Pennymac Mortgage Investment Trust · NYSE:PMT
Pennymac Mortgage Investment Trust — Q4 2025 Earnings Presentation
29 slides from Pennymac Mortgage Investment Trust's earnings presentation, Jan 29, 2026
Slide 1: 4Q25 Earnings Report
4Q25 EARNINGS REPORT PennyMac Mortgage Investment Trust January 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: Strong Performance in 4Q25
STRONG PERFORMANCE IN 4Q25 Net new 4Q25 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 STRATEGIES Pretax income changes(4) securitizations investments attributable to common Net income
Slide 4: 2025: Accelerating Our Strategic Shift to Investments from Private Label Securitizations
2025: ACCELERATING OUR STRATEGIC SHIFT TO INVESTMENTS RESULTING FROM PRIVATE LABEL SECURITIZATIONS Securitization Highlights Securitizations Completed Top 3 2025 Issuer of prime Non-Agency 2024 MBS in 2025(1) Securitization Volume (UPB in billions) 2025 Rotation of Opportunistic Investments 2024 Pur
Slide 5: 4Q25 Strategic Update
N4Q25 STRATEGIC UPDATE
Slide 6: 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 7: Seasoned Investment Portfolio Expected to Perform Well Over Long-Term
SEASONED INVESTMENT PORTFOLIO EXPECTED TO PERFORM WELL OVER LONG-TERM Approximately 60% of PMT’s shareholders’ equity is deployed to seasoned investments in MSRs and PMT’s unique GSE credit risk transfer investments with strong underlying fundamentals Mortgage Servicing Rights PMT GSE Credit Risk Tr
Slide 8: Organic Investment Creation Driven by Private Label Securitization Activity
ORGANIC INVESTMENT CREATION DRIVEN BY PRIVATE LABEL SECURITIZATION ACTIVITY Recent Private Label Securitization Activity 4Q25 (UPB in billions) Retained Securitizations UPB Non-Owner Occupied (NOO) Loans Loan Type Investments Completed (billions) (millions) Jumbo Loans Non-Owner Agency-Eligible Owne
Slide 9: Active Capital Management Driving Our Expected Outlook Higher
ACTIVE CAPITAL MANAGEMENT DRIVING OUR EXPECTED OUTLOOK HIGHER Equity Allocation Equity Allocation (December 31, 2022) (December 31, 2025) 6% 5% 1% 9% 19% 13% 11% 4% 13% 9% 11% 2% 51% 46% PMT GSE CRT Opportunistic investments Investments from PMT Private Label Securitizations MSRs Agency MBS and Stru
Slide 10: Run-Rate Return Potential from PMT's Investment Strategies
RUN-RATE RETURN POTENTIAL FROM PMT’S INVESTMENT STRATEGIES Annualized Return WA Equity on Equity (ROE) Allocated (%)(1) • Represents the average annualized return and Credit sensitive strategies: quarterly earnings potential expected from PMT GSE credit risk transfer 14.6% 12% Non-Agency Subordinate
Slide 11: Key Operating Metrics & Other Financial Schedules
KEY OPERATING METRICS & OTHER FINANCIAL SCHEDULES
Slide 12: Fourth Quarter Results and Return Contributions by Strategy
FOURTH QUARTER RESULTS AND RETURN CONTRIBUTIONS BY STRATEGY Income Excluding Total Income Market-Driven WA Equity Annualized Return Market-Driven Value Contribution(1) Value Changes(2) Allocated(3) on Equity (ROE)(1) ($ in millions, except EPS) Changes(1)(2) Credit sensitive strategies: PMT GSE cred
Slide 13: Correspondent Production Highlights
CORRESPONDENT PRODUCTION HIGHLIGHTS Correspondent Acquisition Volume and Mix (UPB in billions) Key Financial Metrics 3Q25 4Q25 Segment pretax income as a percentage of 0.21% (0.02)% interest rate lock commitments(2) Fulfillment fee as a percentage of 0.18% 0.18% acquisitions funded(3) Conventional co
Slide 14: 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 15: 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 across CRT Term Notes multiple banks / flexibility to finance fluctuating MSR and advance balances $1,428mm drawn Unsecu
Slide 16: Leverage Excluding Non-Recourse Debt Remains In-Line with Historical Levels
LEVERAGE EXCLUDING NON-RECOURSE DEBT REMAINS IN-LINE WITH HISTORICAL LEVELS PMT Leverage Ratios(1) Total debt-to-equity Debt-to-equity ex. non-recourse debt ● Total debt-to-equity increases as we retain investments from private label securitizations, as all securitized loans are required to be conso
Slide 17: Appendix
NAPPENDIX
Slide 18: PMT Is Focused on Unique Investment Strategies in Three Segments
PMT IS FOCUSED ON UNIQUE INVESTMENT STRATEGIES IN THREE SEGMENTS • PFSI is a leading producer of conventional conforming and jumbo mortgage loans Correspondent • More than 16-year history, with our success over time driven by PFSI’s operational Production excellence and high service levels • Provide
Slide 19: Historical Earnings, Dividends and Book Value per Share
HISTORICAL EARNINGS, DIVIDENDS AND BOOK VALUE PER SHARE (1) ROE⁽²⁾ 12% 10% 4% 9% 10% 0% -1% 14% 13% (1) At period end 19 (2) Return on average common equity (ROE) is calculated based on annualized quarterly net income attributable to common shareholders as a percentage of monthly average common equi
Slide 20: Current Market Environment and Macroeconomic Trends
CURRENT MARKET ENVIRONMENT AND MACROECONOMIC TRENDS Average 30-year fixed rate mortgage(1) 6.30% 6.18% 10-year Treasury Bond Yield(2) 4.15% 4.17% U.S. Origination Market Forecast(3) Macroeconomic Metrics(4) (UPB in trillions) 12/31/24 3/31/25 6/30/25 9/30/25 12/31/25 10-year Treasury bond yield 4.6%
Slide 21: PMT's Investment Activity by Strategy During the Quarter
PMT’S INVESTMENT ACTIVITY BY STRATEGY DURING THE QUARTER Long-term mortgage Assets carrying Change in Fair value Assets carrying ($ in millions) asset value at 9/30/25 Investments(5) changes value at 12/31/25 PMT GSE credit $ 1,019 $ (24) $4 $ 998 risk transfer(1) Credit Sensitive Non-Agency $ 371 $
Slide 22: Trends in MSR Investments
TRENDS IN MSR INVESTMENTS MSR Investments(1) ($ in millions) • MSR assets were $3.6 billion as of December 31, 2025 down slightly from September 30, 2025 ‒ Runoff from prepayments partially offset by gains from changes in fair value inputs and new MSR investments ‒ UPB underlying PMT’s MSR investmen
Slide 23: MSR Asset Valuation
MSR ASSET VALUATION December 31, 2025 Mortgage Unaudited ($ in millions) Servicing Rights Pool UPB(1) $215,782 Weighted average coupon 3.9% Weighted average servicing fee 0.28% Weighted average prepayment speed assumption (CPR) 8.4% Fair value $3,645 As a multiple of servicing fee 6.1 23 (1) Owned M
Slide 24: Delinquency Trends and Servicing Advances Outstanding
DELINQUENCY TRENDS AND SERVICING ADVANCES OUTSTANDING Historical Trends in Delinquency and Foreclosure Rates(1) 30-60 Day 60-90 Day 90+ Day In foreclosure ● Overall mortgage delinquency rates increased slightly from the prior quarter and remained steady from the prior year ● Servicing advances outst
Slide 25: PMT's Owned MSR Portfolio Characteristics
PMT’S OWNED MSR PORTFOLIO CHARACTERISTICS As of December 31, 2025 Loan Remaining Loan size FICO credit 60+ UPB % of Note Seasoning Original Current Segment count maturity ($ in score at Delinquency ($ in billions)(2) Total UPB rate (months) LTV LTV(3) (in thousands) (months) thousands) origination (
Slide 26: Trends in PMT's Unique Investments in GSE Credit Risk Transfer
TRENDS IN PMT’S UNIQUE INVESTMENTS IN GSE CREDIT RISK TRANSFER • Fair value of PMT’s organically-created CRT investments Organically-Created GSE CRT Investments(1) was down from September 30th, 2025 due to runoff ($ in millions) • The 60+ day delinquency rate was unchanged from September 30, 2025 •
Slide 27: Reconciliation of Leverage Ratios
RECONCILIATION OF LEVERAGE RATIOS December 31, 2025 Assets(1) Financing Notes payable Assets sold under secured by CRT Adjustments for Excluding VIE agreements to arrangements and Consolidated VIE Financing(2) Financing repurchase MSRs Total (in thousands except for debt-to equity amounts) Assets Ca
Slide 28: Acquisitions and Locks by Product
ACQUISITIONS AND LOCKS BY PRODUCT Unaudited ($ in millions) 4Q24 1Q25 2Q25 3Q25 4Q25 Correspondent Acquisitions Conventional Conforming $ 3,241 $ 2,437 $ 2,740 $ 2,786 $ 2,903 Jumbo 256 344 346 557 748 Non-QM - - - - 32 Total $ 3,497 $ 2,782 $ 3,086 $ 3,343 $ 3,682 Correspondent Locks Conventional C
Slide 29: PennyMac Mortgage Investment Trust
PS PENNYMAC’ MORTGAGE INVESTMENT TRUST 29
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