PennyMac Mortgage Investment Trust (PMT) 2025 Q3 法說會逐字稿

Good afternoon, and welcome to PennyMac Mortgage Investment Trust's third-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.pennnymac.com.

下午好，歡迎參加 PennyMac Mortgage Investment Trust 2025 年第三季財報電話會議。其他收益資料，包括電話會議中將提到的演示文稿，可在 PennyMac Mortgage Investment Trust 網站 pmt.pennnymac.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 differ materially, as well as non-GAAP measures that have been reconciled to their GAAP equivalent and the earnings materials.

在開始之前，請允許我提醒各位，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文稿第 2 頁中列出的某些風險的影響，這些風險可能導致公司的實際業績與預期存在重大差異；此外，還可能包含已與 GAAP 等效指標進行調整的非 GAAP 指標以及收益材料。

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

現在，我謹向大家介紹 PennyMac Mortgage Investment Trust 的董事長兼執行長 David Spector，以及 PennyMac Mortgage Investment Trust 的財務長 Dan Perotti。

Thank you, operator. In the third quarter, PMT produced outstanding results and growth in book value per share with a 14% annualized return on common equity. Net income to common shareholders was $48 million, and earnings per share was $0.55, with strong performance across all investment strategies. PMT declared a third-quarter common dividend of $0.40 per share and book value per share on September 30 was $15.16, up from $15 at June 30. Dan will talk about PMT's third-quarter financial results in more detail later on in the presentation.

謝謝接線生。第三季度，PMT 取得了優異的業績，每股帳面價值實現成長，普通股年化報酬率達到 14%。歸屬於普通股股東的淨收入為 4,800 萬美元，每股收益為 0.55 美元，所有投資策略均表現強勁。PMT宣布第三季普通股股息為每股0.40美元，截至9月30日，每股帳面價值為15.16美元，高於6月30日的15美元。Dan 將在稍後的演講中更詳細地談到 PMT 第三季的財務表現。

On slide 5, I want to start by reminding everyone about the synergistic relationship with PFSI and how important that is to providing PMT with unique and competitive advantages.

在第 5 張投影片中，我想先提醒大家與 PFSI 的協同關係，以及這種關係對於為 PMT 提供獨特和競爭優勢的重要性。

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 multichannel origination business, which provides PMT with a consistent and high-quality pipeline of loans for investment.

首先，PMT 利用 PFSI 一流的營運平台，包括其經驗豐富的管理團隊、規模化的服務營運以及龐大且靈活的多通路貸款業務，這為 PMT 提供了持續且高品質的投資貸款管道。

Second, PMT is able to efficiently deploy capital into long-term mortgage assets without the operational burns associated with origination and servicing.

其次，PMT 能夠有效率地將資金投入長期抵押貸款資產，而無需承擔與貸款發放和服務相關的營運成本。

And third, PFSI's deep access to the origination market, coupled with PMT's ability to execute private label securitizations, provides PMT with the unique opportunity to invest in organically created investments with attractive risk-adjusted returns. And as PFSI further grows its overall share of loan production, PMT is -- (technical difficulty)

第三，PFSI 對發行市場的深入了解，加上 PMT 執行自有品牌證券化的能力，為 PMT 提供了獨特的投資機會，使其能夠投資於具有吸引力的風險調整後收益的有機創造型投資。隨著PFSI在貸款發放總量中所佔份額的進一步成長，PMT也隨之成長。——（技術難題）

Ladies and gentlemen, please stand by. (technical difficulty)

女士們先生們，請稍等。（技術難題）

I want to apologize for the technical difficulties. Why don't I start from the beginning?

對於技術故障，我深表歉意。我為什麼不從頭開始呢？

In the third quarter, PMT produced outstanding results and growth in book value per share with a 14% annualized return on common equity. Net income to common shareholders was $48 million and earnings per share was $0.55, with strong performance across all investment strategies. PMT declared a third-quarter common dividend of $0.40 per share and book value per share at September 30 was $15.16, up from $15 at June 30. Dan will talk about PMT's third-quarter financial results in more detail later on in the presentation.

第三季度，PMT 取得了優異的業績，每股帳面價值實現成長，普通股年化報酬率達到 14%。歸屬於普通股股東的淨收入為 4,800 萬美元，每股收益為 0.55 美元，所有投資策略均表現強勁。PMT宣布第三季普通股股息為每股0.40美元，截至9月30日，每股帳面價值為15.16美元，高於6月30日的15美元。Dan 將在稍後的演講中更詳細地談到 PMT 第三季的財務表現。

On slide 5, I want to start by reminding everyone about the synergistic relationship with PFSI and how important that is to providing PMT with unique and 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 multichannel origination business, which provides PMT with a consistent and high-quality pipeline of loans for investment.

在第 5 張投影片中，我想先提醒大家與 PFSI 的協同關係，以及這種關係對於為 PMT 提供獨特和競爭優勢的重要性。首先，PMT 利用 PFSI 一流的營運平台，包括其經驗豐富的管理團隊、規模化的服務營運以及龐大且靈活的多通路貸款業務，這為 PMT 提供了持續且高品質的投資貸款管道。

Second, PMT is able to efficiently deploy capital into long-term mortgage assets without the operational burdens associated with origination and servicing.

其次，PMT能夠有效率地將資金投入長期抵押貸款資產，而無需承擔與貸款發放和服務相關的營運負擔。

And third, PFSI's deep access to the origination market, coupled with PMT's ability to execute private label securitization, provides PMT with the unique opportunity to invest in organically created investments with attractive risk-adjusted returns. And as PFSI further grows its overall share of loan production, PMT is expected to have even more opportunities to organically grow its portfolio.

第三，PFSI 對發行市場的深入了解，加上 PMT 執行自有品牌證券化的能力，為 PMT 提供了獨特的投資機會，使其能夠投資於具有吸引力的風險調整後收益的有機創造型投資。隨著 PFSI 貸款業務份額的進一步成長，PMT 預計將獲得更多機會實現其投資組合的有機成長。

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 可以看出，PennyMac 平台產生的非自住房屋貸款和巨額貸款數量的增加，凸顯了未來投資的潛力。不斷增長的貸款儲備為我們提供了靈活性和選擇權，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 third quarter, we successfully completed three securitizations of agency-eligible investor loans totaling $1.2 billion in UPB, retaining $93 million of new investments. We also completed our second consecutive quarterly jumbo loan securitization with a total of UPB of $300 million and retained investments of $45 million. After quarter end, we completed one additional investor and one additional jumbo securitization.

第三季度，我們成功完成了三筆符合機構資格的投資者貸款證券化，未償還本金總額達 12 億美元，保留了 9,300 萬美元的新投資。我們也完成了連續第二季巨額貸款證券化，未償付餘額總額為 3 億美元，留存投資額為 4,500 萬美元。季度末之後，我們又完成了一筆投資者交易和一筆巨額證券化交易。

And finally, we priced our inaugural securitization of agency-eligible owner-occupied loans. This securitization is particularly significant as it effectively mirrors the strategy of our historical GSE lender risk share transactions.

最後，我們對首批符合機構資格的自住房屋貸款證券化產品進行了定價。此次證券化意義尤其重大，因為它有效地反映了我們以往 GSE 貸款人風險分擔交易的策略。

In those prior risk share transactions, we invested in the credit risk associated with high-quality conventional loan production delivered to Fannie Mae. Similarly, in our most recent transaction, we are investing in the credit risk on the same type of high-quality conventional loans. All of these transactions highlight our ability to leverage our production and securitization capabilities to create high-quality assets for PMT's portfolio consistent with its long-term investment strategy.

在先前的風險分擔交易中，我們投資於向房利美提供的高品質傳統貸款相關的信用風險。同樣，在我們最近的交易中，我們投資的是同類型高品質傳統貸款的信用風險。所有這些交易都凸顯了我們利用自身的生產和證券化能力，為 PMT 的投資組合創造高品質資產的能力，這與 PMT 的長期投資策略一致。

The graphic on the right side of the slide highlights our rapid ascent to become a leading issuer of private label securitizations. In recent periods, we've been a top three issuer of prime non-agency MBS. In fact, since the fourth quarter of 2024 through today, we successfully completed 16 securitizations totaling $5.7 billion in UPB with retained investments of more than $460 million. 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.

投影片右側的圖表突顯了我們迅速崛起成為領先的自有品牌證券化發行商的歷程。近幾年來，我們一直是優質非機構抵押貸款支持證券發行量排名前三的機構。事實上，自 2024 年第四季至今，我們已成功完成 16 項證券化交易，未償付本金總額達 57 億美元，留存投資超過 4.6 億美元。這種持續不斷的證券化節奏凸顯了我們致力於發揮自身投資創造能力，並保持在自有品牌證券化市場的領先地位。

Targeted returns on equity for these investments are expected to be in the low- to mid-teens. And we believe that over time, these new investments will continue to improve PMT's overall return profile.

這些投資的目標股本回報率預計在十幾到十幾之間。我們相信，隨著時間的推移，這些新的投資將繼續改善 PMT 的整體回報狀況。

Turning to slide 7. Approximately 60% of PMT's 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. Our MSR investments account for approximately 46% of our deployed equity, down from a high point of 56% late in 2022. The majority of these mortgages underlying these MSRs remains far out of the money with a weighted average coupon of 3.9%, meaning, borrowers have little incentive to refinance.

翻到第7張投影片。PMT 約 60% 的股東權益目前投資於成熟的抵押貸款服務權 (MSR) 組合以及我們在 2015 年至 2020 年投資的獨特 GSE 貸款人風險分擔交易。這些都是非常穩定且成熟的資產，具有強勁的基本面。我們的 MSR 投資約占我們已部署權益的 46%，低於 2022 年底的 56% 的高點。這些抵押貸款服務權 (MSR) 所對應的絕大多數抵押貸款仍然處於虧損狀態，加權平均票息為 3.9%，這意味著借款人幾乎沒有動力進行再融資。

Borrowers underlying these MSRs also have a low weighted average current loan to value of approximately 53%. As a result, we expect the MSR asset to continue producing stable cash flows over an extended period of time. Furthermore, PMT's MSRs continue to benefit from the higher interest rate environment as the fee income PMT receives on custodial balances is closely tied to short-term interest rates.

這些抵押貸款服務權 (MSR) 的借款人目前的加權平均貸款價值比也較低，約為 53%。因此，我們預期MSR資產將在較長一段時間內持續產生穩定的現金流。此外，PMT 的 MSR 繼續受益於較高的利率環境，因為 PMT 從託管餘額中獲得的費用收入與短期利率密切相關。

Similarly, PMT's unique credit risk transfer investments representing 14% of shareholders' equity are backed by seasoned loans with strong fundamentals that were originated during periods of low interest rates.

同樣，PMT獨特的信用風險轉移投資佔股東權益的14%，這些投資以基本面強勁的成熟貸款為支撐，這些貸款是在低利率時期發放的。

Delinquencies have remained low on this portfolio as well. This positive borrower performance 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-to-value ratio below 50%. As a result, we expect that realized losses on these investments will be limited and that these core investments will perform well over the foreseeable future.

該投資組合的違約率也一直維持在較低水準。借款人表現良好，這可歸因於消費者整體信用狀況良好，以及近年來由於房價持續上漲而積累了大量房屋淨值，目前加權平均貸款價值比低於 50%，這便證明了這一點。因此，我們預計這些投資的已實現損失將受到限制，而這些核心投資在可預見的未來將表現良好。

The pie charts on slide 8 highlight our active management of the portfolio to maximize risk-adjusted returns. Our strategy is to recycle capital into assets that maximize risk-adjusted returns, transitioning capital from lower-yielding assets into high-quality investments with superior return profiles.

第 8 張投影片上的圓餅圖突顯了我們對投資組合的積極管理，以最大限度地提高風險調整後的收益。我們的策略是將資本重新投入到能夠最大限度提高風險調整後收益的資產中，將資本從收益較低的資產轉移到收益表現優異的高品質投資。

As an example, this quarter, we sold $195 million of opportunistic investments in GSE-issued CRT and had appreciated significantly as since being purchased and where our projected go-forward returns fell below our return requirements. The sale of these investments freed up capital for PMT to invest in newly created assets with higher expected returns from our ongoing private label securitization efforts.

例如，本季我們出售了 1.95 億美元的 GSE 發行的 CRT 機會性投資，這些投資自購買以來已大幅升值，但我們預計的未來回報低於我們的回報要求。出售這些投資為 PMT 釋放了資金，使其能夠投資於我們正在進行的自有品牌證券化工作中創造的預期回報更高的新資產。

We have also identified and acted upon opportunities to deploy capital into higher returning assets available in the market. This quarter, we identified agency floating rate MBS as an attractive investment with limited interest rate risk and purchased $877 million of these investments.

我們也發現了將資金投入市場上回報率更高的資產的機會，並採取了相應的行動。本季度，我們認為機構浮動利率抵押貸款支持證券 (MBS) 是一項具有有限利率風險的有吸引力的投資，併購買了價值 8.77 億美元的此類投資。

We remain focused on optimizing our allocation to these investments with target ROEs in the 13% to 15% range. By strategically redeploying capital into these higher returning assets, we are successfully increasing the weighted average return profile of our overall portfolio.

我們將繼續專注於優化對這些投資的配置，目標是實現 13% 至 15% 的淨資產收益率。透過將資本策略性地重新部署到這些高回報資產中，我們成功地提高了整體投資組合的加權平均報酬率。

Turning to slide 9. You can see 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 $0.42 per share, up from $0.38 per share in the prior quarter and higher than our $0.40 quarterly dividend. Overall, we expect increased returns in the credit-sensitive strategies given the sale of our opportunistic investments in GSE-issued CRT, which had lower projected go-forward returns and increased activity in accretive investments from our private label securitizations as mentioned earlier.

翻到第9張投影片。您可以看到 PMT 投資策略在未來四個季度的預期營運回報率潛力。PMT 目前的營運速度反映出季度平均每股收益為 0.42 美元，高於上一季的每股 0.38 美元，也高於我們 0.40 美元的季度股息。總體而言，鑑於我們出售了對 GSE 發行的 CRT 的機會性投資（這些投資的預期未來收益較低），以及如前所述，我們自有品牌證券化增值投資活動的增加，我們預計對信用敏感的策略的回報將有所提高。

In the interest rate-sensitive strategies, expected returns on equity increased slightly as we deploy capital into agency floating rate MBS. As the yield curve steepens, we expect PMT's overall run rate would increase further driven by higher overall spread of long-term asset yields to short-term financing rates.

在利率敏感策略中，隨著我們將資本投入機構浮動利率抵押貸款支持證券，預期權益回報率略有上升。隨著殖利率曲線趨於陡峭，我們預計 PMT 的整體運行速度將進一步提高，這是由於長期資產收益率與短期融資利率之間的整體利差擴大所致。

Finally, correspondent aggregation activities, particularly in jumbo loans, had positive momentum, driving improved execution, and an overall increase to our Correspondent Production segment's return potential.

最後，代理業務聚合活動，特別是巨額貸款業務，取得了積極的進展，推動了執行力的提高，並整體提高了我們代理業務生產部門的回報潛力。

In closing, we are executing on a very clear, value-enhancing strategy for PMT. Strong results this quarter, combined with our improved outlook, are a direct result of the competitive power of our platform. This success is rooted in the unique advantages derived from the synergistic relationship with PFSI, which fuels our proprietary investment engine and enables us to be a leader in the private label securitization market. By leveraging this integrated structure, PMT is exceptionally well-positioned to substantially grow its earnings potential and deliver superior risk-adjusted returns to our shareholders.

最後，我們正在執行一項非常清晰、能夠提升 PMT 價值的策略。本季強勁的業績，加上我們前景的改善，直接得益於我們平台強大的競爭力。這項成功源於與 PFSI 的協同關係所帶來的獨特優勢，這種優勢為我們的專有投資引擎提供了動力，並使我們能夠成為自有品牌證券化市場的領導者。透過利用這一一體化結構，PMT 擁有非常有利的地位，可以大幅提高其獲利潛力，並為我們的股東帶來卓越的風險調整後回報。

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

現在，我將把發言權交給丹，他將分析 PMT 第三季財務表現的驅動因素。

Thank you, David. PMT reported net income to common shareholders of $48 million in the third quarter or $0.55 per diluted common share. Let's start with the credit-sensitive strategies with a $19 million contribution to pretax income.

謝謝你，大衛。PMT公司第三季向普通股股東支付的淨利為4,800萬美元，即每股攤薄收益0.55美元。讓我們先從對信用敏感的策略開始，這些策略能為稅前收入貢獻 1,900 萬美元。

Gains from organically created CRT investments were $10 million, including $8 million primarily consisting of realized gains in carry and $2 million of market-driven value gains from credit spread tightening. Opportunistic investments in CAS & STACR bonds generated gains of $2 million for the quarter. As David mentioned, we sold $195 million of these investments as the expected go-forward returns were below our return hurdles, and we see more attractive investments resulting from our private label securitization program.

透過有機創造的 CRT 投資獲得的收益為 1000 萬美元，其中 800 萬美元主要來自已實現的收益，200 萬美元來自信貸利差收窄帶來的市場價值收益。本季對 CAS 和 STACR 債券的擇機投資帶來了 200 萬美元的收益。正如大衛所提到的，我們出售了價值 1.95 億美元的這些投資，因為預期的未來回報低於我們的回報門檻，而且我們看到，透過我們的自有品牌證券化計劃，產生了更具吸引力的投資。

Investments in PMT's non-agency subordinate MBS generated gains of $7 million. The interest rate sensitive strategies had strong results with pretax income of $32 million. Income excluding market-driven value changes in the segment was $36 million, primarily driven by higher income from MSR investments due to increased placement fee income on custodial balances and lower realization of MSR cash flows.

對 PMT 非機構附屬 MBS 的投資產生了 700 萬美元的收益。對利率敏感的策略取得了強勁的成效，稅前收入達 3,200 萬美元。不包括市場驅動的價值變動，該業務板塊的收入為 3,600 萬美元，主要原因是託管餘額的安置費收入增加，以及 MSR 現金流的實現減少，從而導致 MSR 投資收入增加。

Net fair value losses in the segment were $4 million. The fair value of MSRs declined by $27 million, and the fair value of our interest rate hedges also declined by $27 million. These declines were mostly offset by $51 million of fair value gains on agency MBS, agency-structured products, and non-agency senior MBS primarily due to the active addition of exposure to mortgage spreads, which tightened during the quarter.

該業務板塊的淨公允價值損失為 400 萬美元。抵押貸款服務權的公允價值下降了 2,700 萬美元，我們的利率對沖的公允價值也下降了 2,700 萬美元。這些跌幅基本上被機構抵押貸款支持證券、機構結構化產品和非機構高級抵押貸款支持證券的 5,100 萬美元公允價值收益所抵消，這主要是由於積極增加對抵押貸款利差的敞口，而抵押貸款利差在本季度收窄。

In the third quarter, PMT reported an income tax benefit of $11 million driven primarily by fair value declines on MSRs and interest rate hedges held in PMT's taxable REIT subsidiary. The fair value of PMT's MSR asset at the end of the quarter was $3.7 billion, down slightly from June 30 as newly originated MSR investments were more than offset by runoff in fair value declines.

第三季度，PMT 報告稱獲得 1,100 萬美元的所得稅收益，主要原因是 PMT 應稅 REIT 子公司持有的 MSR 和利率對沖的公允價值下降。PMT 的 MSR 資產在本季末的公允價值為 37 億美元，較 6 月 30 日略有下降，原因是新產生的 MSR 投資被公允價值下降的減少所抵銷。

Delinquency rates for borrowers underlying PMT's MSR portfolio remain low and servicing advances outstanding decreased to $62 million from $70 million at June 30. No principal and interest advances are currently outstanding.

PMT 的 MSR 投資組合中藉款人的違約率仍然很低，截至 6 月 30 日，未償還貸款餘額從 7,000 萬美元減少到 6,200 萬美元。目前沒有未償還的本金和利息。

Under the renewed mortgage banking services agreement with PFSI, correspondent loans are now initially acquired by PFSI. As part of the agreement, PMT retains the right to purchase up to 100% of non-government correspondent production from PFSI.

根據與 PFSI 續約的抵押貸款銀行服務協議，代理貸款現在首先由 PFSI 收購。作為協議的一部分，PMT 保留從 PFSI 購買高達 100% 非政府通訊社產品的權利。

Loans acquired from PFSI's correspondent production through this agreement totaled $3 billion, essentially unchanged from the volume of correspondent production retained by PMT in the prior quarter.

透過該協議從 PFSI 的代理貸款中獲得的貸款總額為 30 億美元，與 PMT 上一季保留的代理貸款規模基本持平。

PMT purchased 17% of PFSI's total comp conventional conforming correspondent production and 100% of PFSI's correspondent jumbo production in the third quarter, similar to the amount PMT retained -- (technical difficulty)

第三季度，PMT收購了PFSI全部常規合格代理商產量的17%和PFSI全部巨型代理商產量的100%，與PMT保留的份額相似。——（技術難題）

Please stand by. The event is currently paused. Please stand by. The event will resume shortly. (technical difficulty)

請稍候。活動目前已暫停。請稍候。活動即將繼續進行。（技術難題）

All right. Apologies again for the interruption. Get back into it. I want to take a minute to comment on PMT's overall leverage ratio, which is -- we show on slide 15. The increase in total debt to equity in recent quarters 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 retained interest in the securitizations.

好的。再次為打擾您致歉。重新投入進去。我想花一分鐘評論一下 PMT 的整體槓桿率，我們在第 15 張投影片上展示了這一點。最近幾季總債務權益比的增加主要反映了與我們增加的自有品牌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，這要求我們將這些交易記錄為貸款融資，而不是證券化中的保留權益。

The source of repayment for this non-recourse debt is limited to 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 the securitizations, which we have shown on page 15. We expect the divergence between total debt to equity and debt to equity, excluding nonrecourse debt, to continue increasing in future periods as we continue our retention of investments from our securitization program.

此無追索權債務的償還來源僅限於每項自有品牌證券化中相關貸款的現金流，從而減輕了對 PMT 的任何額外風險敞口。我們認為衡量資產負債表槓桿率的最佳指標是債務權益比，不包括與證券化相關的無追索權債務，我們在第 15 頁已對此進行了說明。我們預計，隨著我們繼續保留證券化計劃中的投資，未來一段時間內，總債務權益比與債務權益比（不包括無追索權債務）之間的差異將繼續擴大。

Excluding nonrecourse debt, our debt-to-equity ratio at September 30 was 5.8 times, within the range of our expected and historical levels.

在剔除無追索權債務後，截至 9 月 30 日，我們的負債權益比率為 5.8 倍，在我們預期和歷史水準的範圍內。

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

現在開放提問環節。操作員？

(Operator Instructions) Doug Harter, UBS.

（操作說明）道格·哈特，瑞銀集團。

Hi, thanks. I'm hoping to talk a little bit more about the conventional securitizing the conventional loans. How are you thinking about sizing that opportunity? How are you kind of deciding what loans get securitized versus delivered to the GSEs? Just if you could walk through that process, that would be great.

您好，謝謝。我希望能再多談談傳統貸款的證券化問題。您打算如何評估這個機會的規模？你們是如何決定哪些貸款進行證券化，哪些貸款交付給政府支援企業（GSE）的？如果您能詳細講解一下這個過程，那就太好了。

Sure, Doug. Thanks so much for the question. Look, we -- as we pointed out in our opening comments, we have tremendous familiarity, knowledge and success with our investment in lender CRT. And when that program was discontinued in 2020, we really took the time to understand how do we create a similar opportunity. And fortunately, the non-owner occupied securitization really provided the greatest opportunity for us. And so we seized on that opportunity and began the securitization process there.

當然可以，道格。非常感謝你的提問。正如我們在開場白中指出的那樣，我們對貸款機構 CRT 的投資有著非常深入的了解和豐富的經驗，並取得了巨大的成功。當該計劃在 2020 年終止時，我們花了很多時間去了解如何創造類似的機會。幸運的是，非業主自住房屋證券化確實為我們提供了最大的機會。於是我們抓住了這個機會，開始了那裡的證券化進程。

But out of that, we began to look at owner-occupied loans and really, through a combination of credit spread tightening and the GSEs raising guaranteed fees or loan level price adjustments, certain owner-occupied loans became eligible or executed better into an owner-occupied securitization. And so while we cannot create investment in a private label securitization at the pace that we did in CRT, clearly, over time, we can increase the pace, and we can create a similar investment. And so that's what's exciting about this opportunity.

但由此，我們開始關注自住房屋貸款，並且實際上，透過信貸利差收緊和政府支持企業提高擔保費用或貸款層面價格調整，某些自住房屋貸款變得符合條件或更適合進行自住房屋證券化。因此，雖然我們無法像在 CRT 中那樣快速地創造私人標籤證券化投資，但顯然，隨著時間的推移，我們可以加快速度，並創造類似的投資。這就是這個機會令人興奮之處。

Overall, the execution was superior to delivering the loans to the GSEs, and so there wasn't any gain on sale hits. And likewise, it provided us with an investment in the kind of the mid-teens range for the long term. So from my perspective, is a win-win. It's not going to replace delivering to the GSEs. I mean, it's -- if we were to do a deal a month through securitizations and whole loan activity, we probably would end up delivering 15% of our loans outside the GSEs. So it's not meant to say that we don't need the GSEs because we do need the GSEs. They're an incredibly important business partner of ours. But what's important for me is we're creating meaningful investment for PMT and delivering the results to our shareholders.

整體而言，執行情況優於向政府支持企業發放貸款，因此沒有出現任何銷售收益。同樣，它也為我們提供了一項長期投資，金額在十幾美元左右。所以在我看來，這是雙贏。它不會取代向政府支持企業 (GSE) 供貨。我的意思是，如果我們每個月透過證券化和整筆貸款活動完成一筆交易，我們最終可能會有 15% 的貸款發放給 GSE 以外的機構。所以這並不是說我們不需要政府支持企業，因為我們確實需要政府支持企業。他們是我們極為重要的商業夥伴。但對我來說，重要的是我們正在為 PMT 創造有意義的投資，並為我們的股東帶來回報。

So I guess, as this opportunity continues to grow, does that ultimately change the level of the conventional correspondent business that PMT would look to buy from, or does it change the type that you're buying from PFSI? I just wanted to know how those two kind of pieces put together.

所以我想，隨著這種機會的不斷增長，這最終會改變 PMT 希望從中購買的傳統代理商業務的水平，還是會改變您從 PFSI 購買的類型？我只是想知道這兩種元素是如何結合在一起的。

Yeah. So look, if what the level of correspondent activity is from the correspondent business is a function of what PMT wants to invest in on both credit and interest rate sensitive assets overall. If it needs some additional owner-occupied loans for securitization, it can go into the marketplace to buy those loans or it can go to PFSI to buy those loans. And obviously, going to PFSI to buy those loans is the easier path.

是的。所以你看，代理業務的代理活動水準取決於 PMT 想要在信用和利率敏感資產方面的整體投資金額。如果需要一些額外的自住房屋貸款進行證券化，它可以進入市場購買這些貸款，也可以向 PFSI 購買這些貸款。顯然，去PFSI購買這些貸款是更容易的途徑。

So I think you have to think about it as there's going to be an allocation of correspondent loans to PMT and allocation to PFSI. But to the extent that PMT wants more loans to do more securitization that knows that it can go to PFSI and whether those loans come through their allocation of correspondent loans or through their broker originations or their own direct-to-consumer originations is just going to be a byproduct of the types of loans that PMT wants.

所以我認為你必須考慮這一點，因為將會有一部分代理貸款分配給 PMT，一部分分配給 PFSI。但是，如果 PMT 希望獲得更多貸款以進行更多證券化，那麼它知道這些貸款可以流向 PFSI，而這些貸款是透過其分配的代理貸款、經紀人發起的貸款還是其自己的直接面向消費者的貸款來發放的，都只是 PMT 想要的貸款類型的副產品。

And I think, Doug, just as a -- to add on to that a little bit, we don't necessarily expect in terms of the percentage of loans that's going to PMT currently the 17%. As we said in some of the comments, we don't expect that to change for the fourth quarter. And that's -- we think that that's a level at least in terms of our current outlook pretty consistent with where we expect to be as we're going into future periods at the moment.

道格，我想補充一點，我們不一定期望目前 PMT 的貸款比例為 17%。正如我們在一些評論中提到的，我們預計第四季度情況不會改變。我們認為，至少就我們目前的展望而言，這個水準與我們目前對未來一段時間的預期水準相當一致。

Frankie Labetti, KBW.

Frankie Labetti，KBW。

Hi, guys. Can you hear me?

嗨，大家好。你聽得到我嗎？

Yes.

是的。

This is Bose. Sorry, glitch in the system there. Yeah, actually, a couple of questions. One, just in terms of the normalized run rate earnings that you guys discussed in the slide, just given the steeper curve driving that, should we think of the timeline for that, just when the Fed is further along in that process like get there by the middle of next year, or is that kind of a good cadence?

這是 Bose。抱歉，系統出了故障。是的，其實我還有幾個問題。第一，就你們在幻燈片中討論的正常化運行率收益而言，考慮到更陡峭的曲線推動了這一目標，我們是否應該考慮一下時間表，比如美聯儲在明年年中之前取得更大進展，或者這是一個合適的節奏？

It's a relatively good cadence. We do -- there are some seasonal variations, both in volumes and in escrow balances, et cetera. But really, if you look at the earnings, excluding market value changes for this quarter, it's -- if you exclude that, it's around $0.40 already, and as we're moving into the next few quarters, we'd expect to be pretty close to that $0.42 level on a core basis. And then we can have some changes that come in through the market value changes in a given period. But our core -- on the core basis, we're expecting to generate around that $0.42 sort of out of the gate.

節奏還不錯。確實存在一些季節性變化，包括交易量和託管餘額等等。但實際上，如果你看一下收益，排除本季度的市值變化，你會發現——如果排除市值變化，收益已經接近 0.40 美元，而且隨著我們進入接下來的幾個季度，我們預計核心收益將非常接近 0.42 美元的水平。然後，在特定時期內，市場價值的變化也會帶來一些變化。但就核心業務而言，我們預計一開始就能產生約 0.42 美元的收益。

Okay. Great, thanks. And then just in terms of the -- just going back to Doug's question about this, the transaction, the securitization. How much of that is driven by the GSE pricing versus obviously the spreads in the market are extremely tight as well that's supporting that. Yes, just kind of the different pieces of kind of making that work now.

好的。太好了，謝謝。然後，就——就道格關於這筆交易、證券化的問題而言。其中有多少是由政府支持企業 (GSE) 的定價所驅動的？顯然，市場上的價差也非常小，這也起到了支撐作用。是的，現在就是讓這一切順利進行的各種環節。

Yeah. So I think that as it pertains to nonowner occupied, I think that's just a market -- I think it's markets and demand for that product. Spreads are tight and I expect it to continue to remain tight. And the execution versus GSE deliveries is pretty significant so I don't expect to change there.

是的。所以我覺得，就非業主自住房屋而言，這只是一個市場問題——我認為這只是市場和對該產品的需求問題。買賣價差目前很窄，我預計這種情況會繼續保持窄幅。執行情況與 GSE 交付情況之間存在相當大的差距，所以我預計這方面不會改變。

On the owner-occupied side, that's a little bit more sensitive. And I think that as we see spreads where they are, we see opportunities to do more owner-occupied deals. Sure, spreads were to widen out, we probably would take a pause and deliver those to the GSEs.

對於自住房屋而言，情況就比較敏感了。我認為，鑑於目前的價差，我們看到了進行更多自住房屋交易的機會。當然，如果利差擴大，我們可能會暫停交易，並將這些利差交付給政府支持企業。

Obviously, we're going to look at everything in its totality in terms of gain on sale versus long-term investment, but by and large, it's just more -- the owner-occupied transaction is a lot more sensitive to spread movement as it pertains to where the loans ultimately get delivered.

顯然，我們會從整體考慮出售收益與長期投資之間的關係，但總的來說，自住房屋交易對利差變動更為敏感，因為貸款最終會流向何處。

Yeah. Okay, great. Thanks a lot.

是的。好的，太好了。多謝。

Thank you, Bose.

謝謝你，Bose。

Trevor Cranston, Citizens JMP.

特雷弗克蘭斯頓，公民聯合行動小組。

Hey, sorry about that. I was just on mute. Question with mortgage rates coming down a fair amount over the last few months. Can you talk about what you guys are seeing in terms of prepay speeds, particularly, I guess, on the jumbo loan securitizations you guys have done over the last year or so? And maybe more generally, if you could also comment on kind of how sensitive projected returns are on those investments to changes in prepay speeds.

嘿，真抱歉。我剛才處於靜音狀態。鑑於近幾個月來抵押貸款利率大幅下降，這是一個值得探討的問題。能否談談你們在提前還款速度方面觀察到的情況，特別是過去一年左右你們進行的巨額貸款證券化交易的情況？更廣泛地說，您能否也評論一下這些投資的預期回報對預付費速度變化的敏感度？

Sure. So overall, in terms of the prepay fees, I think a little early yet on the jumbo securitizations. We really only started doing those in earnest in the middle of this year and so -- and this is really, I'd say, the first -- probably the end of September here, part of September is where some of those may have had a potential to start refinancing. So I think the reactiveness to that, still have yet to see in full.

當然。所以總的來說，就預付費用而言，我認為現在對巨額證券化來說還為時過早。我們真正開始認真做這些事情是在今年年中，所以——而且這真的是，我想說，是第一個——大概在九月底，九月的一部分時間裡，其中一些可能有可能開始再融資。所以我覺得對此的反應，還有待全面觀察。

But with respect to our sensitivity to those prepayments since we own the subordinate tranches, generally speaking, prepayments on -- from the jumbo loans are beneficial to those investments. Typically, we own them at a discount. And so as prepayments increase, it increases the accretion of those over time or basically shortens the life. So overall, in terms of prepayment speeds, is not a significantly negative impact or it's not a negative impact to our investment.

但就我們對這些提前還款的敏感度而言，因為我們擁有次級貸款，一般來說，巨額貸款的提前還款對這些投資是有利的。通常情況下，我們都能以折扣價購買它們。因此，隨著預付款的增加，隨著時間的推移，債務的累積也會增加，或者說，債務的壽命會縮短。因此，整體而言，就預付款速度而言，這並沒有造成明顯的負面影響，或者說，對我們的投資並沒有造成負面影響。

And this is the MSRs that we own back in these deals, obviously, having the hedge in place to be able to counter the prepayment speed issue's vitally important. I think the hedge results this quarter were really very good. Marshall and the team have done a great job in getting us set up to be able to really see the benefit of an active hedge process in the portfolio. And so hedging those assets helps mute a lot of the prepayment risk associated with owning MSRs.

顯然，這些是我們在這些交易中擁有的抵押貸款服務權 (MSR)，因此，建立對沖機制來應對提前還款速度問題至關重要。我認為本季的對沖結果非常好。Marshall 和他的團隊做得非常出色，他們幫助我們做好了充分的準備，讓我們能夠真正看到投資組合中積極的對沖流程帶來的好處。因此，對這些資產進行對沖有助於降低與持有抵押貸款服務權相關的許多提前償付風險。

Yeah, that makes sense. Okay, thank you.

嗯，有道理。好的，謝謝。

(Operator Instructions) Crispin Love, Piper Sandler.

（操作說明）克里斯平·洛夫，派珀·桑德勒。

Thank you. Good afternoon. First, can you just speak to where you're seeing the best opportunities for risk-adjusted returns right now just between the interest rate sensitive and credit-sensitive strategies and where you're most focused on allocating capital in the near term?

謝謝。午安.首先，您能否談談您目前在利率敏感型策略和信用敏感型策略中，哪些策略在風險調整後的報酬率最具優勢？以及您近期最關注的資本配置方向是什麼？

Yeah. Hi, Crispin. I think from my perspective, the best opportunity right now is in the credit-sensitive strategy sector, whether it's doing owner-occupied securitizations or non-owner-occupied securitization. We are getting long-term really stable investments in subordinate tranches at the mid-teens levels.

是的。你好，克里斯平。我認為，就我個人而言，目前最好的機會是在信貸敏感策略領域，無論是進行業主自住房屋證券化還是非業主自住房屋證券化。我們正在以十幾美元的水平，在次級債券中獲得長期、非常穩定的投資。

The MSRs are slightly less than that. But I think what's -- and maybe a little bit more than slightly, but they're probably lower teens. But what's driving our motivation there is to get more balanced between interest rate-sensitive investments and credit-sensitive investments.

MSR 略低於這個值。但我認為——或許不只一點點，但他們可能只有十幾分。但我們這樣做的真正動機是，要在對利率敏感的投資和對信用敏感的投資之間取得更平衡。

And so as I mentioned, historically, we've been closer to 50/50. We got as high as 55% interest rate-sensitive assets back in 2022. So I'm really focused on being able to invest in credit-sensitive strategies. I think that our vehicle has proven to be very valuable in investing in credit-sensitive strategies.

正如我剛才提到的，從歷史上看，我們一直更接近 50/50 的比例。2022年，我們對利率敏感的資產佔比高達55%。所以我現在非常專注於投資對信用風險敏感的策略。我認為，我們的工具已被證明在投資對信用敏感的策略方面非常有價值。

And I think given the underwriting and the due diligence and the servicing behind it, the ability to manage the outcomes in a more active way is something that we've shown ourselves to be able to do, is really, if you think about during COVID, our losses were much lower on CRT than other CRT investments.

我認為，鑑於承保、盡職調查和後續服務，我們有能力以更積極的方式管理結果，而我們也已經證明自己能夠做到這一點。想想新冠疫情期間，我們在 CRT 的損失遠低於其他 CRT 投資。

And so I think for the time being, we're very excited about the opportunities it's presented to us. And I think that this is something you're going to continue to see us participate in. And as we produce the results, I'm really hopeful that we'll be able to grow the REIT to be able to deploy even more capital.

所以我覺得就目前而言，我們對它帶給我們的機會感到非常興奮。我認為我們會繼續參與這類活動。隨著業績的逐步顯現，我非常有信心我們能夠發展壯大 REIT，從而投入更多資金。

And the one thing I'd add on to that is that if we do -- when we do see opportunities in the interest rate-sensitive strategies, although over time, we do think the best deployment is in credit, and that's really what we see as the best use of our synergy with PFSI and all of the things that David mentioned. But to the extent that we see opportunities in the interest rate-sensitive strategies as we did with floater -- floating rate MBS or CMO floaters in this quarter, we will deploy those to take advantage of the opportunities for returns that we see and returns on a basis that we think is fairly insulated from changes in interest rates. But that -- really, over time, that credit-sensitive opportunity I think is the best deployment of our capital.

我還要補充一點，如果我們確實看到了利率敏感策略方面的機會，雖然從長遠來看，我們認為最好的部署是在信貸領域，而這才是我們認為能夠最好地利用我們與PFSI的協同效應以及David提到的所有因素的領域。但是，如果我們在利率敏感策略中看到機會，就像我們在本季度對浮動利率抵押貸款支持證券 (MBS) 或 CMO 浮動利率證券所做的那樣，我們將部署這些策略，以利用我們看到的收益機會，並且我們認為這些收益在很大程度上不受利率變化的影響。但從長遠來看，我認為這種對信貸敏感的投資機會才是我們資本的最佳配置。

Okay. Great, thanks. Appreciate that. And then just big picture, can you just share your latest thoughts on potential changes to the GSEs? Any thoughts on timing, the potential impact of PMT just based on what we've heard so far from the administration, the FHFA?

好的。太好了，謝謝。謝謝。最後，從宏觀角度來看，您能否分享一下您對政府支持企業（GSE）可能改變的最新看法？根據我們目前從政府和聯邦住房金融局（FHFA）了解到的情況，大家對PMT的時機和潛在影響有什麼看法？

Sure. Look, I think that, obviously, there's a lot of discussions going on as it pertains to the GSEs. And so from my perspective, when again, I get asked the question, any action shouldn't harm consumers of the mortgage market.

當然。你看，我認為，很顯然，關於政府支持企業（GSE）有很多討論正在進行中。所以從我的角度來看，當再次有人問我這個問題時，任何行動都不應該損害抵押貸款市場的消費者。

Housing is just too big a part of GDP to really disrupt it. I think that as it pertains to PMT, we've got a tremendous relationship with the GSEs. Having the relationship with PFSI is vitally important. But also the platform between the two companies is on its way to delivering 15% of its production outside of the GSEs.

住房在GDP中所佔比例太大，很難對其造成真正的衝擊。我認為就PMT而言，我們與政府支持企業（GSE）建立了非常好的關係。與PFSI建立關係至關重要。但這兩家公司之間的平台也朝著在政府支持企業之外交付 15% 的產量的目標邁進。

And that's what we need to continue to do, is to be able to be agile that if there is a disruption in the marketplace, that we can continue to operate and grow in that period of disruption. And that's why doing these securitizations and engaging in outright whole loan sales is vitally important.

而這正是我們需要繼續做的，那就是保持敏捷性，以便在市場出現動盪時，我們能夠繼續運作並在動盪時期發展壯大。因此，進行這些證券化和直接出售整筆貸款至關重要。

Under the heading of just focus on what you can control, and that's what we're trying to do here, quite successfully, might I add. And I think it's really a credit to the team that you're just seeing more active management of the portfolio, and that's what we need to do in a period of uncertainty.

關鍵在於專注於你能控制的事情，而這正是我們在這裡努力的方向，而且我還要補充一句，我們做得相當成功。我認為團隊對投資組合進行更積極的管理，這確實值得稱讚，而這正是我們在不確定時期需要做的。

Great. Thank you. I appreciate you taking my questions.

偉大的。謝謝。感謝您回答我的問題。

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

目前我們沒有其他問題。現在我將把發言權交還給大衛·斯佩克特，請他作總結發言。

Thank you, operator, and thank you all for joining us this afternoon. Again, apologies for the technical difficulties. We'll work it out with our business partner here. But we encourage investors or any of you as well with any additional questions to contact our Investor Relations team by email or phone. Thanks again.

謝謝接線生，也謝謝各位今天下午的參與。再次為技術故障致歉。我們會和我們的商業夥伴一起解決這個問題。但我們鼓勵投資者或任何其他有疑問的人士透過電子郵件或電話聯繫我們的投資者關係團隊。再次感謝。

This concludes today's call. Thank you for attending. You may now disconnect.

今天的電話會議到此結束。謝謝各位的出席。您現在可以斷開連線了。