管理層發言
Good afternoon, and welcome to PennyMac Mortgage Investment Trust's second quarter 2026 earnings call. After today's prepared remarks, we will host a question-and-answer session. If you would like to ask a question, please press *1 to raise your hand. To withdraw your question, press *1 again. Additional earnings materials, including the presentation slides that will be referred to in the call, as well as an Excel file with supplemental information are available on the PennyMac Mortgage Investment Trust's 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 their earnings materials. Now I would like to introduce David A. Spector, PennyMac Mortgage Investment Trust chairman and chief executive officer, and Daniel Stanley Perotti, PennyMac Mortgage Investment Trust chief financial officer. Please go ahead.
Thank you, operator. Good afternoon, and thank you to everyone for participating in our second quarter 2026 earnings call. Starting on slide 3, PMT's second quarter net income was $20 million or $0.23 per diluted common share, representing a 6% annualized return on common equity. These results were impacted by a lower contribution from our Credit Sensitive Strategies, driven primarily by market-driven value declines, as well as lower contributions from our aggregation and securitization strategies primarily due to lower volumes. These impacts were partially offset by improved results in our interest rate sensitive strategies. PMT paid a quarterly dividend of $0.40 per share, and book value per share at June 30 was $14.83, down 1% from the end of the prior quarter. Turning to slide 4, during the second quarter, PMT acquired $2 billion in UPB of loans through corresponding production activities, for which PMT pays fulfillment fees to PFSI.
This number was down 8% from the prior quarter and 17% from the second quarter of 2025. PMT also acquired $2.2 billion in UPB from PFSI production for inclusion in private label securitizations, up 44% from the prior quarter and 123% from the second quarter of 2025. In total, during the second quarter, PMT acquired $4.8 billion in UPB of loans. Beginning in June, PMT elected to stop acquiring agency-eligible conventional conforming loans through correspondent production but will continue acquiring 100% of all non-agency loan volume. This strategic decision allows us to optimize our capital allocation by pivoting away from MSR investments, which have faced return headwinds in recent periods, and accelerating the redeployment of our capital to higher-yielding, credit-sensitive investments created from our private label securitization program. Consistent with this objective, I am pleased to announce that after quarter end, we entered into an agreement to sell $13 billion in UPB of low-coupon agency MSRs, with a close expected at the end of August.
Slide 5 highlights the continued success of our organic investment creation engine. During the quarter, we completed six private label securitizations totaling $2.2 billion in UPB. This activity resulted in the retention of $120 million of new subordinate bond investments in the credit-sensitive strategies. We also generated $31 million of new MSR investments. Our momentum has continued after quarter end, with two additional securitizations completed, totaling $692 million in UPB, and we remain on pace to complete approximately 30 securitizations in 2026. In total, through 2026, we expect we will have added more than $600 million of retained investments, building a substantial foundation of investments with returns on equity in the low to mid teens to support future earnings. On slide 6, we provided a snapshot of high-quality investments we are creating through our private label securitization.
At quarter end, the fair value of retained bonds from this program totaled $936 million. Sixty-three percent of this portfolio is comprised of bonds from non-owner-occupied loan securitizations, 21% is comprised of bonds from jumbo loan securitizations, with the remainder from agency-eligible owner-occupied loan securitizations. As you can see, these investments feature exceptional credit characteristics, including a weighted average FICO at origination of 774, a weighted average LTV at origination of 72%, and negligible delinquencies. The credit quality of these organically created assets underscores our ability to produce attractive high-yielding investments in the current market. On slide 7, approximately half of PMT shareholders' equity remains deployed to long-standing investments in MSRs and 13% is comprised of our unique GSE credit risk transfer investment. Mortgage servicing rights provide stable cash flow from a portfolio with a low weighted average coupon of 3.9%.
Our organically created GSE CRT investments consist of seasoned loans with a weighted average current loan-to-value of 45%. Turning to slide 8, while our diversified portfolio is constructed of investments with strong underlying fundamentals, we acknowledge our earnings excluding market-driven value changes have been below our dividend level for the past several quarters. As you can see, we are showing an average run-rate return of $0.33 per quarter for the next year, up from the $0.31 projection in the prior quarter. In the credit-sensitive strategies, return dynamics are similar to the prior quarter. The improvement of the overall run rate versus the prior quarter is driven by reallocation of equity to subordinate bond investments and higher expected returns of our MSR assets in a higher-rate environment. As is our standard practice, we continue to monitor our portfolio mix and allocate capital towards investments with the most attractive return protection potential.
Our momentum in organic investment creation remains strong, and we have successfully positioned PMT as a leader in the private label securitization market. Given the success of our securitization program, we are shifting our equity allocation toward creative credit-sensitive strategies, and I am confident this realignment of our balance sheet will bolster PMT's return profile to deliver attractive total returns over the long term. Now, I will turn it over to Daniel to review the second quarter financial performance.
Thank you, David. Net income to common shareholders was $20 million or $0.23 per diluted common share in the second quarter, representing a 6% annualized return on equity to common shareholders. Our credit-sensitive strategies contributed $11 million to pretax income, generating an annualized return on equity of 11%. The contribution to pretax income from organically created CRT investments was $6 million, which included $7 million of realized gains in carry and $1 million of market-driven value declines. Investments in subordinate MBS from our private label securitization generated gains of $5 million, down from $6 million in the prior quarter, primarily due to lower valuation-related gains. The interest rate sensitive strategies contributed pretax income of $9 million for an annualized ROE of 3%. Income excluding market-driven value changes for this segment was $20 million, up from $11 million in the prior quarter, as decreased prepayment speeds during the quarter, particularly on higher note-rate MSRs, drove slower runoff of our MSR asset.
During the quarter, we purchased $486 million of agency floating-rate MBS, and the fair value of our MBS portfolio increased to $4.1 billion at June 30, up from $3.8 billion at March 31. Regarding market-driven fair value changes, our hedging activities during the quarter effectively mitigated our interest rate risk exposure, as the $18 million MSR fair value increase was offset by $18 million of net declines in fair value of MBS and interest rate hedges, including the related tax benefits. The aggregation and securitization segment reported pretax income of $11 million, down from $16 million in the prior quarter. Net gains on loans acquired for sale declined by approximately $8 million from the prior quarter, primarily due to lower volumes. In total, PMT reported $32 million of net income across its strategies excluding market-driven value changes, up from $28 million in the prior quarter, primarily due to an increased contribution from the interest rate sensitive strategies.
I want to address our dividend in the context of our current results and the updated run-rate return potential. While projections for income excluding market-driven value changes remain below the dividend level, it is important to note that we expect to maintain the common share dividend at $0.40 per share. This is supported by our taxable income, which we expect to be sufficient to fully cover the dividend at its current level in coming periods. Turning to slide 12, we highlight the flexible and sophisticated financing structures PMT has in place to support its diversified portfolio of investments. And finally, on slide 13, we continue to believe that debt to equity, excluding nonrecourse debt, is the best metric for measuring our core leverage. That ratio increased to 6.2x at quarter end from 5.6x at the prior quarter end due to growth in loans held for sale and remains in line with our expected levels.
PMT's total debt-to-equity increased to approximately 12:1 from 11:1 at March 31 as we continue to retain investments from securitizations. The increase in our total debt-to-equity ratio reflects growth in nonrecourse debt associated with these transactions, where all securitized loans are required to be consolidated on our balance sheet for accounting purposes. As a reminder, the source of repayment for this debt is limited to the cash flows from the associated loans in each private label securitization, mitigating any additional exposure to PMT. We expect the divergence between these two metrics to continue increasing as our securitization program continues to grow. We will now open it up for questions. Operator?
分析師問答
We will now begin the question-and-answer session. Please limit yourself to one question and one follow-up. If you would like to ask a question, please press *1 to raise your hand. To withdraw your question, press *1 again. We ask that you pick up your handset when asking a question to allow for optimum sound quality. If you are muted locally, please remember to unmute your device. Please stand by while we compile the Q&A roster. Your first question is from Bose George from KBW. Your line is now open. Please go ahead.
Hey, guys. Just in terms of the move we have had in rates since quarter end, can you just talk about the impact of that on the run-rate earnings? Does that help with the MSR returns? Some color on that would be great.
Overall, thanks for the question, Bose. As interest rates move higher, particularly long rates, it is beneficial to the expected earnings and run rate, especially with the MSR portfolio. As rates increase, our expectation for the returns of the MSR portfolio has risen. If long rates and mortgage rates continue to move higher, that further dampens prepayment speeds on MSRs and could drive additional increases in MSR returns, which would help to bolster overall returns. A partial offset is that if short rates increase meaningfully, such as the Fed raising short-term rates, that would have a dampening effect on overall returns by driving up our financing costs for longer-dated fixed-rate assets in the interest rate sensitive strategies. With respect to our subordinate bonds, in recent periods we have invested in assets that are less sensitive to short-rate increases, in particular CMO floaters. Those are the two principal offsetting potential impacts from interest rates increasing.
Okay. But net, could we be a couple of pennies higher than the $0.33 that you have shown?
Given our concentration in mortgage servicing rights, and the fact that long rates have moved up a bit faster than short rates recently, the net effect would generally be beneficial to the run rate.
Okay. Great. And then just on the MSR sales, could we see more MSR sales? It seems like the market for low-coupon MSRs at least is very strong. Would it make sense to potentially do that and maybe park something in agency MBSs, for instance, if it happens?
Look, we have become much more active in managing the portfolio. As we look at opportunities and see the returns in securitizations combined with the very robust bid for low-note-rate MSRs, that is something we are clearly evaluating. We will manage the portfolio to maximize capital deployment and returns, and selling MSRs where it makes sense, given prevailing market demand for low-coupon servicing, is part of that consideration.
So great. Thank you.
The next question is from Marisa Lobo of UBS. Your line is open. Please go ahead.
Alright. Thank you. Just on the shift and the relationship to PFSI on the shift to 100% non-agency acquisition: does that alter the economic relationship or the management agreement with PFSI?
It does not alter the management agreement. The practical impact is that there will be fewer loans flowing through the correspondent arrangement or the fulfillment agreement. PMT pays a fulfillment fee to PFSI for all loans that come through that correspondent channel directly to PMT, so lower volume of agency-eligible conventional loans flowing through that arrangement will result in lower gain-on-sale being generated at PMT from those loans and lower fulfillment fees flowing back to PFSI. The rationale for the change is to reallocate equity to reduce the capital invested in MSRs, particularly higher-rate MSRs, where we believe allocating equity into subordinate bonds created through our private label securitizations produces a better return. That reallocation is expected to drive a more beneficial and increased run rate over time. On rate sensitivity following the sale of MSRs and capital redeployment, overall it should be similar. Our hedging practices remain the same, and our strategy has been to insulate the company from significant book-value changes due to interest rate movements, as you can see from this quarter's hedge results. We expect that to continue as we reallocate equity away from MSRs and into private label securitizations. Those securitization holdings are included in our global interest-rate hedging and management and are considered in our hedging positions.
Appreciate the answers.
Our next question is from Trevor Cranston of Citizens JMP. Your line is open. Please go ahead.
Hey. Thanks. As we think about the pace of capital transition going forward, non-agency securitization activity has been fairly robust recently. Are you finding opportunities to deploy capital into third-party securitizations? Or should we expect you to continue focusing on your own organically created investments?
We review a lot of bonds being offered by street desks and buy smaller pieces from time to time. It's not that we have a bias against buying third-party securitizations; rather, we believe in the economic value of our organic creation. Because our manager services the loans and we have investment alignment with those loans, and because the manager has performed the diligence on those loans, we feel very comfortable with the underlying assets in our securitizations versus buying in the secondary market from other originators. That said, it is not a policy prohibition—we will buy in the secondary market if we find appropriate returns. From a best-execution standpoint, the most efficient path to redeploy capital has been into the securitizations we create, given our partnership with PFSI and the pipeline of loans available.
Okay. Thank you.
Our next question is from Douglas Harter of BTIG. Your line is open. Please go ahead.
Thanks, and good afternoon. Can you talk about the pacing of securitization activity to the extent that you are able to free up more capital through MSR sales? Do you think that could accelerate, or is the pace you have been operating at the pace that the market currently supports?
This is where PMT's synergistic relationship with PFSI is an advantage. As we have capital to deploy, I can see us doing larger securitizations to create larger investments. We have been redeploying capital into floaters, but with PFSI being a leading correspondent aggregator and with securitization activity across owner-occupied, investor, and second-home loans, there is ample opportunity. PMT could also do jumbo securitizations. Given the pace of non-QM activity in PMT combined with robust volumes from PFSI's broker division, we could do a non-QM securitization; I'm hopeful we can get one done in the second half of the year. There's significant opportunity to deploy capital into the securitization market, and it is not solely a function of redeployment from sales; it's about maximizing the outcome of any sale and redeploying capital where it produces the best risk-adjusted returns.
Appreciate that, David. And can you briefly talk about what impact, if any, the move higher in rates we've seen will have on securitization execution?
Any move higher in rates does affect production. We've run at slower origination levels over the past couple of months, and as rates go up activity will generally slow. However, there remains activity in non-QM, investor, second-home, and cash-out refinance spaces. Mortgage origination is cyclical, and higher rates do slow down certain types of production.
With respect to execution, an offset is that when supply to the market is reduced, it can help investor demand for securitizations because of less overall supply. To the extent there is still a good amount of loans coming through from PMT's partnership with PFSI, that can provide an advantage and potentially tailwinds for securitization execution.
Great. Appreciate it. Thank you.
There are no further questions at this time. I will now turn the call back to David A. Spector for closing remarks.
Thank you, operator, and thank you all for joining us. If you have any additional questions, please do not hesitate to reach out to our investor relations team. Thank you so much.
This concludes today's call. Thank you for attending. You may now disconnect.