DCF Tool

PMT

Pennymac Mortgage Investment Trust – Other Financial Vehicles
pennymac mortgage investment trust, a specialty finance company, invests primarily in mortgage-related assets in the united states. the company operates through credit sensitive strategies, interest rate sensitive strategies, and correspondent production segments. its credit sensitive strategies segment invests in credit risk transfer (crt) agreements, including firm commitment to purchase crt securities, distressed loans, real estate, and non-agency subordinated bonds. the company's interest rate sensitive strategies segment engages in investing in mortgage servicing rights, excess servicing spreads, and agency and senior non-agency mbs; and related interest rate hedging activities. its correspondent production segment engages in purchasing, pooling, and reselling newly originated prime credit residential loans directly or in the form of mortgage-backed securities (mbs). pnmac capital management, llc acts as the manager of pennymac mortgage investment trust. the company qualifies as a
Analysis Results
Intrinsic Value $23.47
Latest Price $12.09
Relative Value 48% undervalued
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Cash Flow (Billions)
Analysis Parameters
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Analysis Details
Growth Rate Projection

An exponential growth model was fit to the past cash flow data, giving more weight to more recent years. This model determined a growth rate estimate of -6.7%.

Weighted Average Cost of Capital (WACC)

The calculated WACC is 1.8%. This value is used as the default discount rate.

Value of Future Flows

Assuming a growth rate of -6.7%, the cash flows for the next 5 years are projected.

The present value of each year's flow is adjusted to present value using the discount rate.

Year Future flow (billion) Present value (billion)
2023 0.203 0.186
2024 0.189 0.159
2025 0.177 0.136
2026 0.165 0.117
2027 0.154 0.1
Terminal Value

Assuming a growth rate after the projection years of 2.0%, the terminal value of the company would be 2.24 billion. This corresponds to a present value of 1.34 billion.

Intrinsic Value Per Share

The total present value of the projected cash flows is 0.699 billion. Adding in the terminal value gives a total present value of 2.04 billion.

There are presently 86.8 million outstanding shares, so the intrinsic value per share is 23.47.

Financial Statements

The following data was to determine the past cash flows.

Current Assets 13,786,573,000
Current Cash 0
Current Liabilities 11,958,749,000
Current Debt 0
Non-Cash Working Capital (NCWC) 1,827,824,000
Change in NCWC -253,395,000
EBIT 63,087,000
Tax Provision 136,374,000
Depreciation and Amortization 0
Capital Expenditure 0
Unlevered Free Cash Flow -326,682,000
Current Assets 13,486,409,000
Current Cash 0
Current Liabilities 11,405,190,000
Current Debt 0
Non-Cash Working Capital (NCWC) 2,081,219,000
Change in NCWC 193,287,000
EBIT 44,661,000
Tax Provision -12,193,000
Depreciation and Amortization 0
Capital Expenditure 0
Unlevered Free Cash Flow 237,948,000
Current Assets 11,083,084,000
Current Cash 0
Current Liabilities 9,195,152,000
Current Debt 0
Non-Cash Working Capital (NCWC) 1,887,932,000
Change in NCWC -293,012,000
EBIT 79,730,000
Tax Provision 27,357,000
Depreciation and Amortization 0
Capital Expenditure 0
Unlevered Free Cash Flow -240,639,000
Current Assets 11,501,380,000
Current Cash 0
Current Liabilities 9,320,436,000
Current Debt 0
Non-Cash Working Capital (NCWC) 2,180,944,000
Change in NCWC 828,912,000
EBIT 574,372,000
Tax Provision -35,716,000
Depreciation and Amortization 0
Capital Expenditure 0
Unlevered Free Cash Flow 1,403,284,000
Current Assets 7,599,261,000
Current Cash 0
Current Liabilities 6,247,229,000
Current Debt 0
Non-Cash Working Capital (NCWC) 1,352,032,000
Change in NCWC 102,511,000
EBIT 157,988,000
Tax Provision 5,190,000
Depreciation and Amortization 0
Capital Expenditure 0
Unlevered Free Cash Flow 255,309,000
Current Assets 5,309,869,000
Current Cash 0
Current Liabilities 4,060,348,000
Current Debt 0
Non-Cash Working Capital (NCWC) 1,249,521,000
Change in NCWC 326,386,000
EBIT 124,546,000
Tax Provision 6,797,000
Depreciation and Amortization 0
Capital Expenditure 0
Unlevered Free Cash Flow 444,135,000
Current Assets 5,929,523,000
Current Cash 0
Current Liabilities 5,006,388,000
Current Debt 0
Non-Cash Working Capital (NCWC) 923,135,000
Change in NCWC 12,850,000
EBIT 61,763,000
Tax Provision -14,047,000
Depreciation and Amortization 0
Capital Expenditure 0
Unlevered Free Cash Flow 74,613,000
Current Assets 5,241,096,000
Current Cash 0
Current Liabilities 4,330,811,000
Current Debt 0
Non-Cash Working Capital (NCWC) 910,285,000
Change in NCWC -298,466,000
EBIT 73,304,000
Tax Provision -16,796,000
Depreciation and Amortization 0
Capital Expenditure 0
Unlevered Free Cash Flow -225,162,000
Current Assets 4,534,875,000
Current Cash 0
Current Liabilities 3,326,124,000
Current Debt 0
Non-Cash Working Capital (NCWC) 1,208,751,000
Change in NCWC -44,091,000
EBIT 179,464,000
Tax Provision -15,080,000
Depreciation and Amortization 0
Capital Expenditure 0
Unlevered Free Cash Flow 135,373,000
Current Assets 4,096,645,000
Current Cash 0
Current Liabilities 2,843,803,000
Current Debt 0
Non-Cash Working Capital (NCWC) 1,252,842,000
Change in NCWC 158,335,000
EBIT 214,635,000
Tax Provision 14,445,000
Depreciation and Amortization 0
Capital Expenditure -82,000
Unlevered Free Cash Flow 358,443,000
Current Assets 2,452,834,000
Current Cash 0
Current Liabilities 1,358,327,000
Current Debt 0
Non-Cash Working Capital (NCWC) 1,094,507,000
Change in NCWC 687,146,000
EBIT 186,822,000
Tax Provision 48,573,000
Depreciation and Amortization 0
Capital Expenditure -48,000
Unlevered Free Cash Flow 825,347,000

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