Pennymac Mortgage Investment Trust · NYSE:PMT

Pennymac Mortgage Investment Trust — Q2 2024 Earnings Presentation

27 slides from Pennymac Mortgage Investment Trust's earnings presentation, Jul 23, 2024

  1. Slide 1: 2Q24 Earnings Report

    2Q24 EARNINGS REPORT PennyMac Mortgage Investment Trust July 2024

  2. Slide 2: Forward Looking Statements

    FORWARD LOOKING STATEMENTS This presentation contains forward looking statements within the meaning of Section 21E of the Securities Exchange Act of 1934, as amended, regarding management’s beliefs, estimates, projections and assumptions with respect to, among other things, the Company’s financial re

  3. Slide 3: Second Quarter Highlights

    SECOND QUARTER HIGHLIGHTS Strong levels of income excluding market driven value changes and income contributions from all three strategies partially offset by fair value declines in the interest rate sensitive strategies 2Q24 Results Pretax income CREDIT excluding market Fair value of Net income SEN

  4. Slide 4: Origination Market Expectations Reflect Growth

    ORIGINATION MARKET EXPECTATIONS REFLECT GROWTH U.S. Mortgage Origination Market(1) Mortgage Rates Remain Near Recent Highs ($ in trillions) Purchase Refinance Average 30-year fixed rate mortgage(2) • Current third-party estimates for industry originations average $1.7 trillion in 2024 and $2.1 trillio

  5. Slide 5: Strong Expected Performance from Seasoned Investment Portfolio

    STRONG EXPECTED PERFORMANCE FROM SEASONED INVESTMENT PORTFOLIO More than two-thirds of PMT’s shareholders’ equity is deployed to seasoned investments in MSRs and PMT’s unique GSE credit risk transfer investments with strong underlying fundamentals Mortgage Servicing Rights PMT GSE Credit Risk Transf

  6. Slide 6: Capital Deployment Outlook for PMT

    CAPITAL DEPLOYMENT OUTLOOK FOR PMT • Actively managing equity allocation through Credit Sensitive Strategies conventional correspondent loan sales to PFSI • Opportunistically sold $8 million of investments in • Equity allocation essentially unchanged from the investor loan securitizations which no l

  7. Slide 7: Run-Rate Return Potential from PMT's Investment Strategies

    RUN-RATE RETURN POTENTIAL FROM PMT’S INVESTMENT STRATEGIES Annualized Return WA Equity on Equity (ROE) Allocated (%)(1) • Represents the average annualized return and Credit sensitive strategies: quarterly earnings potential expected from its PMT GSE credit risk transfer 13.9% 16% strategies over th

  8. Slide 8: Correspondent Production Highlights

    CORRESPONDENT PRODUCTION HIGHLIGHTS Correspondent Acquisition Volume and Mix Key Financial Metrics (UPB in billions) 1Q24 2Q24 Segment pretax income as a percentage of 0.47% 0.35% interest rate lock commitments(2) Fulfillment fee as a percentage of 0.23% 0.20% acquisitions funded(3) Selected Operatio

  9. Slide 9: Trends in MSR Investments

    TRENDS IN MSR INVESTMENTS MSR Investments(1) ($ in millions) • MSR assets were $3.9 billion as of June 30, 2024 essentially unchanged from March 31, 2024 ‒ Runoff from prepayments largely offset by fair value increases and new MSR investments ‒ UPB underlying PMT’s MSR investments declined slightly

  10. Slide 10: Trends in PMT's Unique Investments in GSE Credit Risk Transfer

    TRENDS IN PMT’S UNIQUE INVESTMENTS IN GSE CREDIT RISK TRANSFER • Fair value of PMT’s organically-created CRT investments Organically-Created GSE CRT Investments(1) was down slightly from March 31, 2024 primarily due to ($ in millions) prepayments • The 60+ day delinquency rate was unchanged from Mar

  11. Slide 11: Second Quarter Results and Return Contributions by Strategy

    SECOND QUARTER RESULTS AND RETURN CONTRIBUTIONS BY STRATEGY Income Excluding Total Income Market-Driven WA Equity Annualized Return ($ in millions, except EPS) Market-Driven Value Contribution(1) Value Changes(2) Allocated(3) on Equity (ROE)(1) Changes(1)(2) Credit sensitive strategies: PMT GSE cred

  12. Slide 12: Hedging Approach Central to PMT's Interest Rate Sensitive Investments

    HEDGING APPROACH CENTRAL TO PMT’S INTEREST RATE SENSITIVE INVESTMENTS MSR Valuation Changes and Offsets • PMT seeks to manage interest rate risk ($ in millions) exposure on a “global” basis, recognizing Change in MSR fair value before realization of cash flows interest rate sensitivities across its i

  13. Slide 13: Flexible and Sophisticated Financing Structures

    FLEXIBLE AND SOPHISTICATED FINANCING STRUCTURES Debt Schedule by Year of Maturity(1) (in millions) Financing capacity across Unsecured and Exchangeable Senior Notes multiple banks / MSR Term Notes and Loans flexibility to finance CRT Term Notes fluctuating MSR and advance balances $847mm drawn Unsecure

  14. Slide 14: Appendix

    NAPPENDIX

  15. Slide 15: PMT Is Focused on Unique Investment Strategies in Three Segments

    PMT IS FOCUSED ON UNIQUE INVESTMENT STRATEGIES IN THREE SEGMENTS • Leading acquirer and producer of conventional conforming mortgage loans Correspondent • Significant growth in market share over PMT’s more than 15-year history driven by PFSI’s Production operational excellence and high service levels

  16. Slide 16: Historical Earnings, Dividends and Book Value per Share

    HISTORICAL EARNINGS, DIVIDENDS AND BOOK VALUE PER SHARE (1) ROE(2): -20% 0% -2% 14% 4% 15% 12% 10% 4% • Repurchased 29.1 million common shares from 3Q15 through 2Q24 (1) At period end 16 (2) Return on average common equity is calculated based on annualized quarterly net income attributable to common

  17. Slide 17: Current Market Environment and Macroeconomic Trends

    CURRENT MARKET ENVIRONMENT AND MACROECONOMIC TRENDS Average 30-year fixed rate mortgage(1) 10-year Treasury Bond Yield(2) 6.79% 6.86% 4.20% 4.40% Macroeconomic Metrics(3) Footnotes 6/30/23 9/30/23 12/31/23 3/31/24 6/30/24 (1) Freddie Mac Primary Mortgage Market Survey. 6.77% as of 7/18/24 (2) U.S. De

  18. Slide 18: PMT's Investment Activity by Strategy During the Quarter

    PMT’S INVESTMENT ACTIVITY BY STRATEGY DURING THE QUARTER Long-term mortgage Assets carrying Change in Assets carrying ($ in millions) Fair value changes asset value at 3/31/24 Investments(5) value at 6/30/24 PMT GSE credit $ 1,160 $ (24) $2 $ 1,138 risk transfer(1) Other GSE Credit Risk Credit $ 195

  19. Slide 19: MSR Asset Valuation

    MSR ASSET VALUATION June 30, 2024 Mortgage Unaudited ($ in millions) Servicing Rights Pool UPB(1) $227,843 Weighted average coupon 3.7% Weighted average servicing fee 0.28% Weighted average prepayment speed assumption (CPR) 6.8% Fair value $3,942 As a multiple of servicing fee 6.1 19 (1) Owned MSR p

  20. Slide 20: Delinquency Trends and Servicing Advances Outstanding

    DELINQUENCY TRENDS AND SERVICING ADVANCES OUTSTANDING Historical Trends in Delinquency and Foreclosure Rates(1) 30-60 Day 60-90 Day 90+ Day In foreclosure ● Overall mortgage delinquency rates increased slightly from the prior quarter ● Servicing advances outstanding for PMT’s MSR portfolio decreased

  21. Slide 21: PMT's Owned MSR Portfolio Characteristics

    PMT’S OWNED MSR PORTFOLIO CHARACTERISTICS As of June 30, 2024 Loan Remaining Loan size FICO credit 60+ UPB % of count Note Seasoning maturity ($ in score at Original Current Delinquency (2) Segment ($ in billions) Total UPB (in thousands) rate (months) (months) thousands) origination LTV LTV(3) (by

  22. Slide 22: Interest Rate Sensitive Strategies Designed to Mitigate Interest Rate Volatility

    INTEREST RATE SENSITIVE STRATEGIES DESIGNED TO MITIGATE INTEREST RATE VOLATILITY Gain in value with Gain in value with Estimated Sensitivity to Changes in Interest Rates at increasing rates decreasing rates June 30, 2024 % change in PMT’s shareholders’ equity MSRs Agency MBS Interest Rate Hedges (1)

  23. Slide 23: Performance of PMT's Organically-Created Investments in GSE Credit Risk Transfer in 2Q24

    PERFORMANCE OF PMT’S ORGANICALLY-CREATED INVESTMENTS IN GSE CREDIT RISK TRANSFER INVESTMENTS IN 2Q24 Income (Loss) ($ in millions) Contribution Comments Market-driven value changes: Valuation-related changes included $ 1.7 • Reflects impact of credit spread tightening in Net gain (loss) on investment

  24. Slide 24: Balance Sheet Treatment of PMT's Organically-Created Credit Risk Transfer Investments

    BALANCE SHEET TREATMENT OF PMT’S ORGANICALLY-CREATED CREDIT RISK TRANSFER INVESTMENTS ($ in thousands) June 30, 2024 Current outstanding UPB of loans delivered to the CRT SPVs and UPB of loans subject to guarantee obligation....................................... $ 22,204,806 sold to Fannie Mae or d

  25. Slide 25: PMT's Organically-Created Investments in Credit Risk Transfer

    PMT’S ORGANICALLY-CREATED INVESTMENTS IN CREDIT RISK TRANSFER L Street Securities L Street Securities L Street Securities PMTT1 PMTT2 PMTT3 2017-PM1 2019-PMT1 2020-PMT1 Total (May 2015 - Jul 2015) (Aug 2015 - Feb 2016) (Feb 2016 - Aug 2016) (Aug 2016 - May 2018) (Jun 2018 - Mar 2019) (Apr 2019 - Sep

  26. Slide 26: Correspondent Production Acquisitions and Locks by Product

    CORRESPONDENT PRODUCTION ACQUISITIONS AND LOCKS BY PRODUCT Unaudited ($ in millions) 2Q23 3Q23 4Q23 1Q24 2Q24 Correspondent Acquisitions Conventional Conforming - for PMT $ 3,029 $ 2,759 $ 2,477 $ 1,769 $ 2,195 Conventional Conforming - for PFSI(1) 7,018 9,933 10,129 8,190 10,007 Government - for PF

  27. Slide 27: PennyMac Mortgage Investment Trust

    PS PENNYMAC’ MORTGAGE INVESTMENT TRUST 27

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