PennyMac Mortgage Investment Trust (NYSE:PMT) Q3 2024 Earnings Conference Call October 22, 2024 6:00 PM ET

Company Participants

David Spector - Chairman & Chief Executive Officer
Dan Perotti - Chief Financial Officer

Conference Call Participants

Jason Weaver - Jones Trading
Bose George - KBW
Doug Harter - UBS
Matthew Howlett - B. Riley
Eric Hagen - BTIG

Operator

Good afternoon, and welcome to PennyMac Mortgage Investment Trust Third 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 third quarter financial results reflect solid levels of income, excluding market-driven value changes, bolstered by fair value changes, including associated tax benefits. Net income to common shareholders was $31 million or diluted earnings per share of $0.36. PMT's annualized return on common equity was 9% and book value per share at September 30 was $15.85 down slightly from the end of the prior quarter.

Turning to the origination market, current third-party estimates for total originations averaged $2.3 trillion in 2025, reflecting expectations for mortgage rates to decline from current levels, driving growth in both refinance and purchase volumes.

PMT's stale performance in recent periods of heightened volatility highlights the strength of the fundamentals underlying its long-term mortgage assets and our expertise managing mortgage-related investments in a changing environment. We continue to focus on PMT's balance sheet. And this quarter, I'm pleased to note that, we effectively completed the refinancing of $457 million of CRT and MSR term notes, with $514 million of new term notes with lower effective cost and extended durations.

Approximately two-thirds of PMT shareholders' equity is currently invested in a seasoned portfolio of MSRs and the unique GSE lender risk share transactions we invested in from 2015 to 2020. As the majority of mortgages underlying these assets were originated during periods of very low interest rates, we continue to believe these investments will perform well over the foreseeable future as low expected prepayments have extended the expected lives of these assets.