PennyMac Mortgage Investment Trust (PMT) 2024 Q2 法說會逐字稿

Good afternoon, and welcome to PennyMac Mortgage Investment Trust second-quarter earnings call. Additional materials, including the presentation slides that will be referred to in the call are available on PennyMac Mortgage Investment Trust's website at pmt.pennymac.com.

下午好，歡迎參加 PennyMac 抵押投資信託公司第二季財報電話會議。其他資料（包括電話會議中將提及的簡報幻燈片）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 as 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 earnings materials.

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，這些陳述會受到幻燈片2 中確定的某些風險的影響，因為盈利報告可能會導致公司的實際業績出現重大差異，以及非公認會計原則措施已根據收益材料中的 GAAP 等值進行調整。

Now, I'd like to introduce David Spector, PennyMac Mortgage Investment Trust's Chairman and Chief Executive Officer; and Dan Perotti, PennyMac Mortgage Trust's 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；以及 PennyMac Mortgage Trust 財務長 Dan Perotti。

Thank you, operator. PMT's second-quarter financial results reflect increased levels of income, excluding market-driven value changes and contributions from all three investment strategies, partially offset by fair value changes in the interest rate sensitive strategies due to elevated volatility.

謝謝你，接線生。 PMT第二季的財務表現反映了收入水準的提高，不包括市場驅動的價值變化和所有三種投資策略的貢獻，但由於波動性加劇，利率敏感策略的公允價值變化部分抵消了這一變化。

Net income to common shareholders was $15 million for diluted earnings per share of $0.17. PMT's annualized return on common equity was 4%, and book value per share was $15.89 at June 30, down slightly from the end of the prior quarter.

普通股股東淨利為 1,500 萬美元，攤薄後每股收益為 0.17 美元。截至 6 月 30 日，PMT 的年化普通股回報率為 4%，每股帳面價值為 15.89 美元，較上季末略有下降。

Turning to the origination market, current third-party estimates for total origination average $1.7 trillion in 2024 and $2.1 trillion in 2025 and increased refinance volumes. PMT's financial performance in recent periods highlights the strength of the fundamentals underlying its long-term mortgage assets and our expertise in managing mortgage-related investments in a challenging environment. I am pleased to note that in the second quarter, we successfully issued $217 million of exchangeable senior notes and $355 million of term notes secured by Fannie Mae MSR, both at attractive terms and both with consideration with similar notes with upcoming maturities.

談到發起市場，目前第三方估計 2024 年發起總額平均為 1.7 兆美元，2025 年為 2.1 兆美元，且再融資量增加。 PMT 近期的財務表現突顯了其長期抵押貸款資產的基本面實力以及我們在充滿挑戰的環境中管理抵押貸款相關投資的專業知識。我很高興地註意到，在第二季度，我們成功發行了2.17 億美元的可交換高級票據和由房利美MSR 擔保的3.55 億美元的定期票據，兩者的條款都很有吸引力，而且都考慮到了即將到期的類似票據。

Given this increased investable capital in the current market, PMT is expected to retain an increased percentage of total conventional corresponding level of production in the third quarter. Dan will provide additional detail later on in the discussion.

鑑於當前市場可投資資本的增加，PMT 預計第三季將在常規相應生產水準總量中保留更高的百分比。丹將在稍後的討論中提供更多細節。

More than two-thirds of PMT shareholders' equity is currently invested in the seasoned portfolio of MSRs and the unique GSD lender risk share transactions that we invested in from 2015 to 2020. As the majority of mortgages underlying these assets were originated during periods of very low interest rates, we continue to believe these investments will perform well over the foreseeable future, as low expected repayments extend the expected asset lives.

目前，超過三分之二的PMT 股東權益投資於我們在2015 年至2020 年期間投資的經驗豐富的MSR 投資組合和獨特的GSD 貸方風險分擔交易。非常時期。

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. MSR investments account for more than half of PMT's deployed equity. 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.

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。 MSR 投資佔 PMT 已部署股權的一半以上。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。

MSR values also benefit from the current interest rate environment, as the placement fee income PMT receives on custodial deposits is closely tied to short-term interest rates. Similarly, mortgages underlying PMT's large investment in GSE lender risk share have low delinquencies and a low weighted average current loan-to-value ratio of 48.5%. These characteristics are expected to support the performance of these assets over the long term. And we continue to expect that realized losses will be limited.

MSR 的價值也受益於當前的利率環境，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 GSE 貸方風險份額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 48.5%。這些特徵預計將支持這些資產的長期表現。我們仍然預計已實現的損失將有限。

Slide 7 outlines the run rate potential expected from PMT's investment strategies over the next four quarters. PMT's current run rate reflects a quarterly average of $0.33 per share, down slightly from $0.35 per share last quarter, driven primarily by lower expected asset yields in the interest rate sensitive strategies.

投影片 7 概述了 PMT 未來四個季度投資策略的預期運行率潛力。 PMT 目前的運行利率反映了季度平均每股 0.33 美元，略低於上季每股 0.35 美元，這主要是由於利率敏感策略的預期資產收益率較低。

Now I'll turn it over to Dan, who will review the drivers of PMT's second-quarter financial performance.

現在我將把它交給 Dan，他將回顧 PMT 第二季度財務表現的驅動因素。

Thank you, David. PMT earned $15 million in net income to common shareholders in the second quarter, or $0.17 per diluted common share. PMT's credit-sensitive strategies contributed $16 million in pre-tax income, including $11 million from PMT's organically created CRT investors.

謝謝你，大衛。 PMT 第二季為普通股股東帶來 1,500 萬美元淨利潤，即每股稀釋普通股 0.17 美元。 PMT 的信用敏感策略貢獻了 1,600 萬美元的稅前收入，其中包括 PMT 有機創建的 CRT 投資者的 1,100 萬美元。

Credit spreads were relatively unchanged during the quarter, with only minor impacts on the fair value of our investments. 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 of below 50% and a 60-day delinquency rate of 1.11%, both as of June 30.

本季信用利差相對不變，對我們投資的公允價值影響很小。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 6 月 30 日，潛在當前加權平均貸款價值比低於 50%，60 天拖欠率為 1.11% 。

Income from opportunistic investments in cash and stacker bonds issued by the GSEs totaled $6 million in the quarter. As mortgage credit spreads tightened over the last several quarters, the go-forward returns on some of the investments that we had previously made fell below our thresholds. In this quarter, we sold $8 million in subordinate tranches of investor loan securitizations we participated in during 2021.

本季來自 GSE 發行的現金和 Stacker 債券的機會主義投資收入總計 600 萬美元。隨著過去幾季抵押貸款信貸利差收緊，我們之前進行的一些投資的遠期回報率跌破了我們的門檻。本季度，我們出售了 2021 年參與的投資者貸款證券化次級部分 800 萬美元。

The interest rate sensitive strategies contributed $17 million of pre-tax income. The fair value of PMT's MSR investment increased by $46 million due to slightly higher mortgage rates at quarter end. These fair value gains were more than offset by changes in the fair value of MBS, interest rate hedges, and related income tax effects during the quarter.

利率敏感策略貢獻了 1700 萬美元的稅前收入。由於季末抵押貸款利率略有上升，PMT 的 MSR 投資公允價值增加了 4,600 萬美元。這些公允價值收益被本季MBS公允價值變動、利率避險和相關所得稅影響所抵銷。

MBS fair value decreased by $39 million and interest rate hedges decreased by $18 million. Income on assets held in PMT's taxable REIT subsidiary drove a tax expense of $3 million. The fair value of PMT's MSR asset at the end of the quarter was $3.9 million, essentially unchanged from March 31.

MBS 公允價值減少 3,900 萬美元，利率避險減少 1,800 萬美元。 PMT 的應稅 REIT 子公司持有的資產收入導致了 300 萬美元的稅收支出。截至本季末，PMT MSR 資產的公允價值為 390 萬美元，與 3 月 31 日基本持平。

Delinquency rates for borrowers underlying PMT's MSR portfolio remain low, while servicing advances outstanding decrease to $83 million from $110 million at March 31. No principal and interest advances are currently outstanding.

PMT 的 MSR 投資組合的借款人的拖欠率仍然很低，而未償還的服務預付款從 3 月 31 日的 1.1 億美元減少到 8,300 萬美元。

Turning to the correspondent production segment, pre-tax income was down slightly from last quarter, as lower margins offset the impact of higher volumes. Profitability in the segment in recent periods has benefited from the release of reserves related to representations and warranties provided at the time of securitization, as the high volumes of loans produced from 2020 to 2022 passed the three-year window for violations with minimal repurchase-related losses. We expect the contribution from the release of these reserves to decline to more normalized levels over the next several quarters.

轉向相應的生產部門，稅前收入較上季略有下降，因為較低的利潤抵消了產量增加的影響。該領域近期的獲利能力受益於與證券化時提供的陳述和保證相關的準備金釋放，因為2020 年至2022 年發放的大量貸款已超過三年期違規窗口，且回購相關的違規情況極少。我們預計這些儲備金釋放的貢獻將在未來幾季下降至更正常化的水平。

Total correspondent loan acquisition volume was $23 billion in the second quarter of 24% from the prior quarter, driven by an increase in the size of the mortgage origination market.

第二季代理貸款收購總額為 230 億美元，較上一季成長 24%，主要得益於抵押貸款發放市場規模的擴大。

Conventional loans acquired for PMT's account total $2.2 billion, of 26% from the prior quarter. As David noted, in the third quarter, we expect PMT to retain a higher percentage of total conventional correspondent production, from 30% to 50%, versus 18% in the second quarter.

PMT 帳戶獲得的常規貸款總額為 22 億美元，較上一季成長 26%。正如 David 指出的那樣，我們預計 PMT 在第三季將在傳統通訊總產量中保留更高的比例，從 30% 增加到 50%，而第二季為 18%。

The weighted average fulfillment fee rate was 20 basis points, down from 23 basis points in the prior quarter. PMT reported $35 million of net income across its strategies, excluding market driven value changes and the related tax impacts up from $28 million last quarter, primarily due to higher average yields on interest sensitive assets during the quarter.

加權平均履行費用率為 20 個基點，低於上一季的 23 個基點。 PMT 報告稱，其各個策略的淨利潤為3500 萬美元，不包括市場驅動的價值變化和相關稅收影響，較上季度的2800 萬美元有所增加，這主要是由於本季度利率敏感資產的平均收益率較高。

Turning to capital, we are fully reserved in our liquidity management for repayment in full of the $210 million in exchangeable senior notes due in October 2024. In May, we issued $217 million of new five-year exchangeable senior notes with a coupon of 8.5%. In June, we issued $355 million in five and a half year Fannie Mae MSR term notes at SOFR+ 275 basis points. And after quarter end, we redeemed $305 million of similar term notes due in 2027, with a coupon of SOFR+ 419 basis points.

在資本方面，我們在流動性管理方面已做好充分準備，以全額償還2024年10月到期的2.1億美元可交換高級票據。交換優先票據，票面利率為8.5% 。 6 月份，我們以 SOFR+ 275 個基點發行了 3.55 億美元的五年半期房利美 MSR 定期票據。季度末後，我們贖回了 2027 年到期的 3.05 億美元類似定期票據，息票為 SOFR+ 419 個基點。

These successful financing activities further solidify PMT's capital position, illustrating our deep access to capital and liquidity across various types of transactions and investors. We'll now open it up for questions.

這些成功的融資活動進一步鞏固了 PMT 的資本狀況，顯示我們能夠在各種類型的交易和投資者中深入獲得資本和流動性。我們現在將開放提問。

We'll now open it up for questions.

我們現在將開放提問。

Operator?

操作員？

(Operator Instructions) Jason Weaver, JonesTrading.

（操作員指令）Jason Weaver，JonesTrading。

Hi, good afternoon, everyone. Thanks for taking my question. I fully agree with you on where credit spreads are, and your decision to retain more course on production. It makes a ton of sense. But ultimately, can you talk about what form that will take? Is this as simple as just keeping more whole loans on the balance sheet? Or will you be looking to term fund that via securitization eventually?

嗨，大家下午好。感謝您提出我的問題。我完全同意您對信用利差的看法，以及您決定保留更多生產過程的決定。這很有道理。但最終，您能談談這將採取什麼形式嗎？這是否就像在資產負債表上保留更多全部貸款一樣簡單？或者您最終會考慮透過證券化建立術語基金嗎？

So for those loans that we're keeping through the core, or the PMT will be -- the additional loans that PMT will be retaining through the correspondent channel, primarily those will consist of the Fannie Mae and Freddie eligible loans that PMT has historically retained. And those -- generally speaking, we sell or securitize to the agencies, a few we sell as whole loans to third parties.

因此，對於我們透過核心保留的貸款，或者 PMT 將是 - PMT 將透過代理商管道保留的額外貸款，主要包括 PMT 歷史上保留的房利美和房地美合格貸款。一般來說，我們將這些貸款出售或證券化給這些機構，其中一些我們將整個貸款出售給第三方。

But generally, the investment that's generated from that is in mortgage servicing rights in addition to the game that we earn through the correspondent securitization. So we don't have any plans currently to retain loans specifically on balance sheets other than potentially through securitization of some certain sets of loans that we may look to retain or that we may look to securitize and retain subordinate tranches on, which we've done certain periods in the past. And that looks to be a potential opportunity that could be arising again in the current environment.

但總的來說，除了我們透過相應的證券化賺取的遊戲之外，由此產生的投資還包括抵押貸款服務權。因此，我們目前沒有任何計劃專門在資產負債表上保留貸款，除了可能透過對我們可能希望保留的某些特定貸款組合進行證券化，或者我們可能希望將其證券化並保留次級部分，我們已經在這些貸款上進行了證券化。這看起來是在當前環境下可能再次出現的潛在機會。

Okay, got it. That's clear. And just my follow-up is really on the macro level. Sort of at what level or range of benchmark 30-year mortgage rates do you see as really the inflection point for refinancing activity and prepayment? And I really ask, as it pertains to correspondent production levels.

好，知道了。很清楚。我的後續行動其實是在宏觀層面。您認為 30 年期抵押貸款基準利率的什麼水準或範圍才是再融資活動和提前還款的真正轉折點？我確實想問，因為這涉及到相應的生產水平。

Look, I think it's a gradual decline down. I think if you look at if you look at originations post code, we kind of jumped and kind of ran through loans with 5% handles. And I think it's really in the 6% to 7% range where you see a lot -- and even north of 7% where you see a lot of opportunity. It's going to be -- the way I think about it is, it's going to be this slow grind down.

看，我認為這是逐漸下降的。我想如果你看看起源郵政編碼，我們有點跳躍並以 5% 的利率處理貸款。我認為，在 6% 到 7% 的範圍內，你會看到很多機會，甚至在 7% 以上，你會看到很多機會。我的想法是，這將是一個緩慢的過程。

I think when race gets to 6.5%, that's where it really picks up steam. And I think at 6%, you're in what I would deem a really robust refi market. Because it's not just the existing firsts that are in the money. You could have loans that are 4% and 5% taking out debt consolidation, cash out refinances, to either pay off existing HELOCs, or closed end seconds, or other forms of debt.

我認為當種族比例達到 6.5% 時，這才是真正加速發展的地方。我認為，在 6% 的情況下，我認為您處於一個非常強勁的再融資市場。因為賺錢的不僅是現有的第一名。您可以擁有 4% 和 5% 的貸款，用於債務合併、兌現再融資，以償還現有的 HELOC、封閉式秒數或其他形式的債務。

And so it's really a function of what's behind the first lien that helps drive the refinance ability. But I continue to believe that it's 10-year, around 3%, 3.75%, mortgages down 50 basis points, that it really is -- to me, that's the signal of a true new market or new phase of the refinance ability.

因此，這實際上是第一留置權背後的功能，有助於推動再融資能力。但我仍然相信，10 年期抵押貸款下降了 50 個基點，大約為 3%、3.75%，對我來說，這是真正的新市場或再融資能力新階段的信號。

Great, I really appreciate that color. Thank you.

太棒了，我真的很喜歡這個顏色。謝謝。

Doug Harper, UBS.

道格哈珀，瑞銀集團。

Thanks, I know you guys take a long term approach to the dividend, but, you know, I guess, how are you thinking about the dividend, you know, and given kind of the run rate earnings that you laid out and that took a slight tick down this quarter?

謝謝，我知道你們對股息採取長期方法，但是，你知道，我想，你如何看待股息，你知道，考慮到你所製定的運行率收益，這需要一段時間本季度略有下降？

Yes. So to your point, we do take a long term approach to the dividend and look to -- obviously, over time, we want the dividends reflect the earnings capacity of the company, but at the same time as the market generates don't necessarily look to adjust it with every sort of gyration. We did see a little bit of a tick down in our run rates, as you mentioned from $0.35 to $0.33 versus the dividend of $0.40. You know, that was primarily driven by some additional re inversion of the yield curve over the past a month or two.

是的。因此，就您的觀點而言，我們確實對股息採取了長期方法，並希望——顯然，隨著時間的推移，我們希望股息能夠反映公司的盈利能力，但與此同時，市場產生的股息並不一定能反映公司的獲利能力。正如您所提到的，我們的運行率確實有所下降，從 0.35 美元降至 0.33 美元，而股息為 0.40 美元。你知道，這主要是由於過去一兩個月殖利率曲線再次反轉所致。

As we look out, you know, really some of what that's reflective of is an expected decline in short-term rates and that would drive down our financing rates. And really, as we look out a little bit past the horizon of our forecast here into later next year, we do see, in our forecast, the potential for our EPS to move up back above the $0.40 level.

正如我們所看到的，你知道，這實際上反映了短期利率的預期下降，這將壓低我們的融資利率。實際上，當我們將目光稍微超出我們的預測範圍到明年晚些時候時，我們確實在預測中看到了每股收益有可能回升至 0.40 美元以上的水平。

And so, given that we see that potential, we're not looking to adjust the dividend. We don't expect to adjust the dividend in the short term. I would really look to keep it stable as the market sort of readjusts as expected, and we see short rates come down over the next few periods.

因此，鑑於我們看到了這種潛力，我們不打算調整股利。我們預計短期內不會調整股利。隨著市場按預期重新調整，我真的希望保持其穩定，並且我們看到短期利率在接下來的幾個時期內下降。

Yeah. Just a follow up to that, in addition to the direction of short rates of yield curve, what other factors could be a positive towards getting getting run rate earnings back to the dividend?

是的。接下來，除了短期殖利率曲線的方向之外，還有哪些因素可能對將運行率收益重新納入股息產生正面影響？

The deployment of capital is important. And so that's part of why we are looking to adjust. You know, we're looking to adjust and deploy more capital in PMT through the correspondent channel, which we view as, at the current point in time or at this point in time, the best option for PMT to deploy the capital that are raised in the second quarter through its convertible debt issuance.

資本的配置很重要。這就是我們尋求調整的部分原因。你知道，我們正在尋求透過代理管道來調整和部署更多的PMT資金，我們認為這是在當前時間點或在這個時間點上PMT部署所籌集資金的最佳選擇第二季度透過可轉換債券發行。

As I had talked about a little bit earlier in addition to investments in MSRs, we are looking also at potential securitizations of certain subsets of the loans, notably investor and second home loans, where we do think that those securitizations have become viable again. And we do have sufficient amounts of those types of loans coming through the correspondent channel to be able to form a securitization.

正如我之前談到的，除了對MSR 的投資之外，我們還在考慮某些貸款子集的潛在證券化，特別是投資者和第二套房屋貸款，我們確實認為這些證券化已再次變得可行。我們確實有足夠數量的此類貸款透過代理管道提供，能夠形成證券化。

Further investment into those areas, I think, could help drive the earnings back toward the dividend level. But in addition to that, the other driver with the inversion of the yield curve, having our long-term assets, the yields on our long-term assets, which are mark to market according to where the current market is and given that longer rates are currently lower than shorter rates, having short rates come down some and normalize that. And of course, for our interest rate sensitive assets, we are hedged for those interest rate changes, but that will drive the earnings potential, the run rate earnings potential up given the balance of the longer term yields and the shorter term yields. And we think that's probably the biggest driver.

我認為，對這些領域的進一步投資可能有助於推動收益回到股息水準。但除此之外，殖利率曲線倒掛的另一個驅動因素是我們的長期資產，我們的長期資產的收益率，根據當前市場的情況並考慮到較長的利率而按市場定價目前低於短期利率，短期利率下降一些並使之正常化。當然，對於我們的利率敏感資產，我們對這些利率變化進行對沖，但這將推動盈利潛力，考慮到長期收益率和短期收益率的平衡，運行率盈利潛力會上升。我們認為這可能是最大的驅動因素。

The PMT is a really unique was -- from the point of view that it has, it has really unique synergistic relationship with PFSI. And when you look at what's going on in the marketplace with more and more loans being delivered outside of the GSEs and being securitized, we're really encouraged by what we're seeing in terms of the ability to aggregate in a short period of time and be able to create credit-related investments for PMT in a sustainable way.

PMT 確實是獨一無二的——從它的角度來看，它與 PFSI 具有真正獨特的協同關係。當你看到市場上正在發生的事情時，越來越多的貸款在 GSE 之外交付並被證券化，我們對在短時間內聚合的能力感到非常鼓舞並能夠以可持續的方式為PMT 創造信貸相關投資。

One of the beauties of CRT was in addition to having credit risk investments, we were able to create this sustainable asset creation mechanism where PMT could invest in credit-related assets. And I'm seeing what's going on with subsectors of the market, to the point Dan raised on investors in second homes in particular, we're seeing opportunities to create investments that are either at our return target or maybe a little above or a little below. But I think what's perhaps underappreciated is the fact that if we can do this on a consistent basis and we continue to show investors that we have the ability to raise and deploy capital, that's really powerful for PMT.

CRT 的優點之一是，除了信用風險投資之外，我們還能夠創建這種可持續的資產創造機制，PMT 可以在其中投資信用相關資產。我正在了解市場子行業的情況，尤其是丹對第二套房屋投資者提出的觀點，我們看到了創造投資的機會，這些投資要么達到我們的回報目標，要么略高於或略高一點以下。但我認為可能被低估的事實是，如果我們能夠始終如一地做到這一點，並且我們繼續向投資者展示我們有能力籌集和部署資本，這對 PMT 來說確實非常強大。

In addition, we're seeing -- in PFSI, we're seeing a really, really strong growth in our jumbo business in PFSI that it could use -- we could take that jumbo business and sell to PMT and PMT could buy additional jumbos through the correspondent channel to do jumbo investments. And then finally, while closed in seconds, don't at this point return anywhere near the targeted return that we'd like in PMT. That's another asset class that we have access to.

此外，我們看到 - 在 PFSI，我們看到 PFSI 的大型業務成長非常非常強勁，它可以利用 - 我們可以將該大型業務出售給 PMT，PMT 可以購買更多大型業務透過代理商管道做巨額投資。最後，雖然在幾秒鐘內關閉，但此時不要返回接近我們在 PMT 中希望的目標返回值的任何位置。這是我們可以獲得的另一個資產類別。

So if you go back to the creation of PMT, this was the investment thesis of PMT. And we believe that -- depending on what happens in the election and the regulatory environment will really position very, very well to seize on an opportunity that we haven't seen in quite some time in the capital markets.

所以如果你回到PMT的創建，這就是PMT的投資論點。我們相信，根據選舉和監管環境的情況，我們確實能夠非常非常好地抓住我們在資本市場上相當長一段時間沒有看到的機會。

Yes, just to that last point, do you foresee that opportunity being more durable than it's been since PMT was was created since that opportunity has been fleeting, you know, in its life?

是的，就最後一點而言，您是否預見到這種機會比 PMT 創建以來更加持久，因為您知道，這種機會在其生命週期中轉瞬即逝？

I don't like predicting the future, but I can tell you, it's the most traction I've seen in private label securitization since we started PMT. And I think the capital runs deep, but I think we have a real advantage in the fact that we have this flywheel of sorts, where we can buy the loans and create the securities, sponsor the securitization, sell the senior bonds, and retain the sub bonds. And that's -- I don't know who else has that and who has that ability.

我不喜歡預測未來，但我可以告訴你，這是自我們開始 PMT 以來我在自有品牌證券化中看到的最大的吸引力。我認為資本深厚，但我認為我們擁有真正的優勢，因為我們有這種飛輪，我們可以購買貸款並創建證券，贊助證券化，出售高級債券並保留次級債券。那就是──我不知道還有誰有這樣的能力，誰有這樣的能力。

All right. Appreciate the answers. Thank you.

好的。感謝您的回答。謝謝。

Crispin Love, Piper Sandler.

克里斯平·洛夫，派珀·桑德勒。

Thanks. In the interest rate-sensitive strategy segment, can you speak to the investment opportunities you're seeing, and which you view as the best risk adjusted returns, whether it's on the MSR or the agency and non-agency sides as you look forward and how those opportunities compare to the credit side?

謝謝。在利率敏感策略領域，您能否談談您所看到的投資機會，以及您認為最佳風險調整回報的投資機會，無論是在 MSR 還是機構和非機構方面，您的展望和這些機會與信貸方面相比如何？

Sure, in the current environment, and this goes along with some of the commentary and some of the actions, activities that we've had in the portfolio recently, on the credit side, we've seen credit spreads tighten over the last several quarters. We had been opportunistically purchasing credit investments, primarily stacker and cash securities. We've generally been divesting of those and certain other credit investments in the recent quarters of spreads have tightened significantly and brought some of those investments below our return hurdles.

當然，在當前環境下，加上我們最近在投資組合中採取的一些評論和行動，在信貸方面，我們看到信貸利差在過去幾個季度收緊。我們一直在機會主義地購買信貸投資，主要是堆疊證券和現金證券。在最近幾個季度，我們通常會剝離這些投資和某些其他信貸投資，因為利差大幅收緊，並使其中一些投資低於我們的回報門檻。

Where we see the most attractive places to invest currently, as you mentioned, in the interest rate sensitive strategies, primarily in mortgage servicing rights. And so we have access through the correspondent channel to those mortgage servicing rights. That's why we're shifting a portion, or PMT retaining in Q3 a greater portion of those conventional correspondent loans, given the capital that it raised through its conventional -- or through its convertible issuance.

正如您所提到的，我們認為目前最具吸引力的投資領域是利率敏感策略，主要是抵押貸款服務權。因此，我們可以透過代理管道獲得這些抵押貸款服務權。這就是為什麼我們要轉移一部分，或者 PMT 在第三季保留大部分傳統代理貸款，因為它透過傳統或可轉換發行籌集了資金。

That's what we see is the most attractive and most most sort of present opportunity. We also are looking at MSR portfolios that come to market on the secondary market or bulk MSR portfolios. We've participated in a few of those purchases, or bought a few of those portfolios over the past few quarters.

這就是我們所看到的最具吸引力和最具吸引力的現有機會。我們也關註二級市場上市的 MSR 投資組合或大量 MSR 投資組合。我們參與了其中一些購買，或者在過去幾個季度購買了其中一些投資組合。

In recent periods, we've seen those portfolios really be pretty bit up to a significant degree to where the acquisition of MSRs through the correspondent channel appears more attractive at this point in time. But we still, from a collateral point of view and from a PMT positioning point of view, generally see the low coupon MSR portfolios as attractive pricing in the bulk market has not been what we're looking for most recently.

最近一段時間，我們發現這些投資組合確實在很大程度上達到了相當高的水平，此時透過代理商管道收購 MSR 似乎更具吸引力。但從抵押品的角度和 PMT 定位的角度來看，我們仍然普遍認為低票息 MSR 投資組合是因為大宗市場中有吸引力的定價並不是我們最近所尋求的。

As David mentioned, the other opportunities that we're looking at are really around the securitization of some of the production that comes through in the correspondent channel, potentially also in terms of loans that are originated from the direct channels at PFSI, and potential generation of securitizations and retention of the subs -- the subordinate bonds there.

正如 David 所提到的，我們正在尋找的其他機會實際上是圍繞相應管道中的一些產品的證券化，也可能是源自 PFSI 直接管道的貸款，以及潛在的發電量。 ——那裡的次級債券。

So that's another avenue that we view is attractive currently. And especially to the extent that we can create a program that allows us to consistently invest in those types of assets.

這是我們目前認為有吸引力的另一條途徑。尤其是我們可以創建一個計劃，使我們能夠持續投資於這些類型的資產。

Great, thank you. That's helpful. And then just on the third-party estimates that you mentioned early on in the prepared remarks on mortgage originations, I think it was $1.7 trillion in '24 and $2.1 trillion in '25.

太好了謝謝。這很有幫助。然後，就您在有關抵押貸款發放的準備好的評論中提到的第三方估計而言，我認為 24 年為 1.7 兆美元，25 年為 2.1 兆美元。

In the current environment, do you believe those estimates are about right with the forward curve and your rate expectations? Or do you think we -- or those could be a little bit too aggressive with what you're seeing right now?

在當前環境下，您認為這些估計值與遠期曲線和您的利率預期大致相符嗎？或者你認為我們——或者那些人可能對你現在所看到的情況有點過於激進了？

Look, I think they are -- personally, I will tell you that they're backloaded to Q3 and Q4. And in that backloading, there is a perception that rates are going to decline. And so I think you have to ask yourself if you just look at the current run rate and you analyze it, or you look at the first two quarters and you analyze it. You don't get to $1.7 trillion. And so the question is, what is going to be the general direction of rates as you go through those quarters.

聽著，我認為它們是 - 就我個人而言，我會告訴你它們已回載到第三季和第四季。在這種回饋中，人們認為利率將會下降。因此，我認為你必須問自己，你是否只查看當前的運行率並進行分析，或者你查看前兩個季度並進行分析。你達不到 1.7 兆美元。所以問題是，在經歷這些季度時，利率的整體方向將是什麼。

Thank you. I appreciate you taking my questions.

謝謝。感謝您回答我的問題。

Thank you.

謝謝。

Bose George, KBW.

博斯·喬治，KBW。

Yeah, good afternoon. I wanted to try and quantify just the benefit from retaining more and more of the conventional production at PMT. So that's just looking at the difference between the gain on sale and the total inventory, it's 35 versus 20. So can we just look at 15 basis points on the incremental loans that are being retained at PMT?

是的，下午好。我想嘗試量化 PMT 保留越來越多的傳統生產所帶來的好處。所以這只是看銷售收益和總庫存之間的差異，即 35 比 20。

I think that the primary benefit is really around the capital deployment. So if we look at if we look at the gain on sale or the gain in PMT, a portion of that is driven by the gain that a lot of the loans that flow through to PFSI. A portion of it is also driven by what I had mentioned earlier in the call, some of the rep and warrant relief, which is really related to loans that we sold historically and not necessarily loans that are being sold and securitized in the current period.

我認為主要的好處實際上是圍繞資本部署。因此，如果我們看看銷售收益或 PMT 收益，就會發現其中一部分是由流向 PFSI 的大量貸款的收益所驅動的。其中一部分也是由我之前在電話會議中提到的一些代表和認股權證減免推動的，這實際上與我們歷史上出售的貸款有關，而不一定與當前期間出售和證券化的貸款有關。

So really the the additional corresponding benefit on those loans is -- a smaller spread is a few basis points. The benefit overall, a few basis points, net over the fulfillment fee. Really, the primary benefit overall is in terms of the retention of additional investment and additional MSR, we'll grow that MSR asset a bit and drive additional earnings from a growing MSR portfolio or a larger MSR portfolio as opposed to the MSR portfolio, which really has been pretty static over the past few quarters.

因此，這些貸款的額外相應好處實際上是——較小的利差是幾個基點。整體收益比履行費用高出幾個基點。實際上，整體的主要好處是保留額外的投資和額外的MSR，我們將稍微增加MSR 資產，並從不斷增長的MSR 投資組合或更大的MSR 投資組合（而不是MSR 投資組合）中獲得額外收益。

Okay. Okay, great. That's helpful. Thanks. And then on slide 7, where you have the run rate earnings, does that just incorporate the forward curve? Like, if the curve steepens, is there any benefit? Or how should we think about that?

好的。好的，太好了。這很有幫助。謝謝。然後在投影片 7 上，您可以看到運行率收益，這是否只包含遠期曲線？例如，如果曲線變陡，有什麼好處嗎？或者說我們該如何思考這個問題？

Yes, it does -- yeah, it incorporates the forward curve. So to the extent that the curve steepens and really the primary steepening would be either yet long rates going up or really short-term rates going up a Fed cut. Because to the extent that you think of a steepening as twos, tens or something along those lines, the two year declining at this point doesn't mean it doesn't give us a lot of benefit. We don't really get the benefit until actual short rates decline. And we get some benefit in terms of the financing.

是的，確實如此——是的，它包含了遠期曲線。因此，在曲線變陡的情況下，實際上主要的變陡要么是長期利率上升，要么是聯準會降息後短期利率上升。因為如果你認為陡峭程度是兩倍、十倍或類似的東西，那麼這兩年的下降並不意味著它不會為我們帶來很多好處。直到實際短期利率下降，我們才能真正受益。我們在融資方面得到了一些好處。

So either the yields on our longer term assets go up, we mark those to market and are generally hedged against that, and that would be a benefit in terms of the ongoing returns of the assets versus the financing. Or if we see short rates go down, then the spread -- and long rates stay the same, then the spread between the short rates and the go longer-term yields would grow. And that will drive additional earnings on the interest-rate-sensitive strategies.

因此，要么我們的長期資產的收益率上升，我們就將其標記為市場，並通常對其進行對沖，這對於資產相對於融資的持續回報來說將是一個好處。或者，如果我們看到短期利率下降，那麼利差和長期利率保持不變，那麼短期利率和長期收益率之間的利差就會擴大。這將推動利率敏感策略的額外收益。

Okay, great. Thanks.

好的，太好了。謝謝。

Matthew Howlett, B. Riley Financial.

馬修·豪利特，B. Riley Financial。

Hey, David. Hey, Dan. Thanks for taking my question.

嘿，大衛。嘿，丹。感謝您提出我的問題。

Hey, Matt. How are you?

嘿，馬特。你好嗎？

Good. Thanks. Hey, look, on the subject of the balance sheet and the capital constraints, I know you want to put more money to work out there. If rates start coming down in September, does that change your opinion and maybe trying to refinance the '24 maturity. I mean, what's the appetite? I'm assuming the preferred barges pray aren't open quite yet, but you probably don't want to do equity below book.

好的。謝謝。嘿，聽著，關於資產負債表和資本限制的問題，我知道你想投入更多的錢來解決這個問題。如果利率在 9 月開始下降，這是否會改變您的看法，並可能嘗試為 24 日到期的再融資。我是說，胃口如何？我假設首選的駁船尚未開放，但您可能不想在帳面以下進行股本操作。

So I just thoughts on environment starts going down, the rate starts heading downward.

所以我只是認為環境開始下降，利率開始下降。

So, yeah. To the extent that we saw on the financing side, to the extent that we see rates decline, we could look at doing some additional issuance. But with respect to the 2024 maturity, really, the way that we have been looking at that and that we've talked about in the past that we've fully reserved for that in our liquidity forecasting.

嗯是的。就我們在融資方面看到的程度而言，就我們看到利率下降的程度而言，我們可以考慮進行一些額外的發行。但就 2024 年的到期日而言，實際上，我們一直在看待這個問題，我們過去也談過，我們在流動性預測中對此進行了充分保留。

And so as we were looking out, we had constrained investment because we wanted to make sure we had enough liquidity reserve to pay off the 2024 maturity that comes later in the year of our convertible. But as -- given that we raised additional convertible debt in the second quarter, that really freed up some investment capacity for us. And that's really what's leading us to drive toward additional investment through an increased participation in the conventional correspondent loans that come through the correspondent channel and drive investment in MSR, as well as additional correspondent activity and income.

因此，正如我們所看到的，我們的投資受到限制，因為我們希望確保有足夠的流動性儲備來償還可轉換債券當年晚些時候到期的 2024 年到期債務。但鑑於我們在第二季籌集了額外的可轉換債務，這確實為我們釋放了一些投資能力。這確實促使我們透過增加對透過代理商管道提供的傳統代理貸款的參與來推動額外投資，並推動對 MSR 的投資，以及額外的代理活動和收入。

But to your point, to the extent that we see some additional opportunities as interest rates decline to issue additional financing, then we would potentially look to take advantage of those opportunities as well, which could drive additional potential for investment.

但就你的觀點而言，隨著利率下降，我們看到了一些額外的機會來發行額外的融資，那麼我們也可能會尋求利用這些機會，這可能會帶來額外的投資潛力。

Well, I see --

嗯，我明白了——

Sorry. I think your perception of the preferred and the -- opportunities on the preferred and the common equity side are correct currently, where we don't see those as available opportunities in the current market.

對不起。我認為您對優先股和普通股方面的機會的看法目前是正確的，我們不認為這些是當前市場上可用的機會。

Well, I say it, because David, I mean, you've been in the business a long time and to hear you talk about the market, like, you just did is just -- I mean, it's just really eye opening.

好吧，我這麼說是因為大衛，我的意思是，你在這個行業工作了很長時間，聽到你談論市場，就像你剛剛所做的那樣——我的意思是，這真的讓人大開眼界。

My question is, to be non-agency securitization, where is PFSI selling all that production today? That's one. And then two, if PMT was to start acquiring investor seconds, I mean, what type of returns are we talking about here? I mean, I know it's going to depend on what you assume for losses and where the securitization spreads are in yields. But I mean, I remember when you guys were doing 20% yields on the CRT, I mean, we're talking about that type of ROEs if you start doing a jumbo program or a second program?

我的問題是，作為非機構證券化，PFSI 今天在哪裡出售所有產品？這是一個。第二，如果 PMT 開始吸引投資者，我的意思是，我們在這裡談論的回報類型是什麼？我的意思是，我知道這將取決於您對損失的假設以及證券化利差在收益率中的位置。但我的意思是，我記得當你們在 CRT 上實現 20% 的收益率時，我的意思是，如果您開始執行大型程序或第二個程序，我們正在談論這種類型的 ROE？

I wish. (laughter)

我希望。 （笑聲）

Those are great days.

那些日子真是美好。

Look. To that point, there's been this migration of loans that have either high loan level price adjustments or higher cost to deliver the GSEs, away from the GSEs to cheaper cost of capital. In particular we've seen this with organizations that are aggregating those loans and securitizing them.

看。就這一點而言，貸款價格調整較高或交付 GSE 成本較高的貸款已從 GSE 遷移到資本成本較低的地區。特別是，我們在匯總這些貸款並將其證券化的組織中看到了這一點。

Now they have a lower cost of capital than PMT, but at the same time, I am seeing that specifically on investors in second homes there's an opportunity to do a securitization and do it that gets -- our dividend yield is roughly 10% and that's kind of how we view it; net of our expenses of the returns that we want to achieve. And I think it's achievable.

現在他們的資本成本比PMT 更低，但同時，我發現，特別是對於第二套房的投資者來說，有機會進行證券化，並且這樣做可以得到——我們的股息收益率約為10%，這就是我們如何看待它；減去我們想要實現的回報的費用。我認為這是可以實現的。

Is it's going to be 9.75% or 10.75%? But suffice it to say, the way we look at the returns is in a very conservative fashion. We look at returns with burdening the investment with the margin call reserves that are required with the financing, we stress tested at two times losses or faster speeds. We look at where does the investment completely break.

是9.75%還是10.75%？但可以說的是，我們看待回報的方式非常保守。我們透過融資所需的追加保證金準備金來衡量投資回報，並以兩倍損失或更快的速度進行壓力測試。我們看看投資在哪裡徹底中斷。

So we have a long history of doing this with CRT in particular, but I do think what's exciting about it is it's a meaningful opportunity for us -- potentially meaningful opportunity to add credit sensitive investments in the PMT by leveraging the synergistic relationship that we have with PFSI. And that's what I'm enthusiastic about.

因此，我們在這方面有著悠久的歷史，特別是在CRT 方面，但我確實認為，令人興奮的是，這對我們來說是一個有意義的機會——透過利用我們現有的協同關係，在PMT 中增加信用敏感投資的潛在有意義的機會與 PFSI 一起。這就是我所熱衷的。

Yeah. And look, we'd love to see you grow in the next part of this cycle, get more capital in the company. Best of luck. Thanks a lot.

是的。看，我們很高興看到您在本週期的下一部分中成長，在公司獲得更多資本。祝你好運。多謝。

Thanks, Matt.

謝謝，馬特。

Doug Harper, UPS.

道格·哈珀，UPS。

Thanks. Just wanted to follow up, how you're thinking about the different profile of the current coupon MSR from correspondent versus the lower coupon that's currently in the portfolio? And if you could just remind us the recapture agreement that PMT has with PFSI?\

謝謝。只是想跟進一下，您如何看待來自往來行的當前優惠券 MSR 與當前投資組合中較低優惠券的不同情況？您能否提醒我們 PMT 與 PFSI 簽訂的奪回協議？

Sure. So, the -- to your point and to what I raised earlier, PMT's sort of preferred investment in MSR in terms of collateral characteristics would be in the lower coupon that comprises -- the lower coupon comprises the vast majority of its current investment in MSR. We expect that investment in MSR to have lower prepayment speeds, also more stable prepayment speeds as interest rates fluctuate, because generally those loans are at 3% to 4% note rates. And we don't expect them to become refinanceable except in a very, very, very significant interest rate decline.

當然。因此，就您的觀點以及我之前提出的觀點而言，PMT 在抵押品特徵方面對MSR 的首選投資將是較低的息票，其中較低的息票構成了其當前對MSR 投資的絕大多數。我們預期 MSR 投資的提前還款速度較低，而且隨著利率波動，預還款速度也更加穩定，因為這些貸款的票據利率通常為 3% 至 4%。我們預計它們不會再融資，除非利率出現非常、非常、非常顯著的下降。

The -- however, those portfolios are priced in the current market when they come through through bulk pretty fairly aggressively, as far as we've seen recently.

然而，就我們最近所見，這些投資組合在當前市場上的定價是相當激進的。

Through the correspondent market PMT is able to require more recently originated current note rate loan. So loans with no rates generally in the sixes today, those loans are obviously more sensitive to refinances. And given that PMT itself does not originate loans is less beneficial, to the extent that there's an interest rate decline.

透過代理市場，PMT 能夠要求最近發放的當期票據利率貸款。因此，如今無利率的貸款通常在六點左右，這些貸款顯然對再融資更加敏感。鑑於 PMT 本身不發放貸款，其效益較小，甚至會導致利率下降。

However, PMT does have a recapture arrangement with PFSI to the extent that PFSI recaptures loans that are part of PMT's MSR. It can recapture around generally 35% of the MSR -- of the value of the new MSR and that varies a little bit depending on the recapture rate that PFSI achieves. So that's the protection that PMT has and benefit that PMT has as interest rates fluctuate and prepayment speeds might pick up.

然而，PMT 確實與 PFSI 達成了收回安排，只要 PFSI 收回屬於 PMT MSR 一部分的貸款。它通常可以重新捕獲大約 35% 的 MSR（新 MSR 的值），並且根據 PFSI 實現的重新捕獲率略有不同。因此，這就是 PMT 所享有的保護以及 PMT 在利率波動和預付款速度可能加快時所享有的好處。

Great. Appreciate it. Thank you.

偉大的。欣賞它。謝謝。

Michael Kaye, Wells Fargo.

麥可凱，富國銀行。

Hi, I know you just said you don't like predicting the future. But do you think there's potentially a better chance of reviving the lender CRT that you did in the past, given what could happen potentially with the election?

嗨，我知道你剛才說你不喜歡預測未來。但考慮到選舉可能發生的情況，您是否認為有更好的機會恢復您過去所做的貸款機構 CRT？

Well, they think that -- you know, we've been in discussion with the GSEs about lender CRT, it's really doubtful for the foreseeable future. The GSEs are creating CRT. They're not even selling all the CRT.

嗯，他們認為——你知道，我們一直在與 GSE 討論貸方 CRT，在可預見的未來確實值得懷疑。 GSE 正在建立 CRT。他們甚至沒有賣掉所有的 CRT。

I think that a few things need to happen. One is you need a much bigger origination market, but more importantly, you need a change in thought in terms of what do you do with the CRT. And the GSEs would have to be put in a position where they feel compelled to sell more of the bonds and they need the additional liquidity from a PMT.

我認為需要發生一些事情。一是您需要更大的原始市場，但更重要的是，您需要改變對 CRT 用途的想法。 GSE 必須被迫出售更多債券，並且需要 PMT 提供額外流動性。

And so I think that there's a few things that need to take place, but I don't at this point believe that it's really in the cards. But to your point, Michael, you could have a change of administration, you could have a change in leadership at FHFA.

所以我認為有一些事情需要發生，但目前我不認為這真的有可能發生。但就你的觀點而言，邁克爾，你可能會更換管理部門，也可能會更換 FHFA 的領導。

And so we try to remain very close to the people in FHFA. I've been spending time in DC once a quarter in meeting people in and out of government. And so we're just trying to really make ourselves available to leaders and to be able to make ourselves available to give our point of view.

因此，我們努力與 FHFA 的人員保持密切聯繫。我每季都會去華盛頓一次，會見政府內外的人士。因此，我們只是試著真正讓自己能夠為領導者提供幫助，並且能夠讓自己能夠提出我們的觀點。

But I think that it's not something that we're really planning on, which is what makes the opportunity to do private label securitization so exciting for me.

但我認為這並不是我們真正計劃的事情，這就是讓我對進行自有品牌證券化的機會如此興奮的原因。

Okay. And second question is, I mean, does PMT have any interest in issuing equity below book value? I saw that $200 million distribution agreement recently filed.

好的。第二個問題是，PMT 有興趣發行低於帳面價值的股票嗎？我看到最近提交的價值 2 億美元的分銷協議。

Yeah. So, no. Consistent with our previous -- how we've operated through our entire history, we're not looking to issue equity below book value. We did renew our equity shelf which we had not used since the last renewal of note as we've been below book value.

是的。所以不行。與我們先前的營運方式一致，我們不打算發行低於帳面價值的股票。我們確實更新了我們的股票貨架，自從上次更新票據以來我們就沒有使用過，因為我們的股票價值一直低於帳面價值。

But we did renew that. And with that, renewed our at the money at the money agreements with our underwriters. We would really only look to utilize that to the extent that we saw PMT's price move above book value to potentially and had opportunities to be able to deploy the capital, then we would potentially look to issue through that shelf, but that we don't have any plans to issue equity below book value.

但我們確實更新了這一點。至此，我們與承銷商續簽了同款同款協議。我們實際上只會在看到 PMT 的價格潛在高於賬面價值並且有機會部署資本的情況下才會利用這一點，然後我們可能會考慮通過該架子發行，但我們不會有任何計劃發行低於帳面價值的股票。

Okay, thank you.

好的謝謝。

We have no further questions in our queue at this time. I will now turn the call back over to Mr. Spector for closing remarks.

目前我們的隊列中沒有其他問題。現在我將把電話轉回給斯佩克特先生做總結發言。

Well, I'd like to thank everyone for joining our call today and thank you very much for your great questions. If you have any additional questions, please feel free to reach out to our Investor Relations department and they will be responsive as always. So thank you, all, very much and have a good day.

好吧，我要感謝大家今天加入我們的電話會議，並非常感謝你們提出的好問題。如果您還有任何其他問題，請隨時聯繫我們的投資者關係部門，他們將一如既往地回應。非常感謝大家，祝您有美好的一天。

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。