PennyMac Mortgage Investment Trust (NYSE:PMT) Q2 2024 Earnings Conference Call July 23, 2024 6:00 PM ET

Company Participants

David Spector - Chairman and CEO
Dan Perotti - CFO

Conference Call Participants

Jason Weaver - Jones Trading
Doug Harter - UBS
Crispin Love - Piper Sandler
Bose George - KBW
Matthew Howlett - B. Riley Financial
Michael Kaye - Wells Fargo

Operator

Good afternoon, and welcome to PennyMac Mortgage Investment Trust Second Quarter Earnings Call. Additional materials, including the presentation slides that will be referred to in the call, are available on PennyMac Mortgage Investment Trust website at pmt.pennymac.com.

Before we begin, let me remind you that this call may contain forward-looking statements that are subject to certain risks identified on Slide 2 of the earnings presentation that could cause the company's actual results to differ materially as well as non-GAAP measures that have been reconciled to their GAAP equivalent in the earnings materials.

Now I'd like to introduce David Spector, PennyMac Mortgage Investment Trust Chairman and Chief Executive Officer; and Dan Perotti, PennyMac Mortgage Trust, Chief Financial Officer.

David Spector

Thank you, operator.

PMT's second quarter financial results reflect increased levels of income, excluding market-driven value changes and contributions from all three investment strategies, partially offset by fair value changes in the interest rate sensitive strategies due to elevated volatility. Net income to common shareholders was $15 million or diluted earnings per share of $0.17. PMT's annualized return on common equity was 4% and book value per share was $15.89 at June 30, down slightly from the end of the prior quarter. Turning to the origination market.

Current third-party estimates for total originations averaged $1.7 trillion in 2024 and $2.1 trillion in 2025, reflecting projections for lower rates from current levels and increased refinance volumes. PMT's financial performance in recent periods highlights the strength of the fundamentals underlying its long-term mortgage assets and our expertise in managing mortgage-related investments in a challenging environment.

I am pleased to note that in the second quarter, we successfully issued $217 million of exchangeable senior notes and $355 million of term notes secured by Fannie Mae MSRs, both at attractive terms and both with consideration with similar notes with upcoming maturities. Given its increased investable capital in the current market, PMT is expected to retain an increased percentage of total conventional correspondent loan production in the third quarter. Dan will provide additional detail later on in the discussion.