Pennymac Mortgage Investment Trust · NYSE:PMT
Pennymac Mortgage Investment Trust — Q2 2025 Earnings Presentation
28 slides from Pennymac Mortgage Investment Trust's earnings presentation, Jul 22, 2025
Slide 1: 2Q25 Earnings Report
2Q25 EARNINGS REPORT PennyMac Mortgage Investment Trust July 2025
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
Slide 3: Second Quarter Highlights
SECOND QUARTER HIGHLIGHTS Solid levels of income excluding market driven value changes offset by net fair value declines resulting from extreme market volatility and a non-recurring tax expense Net new 2Q25 Results CREDIT Pretax income investments in Fair value of excluding market credit sub-bonds o
Slide 4: 2Q25 Strategic Update
N2Q25 STRATEGIC UPDATE
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,
Slide 6: PMT's Private Label Securitization Leadership
ORGANIC INVESTMENT CREATION DRIVEN BY PRIVATE LABEL SECURITIZATION ACTIVITY Aggregate Non-Owner Occupied (NOO) and Jumbo Loan Growth(1) PMT’s Private Label (UPB in billions) Securitization Leadership NOO Loans Jumbo Loans Top 3 Issuer(2) Among largest issuers of prime Non-Agency MBS in 1H25 9 Securi
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
Slide 8: Organically Created Investment Portfolio Is a Key Differentiator
ORGANICALLY CREATED INVESTMENT PORTFOLIO IS A KEY DIFFERENTIATOR PMT Equity Allocation (at 6/30/25) ● Almost 80% of PMT's equity is Cash, short term deployed in organically created investments, and investments and loans held for other, 7% sale via Pennymac’s(3) Inorganic or production opportunistic
Slide 9: Key Operating Metrics & Other Financial Schedules
KEY OPERATING METRICS & OTHER FINANCIAL SCHEDULES
Slide 10: Second Quarter Results and Return Contributions by Strategy
SECOND QUARTER RESULTS AND RETURN CONTRIBUTIONS BY STRATEGY Market-Driven Income Excluding Total Income Value Changes and WA Equity Annualized Return ($ in millions, except EPS) Market-Driven Value Contribution(1) Non-Recurring Allocated(3) on Equity (ROE)(1) Changes(1)(2) Impacts(2) Credit sensitiv
Slide 11: Correspondent Production Highlights
CORRESPONDENT PRODUCTION HIGHLIGHTS Correspondent Acquisition Volume and Mix Key Financial Metrics (UPB in billions) 1Q25 2Q25 Segment pretax income as a percentage of 0.37% 0.39% interest rate lock commitments(2) Fulfillment fee as a percentage of 0.19% 0.19% acquisitions funded(3) Selected Operatio
Slide 12: 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
Slide 13: 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 PMT GSE credit risk transfer 13.6% 15% our strategies over th
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 capacity across CRT Term Notes multiple banks / flexibility to finance fluctuating MSR and advance balances $1,169mm drawn Unsecu
Slide 15: Non-Recourse Leverage Remains In-Line with Historical Levels
NON-RECOURSE LEVERAGE REMAINS IN-LINE WITH HISTORICAL LEVELS PMT Leverage Ratios(1) Total debt-to-equity Debt-to-equity ex. non-recourse debt ● Total debt-to-equity increases as we retain investments from securitizations, as all securitized loans remain on the balance sheet ● Debt resulting from sec
Slide 16: Appendix
NAPPENDIX
Slide 17: PMT Is Focused on Unique Investment Strategies in Three Segments
PMT IS FOCUSED ON UNIQUE INVESTMENT STRATEGIES IN THREE SEGMENTS • Leading acquirer and producer of conventional conforming mortgage loans Correspondent • Significant growth in market share over PMT’s more than 16-year history driven by PFSI’s Production operational excellence and high service levels
Slide 18: Historical Earnings, Dividends and Book Value per Share
HISTORICAL EARNINGS, DIVIDENDS AND BOOK VALUE PER SHARE (1) ROE⁽²⁾ 4% 15% 12% 10% 4% 9% 10% 0% -1% • Repurchased 29.1 million common shares from 3Q15 through 2Q24 (1) At period end 18 (2) Return on average common equity is calculated based on annualized quarterly net income attributable to common sh
Slide 19: Current Market Environment and Macroeconomic Trends
CURRENT MARKET ENVIRONMENT AND MACROECONOMIC TRENDS Average 30-year fixed rate mortgage(1) 6.65% 6.77% 10-year Treasury Bond Yield(2) 4.21% 4.23% U.S. Origination Market Forecast(3) Macroeconomic Metrics(4) (UPB in trillions) 6/30/24 9/30/24 12/31/24 3/31/25 6/30/25 10-year Treasury bond yield 4.4% 3
Slide 20: PMT's Investment Activity by Strategy During the Quarter
PMT’S INVESTMENT ACTIVITY BY STRATEGY DURING THE QUARTER Long-term mortgage Assets carrying Change in Assets carrying ($ in millions) Fair value changes asset value at 3/31/25 Investments(5) value at 6/30/25 PMT GSE credit $ 1,065 $ (24) $8 $ 1,049 risk transfer(1) Other GSE Credit Risk Credit $ 195
Slide 21: Trends in MSR Investments
TRENDS IN MSR INVESTMENTS MSR Investments(1) ($ in millions) • MSR assets were $3.7 billion as of June 30, 2025 down slightly from March 31, 2025 ‒ Fair value increases and new MSR investments more than offset by runoff from prepayments ‒ UPB underlying PMT’s MSR investments decreased slightly 21 (1
Slide 22: MSR Asset Valuation
MSR ASSET VALUATION June 30, 2025 Mortgage Unaudited ($ in millions) Servicing Rights Pool UPB(1) $221,632 Weighted average coupon 3.9% Weighted average servicing fee 0.27% Weighted average prepayment speed assumption (CPR) 7.3% Fair value $3,739 As a multiple of servicing fee 6.1 22 (1) Owned MSR p
Slide 23: Delinquency Trends and Servicing Advances Outstanding
DELINQUENCY TRENDS AND SERVICING ADVANCES OUTSTANDING Historical Trends in Delinquency and Foreclosure Rates(1) 30-60 Day 60-90 Day 90+ Day In foreclosure ● As expected, overall mortgage delinquency rates increased slightly from the prior quarter ● Servicing advances outstanding for PMT’s MSR portfo
Slide 24: PMT's Owned MSR Portfolio Characteristics
PMT’S OWNED MSR PORTFOLIO CHARACTERISTICS As of June 30, 2025 Loan Remaining Loan size FICO credit 60+ UPB % of count Note Seasoning maturity ($ in score at Original Current Delinquency (2) Segment ($ in billions) Total UPB (in thousands) rate (months) (months) thousands) origination LTV LTV(3) (by
Slide 25: 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 March 31, 2025 due to runoff ($ in millions) • The 60+ day delinquency rate decreased from March 31, 2025 • Consistent wit
Slide 26: Reconciliation of Leverage Ratios Including and Excluding Non-Recourse Debt
RECONCILIATION OF LEVERAGE RATIOS INCLUDING AND EXCLUDING NON-RECOURSE DEBT June 30, 2025 Assets(1) Financing Mortgage loan Notes payable Assets sold under participation secured by CRT Adjustments for Excluding VIE agreements to purchase and sale arrangements and Consolidated VIE Financing Financing
Slide 27: Acquisitions and Locks by Product
ACQUISITIONS AND LOCKS BY PRODUCT Unaudited ($ in millions) 2Q24 3Q24 4Q24 1Q25 2Q25 Correspondent Acquisitions Conventional Conforming - for PMT $ 2,195 $ 5,851 $ 3,241 $ 2,437 $ 2,740 (1) Conventional Conforming - for PFSI 10,007 8,092 13,567 8,961 13,521 Government - for PFSI(1) 10,301 11,788 11,
Slide 28: PennyMac Mortgage Investment Trust
PS PENNYMAC’ MORTGAGE INVESTMENT TRUST 28
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