Pennymac Mortgage Investment Trust · NYSE:PMT
Pennymac Mortgage Investment Trust — Q1 2024 Earnings Presentation
27 slides from Pennymac Mortgage Investment Trust's earnings presentation, Apr 24, 2024
Slide 1: 1Q24 Earnings Report
1Q24 EARNINGS REPORT PennyMac Mortgage Investment Trust April 2024
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 r
Slide 3: First Quarter Highlights
FIRST QUARTER HIGHLIGHTS Strong contributions from credit sensitive strategies and correspondent production were partially offset by fair value declines in the interest rate sensitive strategies 1Q24 Results Pretax income CREDIT excluding Fair value of SENSITIVE market-driven organically-created Opp
Slide 4: Origination Market Expectations Reflect Growth
ORIGINATION MARKET EXPECTATIONS REFLECT GROWTH U.S. Mortgage Origination Market(1) Mortgage Rates Remain High ($ in trillions) 8.0% $2.3 7.0% $2.2 $1.8 6.0% $0.7 $0.6 $1.5 $0.4 5.0% $0.2 4.0% $1.6 $1.4 $1.6 $1.2 3.0% 2.0% 2022 2023 2024E 2025E Purchase Refinance (2) Average 30-year fixed rate mortga
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 into seasoned investments in MSRs and PMT’s unique GSE credit risk transfer investments with strong underlying fundamentals Mortgage Servicing Rights PMT GSE Credit Risk Tran
Slide 6: Capital Deployment Update
CAPITAL DEPLOYMENT UPDATE • Actively managing equity allocation through conventional correspondent loan sales to PFSI Credit Sensitive Strategies • Opportunistically sold $111 million in floating rate GSE CRT • Equity allocated to the interest rate sensitive strategies bonds as credit spreads have t
Slide 7: Run-Rate Return Potential from PMT's Investment Strategies
RUN-RATE RETURN POTENTIAL FROM PMT’S INVESTMENT STRATEGIES Annualized WA Equity Return on Equity Allocated (%)(1) • Represents the average annualized return and (ROE) quarterly earnings potential expected from its Credit sensitive strategies: strategies over the next four quarters PMT GSE credit ris
Slide 8: Correspondent Production Highlights
CORRESPONDENT PRODUCTION HIGHLIGHTS • Correspondent acquisitions in 1Q24 totaled $18.1 billion in UPB, down Correspondent Production Volume and Mix 23% Q/Q and 10% Y/Y (UPB in billions) $23.9 $21.7 $23.6 $19.6 ‒ 55% conventional loans; 45% government loans $20.2 $18.1 ‒ Government acquisitions of $8
Slide 9: Trends in MSR Investments
TRENDS IN MSR INVESTMENTS MSR Investments ($ in millions) • MSR assets were $4.0 billion as of March 31st, 2024 up from $3.9 billion as of December 31st, 2023 $231,615 $230,494 $240,000 $4,800 ‒ Fair value gains, additions from bulk purchases, $4,400 $4,109 $210,000 and newly originated MSR investme
Slide 10: Trends in PMT's Unique Investments in GSE Credit Risk Transfer
TRENDS IN PMT’S UNIQUE INVESTMENTS IN GSE CREDIT RISK TRANSFER • Fair value of PMT’s organically-created CRT investments Organically-Created GSE CRT Investments(1) was up slightly from December 31, 2023 as fair value ($ in millions) gains more than offset runoff from prepayments • The 60+ day delinq
Slide 11: First Quarter Results and Return Contributions by Strategy
FIRST QUARTER RESULTS AND RETURN CONTRIBUTIONS BY STRATEGY Income Excluding Total Income Market-Driven WA Equity Annualized Return ($ in millions, except EPS) Market-Driven Contribution(1) Value Changes(2) Allocated(3) on Equity (ROE)(1) Value Changes(1)(2) Credit sensitive strategies: PMT GSE credi
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 exposure on a ($ in millions) “global” basis, recognizing interest rate sensitivities across MSR fair value change before realization of cash flows its inv
Slide 13: PMT's Flexible and Sophisticated Financing Structures
PMT’S FLEXIBLE AND SOPHISTICATED FINANCING STRUCTURES $609mm Unsecured Senior Notes and Exchangeable Senior Notes $54mm | 2028 • Low, fixed interest rates $345mm | 2026 • First maturity in November 2024 • Provides flexibility and complements asset-backed structures $210mm | 2024 Unsecured Senior Not
Slide 14: Appendix
NAPPENDIX
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 14-year history driven by PFSI’s Production operational excellence and high service level
Slide 16: Historical Earnings, Dividends and Book Value per Share
HISTORICAL EARNINGS, DIVIDENDS AND BOOK VALUE PER SHARE (1) Diluted EPS Common Dividend Bo ok value per share $17.87 $16.11 $0.47 $0.47 $0.47 $0.50 $0.51 $0.40 $0.40 $0.40 $0.40 $0.44 $0.40 $0.39 $0.40 $0.16 $0.01 1Q22 2Q22 3Q22 4Q22 1Q23 2Q23 3Q23 4Q23 1Q24 ($0.07) ($0.32) ($0.88) ROE(2): -7% -20%
Slide 17: Current Market Environment and Macroeconomic Trends
CURRENT MARKET ENVIRONMENT AND MACROECONOMIC TRENDS Average 30-year fixed rate mortgage(1) 10-year Treasury Bond Yield(2) 6.79% 4.20% 6.61% 3.88% 8.0% 5.0% 7.0% 4.0% 6.0% 3.0% 5.0% 2.0% 4.0% 3.0% 1.0% 2.0% 0.0% Macroeconomic Metrics (3) Footnotes 3/31/23 6/30/23 9/30/23 12/31/23 3/31/24 (1) Freddie
Slide 18: Quarterly Investment Activity by Strategy
QUARTERLY INVESTMENT ACTIVITY BY STRATEGY Long-term mortgage Assets carrying value Net new Fair value Assets carrying value ($ in millions) asset at 12/31/2023 investments(5) changes at 3/31/2024 PMT GSE credit risk $ 1,146 $ (22) $ 36 $ 1,160 transfer(1) Other GSE Credit Risk $ 301 $ (111) $ 4 $ 19
Slide 19: MSR Asset Valuation
MSR ASSET VALUATION March 31, 2024 Mortgage Unaudited ($ in millions) Servicing Rights Pool UPB (1) $230,494 Weighted average coupon 3.7% Weighted average servicing fee 0.28% Weighted average prepayment speed assumption (CPR) 6.8% Fair value $3,952 As a multiple of servicing fee 6.05 (1) Owned MSR p
Slide 20: Delinquency Trends and Servicing Advances Outstanding
DELINQUENCY TRENDS AND SERVICING ADVANCES OUTSTANDING Historical Trends in Delinquency and Foreclosure Rates(1) 7.0% 5.0% 3.3% 2.6% 1.9% 1.5% 1.4% 1.3% 1.2% 1.2% 1.3% 1.3% 1.1% 1.1% 1.1% 1.0% 1.1% 3/31/20 6/30/20 9/30/20 12/31/20 3/31/21 6/30/21 9/30/21 12/31/21 3/31/22 6/30/22 9/30/22 12/31/22 3/31
Slide 21: PMT's Owned MSR Portfolio Characteristics
PMT’S OWNED MSR PORTFOLIO CHARACTERISITICS As of March 31, 2024 Loan Remaining FICO credit 60+ UPB % of Note Seasoning Loan size Original Current Segment count maturity score at Delinquency ($ in billions)(2) Total UPB rate (months) ($ in thousands) LTV LTV(3) (in thousands) (months) origination (by
Slide 22: Interest Rate Sensitive Strategies Designed to Mitigate Interest Rate Volatility
INTEREST RATE SENSITIVE STRATEGIES DESIGNED TO MITIGATE INTEREST RATE VOLATILITY Estimated Sensitivity to Changes in Interest Rates at Gain in value with Gain in value with March 31, 2024 increasing rates decreasing rates % change in PMT’s shareholders’ equity 15% 10% MSRs Agency MBS 5% 0% -75 -50 -
Slide 23: Performance of PMT's Organically-Created GSE Credit Risk Transfer Investments in 1Q24
PERFORMANCE OF PMT’S ORGANICALLY-CREATED INVESTMENTS IN GSE CREDIT RISK TRANSFER INVESTMENTS IN 1Q24 Income (Loss) ($ in millions) Comments Contribution Market-driven value changes: Valuation-related changes included in Net gain (loss) on investment $ 36.3 • Reflects impact of credit spread tighteni
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 At March 31, 2024 ($ in thousands) Current outstanding UPB of loans delivered to the CRT SPVs and UPB of loans subject to guarantee obligation.................................... $ 22,725,768 sold to Fannie Mae or
Slide 25: PMT's Organically-Created Investments in Credit Risk Transfer
PMT’S ORGANICALLY-CREATED INVESTMENTS IN CREDIT RISK TRANSFER ($ in billions) PMTT1 (May 2015 - July 2015) PMTT2 (August 2015 - February 2016) PMTT3 (February 2016 - August 2016) At inception 3/31/24 At inception 3/31/24 At inception 3/31/24 UPB $ 1.2 $ 0.1 UPB $ 4.2 $ 0.5 UPB $ 6.5 $ 1.0 Loan Count
Slide 26: Correspondent Production Acquisitions and Locks by Product
CORRESPONDENT PRODUCTION ACQUISITIONS AND LOCKS BY PRODUCT Unaudited ($ in millions) 1Q23 2Q23 3Q23 4Q23 1Q24 Correspondent Acquisitions Conventional Conforming - for PMT $ 6,629 $ 3,029 $ 2,759 $ 2,477 $ 1,769 Conventional Conforming - for PFSI (1) 4,063 7,018 9,933 10,129 8,190 Government - for PF
Slide 27: PennyMac Mortgage Investment Trust
PS PENNYMAC’ MORTGAGE INVESTMENT TRUST 2)
PennyMac Mortgage Investment Trust — Q1 2024 Earnings Presentation on 6ix