PennyMac Mortgage Investment Trust (PMT) 2025 Q2 法說會逐字稿

Good afternoon, everyone, and welcome to PennyMac Mortgage Investment Trust second-quarter 2025 earnings call. Additional earnings materials, including the presentation slides that will be referred to in the call, are available on PennyMac Mortgage Investment Trust website at pmt.pennymac.com.

大家下午好，歡迎參加 PennyMac Mortgage Investment Trust 2025 年第二季財報電話會議。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。

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 earnings materials.

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，這些陳述受到收益報告第 2 張幻燈片中確定的某些風險的影響，這些風險可能導致公司的實際結果出現重大差異，以及已與收益材料中的 GAAP 等值指標相協調的非 GAAP 指標。

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. Please go ahead.

現在，我想介紹 PennyMac 抵押貸款投資信託基金的董事長兼執行長 David Spector 和 PennyMac 抵押貸款投資信託基金的財務長 Dan Perotti。請繼續。

Thank you, operator. For the second quarter, PMT produced a net loss to common shareholders of $3 million, or a loss per share of $0.04; has solid levels of income, excluding market-driven value changes were offset by fair value declines in a $14 million non-recurring tax adjustment that Dan will discuss later on.

謝謝您，接線生。第二季度，PMT 普通股股東淨虧損 300 萬美元，即每股虧損 0.04 美元；收入水平穩健，不包括市場驅動的價值變化，但被 1400 萬美元非經常性稅收調整中公允價值下降所抵消，Dan 稍後將對此進行討論。

PMT declared a second-quarter common dividend of $0.40 per share and book value per share at June 30 was $15. They are modestly from March 31.

PMT 宣布第二季普通股股息為每股 0.40 美元，6 月 30 日每股帳面價值為 15 美元。它們謙虛地從 3 月 31 日起生效。

Interest rates were extremely volatile this quarter, with the 10-year treasury yield traversing a range of more than 70 basis points, including intraday moves in one week in April alone. This created a challenging environment for our investment strategies. However, our diversified investment portfolio, efficient cost structure, and strong risk management practices enable us to effectively manage through these challenging market conditions.

本季利率極不穩定，10 年期公債殖利率波動超過 70 個基點，光是 4 月就有一週出現日內波動。這給我們的投資策略帶來了挑戰。然而，我們多元化的投資組合、高效的成本結構和強大的風險管理實踐使我們能夠有效地應對這些充滿挑戰的市場條件。

Turning slide 5, I want to touch on our synergistic partnership with PFSI and how that provides PMT with unique and proven competitive advantages. First, PMT leverages PFSI's best-in-class operating platform, including its deep and experienced management team, scaled servicing operations and its large and agile multi-channel origination business, which provides PMT with a consistent and high-quality pipeline of loans for investment.

翻到第 5 張投影片，我想談談我們與 PFSI 的協同合作夥伴關係，以及它如何為 PMT 提供獨特且經過驗證的競爭優勢。首先，PMT 利用 PFSI 一流的營運平台，包括其深厚且經驗豐富的管理團隊、規模化的服務營運以及其龐大且靈活的多通路發起業務，這為 PMT 提供了一致且高品質的投資貸款管道。

Second, our structure allows PMT to efficiently deploy capital into long-term mortgage assets without the operational burdens associated with origination and servicing. And third, PFSI's deep access to the origination market, coupled with PMT's ability to execute private label securitizations, provides PMT with the opportunity to invest in unique, organically created investments and attractive risk adjust to returns.

其次，我們的結構允許 PMT 有效地將資本部署到長期抵押資產中，而無需承擔與發起和服務相關的營運負擔。第三，PFSI 對發起市場的深度訪問，加上 PMT 執行私人標籤證券化的能力，為 PMT 提供了投資獨特、有機創造的投資和具有吸引力的風調整回報的機會。

As can be seen on slide 6, the increasing volume of non-owner occupied and jumbo loans generated by the PennyMac platform underscores the potential for future investment. And this growing pipeline of loans provides us with flexibility and optionality, allowing us to strategically invest in assets that align with our long-term return objectives.

從幻燈片 6 中可以看出，PennyMac 平台產生的非自住房屋貸款和巨額貸款數量不斷增加，凸顯了未來投資的潛力。不斷增長的貸款管道為我們提供了靈活性和選擇性，使我們能夠策略性地投資於符合我們長期回報目標的資產。

In the second quarter, we successfully completed three securitizations of agency-eligible investor loans totaling $1.1 billion UPB, retaining $71 million of new investments. And we also completed our first jumble loan securitization since 2013, with a total UPB of $339 million and retained investments of $82 million.

第二季度，我們成功完成了三筆機構合格投資者貸款證券化，總額達 11 億美元 UPB，保留了 7,100 萬美元的新投資。我們也完成了自 2013 年以來的首次混合貸款證券化，總 UPB 為 3.39 億美元，保留投資為 8,200 萬美元。

The graphic on the right of the slide highlights our rapid ascent to become a leading issuer private label securitization. In recent periods, we've been a Top 3 Issuer prime Non-Agency MBS. In fact, since the fourth quarter of 2024, we have successfully completed nine securitizations, totaling $3.2 billion in UPB with new retained investments of $300 million.

幻燈片右側的圖形突出顯示了我們迅速崛起成為領先的私人標籤證券化發行人的過程。近年來，我們一直是優質非機構 MBS 發行商前三大之一。事實上，自 2024 年第四季以來，我們已成功完成九次證券化，UPB 總額達 32 億美元，新保留投資為 3 億美元。

Targeted returns on equity for these investments are expected to be in the low- to mid-teens. Looking ahead, we expect to continue executing one securitization of agency eligible, non-owner occupied loans per month and one jumbo loan securitization per quarter. This consistent cadence of securitizations underscores our commitment to leveraging our organic investment creation abilities and remaining a leader in the private label securitization market.

這些投資的目標股本回報率預計將達到十幾到十幾個百分點。展望未來，我們預計將繼續每月執行一次機構合格非自住貸款證券化，每季執行一次巨額貸款證券化。這種一致的證券化節奏凸顯了我們致力於利用有機投資創造能力並保持在自有品牌證券化市場的領先地位。

Turning to slide 7, approximately two-thirds of PMT shareholders' equity is currently invested in a seasoned portfolio of MSRs and the unique GSE lender risk share transactions we invested in from 2015 to 2020. These are highly stable and seasoned assets with strong underlying fundamentals.

轉到投影片 7，PMT 股東權益的約三分之二目前投資於成熟的 MSR 投資組合以及我們在 2015 年至 2020 年期間投資的獨特的 GSE 貸款人風險份額交易。這些都是高度穩定且成熟的資產，具有強勁的基本面。

Our MSR investments account for approximately 47% of our deployed equity, down from 56% at the high during the end of 2022. The majority of the mortgages underlying these MSRs remain far out of the money with the weighted average coupon at 3.9%, meaning borrowers have little incentive to refinance. As a result, we expect the MSR assets to continue producing stable cash flows over an extended period of time.

我們的 MSR 投資約占我們已部署股權的 47%，低於 2022 年底高點的 56%。這些 MSR 所依據的大多數抵押貸款仍處於虧損狀態，加權平均票面利率為 3.9%，這意味著借款人幾乎沒有再融資的動機。因此，我們預計 MSR 資產將在較長時間內繼續產生穩定的現金流。

Furthermore, MSR values continue to benefit from the higher interest rate environment, as the placement fee income PMT receives at custodial balances is closely tied to short-term interest rates. Similarly, PMT's unique credit risk transfer investments, representing 16% of shareholders equity, are backed by seasoned loans, with strong fundamentals that were originated during periods of low interest rates.

此外，MSR 價值繼續受益於更高的利率環境，因為 PMT 在託管餘額中獲得的安置費收入與短期利率密切相關。同樣，PMT 獨特的信用風險轉移投資佔股東權益的 16%，由成熟貸款支持，這些貸款具有在低利率時期產生的強勁基本面。

Delinquencies have remained low on this portfolio as well. This can be attributed to the overall credit strength of the consumer combined with the substantial accumulation of home equity in recent years due to continued home price appreciation as evidenced by the low weighted average current loan value ratio of below 50%. We continue to expect that real-life losses will be limited and that these core investments will perform well over the foreseeable future.

該投資組合的拖欠率也一直維持在較低水準。這可以歸因於消費者的整體信用實力，加上近年來由於房價持續上漲而大量累積的房屋淨值，低於 50% 的加權平均當前貸款價值比率就是明證。我們繼續預期實際損失將會有限，而這些核心投資在可預見的未來將表現良好。

As you can see on slide 8, a significant portion of PMT's equity is allocated to investments that we have organically created through PennyMac's robust production volume. This is a key differentiator for PMT. Because we are the producer and servicer of the loans, we have unparalleled insights into their quality and performance.

正如您在第 8 張投影片上看到的，PMT 的很大一部分股權分配給了我們透過 PennyMac 強勁的產量有機創造的投資。這是 PMT 的關鍵區別因素。由於我們是貸款的生產者和服務者，因此我們對貸款的品質和表現有著無與倫比的洞察力。

Our position as the producer of the underlying loans is a competitive advantage, providing us with the ability to review and diligence for loans for securitization and subsequent investment. Additionally, as the servicer of the underlying loans, we're uniquely positioned to work directly with borrowers in times of stress to minimize losses, as evidenced by the strong historical performance of our investments in the lender credit risk transfer. This deep understanding from origination through servicing allows us to directly influence the ultimate credit outcome, minimizing losses and maximizing returns for our shareholders.

我們作為基礎貸款生產者的地位是一種競爭優勢，使我們能夠對證券化和後續投資的貸款進行審查和盡職調查。此外，作為基礎貸款的服務商，我們具有獨特的優勢，可以在藉款人遇到壓力時直接與他們合作，以最大限度地減少損失，我們在貸款人信用風險轉移方面的投資的強勁歷史表現就證明了這一點。從發起到服務的深刻理解使我們能夠直接影響最終的信貸結果，最大限度地減少損失並最大限度地提高股東回報。

In closing, our risk management capabilities and diversified investment strategies, which includes seasoned MSR and CRT portfolios, combined with a growing securitization platform built on our unique origination capabilities, positions us exceptionally well to deliver attractive just to returns to our shareholders in 2025 and beyond. We remain confident in our ability to successfully navigate a volatile and evolving market by leveraging our competitive advantages.

最後，我們的風險管理能力和多元化投資策略（包括經驗豐富的 MSR 和 CRT 投資組合）加上基於我們獨特發起能力而不斷增長的證券化平台，使我們能夠在 2025 年及以後為股東帶來極具吸引力的回報。我們堅信，憑藉我們的競爭優勢，我們一定能夠成功應對動盪和不斷發展的市場。

Now I'll turn it over to Dan who will review the drivers of PMT's second-quarter financial performance and PMT's run rate return potential.

現在我將把時間交給丹，他將回顧 PMT 第二季度財務表現的驅動因素以及 PMT 的運行率回報潛力。

Thank you, David. PMT reported a net loss to common shareholders of $3 million in the second quarter, or negative $0.04 per diluted common share. The credit-sensitive strategies contributed $22 million to pre-tax income. Gains from organically created CRT investments were $17 million, including $9 million primarily consisting of realized gains and carry and $8 million of market-driven value changes from credit spread tightening.

謝謝你，大衛。PMT 報告第二季普通股股東淨虧損 300 萬美元，即每股攤薄普通股虧損 0.04 美元。信貸敏感策略為稅前收入貢獻了 2,200 萬美元。有機創造的 CRT 投資收益為 1700 萬美元，其中 900 萬美元主要由已實現收益和套利組成，800 萬美元由信用利差收緊帶來的市場驅動價值變化組成。

CAS and STACR bonds generated gains of $4 million, and investments in PMT non-agency subordinate MBS generate gains of $1 million. The interest rate sensitive strategies contributed to pre-tax loss of $5 million. Fair value increases on MSR investments were $23 million. These fair value increases were more than offset by the combined impact of changes in the fair value of MBS, interest rate hedges and related income tax benefits totaling $45 million.

CAS 和 STACR 債券產生了 400 萬美元的收益，而對 PMT 非機構從屬 MBS 的投資產生了 100 萬美元的收益。利率敏感策略導致稅前損失 500 萬美元。MSR 投資的公允價值增加了 2,300 萬美元。這些公允價值的增加被 MBS 公允價值變動、利率對沖和相關所得稅收益的綜合影響（總計 4,500 萬美元）所抵銷。

MBS fair value, which includes agency POs and securitized interest-only strips, increased by $12 million. Interest rate hedges decreased by $60 million. In the second quarter, PMT reported an income tax expense of $9 million, driven primarily by a $14 million non-recurring repricing of deferred tax balances due to state apportionment changes driven by recent legislation.

MBS 公允價值（包括機構採購訂單和證券化僅付利息剝離）增加了 1,200 萬美元。利率對沖減少了 6000 萬美元。在第二季度，PMT 報告的所得稅支出為 900 萬美元，主要原因是由於最近的立法推動了州分配變化，導致遞延稅餘額發生了 1400 萬美元的非經常性重新定價。

The fair value of PMT's MSR asset at the end of the quarter was $3.8 billion, down slightly from March 31, as fair value increases and newly originated MSR investments were more than offset by runoff. Delinquency rates for borrowers underlying PMT's MSR portfolio remain low, and servicing advances outstanding decreased to $70 million from $84 million at March 31. No principal and interest advances are currently outstanding.

PMT 的 MSR 資產在本季末的公允價值為 38 億美元，較 3 月 31 日略有下降，因為公允價值的增加和新發起的 MSR 投資被流失所抵消。PMT MSR 投資組合中藉款人的拖欠率仍然很低，未償還的服務預付款從 3 月 31 日的 8,400 萬美元下降至 7,000 萬美元。目前沒有未償還的本金和利息預付款。

Total correspondent loan acquisition volume was $30 billion in the second quarter, a 30% from the prior quarter and consistent with the estimated increase in the size of the overall origination market. Correspondent loans acquired for PMT's accounts totaled $3 billion, up 11% from the prior quarter. PMT retains 17% total conventional correspondent production in the second quarter, down from 21% in the first quarter.

第二季代理貸款收購總額為 300 億美元，較上一季成長 30%，與整體發起市場規模的預期成長一致。PMT 帳戶獲得的代理貸款總額為 30 億美元，較上一季成長 11%。PMT 第二季的常規對應產量佔總產量的 17%，低於第一季的 21%。

Under the renewed mortgage banking services agreement with PFSI effective July 1, 2025, correspondent loans are initially acquired by PFSI. However, PMT will retain the right to purchase up to 100% of non-government correspondent production from PFSI. We expect this percentage to remain between 15% to 25% in the third quarter of 2025, as we continue pursuing investment opportunities in the private label securitization market.

根據與 PFSI 續約的抵押貸款銀行服務協議（該協議於 2025 年 7 月 1 日生效），代理貸款最初由 PFSI 收購。不過，PMT 將保留從 PFSI 購買高達 100% 非政府通訊產品的權利。我們預計，隨著我們繼續尋求自有品牌證券化市場的投資機會，這一比例在 2025 年第三季將保持在 15% 至 25% 之間。

PMT also acquired $1 billion in UPB of loans acquired or originated by PFSI for inclusion in private label securitizations, up from $637 million in the prior quarter. Income from PMT's correspondent production segment was $14 million, up from the third quarter, primarily due to gains on non-owner occupied and jumbo loans due to credit spread tightening.

PMT 也從 PFSI 收購或發放的貸款中收購了 10 億美元的 UPB，用於納入私人標籤證券化，高於上一季的 6.37 億美元。PMT 對應生產部門的收入為 1,400 萬美元，較第三季度有所增長，這主要由於信貸利差收緊導致非自住房屋和巨額貸款獲得收益。

The weighted average fulfillment fee rate was 19 basis points, unchanged from the prior quarter. In total, PMT reported $36 million of net income across its strategies, excluding market-driven value changes and the related impacts, down from $41 million in the prior quarter, driven primarily by increased realization of cash flows due to higher realized and projected prepayment activity.

加權平均履行費率為19個基點，與上一季持平。總體而言，PMT 報告其各項策略的淨收入為 3,600 萬美元（不包括市場驅動的價值變化和相關影響），低於上一季的 4,100 萬美元，這主要由於已實現和預計的預付款活動增加導致現金流實現增加。

Slide 14 of our earnings presentation outlines the run rate return potential expected from PMT's investment strategies over the next four quarters. PMT's current run rate reflects a quarterly average of $0.38 per share, up from $0.35 per share in the prior quarter. Overall, we expect increased investment activity in accretive non-agency subordinate and senior bonds, primarily through organic securitization activity.

我們的收益簡報的第 14 張投影片概述了 PMT 未來四個季度的投資策略預期的運行率回報潛力。PMT 目前的運行率反映季度平均每股 0.38 美元，高於上一季的每股 0.35 美元。整體而言，我們預期增值型非機構次級債券和優先債券的投資活動將會增加，主要透過有機證券化活動來實現。

Additionally, correspondent and aggregation activities have positive momentum, driving improved execution and an overall increase to our Correspondent Production segment's return potential. If the yield curve steepens further, we expect PMT's overall run rate would increase further, driven by higher overall yields in the Interest Rate Sensitive Strategies.

此外，代理和聚合活動呈現正面勢頭，推動執行力改善，並全面提升代理生產部門的回報潛力。如果殖利率曲線進一步陡峭化，我們預計 PMT 的整體運行率將進一步上升，這得益於利率敏感策略中整體收益率的上升。

Turning to capital, in June, we issued $105 million in unsecured senior notes due in 2030. And we currently expect that the $345 million in exchangeable senior notes due in 2026 will be retired closer to maturity by utilizing capacity from existing financing lines.

談到資本，6 月份，我們發行了 2030 年到期的 1.05 億美元無擔保優先票據。我們目前預計，2026 年到期的 3.45 億美元可交換優先票據將利用現有融資額度在接近到期時贖回。

I want to take a minute to comment on PMT's overall leverage ratio, which has increased in recent quarters. The increase is primarily a reflection of growth in non-recourse debt related to our increased private label securitization activity and the related accounting treatment for these transactions, which requires us to record the transactions as the financing of the loans rather than retain interest in the securitizations.

我想花一點時間來評論一下 PMT 的整體槓桿率，該比率在最近幾季有所上升。這一增長主要反映了與我們增加的私人標籤證券化活動相關的無追索權債務的增長以及這些交易的相關會計處理，這要求我們將交易記錄為貸款融資，而不是保留對證券化的權益。

The source of repayment for this non-recourse debt is limited to the cash flows from the associated loans in each private label securitization, mitigating any additional exposure to PMT. We believe that the best metric to measure the leverage of our balance sheet is debt to equity, excluding the non-recourse debt related to securitizations, which we have shown on page 15.

此無追索權債務的償還來源僅限於每個私人標籤證券化中相關貸款的現金流，從而減輕了對 PMT 的任何額外風險。我們認為，衡量我們資產負債表槓桿率的最佳指標是債務與股權之比，不包括與證券化相關的無追索權債務，我們已在第 15 頁進行了顯示。

This metric incorporates our exposure to the investments we are making in subordinate securities in a similar way to what we've seen in prior periods with our CRT investment, which have similar credit exposures to associated loan performance. We expect this divergence between total debt to equity and debt to equity, excluding non-recourse debt,, to increase in fee periods as we continue our retention of investments from our securitization program. Excluding non-recourse debt, our debt to equity ratio at June 30 was 5.6 times within the range of our expected and historical levels.

此指標包含了我們對次級證券投資的風險敞口，其方式與我們在前期對 CRT 投資所見的方式類似，而 CRT 投資的信用風險敞口與相關貸款表現類似。我們預計，隨著我們繼續保留證券化計劃中的投資，總債務與股權之比和債務與股權之比（不包括無追索權債務）之間的差異將在費用期內增加。不包括無追索權債務，我們 6 月 30 日的債務權益比率為 5.6 倍，處於我們的預期和歷史水平範圍內。

We'll now open it up for questions. Operator?

我們現在開始回答問題。操作員？

(Operator Instructions) Doug Harter, UBS.

（操作員指示）Doug Harter，瑞銀。

Thanks. Hoping we could talk a little bit more about the non-agency securitization opportunity. Can you just talk kind of how the returns progressed over the course of the quarter, given the volatility and how you -- kind of positioning the risk of that -- of those holdings going forward?

謝謝。希望我們可以多談非機構證券化機會。考慮到波動性，您能否談談本季的回報率如何變化，以及您如何定位這些持股未來的風險？

So overall, the non-agency subordinate MBS we, obviously, during the quarter, had a significant amount of both rate and spread volatility. The non-agency subordinates are fixed rate securities. And so overall, during the quarter, with respect to credit investments, we did see generally credit spread tightening. You can see the reflection of that on the GSE credit risk transfer. We also saw a fair amount of interest rate volatility, and so that led to a slight decline in terms of the fair value of the non-agency subordinate MBS.

因此，整體而言，本季非機構次級 MBS 的利率和利差波動明顯較大。非機構下屬債券為固定利率證券。因此，總體而言，在本季度，就信貸投資而言，我們確實看到信貸利差普遍收緊。您可以在 GSE 信用風險轉移上看到這一點的體現。我們也看到相當大的利率波動，這導致非機構次級MBS的公允價值略有下降。

On income, excluding market-driven value exchanges, was in line with our expectations, of really, mid-teens -- or mid- to low-teens returns. And so as we continue to add our additional subordinate investments, as well as non-agency senior MBS, we expect those to be -- to continue to be in the low- to mid-teens returns in terms of their returns through time. And those are very stable in terms of the returns with respect to reasonable shocks, in terms of credit performance as well. And so we believe that those are very stable and accretive investments for us over time.

就收入而言，不包括市場驅動的價值交換，符合我們的預期，實際上是中等至低度的回報。因此，隨著我們繼續增加額外的次級投資以及非機構高級 MBS，我們預計這些投資的長期回報率將繼續保持在低至中等水平。就合理衝擊的回報以及信貸表現而言，這些都非常穩定。因此，我們相信，從長遠來看，這些對我們來說是非常穩定和增值的投資。

Great. And then just as a follow up, it looks like the amount of retained interest on the jumbo was a much higher percentage relative to the non-owner occupied. Can you just talk about, I guess how high up the stack and is that -- was that opportunistic or is that something that you would expect to continue on the jumbo side?

偉大的。然後作為後續，看起來巨額房產的保留權益金額相對於非自住房產的保留權益金額百分比要高得多。您能否簡單談談，我猜想堆疊有多高，那是 - 那是機會主義的還是您希望在巨型方面繼續發生的事情？

So with respect to that, we did retain a senior mezzanine tranche on the jumbo securitization. As we look on a deal-by-deal basis, we are sort of making the decision based on the amount of capital we have to deploy.

因此，就這一點而言，我們確實在巨額證券化中保留了優先夾層部分。當我們逐一審視每筆交易時，我們會根據必須部署的資本量來做出決定。

The jumbo curation did occur after we had raised the additional debt, unsecured debt. And so as we're looking to deploy additional capital, I think, at least over the next few periods, it's likely that we would be retaining a greater portion of the interest, both the subordinate bonds and the senior mezzanine piece from many of these securitizations. But we do make the decision on a deal-by-deal basis based on the capital that we're looking to deploy.

在我們籌集了額外的債務、無擔保債務之後，確實發生了巨額資產收購。因此，當我們尋求部署額外資本時，我認為，至少在接下來的幾個時期內，我們可能會保留大部分利息，包括次級債券和許多證券化的優先夾層債券。但我們確實會根據我們想要部署的資本逐一做出決定。

And look, I think, Doug, the important thing is that the team is dynamically managing the portfolio. So as you raise capital and you have capital to deploy, obviously, deploying it into the subordinate tranches is something that's more of a long-term investment in nature. But there are other tranches you can invest in an appropriate return. But as we're doing more securitizations if we need to recycle the capital, we can do so.

道格，我認為，重要的是團隊正在動態地管理投資組合。因此，當你籌集到資金並有資金可供部署時，顯然，將其部署到下級部分本質上是一種長期投資。但您也可以投資其他部分以獲得適當的回報。但由於我們正在進行更多的證券化，如果我們需要回收資本，我們就可以這樣做。

Great, thank you both.

太好了，謝謝你們兩位。

Jason Weaver, JonesTrading.

傑森·韋弗（Jason Weaver），JonesTrading。

Hi, guys. Hope you're doing well. Thanks for taking time to take my question. First of all, David, I think we've talked about this before. But maybe, just an update, if you have any insights under the possible GSE privatization for the future of credit risk transfer?

嗨，大家好。希望你一切都好。感謝您抽空回答我的問題。首先，大衛，我想我們之前已經討論過這個問題了。但也許，只是一個更新，如果您對未來信貸風險轉移的可能的 GSE 私有化有任何見解？

Yeah. I think that, right now, we're not hearing much out of the folks in DC on anything the GSE reform related. The GSE have been active in the credit risk transfer program using the reinsurance vehicles. And in terms of the return to lender CRT, like, we were able to do from 2015 to 2020, I don't see that really on the horizon.

是的。我認為，目前我們還沒有聽到華盛頓人士對 GSE 改革的太多看法。政府支持企業一直積極利用再保險工具參與信用風險轉移計畫。就向貸款人返還 CRT 而言，就像我們在 2015 年至 2020 年期間所做的那樣，我認為這種情況不會真正發生。

And this is what's so exciting about our non-agency securitization program, is the fact that we can create very comparable investments, albeit not as rapidly or not as voluminously, but we can create a similar type of investment by doing these securitizations. And that's what the team has done a really great job at, is being able to really issue securitizations really every three weeks on a relative basis. And I think that that's something that's really exciting. And so we're able to take the product that executes better outside the GSEs and be able to create comparable securitization.

這就是我們的非機構證券化計畫令人興奮的地方，我們可以創造非常可比的投資，儘管速度不快或規模不大，但我們可以透過這些證券化創造類似類型的投資。這就是團隊做得非常出色的工作，能夠真正每三週相對發行一次證券化產品。我認為這是一件非常令人興奮的事情。因此，我們能夠採用在政府支持企業之外執行效果更好的產品，並且能夠創造類似的證券化。

Now obviously, it allows us also to get expertise and real muscle memory if we need to do more. And so if we want to issue more, if there's other agency-eligible products that executes better outside the GSEs, that's where PMT is in a really advantageous state and the fact that it's really got this credit investment thesis that it can continue to grow credit investments at mid-teen returns. And that's something that we want to continue to focus on.

顯然，如果我們需要做更多的事情，它還可以讓我們獲得專業知識和真正的肌肉記憶。因此，如果我們想要發行更多債券，如果有其他符合機構資格的產品在政府支持企業之外表現更好，那麼 PMT 就處於真正有利的地位，而且它確實擁有這種信貸投資理論，即它可以繼續以中等水平的回報率增加信貸投資。這也是我們想要繼續關注的事情。

We have very good exposure to MSRs and the low-rate MSRs, where the range of outcomes are much more limited than current low-rate MSRs. And so if you can find those existing CRT that we have from 2015 to 2020 along with new credit investments, that I think that you're going to continue to see us climbing to consistent mid-teen returns.

我們對 MSR 和低利率 MSR 有很好的了解，其結果範圍比目前的低利率 MSR 有限得多。因此，如果您能找到我們從 2015 年到 2020 年的現有 CRT 以及新的信貸投資，我認為您將繼續看到我們攀升至穩定的中十幾歲的回報率。

Got you. And just to refresh, on the three -- sorry, was it three securitizations you've done so far this quarter -- what sort of execution levels were you getting on your and what sort of advance rates?

明白了。簡單回顧一下，關於這三個——抱歉，是本季度到目前為止您所做的三個證券化項目——您的執行水平如何，預付率如何？

I don't want to speak out of school. We're getting -- spreads are leaning into their tights. I mean, we have a really volatile period at the beginning of the quarter, but things quickly snap back. And so I don't want to speak out of school. We'll definitely get back to you with a more detailed reporting on the embedded leverage.

我不想發表不合學校規矩的言論。我們正在得到──利差正在向他們的緊身處靠攏。我的意思是，我們在本季初經歷了一段非常動蕩的時期，但情況很快就恢復了。所以我不想發表不合學校規矩的言論。我們一定會向您提供有關嵌入式槓桿的更詳細報告。

And I think, suffice it to say, it beats agency execution by a material amount. And I think that that was the goal of FHFA and the GSEs was to drive out some of the more non-owner occupied and second homes into the private label market. And it's done a really nice job revitalizing the private label markets. I mean, it's a very active market.

我認為，可以說，它比代理執行的效果好得多。我認為這是聯邦住房金融局和政府支持企業的目標，即把一些非自住房屋和第二套房推向私人品牌市場。它在振興自有品牌市場方面確實做得非常出色。我的意思是，這是一個非常活躍的市場。

And it's had benefits, not just to agency-eligible production, but you can see in the jumbo loan securitization market, that's become a lot more active. Non-QM is running at about a $75 million to $80 billion pace this year. And so it's really the most active, robust private label securitization market I've seen in our 18-plus years here at the company.

它不僅對符合機構資格的生產有好處，而且你可以看到巨額貸款證券化市場也變得更加活躍。今年非 QM 的運行速度約為 7,500 萬至 800 億美元。因此，這確實是我在公司工作 18 多年來見過的最活躍、最強勁的自有品牌證券化市場。

That's helpful. Thank you, gentlemen.

這很有幫助。謝謝各位。

Bose George, KBW.

博斯喬治，KBW。

Hey guys, good afternoon. So in slide 13, where you have the run rate ROE, it looks like the increase there is really mainly on the rate side. Can you just walk through the drivers of the increase over last quarter?

大家好，下午好。因此，在幻燈片 13 中，您可以看到運行率 ROE，看起來那裡的成長主要集中在利率方面。能否簡單介紹一下上個季度成長的驅動因素？

Sure. Well, if you really look at what contributes to the bottom line there, there's a slight increase in the net interest rate sensitive. I think that is really driven by some additions on the non-agency or addition in terms of the equity allocated to the non-agency senior in IO MBS. And so that's really the retention of those interests from the securitization side that we're expecting over the next 12 months to help -- that should -- given the expected returns from that, help push up or slightly increase the net interest rate sensitive strategy.

當然。好吧，如果你真正看看是什麼影響了底線，你會發現淨利率敏感度略有增加。我認為這實際上是由非機構的一些增加或分配給 IO MBS 中的非機構高級人員的股權的增加所推動的。因此，我們預計，在未來 12 個月內，保留證券化的利益將有助於（考慮到預期的回報），有助於推高或略微提高淨利率敏感策略。

We also have an increase or the ROE from correspondent production. The ROE from correspondent production is also up quarter over quarter, based on the outlook that we have for really volumes and margins and the margin activity that we've seen coming into the third quarter, which we expect to -- that we currently project to persist over the next few quarters.

我們的相應生產也帶來了 ROE 的成長。根據我們對實際產量和利潤率的展望以及我們對第三季度利潤率活動的預測，相應生產的 ROE 也比上一季度有所上升，我們預計這種情況將在未來幾季持續下去。

And additionally, helping to drive up the overall run rate is additional investment in the non-agency subordinate piece, which also has returns which help pull up the rest of the overall forecast and a sort of greater allocation there.

此外，對非機構下屬部分的額外投資有助於提高整體運作率，其回報也有助於拉高其餘的整體預測和更大的配置。

Okay. So as you retain more sub pieces from the securitization, the NII from that is flowing through the rate sensitive line?

好的。那麼，當您從證券化中保留更多子部分時，來自其中的 NII 是否會流經利率敏感線？

It's both. So both the -- if we're retaining seniors or senior mezz pieces, it would flow through the net interest rate sensitive. We, for every securitization, are retaining non-agency subordinate MBS, and that flows through the credit sensitive. And both of those are having positive contributions to the run rate.

兩者都有。因此，如果我們保留優先債券或優先夾層債券，它就會對淨利率敏感。對於每一次證券化，我們都保留非機構從屬MBS，而這些MBS流經信用敏感領域。這兩者都對運行率產生了積極的貢獻。

That's helpful. Okay. Great. Thank you.

這很有幫助。好的。偉大的。謝謝。

Crispin Love, Piper Sandler.

克里斯賓·洛夫，派珀·桑德勒。

Thank you. Good afternoon. Can you just discuss your thoughts on the sustainability of the $0.40 dividend level here? The operating earnings run rate that you discussed improved quarter over quarter, but still slightly below the dividend. And you did mention some ways how you could see that level improve further in the coming quarters. But curious on you and the Board's comfortability with the dividend today.

謝謝。午安.您能否在此討論一下您對 0.40 美元股息水平可持續性的看法？您所討論的營業利潤運行率比上一季有所提高，但仍略低於股息。您確實提到了一些方法，可以在未來幾季進一步提高這一水平。但我很好奇您和董事會對今天的股息是否滿意。

Yeah, thanks, Crispin. We continue to be comfortable with the $0.40 dividend level when we look at the potential for returns as we're moving out through the next four quarters at the $0.38 level, which as you noted, improved from $0.35, really, we think has the potential to further increase up towards $0.40. If you look at our history, we do place a value in the stability of the dividend, and especially with the trajectory and proximity of the run rate currently to the expected dividend, we are comfortable with our position at the $0.40 level currently.

是的，謝謝，克里斯平。從未來四個季度的回報潛力來看，我們仍然對0.40美元的股息水準感到滿意。正如您所說，股息水準比0.35美元有所改善，我們認為未來四個季度的股息水準將維持在0.38美元。我們認為，0.40美元的股息水準有進一步上漲的潛力，預計將達到0.40美元。回顧我們的歷史，我們確實重視股息的穩定性，尤其是考慮到目前的股息收益率與預期股息的走勢和接近程度，我們對目前的0.40美元股息水平感到滿意。

In addition to that, as we look at our taxable income and the taxable income being generated from our strategies, it continues to move toward that $0.40 level as well and be supportive of the $0.40 level. And so our expectation is that that taxable income level will also be maintained. And as we add additional investments into our -- that are not in our taxable REIT subsidiary, namely the non-agency subordinate and senior MBS, that further bolsters that underlying taxable income supporting the $0.40 dividend level.

除此之外，當我們查看我們的應稅收入和從我們的策略中產生的應稅收入時，它也繼續向 0.40 美元的水平移動並支持 0.40 美元的水平。因此，我們預計應稅收入水準也將維持下去。而且，隨著我們向不屬於應稅 REIT 子公司（即非機構從屬和高級 MBS）的額外投資中增加投資，這進一步增強了支持 0.40 美元股息水準的潛在應稅收入。

Great. And then are you able to provide an update on book value in July to date?

偉大的。那麼，您能否提供截至 7 月份的帳面價值更新資訊？

Overall, book value in July to date is very stable with respect to where we ended the prior quarter.

總體而言，7 月迄今的帳面價值與上一季末相比非常穩定。

Great, thank you. I appreciate you taking my questions.

太好了，謝謝。感謝您回答我的問題。

Thank you.

謝謝。

(Operator Instructions) Eric Hagen, BTIG.

（操作員指示）Eric Hagen，BTIG。

Thank you, guys. It feels like a lot of attention, a lot more of a concerted effort around finally making reforms to title insurance. We got the new pilots and the GSEs. I mean, when we combine that with really strong HPA, I do you see that potentially driving these low coupon borrowers to mobilize or do a cash out reply at some point?

謝謝你們。感覺上，我們投入了大量的注意力，並付出了更多的共同努力，最終對產權保險進行了改革。我們得到了新的飛行員和地面支援設備。我的意思是，當我們將其與非常強大的 HPA 結合時，您是否認為這有可能促使這些低息票借款人在某個時候動員起來或進行現金兌現？

I don't. I think that it's going to help on the purchase side, obviously. But I think that -- look, we're seeing, on the PFSI side, an increasing amount of closed end seconds coming out of low-interest rate homeowners. I think that anything we can do to drag down the cost is a good thing. It's about $400 a loan. But I think that I'm not expecting to really accelerate the prepayment speeds on the low-interest rate loans.

我不知道。我認為這顯然會對購買方面有所幫助。但我認為——你看，我們看到，在 PFSI 方面，來自低利率房主的封閉式二次貸款數量正在增加。我認為，只要我們能採取任何措施來降低成本，都是好事。每筆貸款約400美元。但我認為我並不期望真正加快低利率貸款的提前還款速度。

Got you. Thank you.

明白了。謝謝。

Thank you.

謝謝。

And everyone, at this time, there are no further questions. I would like to turn the conference back to David Spector for closing remarks.

各位，目前，沒有其他問題了。我想請戴維‧史佩克特 (David Spector) 致閉幕詞。

Thank you, operator, and thank you, everyone, for joining us here today and asking good, thoughtful questions. And we're obviously here for any follow-up that you may have and reach out to Isaac and the team. And thanks again for the time, and I look forward to speaking to all of you in the future.

謝謝接線員，也謝謝大家今天加入我們並提出很好的、深思熟慮的問題。顯然，我們會在這裡等待您的任何後續信息，並聯繫艾薩克和團隊。再次感謝您抽出時間，我期待將來與大家交談。

And ladies and gentlemen, that does conclude today's conference. We would like to thank you all for your participation today. We do encourage investors with additional questions to contact our Investor Relations team by email or phone. Thank you.

女士們、先生們，今天的會議到此結束。我們感謝大家今天的參與。我們確實鼓勵有其他問題的投資者透過電子郵件或電話聯繫我們的投資者關係團隊。謝謝。