Pennymac Mortgage Investment Trust · NYSE:PMT
Pennymac Mortgage Investment Trust — Q3 2013 Earnings Presentation
24 slides from Pennymac Mortgage Investment Trust's earnings presentation, Nov 7, 2013
Slide 1: Third Quarter 2013 Earnings Report
PennyMac Mortgage Investment Trust November 6, 2013 Third Quarter 2013 Earnings Report
Slide 2: Forward-looking statements
3Q13 Earnings Report 2 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 resul
Slide 3: Third Quarter Highlights
3Q13 Earnings Report 3 Third Quarter Highlights Net income of $39.7 million on net investment income of $86.1 million Diluted EPS of $0.57 per share and dividend of $0.57 per share Segment pretax income (loss): Investment Activities: $36.4 million; Correspondent Lending: $(0.3) million Issued $250 m
Slide 4: Significant New Investments Continued After Quarter End
3Q13 Earnings Report 4 Significant New Investments Continued After Quarter End Investments in excess servicing spread on bulk MSR portfolio acquisitions totaling $21 billion in UPB Acquired $62 million in excess servicing spread on a portfolio of recently originated Fannie Mae MSRs totaling $10.3 bi
Slide 5: The Third Quarter Was a Transitional Period for the Mortgage Market
5 The Third Quarter Was a Transitional Period for the Mortgage Market 3Q13 Earnings Report Source: Freddie Mac, Fannie Mae, Mortgage Bankers Association estimates as of October 29, 2013 Freddie Mac Primary Mortgage Market Survey as of October 24, 2013 Origination Market Estimates(1) The large increa
Slide 6: PMT's Excess Servicing Spread Investments in Partnership with PFSI
Excess Servicing Spread (e.g., 12.5bp) MSR Asset (e.g., 25bp servicing fee) 3Q13 Earnings Report 6 PMT's Excess Servicing Spread Investments in Partnership with PFSI Acquired by PFSI from Third-Party Seller(1) PMT co-invests in Agency MSR acquired from third-party sellers by PFSI PMT acquires the ri
Slide 7: Investments in Excess Servicing Spread on Bulk MSR Portfolios
Investments in Excess Servicing Spread on Bulk MSR Portfolios 3Q13 Earnings Report 7 5-year CPR Recapture Recently originated loans serviced for Fannie Mae Pool 1 Pool 1 Pool 2(2) Higher-coupon legacy loans serviced for Ginnie Mae resulting in greater refinance recapture opportunity (1) The informat
Slide 8: Market Environment and Outlook
Market Environment and Outlook 8 Correspondent Lending Competition Jumbo Private-Label Securitization Mortgage Originations and Housing Changes in interest rates drive outlook for mortgage origination market; $1.3 trillion in originations forecast for 2014, >60% expected to be purchase money(1) Home
Slide 9: PMT's Investments Grow and Remain Well Positioned
9 PMT’s Investments Grow and Remain Well Positioned Mortgage Assets ($ in millions) This transaction was accounted for as a secured financing. In such a transaction, we continue to carry the loans underlying the securities on our consolidated balance sheet and reflect the securities we sell as debt
Slide 10: Mortgage Investment Activities
Mortgage Investment Activities
Slide 11: Distressed Whole Loan Acquisitions Continue
11 Distressed whole loan purchases in 3Q13 were $930 million in UPB – largest quarterly total since PMT’s inception Agreed to acquire $563 million in UPB of nonperforming whole loans in October Pipeline of opportunities remains robust Distressed Whole Loan Acquisitions Continue Distressed Whole Loan
Slide 12: Correspondent Acquisition Volume and Mix
Correspondent Acquisition Volume and Mix 3Q13 Earnings Report 12 Increasing Rates Create a Challenging Market for Correspondent Lending (1) For Government loans, PMT earns a sourcing fee and interest income for its holding period and does not pay a fulfillment fee. ($ in billions) UPB Correspondent
Slide 13: Lower Volumes and Margins Drive Correspondent Lending's Results
13 Lower Volumes and Margins Drive Correspondent Lending's Results Pretax loss in the correspondent lending segment was $(0.3) million, or -1bp as a ratio of total locks Mainly driven by the decline in origination volumes and tighter margins Fulfillment fees are based on funding volumes which were h
Slide 14: Jumbo Securitization Completed in September
Securitization backed by $550.5 million in prime jumbo loans Senior / subordinate, shifting-interest structure with 7.75% credit enhancement $170 million in senior bonds sold, with PMT retaining the remaining securities Subordinate and IO securities are attractive long-term investments Senior bonds
Slide 15: Financial Results
Financial Results (PennyMac’ Mortgage investment Trust
Slide 16: Pretax Income by Operating Segment
16 Pretax Income by Operating Segment 3Q13 Earnings Report Note: Figures may not sum exactly due to rounding Investment Correspondent Intersegment Total Pretax ($ in millions) Activities Lending Eliminations Income 3Q12 21.5 $ 37.4 $ (0.02) $ 59.0 $ 4Q12 24.3 $ 41.0 $ - $ 65.3 $ 1Q13 50.3 $ 8.9 $ (3
Slide 17: 3Q13 Investment Activities Pretax Income
3Q13 Earnings Report 17 3Q13 Investment Activities Pretax Income Investment Activities Segment Pretax Income Segment revenue was up 4% Q/Q driven by several factors: Net gains on investments rose 5% from 2Q13: Solid nonperforming loan performance Gain on agency MBS investment net of hedges was $0.5
Slide 18: Nonperforming Loan Gains Drive Investment Activities Results
18 Nonperforming Loan Gains Drive Investment Activities Results Nonperforming loans continue to drive net gains on mortgage loans Gains on nonperforming loans rose 23% Q/Q, driven by home price appreciation and resolution activity Loss on performing loans driven by capitalization of interest resulti
Slide 19: Mortgage Servicing Rights (MSR) Asset Valuation
3Q13 Earnings Report 19 Mortgage Servicing Rights (MSR) Asset Valuation PMT carries most of its originated MSRs at the lower of amortized cost or fair value MSRs where the note rate on the underlying loan is less than or equal to 4.5% Fair value of the MSRs increased in excess of their amortized cos
Slide 20: Correspondent Lending Impacted by Higher Mortgage Rates in 3Q13
3Q13 Earnings Report 20 Correspondent Lending Impacted by Higher Mortgage Rates in 3Q13 Correspondent Lending Segment Pretax Income Segment revenue fell 63% from 2Q13 to $18.9 million Net gain on mortgage loans acquired for sale declined 75% Q/Q Driven by a 44% decline in conventional and jumbo lock
Slide 21: Appendix
Appendix (PennyMac’ Mortgage investment Trust
Slide 22: Fundings and Locks by Product
Fundings and Locks by Product 3Q13 Earnings Report 22 Note: Figures may not sum exactly due to rounding ($ in millions) 3Q12 4Q12 1Q13 2Q13 3Q13 Fundings Conventional 3,729 $ 6,526 $ 4,779 $ 4,216 $ 3,608 $ Government 2,576 3,485 3,739 4,262 3,992 Jumbo 1 2 8 107 74 Total 6,306 $ 10,013 $ 8,526 $ 8,
Slide 23: Distressed Portfolio by Acquisition Period
Distressed Portfolio by Acquisition Period 23 (1) Ratio of unpaid principal balance remaining to unpaid principal balance at acquisition 3Q13 Earnings Report Purchase 3Q13 Purchase 3Q13 Purchase 3Q13 Purchase 3Q13 Balance ($mm) 182.7 $ 64.3 Balance ($mm) 195.5 $ 57.8 Balance ($mm) 146.2 $ 44.7 Balan
Slide 24: Distressed Portfolio by Acquisition Period (cont.)
Distressed Portfolio by Acquisition Period (cont.) 24 (1) Ratio of unpaid principal balance remaining to unpaid principal balance at acquisition 3Q13 Earnings Report Purchase 3Q13 Purchase 3Q13 Balance ($mm) 366.2 $ 322.5 Balance ($mm) 397.3 $ 384.5 Pool Factor (1) 1.00 0.88 Pool Factor (1) 1.00 0.9
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