Pennymac Mortgage Investment Trust · NYSE:PMT

Pennymac Mortgage Investment Trust — Q1 2025 Earnings Presentation

28 slides from Pennymac Mortgage Investment Trust's earnings presentation, Apr 22, 2025

  1. Slide 1: 1Q25 Earnings Report

    1Q25 EARNINGS REPORT PennyMac Mortgage Investment Trust April 2025

  2. 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 re

  3. Slide 3: First Quarter Highlights

    FIRST QUARTER HIGHLIGHTS Strong levels of income excluding market driven value changes offset by fair value declines Net new 1Q25 Results CREDIT Pretax income investments in Fair value of excluding market credit sub-bonds organically- SENSITIVE driven value from PMT created CRT⁽³⁾ Net loss STRATEGIE

  4. Slide 4: Origination Market Expectations Reflect Growth

    ORIGINATION MARKET EXPECTATIONS REFLECT GROWTH U.S. Mortgage Origination Market(1) Mortgage Rates Remain Elevated ($ in trillions) Purchase Refinance Average 30-year fixed rate mortgage(2) • Current third-party estimates for industry originations average $2.0 trillion in 2025, reflecting projections fo

  5. Slide 5: Synergistic Relationship with PFSI Is a Unique and Proven Competitive Advantage

    SYNERGISTIC RELATIONSHIP WITH PFSI IS A UNIQUE AND PROVEN COMPETITIVE ADVANTAGE Balance sheet to invest in Strategically well-positioned in a long-term mortgage assets market characterized by consolidation and changes in the regulatory environment ● Leverages PFSI’s expertise in mortgage production,

  6. Slide 6: Organic Investment Creation Driven by Private Label Securitization Activity

    ORGANIC INVESTMENT CREATION DRIVEN BY PRIVATE LABEL SECURITIZATION ACTIVITY Aggregate Non-Owner Occupied (NOO) and Jumbo Increased Private Label Securitization Activity Loan Growth(1) (UPB in billions) ● Synergistic relationship with PFSI provides PMT with NOO Loans unique access to a consistent pip

  7. Slide 7: Seasoned Investment Portfolio Expected to Perform Well Over Long-Term

    SEASONED INVESTMENT PORTFOLIO EXPECTED TO PERFORM WELL OVER LONG-TERM Nearly two-thirds of PMT’s shareholders’ equity is deployed to seasoned investments in MSRs and PMT’s unique GSE credit risk transfer investments with strong underlying fundamentals Mortgage Servicing Rights PMT GSE Credit Risk Tr

  8. Slide 8: Run-Rate Return Potential from PMT's Investment Strategies

    RUN-RATE RETURN POTENTIAL FROM PMT’S INVESTMENT STRATEGIES Annualized Return WA Equity on Equity (ROE) Allocated (%)(1) • Represents the average annualized return and Credit sensitive strategies: quarterly earnings potential expected from its PMT GSE credit risk transfer 13.7% 15% strategies over th

  9. Slide 9: Correspondent Production Highlights

    CORRESPONDENT PRODUCTION HIGHLIGHTS Correspondent Acquisition Volume and Mix Key Financial Metrics (UPB in billions) 4Q24 1Q25 Segment pretax income as a percentage of 0.70% 0.37% interest rate lock commitments(2) Fulfillment fee as a percentage of 0.18% 0.19% acquisitions funded(3) Selected Operatio

  10. Slide 10: Trends in MSR Investments

    TRENDS IN MSR INVESTMENTS MSR Investments(1) ($ in millions) • MSR assets were $3.8 billion as of March 31, 2025 down slightly from December 31, 2024 ‒ Fair value declines and runoff from prepayments partially offset by new MSR investments ‒ UPB underlying PMT’s MSR investments decreased slightly 10

  11. Slide 11: 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 down from December 31, 2024 due to fair value ($ in millions) declines and prepayments • The 60+ day delinquency rate decreased from

  12. Slide 12: 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 Value Contribution(1) Value Changes(2) Allocated(3) on Equity (ROE)(1) Changes(1)(2) Credit sensitive strategies: PMT GSE credi

  13. Slide 13: 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 ($ in millions) exposure on a “global” basis, recognizing Change in MSR fair value before realization of cash flows interest rate sensitivities across its i

  14. Slide 14: Flexible and Sophisticated Financing Structures

    FLEXIBLE AND SOPHISTICATED FINANCING STRUCTURES Debt Schedule by Year of Maturity(1) (in millions) Unsecured and Exchangeable Senior Notes MSR Term Notes and Loans Financing Financing capacity across CRT Term Notes capacity across multiple banks / multiple banks / flexibility to flexibility to finance

  15. Slide 15: Appendix

    NAPPENDIX

  16. Slide 16: 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 15-year history driven by PFSI’s Production operational excellence and high service levels

  17. Slide 17: Historical Earnings, Dividends and Book Value per Share

    HISTORICAL EARNINGS, DIVIDENDS AND BOOK VALUE PER SHARE (1) ROE⁽²⁾ 14% 4% 15% 12% 10% 4% 9% 10% 0% • Repurchased 29.1 million common shares from 3Q15 through 2Q24 (1) At period end 17 (2) Return on average common equity is calculated based on annualized quarterly net income attributable to common sh

  18. Slide 18: 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) 6.85% 6.65% 4.57% 4.21% Macroeconomic Metrics(3) Footnotes 3/31/24 6/30/24 9/30/24 12/31/24 3/31/25 (1) Freddie Mac Primary Mortgage Market Survey. 6.83% as of 4/17/25 (2) U.S. De

  19. Slide 19: PMT's Investment Activity by Strategy During the Quarter

    PMT’S INVESTMENT ACTIVITY BY STRATEGY DURING THE QUARTER Long-term mortgage Assets carrying Change in Assets carrying ($ in millions) Fair value changes asset value at 12/31/24 Investments(5) value at 3/31/25 PMT GSE credit $ 1,102 $ (23) $ (15) $ 1,065 risk transfer(1) Other GSE Credit Risk Credit

  20. Slide 20: MSR Asset Valuation

    MSR ASSET VALUATION March 31, 2025 Mortgage Unaudited ($ in millions) Servicing Rights Pool UPB(1) $224,568 Weighted average coupon 3.8% Weighted average servicing fee 0.27% Weighted average prepayment speed assumption (CPR) 7.3% Fair value $3,770 As a multiple of servicing fee 6.1 20 (1) Owned MSR

  21. Slide 21: Delinquency Trends and Servicing Advances Outstanding

    DELINQUENCY TRENDS AND SERVICING ADVANCES OUTSTANDING Historical Trends in Delinquency and Foreclosure Rates(1) 30-60 Day 60-90 Day 90+ Day In foreclosure ● Overall mortgage delinquency rates decreased slightly from the prior quarter ● Servicing advances outstanding for PMT’s MSR portfolio decreased

  22. Slide 22: PMT's Owned MSR Portfolio Characteristics

    PMT’S OWNED MSR PORTFOLIO CHARACTERISTICS As of March 31, 2025 Loan Remaining Loan size FICO credit 60+ UPB % of count Note Seasoning maturity ($ in score at Original Current Delinquency (2) Segment ($ in billions) Total UPB (in thousands) rate (months) (months) thousands) origination LTV LTV(3) (by

  23. Slide 23: Interest Rate Sensitive Strategies Designed to Mitigate Interest Rate Volatility

    INTEREST RATE SENSITIVE STRATEGIES DESIGNED TO MITIGATE INTEREST RATE VOLATILITY Gain in value with Gain in value with Estimated Sensitivity to Changes in Interest Rates at increasing rates decreasing rates March 31, 2025 % change in PMT’s shareholders’ equity MSRs Agency MBS Interest Rate Hedges (1

  24. Slide 24: Performance of Organically-Created Investments in GSE Credit Risk Transfer in 1Q25

    PERFORMANCE OF ORGANICALLY-CREATED INVESTMENTS IN GSE CREDIT RISK TRANSFER INVESTMENTS IN 1Q25 Income (Loss) ($ in millions) Contribution Comments Market-driven value changes: Valuation-related changes included $ (14.5) • Reflects impact of credit spread widening in Net gain (loss) on investment Inco

  25. Slide 25: Balance Sheet Treatment of PMT's Organically-Created Credit Risk Transfer Investments

    BALANCE SHEET TREATMENT OF PMT’S ORGANICALLY-CREATED CREDIT RISK TRANSFER INVESTMENTS ($ in thousands) March 31, 2025 Current outstanding UPB of loans delivered to the CRT SPVs and UPB of loans subject to guarantee obligation....................................... $ 20,849,101 sold to Fannie Mae or

  26. Slide 26: PMT's Organically-Created Investments in Credit Risk Transfer

    PMT’S ORGANICALLY-CREATED INVESTMENTS IN CREDIT RISK TRANSFER L Street Securities L Street Securities L Street Securities PMTT1 PMTT2 PMTT3 2017-PM1 2019-PMT1 2020-PMT1 Total (May 2015 - Jul 2015) (Aug 2015 - Feb 2016) (Feb 2016 - Aug 2016) (Aug 2016 - May 2018) (Jun 2018 - Mar 2019) (Apr 2019 - Sep

  27. Slide 27: Acquisitions and Locks by Product

    ACQUISITIONS AND LOCKS BY PRODUCT Unaudited ($ in millions) 1Q24 2Q24 3Q24 4Q24 1Q25 Correspondent Acquisitions Conventional Conforming - for PMT $ 1,769 $ 2,195 $ 5,851 $ 3,241 $ 2,437 (1) Conventional Conforming - for PFSI 8,190 10,007 8,092 13,567 8,961 Government - for PFSI(1) 8,167 10,301 11,78

  28. Slide 28: PennyMac Mortgage Investment Trust

    PS PENNYMAC’ MORTGAGE INVESTMENT TRUST 28

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