I.H.40.Progressive.Discussion on Investment Portfolios

1、《The Progressive Corporation (PGR) Q1 2023 Earnings Call Transcript》

Michael Ward 迈克尔-沃德

And then on the investment portfolio. I was just hoping you could provide some color on the strategy in CMBS. I know there's new disclosure in the queue. Just specifically curious why you guys favor single properties, CMBS, especially office. I'm wondering if you could sort of comment on the sales that you mentioned in the Q thus far?

然后是投资组合。我只是希望你能提供一些有关 CMBS 战略的信息。我知道有新的信息正在排队披露。我只是特别好奇，你们为什么偏爱单一物业，CMBS，尤其是办公楼。我想知道，您能否对迄今为止您在季度报告中提到的销售情况发表一些看法？

PGR的投资组合中同样有一些稀奇古怪的东西，浮存金不能回购股票，没得选择，必须拿在手里，问题是已经选择做白痴，这时候又不想成为白痴，这是个死局，BRK的做法很简单，要么股票要么国债。

Susan Griffith 苏珊-格里菲斯

Absolutely. I'll have Jon Bauer weigh in. But I will say from -- we added the chart in on the Q for CMBS this year. And I'll say that Jon was ahead of the curve in terms of starting to reduce our risk in CMBS over a year ago. But I'll let him walk through why he did that and where we're headed from here. Jon?

当然可以。我会让乔恩-鲍尔（Jon Bauer）参与讨论。但我想说的是，我们在今年的季度报告中增加了关于 CMBS 的图表。我要说的是，乔恩早在一年多前就开始降低我们在 CMBS 方面的风险。不过，我还是让他来介绍一下他为什么这么做，以及我们今后的方向。乔恩？

PGR不擅于资本配置的问题不可能在Susan Griffith的手里解决。

Jonathan Bauer 乔纳森-鲍尔

Yes. Thanks so much for the question, Michael. So just to take a step back, and then I'll try to hit it as specifically as possible. About first quarter 2022, when we looked at the portfolio, and we looked at the overall macro environment, we saw that the portfolio we came into early 2022, which didn't match our macro views going forward. So several actions that we look to take at that point.

是的，非常感谢你的提问，迈克尔。我先退一步，然后再尽可能具体地回答这个问题。关于 2022 年第一季度，当我们审视投资组合和整体宏观环境时，我们发现进入 2022 年初的投资组合与我们对未来的宏观看法并不一致。因此，我们希望在这一点上采取一些行动。

宏观的观点都是缺少事实的东西，巴菲特的解释非常到位：《I.C.S.68.Warren Buffett.Speculating is not investing》。

So first of all, on the interest rate side, we sort of ended January around 3 and then 8s on our interest rate duration. We thought that was too high given the environment. So we allowed that to shift down throughout the year to about the $275 million by October and then look to move that back up again to 3. On the equity side, we thought, overall, given what the actions were likely to be that equities were likely to see more volatility than we have seen in the past and therefore, look to reduce our equity exposure pretty much cut in half to what we are right now.

首先，在利率方面，我们在1月底时的利率期限大约是3和8。我们认为鉴于当前环境，这太高了。因此，我们允许它在一年中逐渐下降，到10月份大约降至2.75亿美元，然后计划再次将其上调至3。在股票方面，我们认为，总体而言，考虑到可能采取的行动，股票可能会比过去看到更多的波动，因此，我们打算减少我们的股票敞口，几乎减半至我们现在的水平。

And then we looked across our non-sort of cash and treasury fixed income portfolio and said, if we hit a recession, where is it that we think that we would be most uncomfortable. And the 3 areas that we sort of identified to watch and that we wanted to hold taking any further credit risk was residential mortgage-backed securities, CLOs and commercial mortgage-backed securities. I would say, in the 12 months since then, as many of you witnessed, the housing market has probably performed better than many thought. And the same has been true within our residential mortgage-backed securities. So we even though that shrunk as a portion of our portfolio, we think the housing market is better than we thought.

然后我们审视了我们的非现金和国库固定收益投资组合，并说，如果我们遇到经济衰退，我们认为哪些领域会让我们感到最不舒服。我们确定了3个需要关注的领域，并且我们希望不再承担进一步的信用风险，这些领域是住房抵押贷款支持证券、CLO（抵押贷款债务义务）和商业抵押贷款支持证券。我想说，自那以后的12个月里，正如你们许多人所见证的，房地产市场的表现可能比许多人预期的要好。我们投资组合中的住房抵押贷款支持证券也是如此。所以即使这在我们投资组合中所占比例缩小了，我们认为房地产市场比我们预期的要好。

In terms of CLOs, I would say it's still to be determined what the corporate default rate looks like going forward, but feel very comfortable with our position there, even though it's smaller versus last year. And then that takes us to commercial mortgage-backed securities. In that portfolio as opposed to just not adding and allowing the runoff to happen, we prospectively looked at the portfolio and said, if we were to hit a recession, which are the securities in here that we think in a severe recession could get hit. And with that, we looked over the last year to reduce out of those securities. And as you can see, year-on-year, CMBS represented about 13% of the portfolio at the end of the first quarter 2022, it represents less than 8% of the portfolio right now. So what encompasses that we felt like we wanted to give the disclosure.

在 CLO 方面，我想说的是，未来的企业违约率仍有待确定，但我们对这方面的状况感到非常满意，尽管与去年相比，违约率有所下降。然后是商业抵押贷款支持证券。在该投资组合中，与不增加投资、任由其流失的做法不同，我们对投资组合进行了前瞻性研究，并指出，如果我们遇到经济衰退，我们认为在严重衰退的情况下，哪些证券可能会受到冲击。有鉴于此，我们在去年减少了这些证券的投资。正如你所看到的，2022 年第一季度末，CMBS 占投资组合的 13%，而现在只占投资组合的不到 8%。因此，我们觉得我们应该披露一下我们的投资组合。

On the office side, 2 major drivers of that portfolio. The first thing is trophy office. So these are offices that were built in the last 10 years or so, that our view was -- would have significant demand, especially as different companies look to shrink their footprint, but look to be in the best quality buildings. And then the second part of the portfolio is if it's not trophy office, we would want it at least 4 to 5 years past maturity to an incredibly strong investment-grade tenant.

办公室方面，该投资组合的两个主要驱动因素。第一是地标性办公楼。这些是大约在过去10年内建造的办公室，我们的观点是——会有大量需求，特别是随着不同公司寻求缩小其占地面积，但希望位于最高品质的建筑中。其次，如果它不是地标性办公楼，我们至少希望它已经成熟4到5年，并且拥有一个非常强大的投资级租户。

指望另一个愿意出更高价格的白痴，这样的思维方式一旦形成很难改变。

And so that makes up the core of the portfolio with a single asset portfolio, it allows us to look and pick individual buildings that we would underwrite as opposed to a conduit type thing, where you have a lot of different type of quality of buildings that we think are a lot lesser than they are on the single asset side.

因此，这构成了单一资产投资组合的核心，它允许我们查看和挑选我们将承保的单个建筑，而不是管道类型的东西，在管道类型中，你有很多不同类型的建筑，我们认为它们的质量比单一资产方面的质量要差很多。

So with that, and as we mentioned, the disclosure, we have no delinquencies in the portfolio. We have about $350 million of maturities over the next year in the overall CMBS portfolio, and we expect them, even in this type of environment, all to be refinanced without a problem. I don't know if that answers your question, but please let me know if I could give you any more specifics.

因此，正如我们提到的信息披露，我们的投资组合中没有拖欠债务的情况。在整个 CMBS 投资组合中，明年将有约 3.5 亿美元到期，即使在这种环境下，我们也希望它们能顺利完成再融资。我不知道这是否回答了你的问题，如果我可以提供更多具体信息，请告诉我。

Michael Ward 迈克尔-沃德

Yes. No, that was tremendously helpful. Maybe just on what you shedded recently, recent quarters, did you trim California, Seattle?

是的，非常有帮助。也许只是关于你最近减少的部分，最近几个季度，你有减少加利福尼亚，西雅图吗？

Jonathan Bauer 乔纳森-鲍尔

Yes. So I would take it a lot more broadly than that. Again, for us, and I would -- since we have the opportunity to talk here, I would say this across our portfolio, not just in commercial real estate. What we are constantly doing is looking and saying, are we getting paid for the risk that we're taking in the security or that one? For CMBS in particular, it was the first thing going back to February, March of last year, is there any tenant rollover where we think this building could be vacant coming into their maturities. So get rid of that one. Is there any buildings where we don't think the owners are going to put the money into the building in order to get it to the quality, to lease up, get rid of that one. And so what that left us with broadly across the portfolio was trophy real estate and then ones that have really strong tenancy, 5 years or longer past the maturity.

是的。所以我会把这个问题看得更广泛一些。再说一次，对我们来说，我想利用这个机会在这里说，这不仅仅是在商业房地产方面。我们一直在做的是审视并说，我们是否为我们在证券或那个证券中承担的风险获得了报酬？特别是对于CMBS（商业抵押贷款支持证券），从去年2月或3月开始，我们首先考虑的是，是否有任何租户续租，我们认为这栋建筑在到期时可能会空置。所以排除那个。是否有任何建筑我们认为业主不会投入资金进行改善，以提高质量，吸引租户，排除那个。因此，这让我们在整个投资组合中留下了地标性房地产，以及那些租约真的很强的，超过5年到期的。

So I wouldn't focus geography. By geography necessarily, I'm more on what's the quality of the building, what's the quality of the tenancy. And I think that's what left us with the portfolio with no delinquencies where we feel confident in the next 12 months of maturities.

因此，我不会把重点放在地理位置上。我更看重建筑的质量和租约的质量。我认为这就是我们的投资组合没有拖欠债务的原因，我们对未来 12 个月的到期日充满信心。

I.H.40.Progressive.Discussion on Investment Portfolios

I.H.40.Progressive.Discussion on Investment Portfolios

1、《The Progressive Corporation (PGR) Q1 2023 Earnings Call Transcript》

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