actual results to differ materially as well as non-GAAP measures that have been reconciled to the GAAP equivalent in the earnings materials.

其他收益資料，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。在我們開始之前，讓我提醒您，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結果與非公認會計原則存在重大差異已與收益資料中的 GAAP 同等指標進行調整的措施。

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

現在我想介紹一下David Spector，PennyMac Mortgage Investment Trust 的董事長兼執行長；丹‧佩羅蒂 (Dan Perotti)，PennyMac 抵押投資信託公司財務長。

Thank you, operator.

謝謝你，接線生。

Good afternoon, and thank you to everyone for participating in our fourth quarter earnings call.

下午好，感謝大家參加我們的第四季財報電話會議。

PMT produced very strong results in the fourth quarter with sizable contributions from the Credit Sensitive Strategies and its correspondent production business.

PMT 在第四季度取得了非常強勁的業績，其中信用敏感策略及其相應的生產業務做出了巨大貢獻。

These results were partially offset by fair value declines in the interest rate sensitive strategies.

這些結果被利率敏感策略的公允價值下降部分抵銷。

Net income to common shareholders was $42 million or diluted earnings per share of $0.44. PMT's annualized return on common equity was 12% and book value per share increased to $16.13 at December 31, up from $16.1 at the end of the prior quarter.

普通股股東淨利為 4,200 萬美元，稀釋後每股收益為 0.44 美元。截至 12 月 31 日，PMT 的年化普通股回報率為 12%，每股帳面價值從上一季末的 16.1 美元增至 16.13 美元。

This strong financial performance marked the culmination of an outstanding year for PMT, demonstrating its resilience in a year of tremendous interest rate volatility and highlighting our management team's unwavering commitment to managing interest rate risk.

這一強勁的財務表現標誌著 PMT 出色的一年達到了頂峰，展示了其在利率劇烈波動的一年中的韌性，並突顯了我們的管理團隊對管理利率風險的堅定承諾。

PMT was profitable every quarter in 2023 with annual income contributions from all three of its investment strategies.

PMT 2023 年每季均實現盈利，其所有三種投資策略均貢獻了年度收入。

Net income attributable to common shareholders for the year was $158 million, core diluted earnings per share of $1.63. Return on common equity was 11% and book value per share grew 2% net of $1.60 and common share dividends.

本年度歸屬於普通股股東的淨利為 1.58 億美元，核心攤薄後每股收益為 1.63 美元。普通股報酬率為 11%，扣除 1.60 美元和普通股股息後，每股帳面價值成長 2%。

In 2023, we invested nearly $500 million into new MSR and opportunistic investments, which we believe will perform well over the long term.

2023 年，我們向新的 MSR 和機會主義投資了近 5 億美元，我們相信這些投資將在長期內表現良好。

As we head into 2024, we will remain disciplined in the deployment of capital to continue to look for opportunistic investments across the residential mortgage landscape.

進入 2024 年，我們將在資本部署方面保持嚴格，繼續在住宅抵押貸款領域尋找機會投資。

The strength of PMT's balance sheet has always been a key differentiator among mortgage rates, and I'm very proud of the work our management team has accomplished in 2023.

PMT 資產負債表的實力一直是抵押貸款利率的關鍵區別因素，我對我們的管理團隊在 2023 年所完成的工作感到非常自豪。

Not only did we return approximately $170 million to shareholders through common share, cash dividends and share repurchases, but we further strengthened the balance sheet with new long-term debt issuances of $659 million and redemptions of $450 million in debt with upcoming maturities.

我們不僅透過普通股、現金股利和股票回購向股東返還了約 1.7 億美元，而且透過發行 6.59 億美元的新長期債務和贖回 4.5 億美元即將到期的債務，進一步強化了資產負債表。

As you can see on Slide 5 of our fourth quarter presentation.

正如您在我們第四季度簡報的幻燈片 5 中看到的那樣。

The origination market is expected to have troughed in 2023 as mortgage rates have declined from their recent highs and anticipated future rate cuts have increased third party estimates for industry originations in 2024 to approximately 2 trillion.

由於抵押貸款利率已從近期高點下降，並且預期未來降息，第三方對 2024 年行業起源的估計將增加至約 2 兆美元，預計起源市場將在 2023 年觸底。

Much of this anticipated growth is based on expectations for interest rate reductions later on in the year, and we expect the first quarter of 2024 to remain seasonally low before moving into spring and summer homebuying season.

這一預期增長很大程度上是基於對今年稍後降息的預期，我們預計 2024 年第一季將在進入春季和夏季購房季節之前保持季節性低位。

Given the current environment, I remain very enthusiastic about the potential performance from PMT's investment portfolio.

鑑於當前環境，我仍然對 PMT 投資組合的潛在表現充滿熱情。

More than two thirds of PMT's shareholders' equity is currently invested in the seasoned portfolio of MSRs and the unique GSE lender risk share transactions we invested in from 2015 to 2020 as the majority of mortgages underlying these assets were originated during periods of very low interest rates.

目前，PMT 超過三分之二的股東權益投資於經驗豐富的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，因為這些資產的大部分抵押貸款都是在利率極低期間發起的。

We continue to believe these investments will perform well over the foreseeable future, has low expected prepayments extend the expected asset life.

我們仍然相信這些投資在可預見的未來將表現良好，預期預付款較低，可延長預期資產壽命。

Additionally, delinquencies remain low due to the overall strength of the consumer as well as a substantial accumulation of home equity in recent years due to continued home price appreciation and as solar investments account for more than half of PMT's deployed equity for rates declined during the quarter.

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，以及太陽能投資佔 PMT 部署資產的一半以上（本季度利率下降），拖欠率仍然較低。 。

The majority of the underlying mortgages remain far out of the money, and we expect the MSR asset to continue to produce stable cash flows over an extended period of time.

大多數基礎抵押貸款仍處於虛值狀態，我們預計 MSR 資產將在較長一段時間內繼續產生穩定的現金流。

The MSR values also benefit from the current interest rate environment has the placement fee income.

MSR 價值也受惠於當前利率環境下的配售費收入。

PMT receives on custodial deposits is closely tied to short-term rates.

PMT 收到的託管存款與短期利率密切相關。

Similarly, mortgages underlying PMT's large investment in lender risk share have low delinquencies and a low weighted average current loan-to-value ratio of 50%.

同樣，PMT 在貸款人風險分擔方面進行大量投資的抵押貸款拖欠率較低，加權平均當前貸款價值比也較低，為 50%。

These characteristics are expected to support the performance of these assets over the long term, and we continue to expect the realized losses over the life of these investments to be limited.

這些特徵預計將支持這些資產的長期表現，我們仍然預計這些投資在整個生命週期中實現的損失將是有限的。

We remain focused on actively managing PMT's portfolio of opportunistic investments, which we believe have the potential for strong long-term risk-adjusted returns.

我們仍然專注於積極管理 PMT 的機會性投資組合，我們相信這些投資組合具有強勁的長期風險調整回報潛力。

In the fourth quarter, we invested 17 million into floating rate GSE CRT bonds.

第四季度，我們投資了1700萬浮動利率GSE CRT債券。

After quarter end, we sold 56 million of previously purchased floating rate GSCCRT bonds as credit spreads have tightened making capital available for PMT to deploy into additional opportunistic investments.

季度末後，由於信用利差收緊，我們出售了先前購買的 5,600 萬張浮動利率 GSCCRT 債券，為 PMT 提供了可用於部署其他機會性投資的資金。

Slide 8 outlines the runway potential expected from PMT's investment strategies over the next four quarters.

投影片 8 概述了 PMT 未來四個季度投資策略的預期潛力。

PMT's current run rate reflects an average $0.31 per share over the next four quarters.

PMT 目前的運行率反映了未來四個季度的平均每股 0.31 美元。

This is down modestly from the prior quarter due to the impact of interest rate changes on asset yields compared to financing rates for the interest rate sensitive strategies, the expected returns on these investments have the potential to improve if short-term rates decline driving an increase in the overall run rate.

由於利率變化對資產收益率的影響，與利率敏感策略的融資利率相比，這一數字較上一季度略有下降，如果短期利率下降推動增長，這些投資的預期回報有可能提高在整體運行率中。

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

我現在將其交給 Dan，他將回顧 PMT 第四季財務業績的驅動因素。

Thank you, David.

謝謝你，大衛。

Turning to slide 12, PMT earned $42 million in net income to common shareholders in the fourth quarter were $0.44 per diluted common share.

轉向投影片 12，PMT 第四季為普通股股東帶來的淨利潤為 4,200 萬美元，稀釋後普通股每股收益為 0.44 美元。

PMT's Credit Sensitive Strategies contributed $61 million in pretax income.

PMT 的信用敏感策略貢獻了 6,100 萬美元的稅前收入。

Pretax income from PMT's organically created CRT investments in the fourth quarter totaled $42 million.

第四季 PMT 有機創建的 CRT 投資的稅前收入總計 4,200 萬美元。

This amount included $29 million in market-driven fair value gains, reflecting the impact of tighter credit spreads.

這筆金額包括 2,900 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。

Fair value of these investments was essentially unchanged from the prior quarter as fair value gains were offset by runoff.

這些投資的公允價值與上一季基本持平，因為公允價值收益被徑流抵銷。

As David mentioned, the outlook for our current investments in organically created CRT. remains favorable with a low underlying current weighted average loan to value ratio and a 60 day delinquency rate of 1.23% as of December 31st, income from opportunistic investments in Cason and stacker bonds issued by the GSEs totaled $12.8 million in the quarter.

正如 David 所提到的，我們目前對有機創建的 CRT 投資的前景。截至12 月31 日，由於潛在的當前加權平均貸款與價值比率較低且60 天拖欠率為1.23%，該公司仍然有利，本季度來自GSE 發行的Cason 和Stacker 債券的機會性投資收入總計1,280 萬美元。

Interest Rate Sensitive Strategies contributed a pretax loss of $17 million.

利率敏感策略導致稅前虧損 1700 萬美元。

The fair value of PMT's MSR investment decreased by $145 million as the decline in mortgage rates increased future prepayment projections, approximately 78% or $112 million of this MSR decline was offset by changes in the fair value of agency MBS, interest rate hedges and related income tax effects.

由於抵押貸款利率下降增加了未來提前還款預測，PMT 的MSR 投資的公允價值下降了1.45 億美元，該MSR 下降的約78%（即1.12 億美元）被機構MBS 公允價值的變化、利率對沖和相關收入所抵消稅收影響。

Agency MBS fair value increased by $184 million, while interest rate hedges decreased by $94 million fair value declines on MSRs and interest rate hedges held in PMT's taxable rate subsidiary drove a tax benefit in the fourth quarter.

機構 MBS 公允價值增加了 1.84 億美元，而利率對沖減少了 9,400 萬美元，MSR 的公允價值下降，PMT 應稅子公司持有的利率對沖帶來了第四季度的稅收優惠。

The fair value of PMT's MSR asset at the end of the quarter was $3.9 billion, down from 4.1 billion at September 30, as growth in the MSR portfolio from loan production was more than offset by fair value declines and runoff from prepayments.

截至本季末，PMT 的 MSR 資產的公允價值為 39 億美元，低於 9 月 30 日的 41 億美元，因為貸款生產帶來的 MSR 投資組合的成長被公允價值下降和預付款項流失所抵銷。

Delinquency rates for borrowers underlying PMT's MSR portfolio remained low, while servicing advances outstanding increased to $191 million from $80 million at September 30 due to seasonal property tax payments, no principal and interest advances or currently outstanding income from PMT's Correspondent Production segment was up from last quarter, primarily due to higher margins.

PMT 的MSR 投資組合的借款人的拖欠率仍然較低，而由於季節性財產稅繳納、沒有本金和利息預付款或PMT 通訊生產部門目前的未償收入較去年增加，未償服務預付款從9 月30 日的8,000 萬美元增加到1.91 億美元季度，主要是由於利潤率較高。

Total correspondent loan acquisition volume was 24 billion in the fourth quarter, up 10% from the prior quarter.

第四季代理貸款收購總額為 240 億筆，季增 10%。

Conventional loans acquired for PMT's account totaled 2.5 billion, down 10% from the prior quarter due to seasonal impacts.

由於季節性影響，PMT 帳戶獲得的常規貸款總額為 25 億美元，較上一季下降 10%。

The weighted average fulfillment fee rate was 20 basis points, unchanged from the prior quarter.

加權平均配送費率為20個基點，與上一季持平。

PMT reported 41 million of net income across its strategies, excluding market-driven value changes and the related tax impacts, up from $32 million last quarter.

PMT 報告稱，其策略淨利潤為 4,100 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 3,200 萬美元。

We'll now open it up for questions, operator.

我們現在將打開它以供提問，操作員。

(Operator Instructions) Bose George, KBW.

（操作員說明）Bose George，KBW。

Because some of it on slide 8, where you give the run rate potential ROE decline and it looked like it declined on the return on the MSR.

因為其中一些在幻燈片 8 中，您給出了運行率潛在的 ROE 下降，看起來 MSR 的回報率也下降了。

Can you just talk about the returns expected this quarter versus last quarter?

您能談談本季與上季相比的預期回報嗎？

And then I thought like as the curve steepens, that should sort of benefit that number and is that is that right on, hey, does this is to stand up the rest of the run rate did decline based on on the interest rate strategies, but really what we see there that the curve, if we're if we're thinking about the curve for the MSR, really did more de invert start sorry, inverted more if you're looking at versus really short, really short term rates, which is where the financing where we're financing the MSR on that and especially at PMC, where the vast majority of the financing for the MSR is really has really secured.

然後我想，隨著曲線變陡，這應該會對這個數字有利，這是正確的，嘿，這是為了支撐其餘的運行率確實根據利率策略下降了，但是事實上，我們在那裡看到的是，如果我們考慮MSR 的曲線，那麼，抱歉，如果您考慮的是非常短期的利率，那麼實際上會發生更多的倒轉，這就是我們為MSR 提供​​融資的地方，特別是在PMC， MSR 的絕大多數融資確實已經得到了真正的保障。

So we have short rates that are still sticking and looks like even through the first quarter here, probably at and at the same rate that they've been in Meanwhile, the longer-term rates that drives the yield on the MSR came down pretty meaningfully in the fourth quarter.

因此，我們的短期利率仍然存在，看起來甚至在第一季都是如此，可能與之前的利率相同。同時，推動 MSR 收益率的長期利率大幅下降在第四季度。

And so that is sort of compression in the short term.

因此，這在短期內是一種壓縮。

Tom is what drove the reduced expected return over, you know, over the run rate, which is really over just the next four quarters.

湯姆是導致預期回報率下降的原因，你知道，是運行率下降，實際上是在接下來的四個季度。

And if interest rate or short term interest rates decline, as we know, as we in the market, are expecting them to.

如果利率或短期利率下降，正如我們所知，正如我們在市場上所預期的那樣。

And we see that sort of through the forecast.

我們透過預測看到了這一點。

And we expect that overall the overall spread to increase that would mean if the curve would be inverts and that would create a sort of better spread in terms of the ROE driving higher, are we for the MSRs and the Interest Rate Sensitive Strategies overall, and that could lead to a greater expectation of return potential for the interest rate sensitive strategies.

我們預計，總體而言，整體利差會增加，這意味著如果曲線反轉，這將在股本回報率方面創造更好的利差，推動更高，我們是否支持MSR和利率敏感策略？這可能會導致對利率敏感策略的回報潛力有更大的預期。

So and we do based on what sort of forecasted in the market, expect that to evolve over the coming year.

因此，我們根據市場的預測，預計未來一年會發生變化。

But just looking out at the at the sort of shortest term, currently, we see some some compression in the in the interest rate sensitive strategies as well as the short rates still sticking up pretty high.

但僅從最短期來看，目前，我們看到利率敏感策略出現了一些壓縮，短期利率仍維持在相當高的水平。

Okay, great.

好的，太好了。

Thanks a lot.

多謝。

Matthew Howlett, B. Riley.

馬修·豪利特，B.萊利。

Hey, thanks for taking my question.

嘿，謝謝你回答我的問題。

First, just on the on the credit side, I mean, you bought some CRT in the fourth quarter, then you sold a lot of it is seasonal.

首先，就信貸方面而言，我的意思是，您在第四季度購買了一些 CRT，然後您賣出了很多季節性的。

And generally, what's your view on spreads today with TOT and any update on no securitization program on the horizon?

總體而言，您對今天 TOT 的利差以及近期沒有證券化計劃的任何最新情況有何看法？

Maybe second liens are Eloxx and or a restart of the CRT and the GSEs are at with and some of their guidance today.

也許第二留置權是 Eloxx 和/或 CRT 的重啟，而 GSE 正在執行他們今天的一些指導。

But just an update on the credit side and where you think you can maybe grow and what you think it spreads now?

但只是信貸方面的最新情況，以及您認為可以在哪些方面增長以及您認為現在的傳播情況如何？

Yes, sure.

是的，當然。

Hey, Matt, it's David.

嘿，馬特，我是大衛。

I think I think that I think that on the Credit Sensitive Strategies front, we had really very strong returns in 2022.

我認為在信用敏感策略方面，我們在 2022 年獲得了非常強勁的回報。

And that really speaks So really great job well, and the team are doing in terms of actively managing that portfolio.

這確實說明了工作非常出色，團隊正在積極管理該投資組合。

We bought 17 million earlier in the quarter cabin stacker bonds.

我們在本季早些時候購買了 1700 萬張客艙堆高機債券。

We sold 56 million after quarter end opportunistically as spreads tightened common.

由於利差普遍收緊，我們在季度末後機會主義地賣出了 5,600 萬股。

Look, we're going to continue to monitor the market on the sale of the bonds were because the yields were well below our required returns and we are just redeploying them even to pay down.

看，我們將繼續監控債券銷售的市場，因為收益率遠低於我們要求的回報，我們只是重新部署它們，甚至還清債務。

Warehouse lines made made sense.

倉庫線是有道理的。

And as a way, to have dry powder to be able to invest in credit-sensitive assets as we see them on.

作為一種方式，擁有乾粉能夠投資於我們所看到的信用敏感資產。

In terms of, you know, in terms of a securitization program, we're starting to see some asset securitizations of second liens, albeit the secured or the the credit pieces of those securitizations.

就證券化計畫而言，我們開始看到一些第二留置權的資產證券化，儘管這些證券化的擔保或信用部分。

We don't meet our required returns at P. and T., although we're monitoring them very, very closely and I think that I think that's something that we're just going to continue to monitor.

儘管我們正在非常非常密切地監控 P. 和 T.，但我們沒有達到 P. 和 T. 所要求的回報，而且我認為我們將繼續監控這一點。

I don't see the GSEs coming back with a lender credit risk program until we see an increase in the overall size of the mortgage market at a minimum.

在我們看到抵押貸款市場整體規模至少成長之前，我不認為政府支持企業會推出貸款人信用風險計畫。

And they right now and the other production they can get to support their own county stacker bonds.

他們現在和他們可以獲得的其他產品來支持他們自己的縣堆高機債券。

And so it's something that we're continuing to stay in dialogue with them on.

因此，我們將繼續與他們保持對話。

But I don't I don't see that.

但我不這麼認為。

I think, look, I think we have we're in a position where we have dry powder to invest when we see the opportunities and can continue to to deliver the returns we need to on Pheno and to maintain our dividend.

我認為，看，我認為，當我們看到機會並能夠繼續在 Pheno 上提供我們所需的回報並維持我們的股息時，我們就有了可以投資的乾粉。

We we had a great year in PMT overall, where we we for the fourth quarter, we delivered 12% for the for the year, we had 11% were earnings exceeded the dividend, and we see the dividend now in a nice way.

總體而言，我們在PMT 方面度過了美好的一年，我們在第四季度實現了12% 的全年收益，我們有11% 的收益超過了股息，我們現在以一種很好的方式看待到了股息。

We had minor book value growth per share, which in the agri sector says a lot given the volatility that we saw from and speaks to the the hedging that we do as well as the opportunities and the opportunities that we see in the marketplace.

我們的每股帳面價值略有增長，考慮到我們看到的波動性，這在農業行業中說明了很多，並說明了我們所做的對沖以及我們在市場上看到的機會和機會。

So I think I think by and large, it's going to be until we can raise capital.

所以我認為總的來說，直到我們能夠籌集資金為止。

And I see that as an opportunity that presented itself hopefully later later parts of the year as we see rates decline.

我認為這是一個機會，希望在今年稍後出現，因為我們看到利率下降。

But you will continue to actively manage the portfolio.

但您將繼續積極管理投資組合。

But the other the other piece that I mentioned, Matt, is that if you look at our portfolio, around 70% of the portfolio is invested in in our core assets in terms of MSR and our existing vendor credit risk share and that we have outstanding given where interest rates have been.

但我提到的另一件事，馬特，是，如果你看看我們的投資組合，大約70% 的投資組合投資於我們的核心資產（就MSR 和我們現有的供應商信用風險份額而言），並且我們擁有出色的資產考慮到利率水準。

Indeed, the note rates on those portfolios, the runoff of those is very slow.

事實上，這些投資組合的票據利率的流失非常緩慢。

So our need to redeploy it at this point is it is not huge.

因此，我們此時需要重新部署它，因為它並不大。

So as David mentioned, we're looking for the I see the opportunities and investing opportunistically where we see where we see those opportunities.

正如大衛所提到的，我們正在尋找我所看到的機會，並在我們看到這些機會的地方進行機會主義投資。

But in terms of the overall portfolio, the runoff is not that great at this point in time, well, that's a good point.

但就整體投資組合而言，目前的情況並不是那麼好，這是一個好點。

Then on the subject of a prudent allocation of capital, how long will this interplay with PMT. selling a big chunk of their conventional production to be at is that how long can we expect you guys to hit in the first quarter?

那麼關於資本的審慎配置，這與PMT的相互作用會持續多久。出售其傳統生產的很大一部分是我們可以期望你們在第一季達到多長時間？

Obviously, there's huge synergies between the two companies.

顯然，兩家公司之間存在著巨大的協同效應。

How do you see that continuing and what will this change for P&P to start retaining that production?

您如何看待這種情況的持續？這會對 P&P 開始保留該生產帶來什麼變化？

And the question, David, you bring up the dividend and just any other sense you want to keep the in terms of this interplay between buying back stock and just paying that dividend, do you feel like you want it, you want to pay the dividend or given the stock's discount to book, what do you what would you see allocating more capital to buybacks?

大衛，問題是，你提出了股息，以及你想保留的任何其他感覺，即回購股票和支付股息之間的相互作用，你是否覺得你想要它，你想要支付股息或考慮到股票的預訂折扣，您認為分配更多資金用於回購會怎樣？

Just curious on that.

只是對此感到好奇。

Thank you very much.

非常感謝。

So on the correspondent side, look, I think that we it speaks volumes about the synergistic relationship we have with PFSI that we have the ability to move to move loans over to PFSI in this period of time where we have alternative investments at a higher return.

因此，在記者方面，我認為我們充分說明了我們與 PFSI 之間的協同關係，我們有能力在這段時間內將貸款轉移到 PFSI，因為我們擁有回報率更高的另類投資。

And we're trying to pace how we deploy that capital really with an eye towards credit-sensitive strategies as opposed to the MSR port is very large and we want to get that more in balance.

我們正在努力調整資本的部署方式，真正著眼於信用敏感的策略，而不是 MSR 港口非常大，我們希望得到更多的平衡。

And I think if you like, it's going to be for Q2, I don't see it changing in Q1, Q2.

我想如果你願意的話，這將是第二季的情況，我認為第一季、第二季不會改變。

It's a capital allocation issue from the point of view is it should we raise capital.

從我們是否應該籌集資金的角度來看，這是一個資本配置問題。

We have more capital to deploy and we want to deploy at MSRs.

我們有更多的資本可以部署，我們希望部署在海上絲綢之路。

Pmc will sell less loans to PFS I mean, I think it's nothing more complex than that.

Pmc 將減少向 PFS 出售的貸款 我的意思是，我認為這並不比這更複雜。

But I think I think for I think for now, it speaks to the for the active management that we're taking in the portfolio in PMT. and how we think about the split between Credit Sensitive Strategies and Interest Rate Sensitive Strategies from?

但我認為，就目前而言，它說明了我們在 PMT 投資組合中採取的主動管理。我們如何看待信用敏感策略和利率敏感策略之間的差異？

Can you talk about the dividend?

能談談股息嗎？

I'm sure with respect to the dividend and sort of the trade-off that you that you mentioned that some work where we've seen the price to book in recent periods where we have been moving closer to price to book.

我確信，關於股息和您提到的某種權衡，我們在最近一段時間裡看到了一些工作，我們一直在接近預定價格。

And we have not seen the data repurchase of shares as attractive as we obviously have historically made share repurchases where we see that disconnect, become meaningful but I think we view it in order for us to look at it is repurchasing more shares in a significant way.

我們還沒有看到股票回購的數據像我們歷史上進行的股票回購那樣有吸引力，我們看到這種脫節變得有意義，但我認為我們看待它是為了讓我們看到它正在以一種重要的方式回購更多股票。

We wanted to not that we would want to see but we wouldn't do that unless we saw at the end of the share price to book or the price-to-book ratio dropped from where it is today.

我們不想看到我們希望看到的情況，但除非我們看到年底的股價與帳面價值或市淨率從今天的水平下降，否則我們不會這樣做。

We believe for PMC and we've stated this before that having a stable dividend is sort of important and meaningful.

我們相信對於 PMC 來說，我們之前已經說過，擁有穩定的股息是重要且有意義的。

We do see a path consistent with what I was discussing earlier on and what we've discussed before for our run rate to move back toward the current dividend level at this point, we don't think that it you announced that it warrants a change in the dividend and so we expect to at least in the near term, we have our dividend remain level remained consistent.

我們確實看到了一條與我之前討論過的以及我們之前討論過的一致的路徑，我們的運行率此時會回到當前的股息水平，我們認為您宣布的調整並不值得在股息方面，因此我們預計至少在短期內，我們的股息水準將保持一致。

If we if we do see if we don't see a path back to the run rate back to that $0.4 per share, then that would precipitate us reevaluating that.

如果我們確實看到運行率是否無法回到每股 0.4 美元，那麼這將促使我們重新評估這一點。

But given what sort of the market expects and how that would impact the earnings potential of our portfolio, and we do see that path as a likely potential in the future.

但考慮到市場的預期以及這將如何影響我們投資組合的獲利潛力，我們確實認為這條道路未來可能具有潛力。

Kevin Barker, Piper Sandler.

凱文·巴克，派珀·桑德勒。

Well, again, I'm just trying to follow up on.

好吧，再說一次，我只是想跟進。

You sold some CRT this quarter and do you see any opportunities to make some structural changes that could potentially enhance the ROE of the business to bring it closer to the 40% $0.4 dividend run rate, particularly with you have a couple of debt maturities coming due here in 2024.

您本季出售了一些CRT，您是否認為有機會進行一些結構性變革，這些變革可能會提高企業的ROE，使其更接近40% 0.4 美元的股息運行率，特別是在您有幾筆債務即將到期的情況下2024 年在這裡。

Could you potentially move some assets, pay down that debt and maybe shift the balance sheet a bit.

您是否可以轉移一些資產，償還債務，並可能稍微調整資產負債表。

Just some additional color there on what you're considering.

只是對您正在考慮的內容添加一些額外的顏色。

Thanks.

謝謝。

With respect to the maturities in 2024 on?

至於2024年到期嗎？

Yes, we do.

是的，我們願意。

So we have a couple of secured maturities, specifically a CRT. maturity that's coming up that we expect to look to probably put some of the ARM securities on repo for a period of time and then look to refinance refinance that the the market has improved a bit for the financing of our credit risk transfer securities into the into the types of structures that we've got that we've had previously.

所以我們有幾個有保障的期限，特別是 CRT。到期日即將到來，我們預計可能會將一些 ARM 證券進行回購一段時間，然後尋求再融資 再融資，市場已經有所改善，以便為我們的信用風險轉移證券融資我們以前擁有的結構類型。

And so we do we see that as a as an opportunity there.

因此，我們確實認為這是一個機會。

And that could somewhat improve the on the return profile, though, that's for a limited part of the portfolio.

不過，這可能會在一定程度上改善投資組合的有限部分的報酬率。

As we look out further into the maturities, we do have a maturity of the on our convertible debt later in 2024 on we've partially addressed that last year with our baby bond issuance, we have seen the baby bond market be active, somewhat active in terms of issuance in the mortgage rate space, that's a potential there or additional Yes, or another convertible debt issuance or potentially it didn't get neither of those as attractive to your point with respect to the overall on the overall earnings of the portfolio, then you could look to delever and we do have the ability to do that.

隨著我們進一步研究到期日，我們的可轉換債務確實會在 2024 年晚些時候到期，去年我們透過發行嬰兒債券部分解決了這個問題，我們看到嬰兒債券市場很活躍，有些活躍就抵押貸款利率領域的發行而言，這是一個潛在的問題，或者是額外的問題，或者是另一次可轉換債券的發行，或者可能就投資組合的整體收益而言，這兩種債券都沒有對您的觀點具有吸引力，那麼你可以考慮去槓桿化，我們確實有能力做到這一點。

And without really significantly repositioning the portfolio at this point in time.

而此時並沒有真正大幅重新定位投資組合。

I don't think we're considering a significant shift in terms of the overall makeup of the portfolio.

我認為我們不會考慮對投資組合的整體組成進行重大轉變。

And that's I think what we have in both cases, like I said on that on the credit sensitive side generates It generates meaningful returns even at the now the tighter spreads, and we've repositioned the rotated out of the assets where we didn't think that those returns were commensurate with where the risk-adjusted returns were commensurate with where we wanted to be invested.

這就是我認為我們在這兩種情況下所擁有的，就像我在信用敏感方面所說的那樣，即使在現在利差收窄的情況下，它也會產生有意義的回報，而且我們已經重新定位了我們沒有的資產。認為這些回報與風險調整後的回報與我們想要投資的領域相稱。

And on the on interest rate-sensitive side.

在利率敏感方面。

I think that's really, again a matter of the shape of the yield curve at this point in time, which is really expected to normalize.

我認為這其實又是此時殖利率曲線形狀的問題，預計殖利率曲線將會正常化。

And now that's where we expect to drive up the return profile in that case.

現在這就是我們期望在這種情況下提高回報率的地方。

So it.

所以。

Yes, no, no significant shift in terms of the makeup of the portfolio, I wouldn't say we're contemplating currently.

是的，不，投資組合的組成沒有重大變化，我不會說我們目前正在考慮。

Could I realize you've you made comments around the shape of the curve, but to even quantify the impact of Fed rate cuts come in relative to your earnings now, obviously it could shift quite a bit, but is there any way to simply look at it from the Fed rate cuts perspective on the fee?

我是否可以意識到，您是否對曲線的形狀發表了評論，但即使要量化美聯儲降息相對於您現在的收入的影響，顯然它可能會發生很大的變化，但有沒有什麼方法可以簡單地看一下那麼從聯準會降息的角度來看呢？

Yes.

是的。

The I mean, the way that you would generally look at it, if we assume if you assume that the the Fed rate cuts are baked in more or less and that the longer term in the current in the current period and that the longer term yields wouldn't move significantly.

我的意思是，如果我們假設聯準會降息或多或少是有影響的，並且當前的長期利率是當前的，並且長期收益率是長期的，那麼你通常會這樣看待它不會大幅移動。

To the extent that the Fed follows the path that sort of currently contemplated if there's six fixed rate cuts or something along those lines baked in toward through the year.

就聯準會目前所設想的路徑而言，如果今年有六次固定降息或類似的措施的話。

That's a point and a half that would come off of that.

這就是一個半點。

Our floating rate debt on MSRs, which is and yes, a several hundred million dollars.

我們在 MSR 上的浮動利率債務，是的，有數億美元。

So it adds meaningful.

所以就增添了意義。

It adds a meaningful amount.

它增加了有意義的數量。

So the other assets, the interest rate sensitive assets, the returns in our expected returns would change or the amount that they're earning our cost on the debt would come, it will decline meaningfully in terms of several million dollars just from the interest rate cuts, I think that's the way to think about that.

因此，其他資產，即對利率敏感的資產，我們預期回報的回報將會發生變化，或者它們為我們賺取債務成本的金額將會出現，僅從利率來看，它就會大幅下降數百萬美元削減，我認為這就是思考這個問題的方式。

But as a reminder, to ask a question, press star one on your telephone keypad.

但提醒一下，要提問，請按電話鍵盤上的星號一。

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

你的下一個問題來自凱文·巴克和派珀·桑德勒的對話。

I do apologize.

我很抱歉。

You have this question from Eric Hagen with T. R-GA.

您向 T.R-GA 的 Eric Hagen 提出了這個問題。

Okay.

好的。

Thanks for taking my question here.

感謝您在這裡提出我的問題。

Looking at slide 19 with around 240 odd million of liquidity buffer relative to the FHFA requirement.

檢視投影片 19，相對於 FHFA 要求，流動性緩衝約為 240 萬多。

Can you share how much you've seen that liquidity buffer fluctuate, especially when rates are volatile and how close maybe you got to that threshold during periods of higher volatility like we saw last fall?

您能否分享一下您所看到的流動性緩衝波動有多大，特別是當利率波動時，以及在像我們去年秋天看到的波動性較高的時期，您距離該閾值有多近？

Yes.

是的。

No, our liquidity has been a pretty stable.

不，我們的流動性一直相當穩定。

Our part of what we look at in terms of our hedge profile is the impact that the interest rate shifts can have on liquidity.

我們在對沖狀況方面關注的部分是利率變動對流動性的影響。

I mean we keep a reserve as part of our our liquidity forecasting and our on amounts of required liquidity in terms of managing the business on that accounts for interest rate volatility and the impact that that could have on our liquidity available.

我的意思是，我們保留儲備金，作為流動性預測和管理業務所需流動性數量的一部分，以考慮利率波動及其可能對我們可用流動性產生的影響。

But if you look at our liquidity that's been on the balance sheet in the last couple of quarters that we kept it at a pretty stable level there, which is two times what the requirement is on.

但如果你看看過去幾季資產負債表上的流動性，我們將其保持在相當穩定的水平，這是要求的兩倍。

So that really has not has not been an issue even given the interest rate volatility that we've seen over the past couple of quarters.

因此，即使考慮到過去幾季我們看到的利率波動，這實際上也不是一個問題。

Right.

正確的。

Okay.

好的。

And then on slide 12, it looks like you have about $1 billion of capital in the interest rate sensitive strategies.

然後在投影片 12 上，看起來您在利率敏感策略上擁有約 10 億美元的資本。

Can you split apart how much is in the MSR versus the MBS and hedges and maybe how how much capital you see yourselves allocate into MBS and hedges going forward and yet the vast majority of the on the capital and there is allocated to the MSRs that's the most honest, the most capital intensive assets.

您能否將 MSR 與 MBS 和對沖中的資金分開，以及您認為未來自己將有多少資本分配到 MBS 和對沖中，但絕大多數資金都分配給了 MSR，這就是最誠實、最資本密集的資產。

I think that we stated earlier in the presentation that 56% of the shareholders' equity on, you know, is in the MSRs.

我想我們之前在演示中說過，56% 的股東權益都在 MSR 中。

And so that's over well over 1 billion of that 1.2 billion on the agency MBS.

因此，這遠遠超過機構 MBS 12 億中的 10 億。

If we just look at them on their face, even though it's a significant portfolio.

如果我們只看他們的表面，即使這是一個重要的投資組合。

The haircut on that the yen was relatively is relatively low.

日圓的折算相對較低。

So it doesn't take nearly as much as much equity.

所以它不需要那麼多的股權。

And there's also that that's similar for the rest of the B on the assets that are in this section.

本節中資產的 B 其餘部分也類似。

So it's really it's really predominantly the MSRs.

所以實際上主要是 MSR。

And even if we add significantly to the agency MBS portfolio, yes, spot on it on a stand-alone basis in terms of the equity allocated, although we would we may have to sort of increase our reserves depending on on your on the interest rate sensitivity and how much we would want to hold for margin calls on its face wouldn't increase the equity allocation that much to hold additional MBS there just doesn't make sense.

即使我們大幅增加機構MBS投資組合，是的，就分配的股權而言，在獨立的基礎上就可以發現它，儘管我們可能不得不根據您的利率增加我們的準備金敏感性以及我們希望持有多少以應對追加保證金，表面上看不會增加股票配置那麼多，而持有額外的MBS是沒有意義的。

Thank you guys.

感謝你們。

Jason Weber, Jones Trading.

賈森·韋伯，瓊斯貿易公司。

Hey, guys, thanks for taking my question.

嘿，夥計們，謝謝你提出我的問題。

So as of today, can you give us some sort of Brent context on the level of spreads and overall incremental ROE potential on new CRT, such as the stacker bonds that you are buying?

那麼，截至今天，您能否向我們提供一些有關布蘭特原油利差水準和新 CRT（例如您正在購買的 Stacker 債券）的整體增量 ROE 潛力的背景資訊？

I mean the where we've seen sort of new stacker and has today.

我的意思是我們今天看到了一種新的堆疊機。

I mean, we, as was mentioned, we just sold a bit of those.

我的意思是，正如前面提到的，我們只是賣掉了其中的一些。

And so I think it's fair to say it does that in terms of those assets didn't it wasn't commensurate with the sort of return profile that we have in the in the mid 10s for the CRP. and sort of the target that we've had there, Tom, but the overall including the margin call reserves that we would look to look to hold on on the on the CRP. that's out in the market, probably high single or low low double digits is what we see in sort of current current market or recent recent trades that fluctuates.

因此，我認為可以公平地說，就這些資產而言，它確實做到了這一點，但它與我們在 10 多歲的 CRP 中獲得的回報率不相稱。湯姆，這是我們的目標，但總體而言，包括我們希望在 CRP 上保留的追加保證金儲備。在市場上，我們在當前市場或近期波動的交易中看到的可能是高個位數或低兩位數。

And so opportunistically in the fourth quarter, we invested invested where we saw attractive spreads that met our return hurdles on.

因此，在第四季度，我們抓住機會，在看到有吸引力的利差、滿足我們的回報障礙的地方進行了投資。

But that's sort of the most recent color in terms of what you're seeing.

但就你所看到的而言，這是最新的顏色。

Thanks, Amin, I apologize if this was addressed during the prepared remarks, but what would you ballpark book value change year to date and we don't we don't typically get into a sort of give a mark for that.

謝謝，阿明，如果在準備好的發言中解決了這個問題，我深表歉意，但是您預計今年迄今為止的賬面價值會發生什麼變化，我們通常不會對此打分。

But overall, if you look at historically where we've been in terms of overall book value, it's been pretty stable over the past few quarters.

但總的來說，如果你從歷史上看我們的整體帳面價值，你會發現過去幾季它相當穩定。

That's been really the case, the benefit of having the hedging program that we've had is that we don't see that type of some even with interest rates being pretty volatile.

事實確實如此，我們擁有對沖計劃的好處是，即使利率相當波動，我們也不會看到這種類型的情況。

We don't see the book value fluctuate in the same way that certain other portfolios due to overall, just give a color, it's pretty a pretty stable book value quarter to date.

我們沒有看到帳面價值像某些其他投資組合那樣波動，因為總體而言，只要給出一個顏色，到目前為止，它的帳面價值相當穩定。

All right.

好的。

Thank you.

謝謝。

For the color.

為了顏色。

We have no further questions at this time.

目前我們沒有進一步的問題。

I will now turn the call back over to Mr. Specht for closing remarks that you operator.

現在，我將把電話轉回給斯佩希特先生，請他作結束語。

And thank you all for joining us this afternoon.

感謝大家今天下午加入我們。

Appreciate the questions and the time and I encourage investors and analysts or to and with any additional questions to contact our Investor Relations team by e-mail or phone, and thank you all very much for staying up at the late hour on the East Coast.

感謝大家提出問題並抽出時間，我鼓勵投資者和分析師或有任何其他問題透過電子郵件或電話聯繫我們的投資者關係團隊，並非常感謝大家在東海岸熬夜。

Have a good day.

祝你有美好的一天。

This concludes today's call and thank you for joining and you may now disconnect your lines.

今天的通話到此結束，感謝您的加入，現在您可以斷開線路了。