Pennymac Mortgage Investment Trust · NYSE:PMT
Pennymac Mortgage Investment Trust — Q3 2020 Earnings Presentation
26 slides from Pennymac Mortgage Investment Trust's earnings presentation, Nov 5, 2020
Slide 1: Third Quarter 2020 Earnings Report
PennyMac Mortgage Investment Trust November 5, 2020 Third Quarter 2020 Earnings Report Exhibit 99.2
Slide 2: Forward-looking statements
This press release 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: Third Quarter Highlights
3Q20 Earnings Report Third Quarter Highlights Net income attributable to common shareholders of $93.3 million; diluted earnings per common share of $0.94 Driven by strong Correspondent Production segment results and income from government-sponsored enterprise (GSE) credit risk transfer (CRT) investm
Slide 4: PMT Is Focused on Unique Investment Strategies in Three Segments
3Q20 Earnings Report PMT Is Focused on Unique Investment Strategies in Three Segments Correspondent Production Credit Sensitive Strategies Interest Rate Sensitive Strategies Leading producer of conventional conforming mortgage loans PMT entered the correspondent production business in 2011 after lar
Slide 5: Origination Market Remains Historically Strong
3Q20 Earnings Report Origination Market Remains Historically Strong (1) Actual originations: Inside Mortgage Finance. Total originations forecast: Average of Mortgage Bankers Association (10/21/20), Fannie Mae (10/12/20), and Freddie Mac (10/14/20) forecasts. (2) Freddie Mac Primary Mortgage Market
Slide 6: PMT's Investment Activity by Strategy During the Quarter
3Q20 Earnings Report PMT’s Investment Activity by Strategy During the Quarter Credit Sensitive Strategies Interest Rate Sensitive Strategies ($ in millions) Currently, PMT’s capital deployment is focused on correspondent production and the related MSRs CRT assets decreased driven by substantial runo
Slide 7: Run-Rate Return Potential from PMT's Investment Strategies
3Q20 Earnings Report 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 a
Slide 8: Mortgage Investment Activities
Mortgage Investment Activities
Slide 9: Correspondent Production Highlights
3Q20 Earnings Report Correspondent Production Highlights 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 and non-Agency interest rate
Slide 10: Trends in MSR and ESS Investments
3Q20 Earnings Report Trends in MSR and ESS Investments MSR assets increased to $1.4 billion from $1.2 billion, driven by new investments resulting from strong conventional production volumes $265 million in new MSR investments UPB associated with MSR investments increased to $152.4 billion from $145
Slide 11: Trends in PMT's Investments in GSE Credit Risk Transfer
3Q20 Earnings Report Trends in PMT's Investments in GSE Credit Risk Transfer (CRT) Delivered $1.8 billion in UPB of loans in 3Q20 under our sixth transaction with Fannie Mae PMT has ceased new investments and expects to settle the transaction in 4Q20 CRT investments were down Q/Q from increased prep
Slide 12: Update on CRT Financing
3Q20 Earnings Report Update on CRT Financing (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 September 30, 2020. (2) As of September 30, 2020 (3) These transactions are subject t
Slide 13: Update on CRT Performance
3Q20 Earnings Report Update on CRT Performance (1) Source: https://capmrkt.fanniemae.com/portal/funding-the-market/credit-risk/news/covid19-casualty-event-050120.html (2) PMT is currently in the aggregation period delivering loans to Fannie Mae under a commitment for a sixth CRT transaction – not ye
Slide 14: Financial Results
Financial Results nnyMac’ Mortgage Investment Trust.
Slide 15: Financial results by segment and investment strategy
3Q20 Earnings Report 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 asso
Slide 16: Performance of the GSE Credit Risk Transfer Investments in 3Q20
3Q20 Earnings Report Performance of the GSE Credit Risk Transfer Investments in 3Q20
Slide 17: Servicing Trends – Delinquencies & Advances for PMT's MSR Portfolio
Servicing Trends – Delinquencies & Advances for PMT’s MSR Portfolio 3Q20 Earnings Report Servicing advances were approximately $47 million at September 30th, up from $38 million at June 30 as delinquencies extended No P&I advances are outstanding as prepayment activity remains sufficient to cover th
Slide 18: Appendix
Appendix nnyMac’ Mortgage Investment Trust.
Slide 19: Historical Earnings, Dividends and Book Value Per Share
3Q20 Earnings Report (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 Historical Earnings, Dividends and Book Value Per Share Repurchased
Slide 20: Estimated Sensitivity to Changes in Interest Rates
3Q20 Earnings Report Estimated Sensitivity to Changes in Interest Rates At 9/30/20 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
Slide 21: MSRs and ESS Asset Valuation
MSRs and ESS Asset Valuation Unaudited (1) Pool UPB, pool weighted average coupon and CPR 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 value assessment
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 3Q20 Earnings Report Annualized Return on Average CRT Equity (1) Equity allocated represents management’s internal allocation across segments and investment strategies Return on Equity Contribution of the GSE Credit Risk Trans
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
PMT’s Investments in GSE Credit Risk Transfer 3Q20 Earnings Report Note: Amounts may not sum exactly due to rounding (1) FICO and LTV metrics at origination (2) Losses due to liquidation of reference pool collateral (3) Interest reduction due to modification of reference pool collateral (UPB in bill
Slide 26: Correspondent Production Acquisitions and Locks by Product
3Q20 Earnings Report Correspondent Production Acquisitions and Locks by Product Note: Conventional Conforming, Government, and Non-Agency acquisitions exclude PennyMac Financial’s Direct Lending Loans Acquired by PMT. (1) Consists of prime jumbo and non-QM loans
PennyMac Mortgage Investment Trust — Q3 2020 Earnings Presentation on 6ix