Pennymac Mortgage Investment Trust · NYSE:PMT
Pennymac Mortgage Investment Trust — Q4 2019 Earnings Presentation
26 slides from Pennymac Mortgage Investment Trust's earnings presentation, Feb 10, 2020
Slide 1: Fourth Quarter 2019 Earnings Report
PennyMac Mortgage Investment Trust February 6, 2020 Fourth Quarter 2019 Earnings Report Exhibit 99.2
Slide 2: 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 results, future operations,
Slide 3: Fourth Quarter Highlights
Fourth Quarter Highlights 4Q19 Earnings Report (1) Annualized return on average common equity is calculated based on annualized quarterly net income attributable to common shareholders as a percentage of monthly average common equity during the period (2) Consists of delegated and non-delegated conv
Slide 4: Fourth Quarter Highlights (continued)
Fourth Quarter Highlights (continued) 4Q19 Earnings Report Expanded the capital structure in support of continued growth with the private placement of $210 million of senior exchangeable notes Strong share price performance and increased investment opportunities drove successful capital raises Raise
Slide 5: Current Market Environment
6 5 Current Market Environment 4Q19 Earnings Report Average 30-year fixed rate mortgage(1) The Federal Reserve continues to signal that it will maintain the current target Federal Funds rate, as it continues to monitor the balance between its maximum employment and 2% inflation target objectives The
Slide 6: PMT's Investment Activity by Strategy During the Quarter
PMT’s Investment Activity by Strategy During the Quarter (1) The fair value of CRT investments is reflected on the balance sheet as deposits securing CRT arrangements, firm commitment to purchase CRT securities, and derivative and credit risk transfer strip assets, net of the interest-only security
Slide 7: Run-Rate Return Potential from PMT's Investment Strategies
Note: This slide presents estimates for illustrative purposes only, using PMT’s base case assumptions (e.g., for credit performance, prepayment speeds, financing economics) and does not contemplate significant changes or shocks to current market conditions. Actual results may differ materially. Plea
Slide 8: Mortgage Investment Activities
Mortgage Investment Activities
Slide 9: Correspondent Production Volume and Mix
Correspondent Production Volume and Mix (UPB in billions) (1) Includes delegated and non-delegated acquisitions (2) For delegated government loans, PMT earns a sourcing fee and interest income for its holding period and does not pay a fulfillment fee (3) Conventional conforming and non-Agency intere
Slide 10: GSE CRT Investments Continue Growth Trajectory and Strong Performance
GSE CRT Investments Continue Growth Trajectory and Strong Performance Delivered $16.6 billion in UPB of loans during the quarter resulting in a firm commitment to purchase $655 million of CRT securities pursuant to our sixth CRT transaction with Fannie Mae Credit performance remains strong Losses ha
Slide 11: Term Financing in Place for Substantial Majority of CRT Investments
Term Financing in Place for Substantial Majority of CRT Investments 4Q19 Earnings Report (1) PMT is currently in the aggregation period delivering loans to Fannie Mae under a commitment for a sixth CRT transaction. UPB represents the volume outstanding as of December 31, 2019. (2) As of December 31,
Slide 12: MSR and ESS Investments
MSR assets increased to $1.5 billion driven by investment growth from record conventional production volumes and fair value gains resulting from the increase in interest rates during the quarter $303 million in new MSR investments UPB associated with MSR investments increased to $131.0 billion from
Slide 13: Financial Results
Financial Results nnyMac’ Mortgage Investment Trust.
Slide 14: Net Investment Income and Return on Equity by Strategy
Note: Amounts may not sum exactly due to rounding (1) Income contribution and the annualized return on equity calculated net of any direct expenses associated with investments (e.g., loan fulfillment fees and loan servicing fees), but before tax expenses. Some of the income associated with the inves
Slide 15: Segment Pretax Results
Segment Pretax Results PMT seeks to manage interest rate risk exposure on a “global” basis, recognizing interest rate sensitivities across its investment strategies In a period of increasing interest rates, PMT’s MSR and ESS investments typically increase in fair value In 4Q19, MSR and ESS fair valu
Slide 16: Performance of the GSE Credit Risk Transfer Investments
Performance of the GSE Credit Risk Transfer Investments in 4Q19 4Q19 Earnings Report ($ in millions) Income Contribution Comments Market-driven value changes: Valuation-related changes included in Net gain (loss) on investment $,-15,321,200.6 • Reflects impact of accelerated prepayment speeds Net ga
Slide 17: Appendix
Appendix nnyMac’ Mortgage Investment Trust.
Slide 18: PMT's Business Model Is Unique Among Mortgage REITs
PMT’s Business Model Is Unique Among Mortgage REITs Synergistic Partnership with PFSI Access to specialized mortgage capabilities, including origination and servicing operations PFSI has expertise across all mortgage functions with over 4,200 employees led by a highly experienced management team Ena
Slide 19: Track Record of Stable Dividends and Book Value
(1) At period end (2) Return on average common equity is calculated based on annualized quarterly net income attributable to common shareholders as a percentage of monthly average common equity during the period Track Record of Stable Dividends and Book Value Repurchased 14.7 million common shares a
Slide 20: Estimated Sensitivity to Changes in Interest Rates
Estimated Sensitivity to Changes in Interest Rates At 12/31/19 Instantaneous parallel shock in interest rates (in bps) Interest Rate Sensitive Strategies Designed to Mitigate Interest Rate Volatility % change in PMT’s shareholders’ equity (1) (2) (3) Gain in value with increasing rates Gain in value
Slide 21: MSRs and ESS Asset Valuation
MSRs and ESS Asset Valuation Unaudited (1) Pool UPB, weighted average coupon and expected prepayment speed represent the characteristics of the underlying MSR portfolio owned by PFSI. Weighted average servicing spread, fair value and valuation multiple relate to the ESS asset owned by PMT. The fair
Slide 22: Excess Servicing Spread Structure
(1) The contractual servicer and MSR owner is PennyMac Loan Services, LLC, a wholly-owned subsidiary of PFSI (2) Subject and subordinate to Agency rights (under the related servicer guide); does not change the contractual servicing fee paid by the Agency to the servicer. Excess Servicing Spread (e.g
Slide 23: Return on Equity Contribution of the GSE Credit Risk Transfer Investments
Return on Equity Contribution of the GSE Credit Risk Transfer Investments 4Q19 Earnings Report Annualized Return on Average CRT Equity Average CRT equity(1) ($ in millions) $178 $207 $271 $333 $403 $452 $490 $446 $452 (1) Equity allocated represents management’s internal allocation across segments a
Slide 24: Credit Risk Transfer – Balance Sheet Treatment
Current outstanding UPB of loans delivered to the CRT SPVs and sold to Fannie Mae or delivered subject to agreements to purchase REMIC CRT securities Credit Risk Transfer – Balance Sheet Treatment Current cash collateralizing guarantee included in “Deposits securing credit risk transfer arrangements
Slide 25: PMT's Investments in GSE Credit Risk Transfer
(1) FICO and LTV metrics at origination (UPB in billions) PMT’s Investments in GSE Credit Risk Transfer 4Q19 Earnings Report
Slide 26: Correspondent Production Acquisitions and Locks by Product
Correspondent Production Acquisitions and Locks by Product Note: Delegated volumes exclude PennyMac Financial’s direct lending loans acquired by PMT. Amounts may not sum exactly due to rounding. 4Q19 Earnings Report (1) Consists of prime jumbo and non-QM loans (UPB in millions) 4Q18 1Q19 2Q19 3Q19 4
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