Pennymac Mortgage Investment Trust · NYSE:PMT
Pennymac Mortgage Investment Trust — 2020 Barclays Global Financial Services Conference
14 slides from Pennymac Mortgage Investment Trust's conference presentation, Sep 15, 2020
Slide 1: PennyMac Mortgage Investment Trust
PennyMac Mortgage Investment Trust September 15, 2020 Barclays Global Financial Services Conference
Slide 2: Forward-Looking Statements
Forward-Looking Statements 2020 Barclays Global Financial Services Conference 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 respec
Slide 3: PMT Is a Unique, Successful Residential Mortgage REIT
2020 Barclays Global Financial Services Conference PMT Is a Unique, Successful Residential Mortgage REIT Residential mortgage REIT started in 2009 focused on U.S. residential mortgage-related investments Focus on risk management throughout PMT’s more than 10-year history Track record of successful,
Slide 4: Strong Capital Base and Returns Compared to Other REITs
ROE(2) 14% 10% 14% 10% -119% 103% Book Value per Share(1) Shareholders’ Equity ($ in millions) Book value per share declined from $21.37 at December 31, 2019 to $15.16 at March 31, 2020; however, book value per share largely recovered to $19.39 at June 30, 2020 Recovery enabled by PMT’s innovative f
Slide 5: PMT Is Focused on Unique Investment Strategies in Three Segments
2020 Barclays Global Financial Services Conference 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 product
Slide 6: Opportunity in the Mortgage Origination Market
2020 Barclays Global Financial Services Conference Opportunity in the Mortgage Origination Market (1) Actual originations: Inside Mortgage Finance. Total originations forecast: Average of Mortgage Bankers Association (8/20/20), Fannie Mae (8/10/20), and Freddie Mac (6/16/20) forecasts. (2) Freddie M
Slide 7: PMT Is a Leading Producer of Conventional Conforming Mortgages
PMT Is a Leading Producer of Conventional Conforming Mortgages PMT’s Conventional Correspondent Production (in billions) Top Correspondent Producers(2) 4th largest producer of conventional conforming mortgages in the U.S.(2) Record production volume through August 31, 2020 PMT has maintained its lea
Slide 8: PMT's Unique Ability to Organically Create MSR Investments
2020 Barclays Global Financial Services Conference PMT’s Unique Ability to Organically Create MSR Investments New MSR Investments (in millions) Investments in MSRs have accelerated along with PMT’s increase in conventional conforming production volumes, in turn growing the UPB underlying PMT’s MSR p
Slide 9: MSR Portfolio Trends and Forbearances
2020 Barclays Global Financial Services Conference MSR Portfolio Trends and Forbearances Forbearance Rate (1) (1) Forbearance data based on loan count (i.e., not UPB). As of 7/31/2020, forbearance units amounted to 31,166, total portfolio units were 596,293, and portfolio UPB was $150.0 billion 59%
Slide 10: Overview of PMT's Investments in GSE Credit Risk Transfer (CRT)
2020 Barclays Global Financial Services Conference Overview of PMT's Investments in GSE Credit Risk Transfer (CRT) In alignment with the wind down of new investments in CRT, delivered $1.8 billion in UPB of loans in 2Q20 under our sixth transaction with Fannie Mae PennyMac’s strategy of owning the s
Slide 11: Outlook for PMT's CRT Investments
2020 Barclays Global Financial Services Conference Outlook for PMT's CRT Investments PMT’s CRT investments recorded $453 million in fair value gains in 2Q20 representing a significant recovery of the fair value loss in 1Q20 PMT’s role as an investor in credit risk on the loans it acquires and servic
Slide 12: Run-Rate Return Potential from PMT's Investment Strategies
2020 Barclays Global Financial Services Conference 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 treatmen
Slide 13: Appendix
Appendix nnyMac’ Mortgage Investment Trust.
Slide 14: Hedging Approach Central to PMT's Interest Rate Sensitive Investments
2020 Barclays Global Financial Services Conference 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 hed
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