Pennymac Mortgage Investment Trust · NYSE:PMT
Pennymac Mortgage Investment Trust — Investor Presentation (March 2021)
24 slides from Pennymac Mortgage Investment Trust's investor presentation, Mar 11, 2021
Slide 1: PennyMac Mortgage Investment Trust Investor Presentation March 2021
PennyMac Mortgage Investment Trust Investor Presentation March 2021 Exhibit 99.1
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: Overview of PennyMac Mortgage Investment Trust
Overview of PennyMac Mortgage Investment Trust March 2021 Investor Presentation An industry-leading real estate investment trust that invests in unique residential mortgage strategies: Successful track record of more than 11 years, with complementary credit, rate, and production strategies Balance s
Slide 4: PMT Is Focused on Unique Investment Strategies in Three Segments
PMT Is Focused on Unique Investment Strategies in Three Segments Correspondent Production Credit Sensitive Strategies Interest Rate Sensitive Strategies Leading producer of conventional conforming mortgage loans PMT entered the correspondent production business in 2011 after large banks, which had h
Slide 5: Recent Developments Related to PMT's Capital Structure
Recent Developments Related to PMT’s Capital Structure March 2021 Investor Presentation (1) As of December 31, 2020 (2) All CRT term notes contain additional two-year extension options at PMT’s discretion, with the exception of $500 million due 2022 (3) Pro forma for the issuance of $659 million of
Slide 6: PMT Is the Leading Correspondent Producer
PMT Is the Leading Correspondent Producer Correspondent Production Volume and Mix (UPB in billions) (1) For government loans, PMT earns a sourcing fee and interest income for its holding period and does not pay a fulfillment fee (2) Conventional conforming interest rate lock commitments (1) Correspo
Slide 7: Investment Adaptability Demonstrates Management Expertise
Investment Adaptability Demonstrates Management Expertise Runoff from prepayments on CRT assets… …is offset by net new MSR investments… …resulting from record conventional production volumes in PMT’s leading correspondent production business March 2021 Investor Presentation
Slide 8: Investments in MSRs and CRTs Underpinned by Strong Credit Quality
Investments in MSRs and CRTs Underpinned by Strong Credit Quality March 2021 Investor Presentation CRT Stuff that we are going to cut from middle of 10 can go here Discuss: Borrowers that underlie these investments are performing (put DQ %s) / FICO / LTV etc. of existing business MSR Investments CRT
Slide 9: Origination Market Remains Historically Strong
Origination Market Remains Historically Strong (1) Actual originations: Inside Mortgage Finance. Total originations forecast: Average of Mortgage Bankers Association (2/19/21), Fannie Mae (2/10/21), and Freddie Mac (1/14/21) forecasts. (2) Freddie Mac Primary Mortgage Market Survey. 3.02% as of 3/4/
Slide 10: PMT Is Well-Positioned for a Changing Mortgage Market
PMT Is Well-Positioned for a Changing Mortgage Market PMT is uniquely positioned to capitalize on current and evolving investment environments given its scale and importance in the home ownership ecosystem Correspondent Production Drives Organic MSR Creation Favorable Competitive Dynamics Evolving G
Slide 11: Run-Rate Return Potential from PMT's Investment Strategies
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 loss treatment for PMTT1, PMTT2 and PMTT3 as described on slide
Slide 12: PMT Successfully Navigated the Unprecedented Turbulence of 2020
PMT Successfully Navigated the Unprecedented Turbulence of 2020 PMT was not required to sell long-term assets to generate liquidity or meet margin call requirements in 2020 as a result of its stable financing structures and effective interest rate risk management Percentage of PMT’s Book Value per S
Slide 13: Hedging Approach Central to PMT's Interest Rate Sensitive Investments
Hedging Approach Central to PMT’s Interest Rate Sensitive Investments PMT seeks to manage interest rate risk exposure on a “global” basis, recognizing interest rate sensitivities across its investment strategies PMT has a history of successfully hedging the majority of the interest rate risk inheren
Slide 14: Appendix
Appendix (annyMac’ Mortgage Investment Trust
Slide 15: Fourth Quarter Results and Return Contributions by Strategy
Fourth Quarter Results and Return Contributions by Strategy March 2021 Investor Presentation 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 an
Slide 16: PMT's Investment Activity by Strategy During the Fourth Quarter
PMT’s Investment Activity by Strategy During the Fourth Quarter March 2021 Investor Presentation Credit Sensitive Strategies Interest Rate Sensitive Strategies ($ in millions) (1) The fair value of CRT investments is reflected on PMT’s balance sheet as deposits securing CRT arrangements, and derivat
Slide 17: Trends in MSR Investments
Trends in MSR Investments March 2021 Investor Presentation MSR assets increased to $1.8 billion from $1.4 billion, driven by new investments resulting from strong conventional production volumes $441 million in new MSR investments UPB associated with MSR investments increased to $170.7 billion at De
Slide 18: Servicing Trends – Delinquencies & Advances for PMT's MSR Portfolio
Servicing Trends – Delinquencies & Advances for PMT’s MSR Portfolio March 2021 Investor Presentation In PMT’s conventional MSR portfolio, approximately 56,000 borrowers were enrolled in a forbearance plan in 2020 Through December 31st, approximately 30,000 borrowers exited or are in the process of e
Slide 19: Trends in GSE CRT Investments
Trends in GSE CRT Investments March 2021 Investor Presentation PMT settled L-Street Securities Trust 2020-PMT1 in 4Q20 The UPB of CRT investments declined significantly Q/Q as a result of elevated prepayments 60+ day delinquencies declined Q/Q but remain elevated as a result of hardships related to
Slide 20: Credit Risk Transfer – Balance Sheet Treatment
Credit Risk Transfer – Balance Sheet Treatment March 2021 Investor Presentation 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 Current cash collateralizing guarantee included in “Deposits securing
Slide 21: Performance Update and Loss Mitigation Activity Related to PMT's CRT Investments
Performance Update and Loss Mitigation Activity Related to PMT’s CRT Investments March 2021 Investor Presentation (1) As of December 31, 2020 (2) See https://www.fanniemae.com/here-help-homeowners/introducing-covid-19-payment-deferral A variety of loss mitigation strategies are utilized to assist de
Slide 22: Assessment of Loss Varies by Transaction for PMT's CRT Investments
Assessment of Loss Varies by Transaction for PMT’s CRT Investments March 2021 Investor Presentation (1) Fannie Mae has published clarification that the COVID-19 pandemic is a casualty event. Source: https://www.fanniemae.com/portal/funding-the-market/credit-risk/news/covid19-casualty-event-050120.ht
Slide 23: Synergistic Partnership with PFSI
Synergistic Partnership with PFSI March 2021 Investor Presentation (1) As of December 31, 2020. Best-in-Class Operating Platform (NYSE: PFSI) Management Agreements Tax-Efficient Investment Vehicle (NYSE: PMT) Services Agreements $3.4 billion of stockholders’ equity(1) Leading nonbank residential mor
Slide 24: Historical Earnings, Dividends and Book Value Per Share
Historical Earnings, Dividends and Book Value Per Share March 2021 Investor Presentation (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
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