Q3 2021 PennyMac Mortgage Investment Trust Earnings Presentation (Pre-recorded)

12 years P. M. T has successfully navigated various regulatory interest rate and origination market environments, while delivering strong returns. This can be attributed to the strong management team of Penny Mac and the risk management disciplines. We are focused on since our founding.

Organic as Secrease, you amaze, a competitive advantage for PMT relative to other mortgage rates.

While the future of lender risk shares uncertain, we remain focused on opportunities in the current market environment, such as Msr's and investors Securitizations with attractive longterm return profiles.

With that I will now turn it over to Andy Cheng Pmt's senior managing director and Chief operating Officer Andy.

Thank you David.

I will discuss the mortgage origination landscape the impact of recently announced changes from FHFA on P. M T and review the run rate returned potential from PMT strategies.

While the origination market is in a period of transition it continues to be large despite the increase in recent weeks interest rates continue to be historically low and remain within the projections of leading economists.

Current forecasts for 20 twenty-two originations remains strong at three trillion dollars.

It is worth noting that purchase originations are expected to grow to a record two trillion dollars and 20 twenty-two up 9% from this year's levels.

While refinance originations are expected to decline to 1.1 trillion dollars.

Given this backdrop, we believe the outlook for PMT remains favorable given its purchase money focus and flexible investment platform with organic asset creation capabilities.

That said the current transition and the market is driving heightened competition as David discussed earlier, which is expected to affect pmt's near term results and correspondent production.

Regulatory changes are also impacting the competitive landscape with a new administration and changing focus.

First FHFA issued a notice of proposed rulemaking to amend the regulatory capital framework for the G. S E S.

Which would introduce more favorable GSE capital treatment for CRT and an incentive for the gse's to resume CRT issuance, notably.

Notably Fannie Mae recently completed a new cash transaction, but the future of lender risk chair is still uncertain.

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The expected returns reflect our view that heightened competition to acquire conventional loans is expected to result in a lower income contribution than we have experienced in recent quarters.

This analysis excludes potential contributions from new products at our exploration such as new investments in CRT or the introduction of new products other than investor loans.

It is also important to note our forecast for Pmt's taxable income continues to support the common dividend at its current level of 47 cents per share.

Now I'd like to turn the call over to Vandy far Taj Pmt's senior managing director and Chief Investment Officer, who will discuss the drivers of Pmt's third quarter investment performance.

Thank you Andy let's begin with highlights in our correspondent production segment.

Total correspondent acquisition volume in the quarter was 44 billion down.

Down 6% from the prior quarter and down 1% from the third quarter of 2020.

65% of Pmt's acquisition volumes were conventional loans similar to the prior quarter, we maintained our leadership position in the channel as a result of our consistency competitive pricing and the operational excellence, we continue to provide to our correspondent partners.

PMT ended the quarter with 755 correspondent seller relationships.

Conventional lock volume in the quarter was $29 4 billion down.

Down 3% from the prior quarter and down 14% year over year importantly, purchase volume was a record for PMT at nearly $29 billion up from $27 $4 billion in the prior quarter and $21 5 billion in the third quarter of 2020.

Pmt's correspondent production segment pretax income as a percentage of interest rate lock commitments was nine basis points up from six basis points in the prior quarter.

The weighted average fulfillment fee rate in the third quarter was 15 basis points down from 18 basis points in the prior quarter, reflecting discretionary reductions made to facilitate successful loan acquisitions by PMT.

Cause underlying P. M T C. R T investments gifts PMT, a strategic advantage since we can work directly with borrowers with loans underlying pmt's investments that have experienced hardships related to COVID-19.

P. F. S. I uses a variety of lost mitigation strategies to assist delinquent borrowers and because the scheduled lost transactions, notably P. M. T. T. One through three and <unk> Street Securities 2017 P. M. One trigger a loss if a borrower becomes 180 days or more delinquent we've deployed additional loss.

Mitigation resources and continue to assist those borrowers at risk.

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Now I'd like to turn the call over to Dan <unk>, Our senior managing director and Chief Financial Officer, who will review our quarterly financial results.

Thank you vandy.

PMT reports results through four segments credit sensitive strategies, which contributed $67 million in pretax income interest rate sensitive strategies, which contributed $116 $8 million in pre tax loss of correspondent production, which contributed $27 $8 million in pre tax income in the corporate segment, which had a pre tax loss.

$12 $3 million.

The contribution from Pmt's CRT investments totaled $60 million. This amount included $26 $4 million and market driven value gains, reflecting the impact of credit spread tightening and elevated prepayment speeds.

As a reminder, faster prepayment speeds benefit pmt's CRT investments as payoffs of the associated loans reduced potential for realized losses.

We're driving a competitive environment for Aggregators that presents near term challenges PMT is well positioned over the long term with a valuable portfolio of existing investments alignment to the purchase market and its correspondent production business and proven ability to organically generate new investments, we remain tirelessly focused on <unk>.

<unk> improved execution and capitalizing on the current and evolving investment environment and are optimistic about pmt's ability to deliver attractive returns as we look ahead.

We encourage investors with any questions to reach out to our investor relations team by email or phone.

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<unk> Pennymac mortgage investment Trust third quarter earnings discussion.

For any questions. Please visit our website at www Dot Pennymac, REIT dot com or call our Investor Relations Department at 8182 to 47028. Thank you.