PennyMac Mortgage Investment Trust (NYSE:PMT) Q2 2022 Earnings Conference Call August 2, 2022 4:30 PM ET

Company Participants

David Spector - Chairman and Chief Executive Officer

Vandad Fartaj - Senior Managing Director and Chief Investment Officer

Daniel Perotti - Senior Managing Director and Chief Financial Officer

Conference Call Participants

Operator

Good afternoon, and welcome to the Second Quarter Earnings Discussion for PennyMac Mortgage Investment Trust. The slides that accompany this discussion are available on PennyMac Mortgage Investment Trust’s website at www.pennymac-reit.com. Before we begin, let me remind you that our discussion contains forward-looking statements that are subject to the risks identified on Slide 2 that could cause our actual results to differ materially.

Now I’d like to introduce David Spector, PMT’s Chairman and Chief Executive Officer, who will discuss the Company’s second quarter 2022 results.

David Spector

Thank you, Isaac. PMT reported a net loss of $81.2 million, or $0.88 per common share for the second quarter, as fair value declines in its credit sensitive strategies due to continued spread widening more than offset strong performance from its strategies excluding the impacts of market-driven fair value changes. Additionally, PMT recorded a tax expense related to fair value gains on its MSR assets in its taxable REIT subsidiary, which also impacted results.

PMT paid a common dividend of $0.47 per share. Book value per share decreased to $16.59 from $17.87 at the end of the prior quarter. Dan Perotti, Senior Managing Director and Chief Financial Officer, will review additional details of PMT’s financial performance later on in this discussion.

During the quarter, we repurchased 1.9 million shares of PMT’s common stock for $28 million at an average price of $14.72, significantly below current book value per share; and in July we repurchased an additional 510,000 shares, for an approximate cost of $7.3 million at $14.30 per share.

One of PMT’s greatest strengths is its ability to organically generate investments through our high-quality loan production sourced from correspondent sellers across the country. This quarter, $10.3 billion in UPB of conventional correspondent production led to the creation of $171 million in high-quality mortgage servicing rights.

Although current forecasts for 2022 total originations range from $2.4 trillion to $2.8 trillion primarily due to activity in the first half of the year, mortgage application indices point to further declines in the second half as the market reacts to the rapid increase in mortgage rates. While we believe there is potential for these forecasts to decrease further, we believe PMT’s leadership as the largest correspondent aggregator and one of the largest producers of purchase-money loans in the country positions us well to execute over the long-term.