PennyMac Mortgage Investment Trust(PMT) - 2023 Q2 - Earnings Call Presentation

Financial Performance & Strategies - PMT's net income attributable to common shareholders was $14 million in 2Q23, with diluted EPS of $016[10] - The company's return on common equity was 4%, and the book value per share was $1581[10] - PMT is actively managing its equity allocation, decreasing the allocation to interest rate sensitive strategies to 55% in 2Q23 from 58% in 1Q23, and increasing the allocation to credit sensitive strategies to 25% in 2Q23 from 24% in 1Q23[17] - The company repurchased 16 million shares during the quarter[10] Credit Sensitive Strategies - Pretax income from credit sensitive strategies was $71 million[10] - Excluding market-driven value changes, pretax income from these strategies was $18 million[10] - PMT invested $52 million in GSE CRT in 2Q23[10, 19] - The fair value of organically-created CRT investments is $12 billion[10] - The 60+ day delinquency rate in PMT's CRT investments was 112% as of June 30, 2023[13] Interest Rate Sensitive Strategies - Pretax income from interest rate sensitive strategies was $(13) million[10] - Excluding market-driven value changes, pretax income from these strategies was $22 million[10] - PMT invested $133 million in MSR and non-Agency bonds[10] - The fair value of MSR investments is $40 billion[10] - Custodial funds managed for PMT's portfolio totaled $27 billion at June 30, 2023[14] Correspondent Production - Correspondent production pretax income was $1 million[10] - PMT's conventional correspondent production volume was $3 billion in UPB[10] - Correspondent acquisitions in 2Q23 totaled $212 billion in UPB, up 5% Q/Q and 1% Y/Y[28] - PMT's acquisitions were 93% purchase loans in 2Q23[15]