Pennymac Mortgage Investment Trust · NYSE:PMT
Pennymac Mortgage Investment Trust — Investor Presentation (September 2021)
16 slides from Pennymac Mortgage Investment Trust's investor presentation, Sep 13, 2021
Slide 1: PennyMac Mortgage Investment Trust Investor Presentation September 2021
PENNYMAC MORTGAGE INVESTMENT TRUST INVESTOR PRESENTATION SEPTEMBER 2021
Slide 2: Forward-looking statements
This investor 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 results, future ope
Slide 3: PMT is focused on unique investment strategies in three segments
PMT IS FOCUSED ON UNIQUE INVESTMENT STRATEGIES IN THREE SEGMENTS Leading producer of conventional conforming mortgage loans Consistent gains in market share over PMT’s 12-year history driven by operational excellence and high service levels Significant opportunity in the current environment Investme
Slide 4: Origination market remains historically strong
Economic forecasts for 2021 total originations range from $3.6 to $4.4 trillion driven by the continuation of low mortgage rates Purchase originations are expected to total $1.7 and $1.9 trillion in 2021 and 2022, respectively, higher than 2020 levels Economic forecasts for 2022 total originations a
Slide 5: PMT is a leading producer of conventional conforming mortgages
PMT’s Conventional Correspondent Production Top Correspondent Producers(3) PMT IS A LEADING PRODUCER OF CONVENTIONAL CONFORMING MORTGAGES 4th largest producer of conventional conforming mortgages in the U.S.(2) Record production volume for the year ended June 30, 2021 PMT has attained a leadership p
Slide 6: PMT's unique ability to organically create MSR investments
UPB of PMT’s MSR MSR Fair Value ($ in millions) ($ in billions) ($ in millions) New MSR Investments PMT’S UNIQUE ABILITY TO ORGANICALLY CREATE MSR INVESTMENTS The UPB and fair value of PMT’s MSR investments has grown significantly despite elevated prepayment speeds Due to PMT’s record volumes of con
Slide 7: Interest rate sensitive strategies continue to have a strong return profile
Agency MBS and interest rate hedges to offset the interest rate sensitivity of MSRs Over time, our results have demonstrated successful hedging of mortgage servicing rights in volatile markets Primarily newly originated loans with low interest rates given PMT’s record volumes of loan production in t
Slide 8: Trends in PMT's investments in GSE credit risk transfer (CRT)
TRENDS IN PMT'S INVESTMENTS IN GSE CREDIT RISK TRANSFER (CRT) UPB and fair value of CRT investments declined Q/Q as overall prepayments related to PMT’s L Street Securities Trust 2020-PMT1 surpassed a contractual threshold, accelerating prepayments to PMT’s investment 60+ day delinquency rate declin
Slide 9: Outlook for returns from credit sensitive strategies remains strong
OUTLOOK FOR RETURNS FROM PMT’s CREDIT SENSITIVE STRATEGIES REMAINS STRONG Strong alignment of interests Conventional borrowers with weighted average FICOs of over 750 Forbearance and delinquency rates continue to decline 60+ day delinquency rate of 4.7% as of June 30, 2021 CRT investments currently
Slide 10: Run-rate return potential from PMT's investment strategies
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 CRT transactions), and does not contemplate s
Slide 11: PMT is well-positioned for a changing mortgage market
PMT IS WELL-POSITIONED FOR A CHANGING MORTGAGE MARKET PMT is uniquely positioned to capitalize on current and evolving investment environments given its scale and importance in the home ownership ecosystem Mortgage rates remain near historic lows Conventional mortgage origination market remains espe
Slide 12: PMT has developed a strong and sophisticated capital structure
$350 mm FMSR Term Notes due March 2026 $785 mm CRT Term Notes due 2022 $564 mm CRT Term Notes due 2023 $657 mm CRT Term Notes due 2024 Exchangeable Senior Notes provide stable, long-term funding for the business and complement secured funding in supporting the MSR asset CRT term notes do not contain
Slide 13: Notable activity after quarter end
NOTABLE ACTIVITY AFTER QUARTER END Completed the purchase of $15 million in face amount of an additional securitization of non-owner occupied loans $311 million in underlying UPB of non-owner occupied loans acquired through PMT’s correspondent channel Successfully issued $250 million in preferred sh
Slide 14: Appendix
nnyMac Mortgage investment Trust APPENDIX »
Slide 15: Synergistic relationship provides a competitive advantage for both companies
Oversight from independent PFSI directors and PMT trustees Mortgage company with industry-leading operations and technology Tax-efficient vehicle with long track record of success investing in residential mortgage assets Fee for service arrangements for PMT creates cost efficient structure with limi
Slide 16: Servicing trends – delinquencies & advances for PMT's MSR portfolio
SERVICING TRENDS – DELINQUENCIES & ADVANCES FOR PMT’S MSR PORTFOLIO In PMT’s conventional MSR portfolio, approximately 58,000 borrowers have been enrolled in a forbearance plan related to COVID-19 Through June 30th, approximately 47,000 borrowers have exited or are in the process of exiting their fo
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