Pennymac Mortgage Investment Trust · NYSE:PMT
Pennymac Mortgage Investment Trust — Q1 2026 Earnings Presentation
22 slides from Pennymac Mortgage Investment Trust's earnings presentation, May 5, 2026
Slide 1: 1Q26 Earnings Report
1Q26 EARNINGS REPORT PennyMac Mortgage Investment Trust May 2026
Slide 2: Forward Looking Statements
FORWARD LOOKING STATEMENTS This presentation contains forward-looking statements within the meaning of Section 21E of the Securities Exchange Act of 1934, as amended, regarding management’s beliefs, estimates, projections and assumptions with respect to, among other things, the Company’s financial re
Slide 3: First Quarter Highlights
FIRST QUARTER HIGHLIGHTS Net new 1Q26 Results CREDIT Pretax income investments in Fair value of excluding market credit sub-bonds organically- SENSITIVE driven value from PMT created CRT(2) Net income attributable STRATEGIES Pretax income changes(4) securitizations investments to common Net income a
Slide 4: 1Q26 Strategic Update
N1Q26 STRATEGIC UPDATE
Slide 5: Aggregation and Securitization Segment Highlights
AGGREGATION AND SECURITIZATION SEGMENT HIGHLIGHTS Correspondent Production Volume Loans Acquired from PFSI Production (UPB in billions) (UPB in billions) Conventional conforming loans Non-conforming loans(1) Total locks(2) Non-owner occupied loans Agency-eligible owner occupied loans ● Mortgage aggr
Slide 6: Organic Investment Creation
ORGANIC INVESTMENT CREATION UPB of Loans Sold or Securitized (in billions) 1Q26 NOO Loan Securitizations Retained Retained credit Jumbo Loan Securitizations interest rate Securitizations UPB sensitive Agency-Eligible Owner Occupied Loan Securitizations Loan Type sensitive Completed (billions) invest
Slide 7: Snapshot - Investments from Private Label Securitizations
SNAPSHOT - INVESTMENTS FROM PRIVATE LABEL SECURITIZATIONS Credit Sensitive Strategies - Subordinate bonds Interest Rate Sensitive Strategies - Senior & mezz. bonds (fair value) (fair value) 100% = $744 million Select Portfolio Metrics(1): 100% = $94 million Select Portfolio Metrics(1): WA FICO 774 W
Slide 8: MSR and CRT Represent the Majority of Investment Portfolio
MSR AND CRT REPRESENT THE MAJORITY OF INVESTMENT PORTFOLIO Approximately 60% of PMT’s shareholders’ equity is deployed to long-standing investments in MSRs and PMT’s unique GSE credit risk transfer investments Mortgage Servicing Rights PMT GSE Credit Risk Transfer (48% of shareholders' equity) (12%
Slide 9: Run-Rate Return Potential from PMT's Investment Strategies
RUN-RATE RETURN POTENTIAL FROM PMT’S INVESTMENT STRATEGIES Annualized Return WA Equity • Represents the average annualized return and on Equity (ROE) Allocated (%)(1) quarterly earnings potential expected from our Credit sensitive strategies: strategies over the next four quarters PMT GSE credit ris
Slide 10: Key Operating Metrics & Other Financial Schedules
KEY OPERATING METRICS & OTHER FINANCIAL SCHEDULES
Slide 11: First Quarter Results and Return Contributions by Strategy
FIRST QUARTER RESULTS AND RETURN CONTRIBUTIONS BY STRATEGY Income Excluding Total Income Market-Driven Value Annualized Return on Market-Driven Value WA Equity Allocated(3) Contribution(1) Changes(2) Equity (ROE)(1) ($ in millions, except EPS) Changes(1)(2) Credit sensitive strategies: PMT GSE credi
Slide 12: Hedging Approach Central to PMT's Interest Rate Sensitive Investments
HEDGING APPROACH CENTRAL TO PMT’S INTEREST RATE SENSITIVE INVESTMENTS MSR Valuation Changes and Offsets • PMT seeks to manage interest rate risk exposure ($ in millions) on a “global” basis, recognizing interest rate Change in MSR fair value before realization of cash flows sensitivities across its i
Slide 13: Flexible and Sophisticated Financing Structures
FLEXIBLE AND SOPHISTICATED FINANCING STRUCTURES Debt Schedule by Year of Maturity(1) (in millions) Unsecured and Exchangeable Senior Notes MSR Term Notes and Loans Financing capacity CRT Term Notes across multiple banks / flexibility to finance fluctuating MSR and advance balances $1,672mm drawn Unsecu
Slide 14: Leverage Excluding Non-Recourse Debt
LEVERAGE EXCLUDING NON-RECOURSE DEBT PMT Leverage Ratios(1) Total debt-to-equity Debt-to-equity ex. non-recourse debt ● Total debt-to-equity increases as we retain investments from private label securitizations, as all securitized loans are required to be consolidated on the balance sheet ● Debt res
Slide 15: Appendix
NAPPENDIX
Slide 16: PMT Is Focused on Unique Investment Strategies in Three Segments
PMT IS FOCUSED ON UNIQUE INVESTMENT STRATEGIES IN THREE SEGMENTS • PFSI is a leading producer of conventional conforming, jumbo, and non-QM mortgage loans • Provides PMT unique access to loan production and ability to produce investment assets Aggregation and organically through participation in Pen
Slide 17: Synergistic Relationship with PFSI Is a Unique and Proven Competitive Advantage
SYNERGISTIC RELATIONSHIP WITH PFSI IS A UNIQUE AND PROVEN COMPETITIVE ADVANTAGE Balance sheet to invest in Strategically well-positioned in a long-term mortgage assets market characterized by consolidation and changes in the regulatory environment ● Leverages PFSI’s expertise in mortgage production,
Slide 18: Historical Earnings, Dividends and Book Value per Share
HISTORICAL EARNINGS, DIVIDENDS AND BOOK VALUE PER SHARE (1) ROE⁽²⁾ 10% 4% 9% 10% 0% -1% 14% 13% 4% (1) At period end 18 (2) Return on average common equity (ROE) is calculated based on annualized quarterly net income attributable to common shareholders as a percentage of monthly average common equit
Slide 19: Current Market Environment and Macroeconomic Trends
CURRENT MARKET ENVIRONMENT AND MACROECONOMIC TRENDS Average 30-year fixed rate mortgage(1) 6.15% 6.38% 10-year Treasury Bond Yield(2) 4.17% 4.32% U.S. Origination Market Forecast(3) Macroeconomic Metrics(4) (UPB in trillions) 3/31/25 6/30/25 9/30/25 12/31/25 3/31/26 10-year Treasury bond yield 4.2% 4
Slide 20: Delinquency Trends and Servicing Advances Outstanding
DELINQUENCY TRENDS AND SERVICING ADVANCES OUTSTANDING Historical Trends in Delinquency and Foreclosure Rates(1) 30-60 Day 60-90 Day 90+ Day In foreclosure ● Overall mortgage delinquency rates decreased from the prior quarter and were up slightly from the prior year ● Servicing advances outstanding f
Slide 21: Reconciliation of Leverage Ratios
RECONCILIATION OF LEVERAGE RATIOS March 31, 2026 Assets(1) Financing Notes payable Assets sold under secured by CRT Adjustments for Excluding VIE agreements to arrangements Consolidated VIE Financing(2) Financing repurchase and MSRs Total (in thousands except for debt-to equity amounts) Assets Cash
Slide 22: PennyMac Mortgage Investment Trust
PS PENNYMAC’ MORTGAGE INVESTMENT TRUST 22
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