Pennymac Mortgage Investment Trust · NYSE:PMT
Pennymac Mortgage Investment Trust — Q1 2010 Earnings Presentation
23 slides from Pennymac Mortgage Investment Trust's earnings presentation, May 5, 2010
Slide 1: PennyMac Mortgage Investment Trust First Quarter 2010 Earnings Report
PennyMac Mortgage Investment Trust First Quarter 2010 Earnings Report May 4, 2010 (annymac’
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 r
Slide 3: First quarter highlights
+ Consolidated net income of $1.3 million or $0.07 per share Interest Income: $2.7 million Change in Fair Value of Investments: $1.2 million + Completed five transactions to purchase whole loans totaling $208 million (UPB) during the quarter and completed an additional transaction for $141 million (
Slide 4: PMT's Mission and Investment Philosophy
PMT’s Mission and Investment Philosophy + Our objective is to capitalize on dislocations in the residential mortgage market and generate attractive risk- adjusted returns over the long-term + We have been patient in the deployment of capital and adaptive to market conditions + Primary focus is on di
Slide 5: PMT's Strategy and Opportunities
PMT’s Strategy and Opportunities (annymac’
Slide 6: Overview of PMT's Strategy
Overview of PMT’s Strategy PMT’s Strategy + — Invest in portfolios of distressed residential whole loans + Maximize the value of loans through a specialized and unique whole loan management and operating platform + Serve as a conduit for the acquisition and pooling of newly originated mortgage loans
Slide 7: Our Investment Portfolio
ur Investment Portfolio PMT’s portfolio composition will change over time as we deploy short-term capital into longer-term opportunities with higher potential returns Fair Value of Portfolio as of 3/31/10 Distressed Asset Investments Non-Performing Loans Troubled Loans $38.2 Non-Performing Loans" 99
Slide 8: Non-Performing Loan Opportunity
oan Oppor nity + Non-performing loan portfolios present a significant opportunity with differences from troubled performing loans + Returns are primarily determined by the underlying property value and ability to manage and accelerate the property resolution process through foreclosure alternatives
Slide 9: Opportunity to purchase newly originated mortgage loans
+ We believe there is a significant opportunity to purchase newly originated mortgage loans from originators and monetize these assets in sale and securitization transactions 100% + Market is dominated by major banks + Small and mid-size banks prefer to work with independent whole loan buyers rather
Slide 10: Market Review
Market Review (annymac’
Slide 11: Economic Conditions Are Improving
Eco Conditions Are Improvii + Economic conditions in the U.S. appear to be improving as U.S. GDP grew 5.6% in Q4 2009, and 3.2% in Q1 2010 + The unemployment rate remains just below 10%, but the participation rate of available workers has increased in the previous few months suggesting job growth +
Slide 12: Mortgage Rates Continue to Remain at Record Low Levels
M jage Rates Continue to Remain at Record Low Levels + The Federal Reserve's $1.25 trillion MBS Mocigaya Bias purchase program has helped keep mortgage rates low through the financial crisis + The program ended March 31, 2010 + Rates have continued to remain low since the end of the purchase program
Slide 13: HAMP Modifications Report Shows Low Permanent Conversion
HAMP Modifications Report Shows Low Permanent Conversion + _HAMP trials initiated by servicers continue to decrease as new requirements for upfront documentation increase + Conversion rates from trial mods to permanent mods have increased, largely as a result of these increased requirements + To dat
Slide 14: PMT Investments
PMT Investments (annymac’
Slide 15: Capital deployed for distressed whole loans
+ Deployed approximately $212 million in capital for distressed whole loans since our initial public offering and $93 million for distressed short duration MBS + Capital deployed for distressed whole loans + Q4 2009: $26 million deployed + Q1 2010: $115 million deployed ($141 million total) * Q2 201
Slide 16: Whole Loan Portfolio Composition as of March 31, 2010
Whole Loan Portfolio Composition as of March 31, 2010 Unpaid Principal Loan % of Loan Loan Portfolio Balance (UPB)__% of UPB Count Count Mortgage Portfolio $ 212,848,139 98% 945 98% Loans Converted to REO $__5,028.892 __ 2% 49 2% Total Portfolio $__217.877,031_ 100% 964 100%. Current Loan-to-Value*
Slide 17: Mortgage-Backed Securities Portfolio
Mortgage-Backed Securities Portfolio 102010 (in thousands) FairValue__Principal__¢nYears)_Coupon Yield Sain ae aoaness ihe ‘As of March 31, 2010 \inthousands) ‘Seourity Collateral Type Non-Agency Subprime $ 95817 $ 1993§ 7542 $ 7484 $ 14903 $5,145 Non-Agency Alt-A 24.582 827 7,804 15,951 Non-Ageney
Slide 18: Financials
Financials (annymac’
Slide 19: Income Statement
Income Statem PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES CONSOLIDATED STATEMENT OF INCOME, (in thousands except per share data) are ede ‘Mortgage-backed securities, ‘Mortgage loans Other (Change in fair value of investments: Mortgage-backed securities si ‘Mortgage loans von [Net investment
Slide 20: PennyMac Mortgage Investment Trust structure
PennyMac Mortgage Investment Trust (PMT) PennyMac Operating Partnership LP PennyMac C (A Taxable REIT Subsidiary) CennyMac 19
Slide 21: Balance Sheet
Balance Sheet CennyMac PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES CONSOLIDATED BALANCE SHEETS. (In thousands, except share data) Marsh 31,2010 _Desember 34,2000 ASSETS Cash 7 7 7 $2,125 Shor-erm investment. 2 = a 115.485 : Mortgage-backed securities a fai Value . " 76,389 83,771 Mortgage lo
Slide 22: Dividend Policy
lend Policy Income Distribution Requirements + Generally, at least 90% of our taxable income Income Distribution Expectation + Quarterly distributions in excess of the 90% requirement + Timing, form and amount at the sole discretion of our Board of Trustees Key Variables Influencing Timing and Amoun
Slide 23: PennyMac Mortgage Investment Trust First Quarter 2010 Earnings Report
PennyMac Mortgage Investment Trust First Quarter 2010 Earnings Report May 4, 2010 (annymac’
PennyMac Mortgage Investment Trust — Q1 2010 Earnings Presentation on 6ix