Pennymac Mortgage Investment Trust · NYSE:PMT
Pennymac Mortgage Investment Trust — Q3 2025 Earnings Presentation
28 slides from Pennymac Mortgage Investment Trust's earnings presentation, Oct 21, 2025
Slide 1: 3Q25 Earnings Report
3Q25 EARNINGS REPORT PennyMac Mortgage Investment Trust October 2025
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 Across All Strategies in 3Q25
STRONG PERFORMANCE ACROSS ALL STRATEGIES IN 3Q25 Net new 3Q25 Results CREDIT Pretax income investments in Fair value of excluding market credit sub-bonds organically- Opportunistic SENSITIVE driven value from PMT created CRT(2) sales of GSE(2) STRATEGIES Pretax income changes (4) securitizations inv
Slide 4: 3Q25 Strategic Update
N3Q25 STRATEGIC UPDATE
Slide 5: 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 6: Organic Investment Creation Driven by Private Label Securitization Activity
ORGANIC INVESTMENT CREATION DRIVEN BY PRIVATE LABEL SECURITIZATION ACTIVITY Aggregate Non-Owner Occupied (NOO) and Jumbo Loan Growth(1) PMT’s Private Label (UPB in billions) Securitization Leadership NOO Loans Jumbo Loans Enabled by our industry-leading capital markets operations Top 3 Issuer(2) Amo
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: Active Capital Management Driving Our Outlook Higher
ACTIVE CAPITAL MANAGEMENT DRIVING OUR OUTLOOK HIGHER Equity Allocation Equity Allocation (December 31, 2022) (September 30, 2025) 6% 8% 1% 9% 19% 14% 4% 10% 10% 9% 2% 11% 51% 46% PMT GSE CRT Opportunistic investments Investments from PMT Private Label Securitizations MSRs Agency MBS Correspondent Pr
Slide 9: 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 14.1% 13% our strategies over th
Slide 10: Key Operating Metrics & Other Financial Schedules
KEY OPERATING METRICS & OTHER FINANCIAL SCHEDULES
Slide 11: Third Quarter Results and Return Contributions by Strategy
THIRD QUARTER RESULTS AND RETURN CONTRIBUTIONS BY STRATEGY Income Excluding Total Income Market-Driven WA Equity Annualized Return ($ in millions, except EPS) Market-Driven Value Contribution(1) Value Changes(2) Allocated(3) on Equity (ROE)(1) Changes(1)(2) Credit sensitive strategies: PMT GSE credi
Slide 12: Correspondent Production Highlights
CORRESPONDENT PRODUCTION HIGHLIGHTS Correspondent Acquisition Volume and Mix ● Under a renewed mortgage banking services (UPB in billions) agreement with PFSI, correspondent loans are initially acquired by PFSI ● PMT retains the right to purchase up to 100% of non-government loan production ● In 3Q2
Slide 13: 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 14: 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 $1,423mm drawn Unsecu
Slide 15: Non-Recourse and Corporate Leverage Remain In-Line with Historical Levels
NON-RECOURSE AND CORPORATE LEVERAGE REMAIN IN-LINE WITH HISTORICAL LEVELS PMT Leverage Ratios(1) Total debt-to-equity Debt-to-equity ex. non-recourse debt ● Total debt-to-equity increases as we retain investments from securitizations, as all securitized loans remain on the balance sheet ● Debt resul
Slide 16: Appendix
NAPPENDIX
Slide 17: PMT Is Focused on Unique Investment Strategies in Three Segments
PMT IS FOCUSED ON UNIQUE INVESTMENT STRATEGIES IN THREE SEGMENTS • PFSI is a leading producer of conventional conforming and jumbo mortgage loans Correspondent • More than 16-year history, with our success over time driven by PFSI’s operational Production excellence and high service levels • Provide
Slide 18: Historical Earnings, Dividends and Book Value per Share
HISTORICAL EARNINGS, DIVIDENDS AND BOOK VALUE PER SHARE (1) ROE⁽²⁾ 15% 12% 10% 4% 9% 10% 0% -1% 14% (1) At period end 18 (2) Return on average common equity is calculated based on annualized quarterly net income attributable to common shareholders as a percentage of monthly average common equity dur
Slide 19: Current Market Environment and Macroeconomic Trends
CURRENT MARKET ENVIRONMENT AND MACROECONOMIC TRENDS Average 30-year fixed rate mortgage(1) 6.77% 6.30% 10-year Treasury Bond Yield(2) 4.23% 4.15% U.S. Origination Market Forecast(3) Macroeconomic Metrics(4) (UPB in trillions) 9/30/24 12/31/24 3/31/25 6/30/25 9/30/25 10-year Treasury bond yield 3.8% 4
Slide 20: PMT's Investment Activity by Strategy During the Quarter
PMT’S INVESTMENT ACTIVITY BY STRATEGY DURING THE QUARTER Long-term mortgage Assets carrying Change in Assets carrying ($ in millions) Fair value changes asset value at 6/30/25 Investments(5) value at 9/30/25 PMT GSE credit $ 1,049 $ (32) $2 $ 1,019 risk transfer(1) Other GSE Credit Risk Credit $ 195
Slide 21: Trends in MSR Investments
TRENDS IN MSR INVESTMENTS MSR Investments(1) ($ in millions) • MSR assets were $3.7 billion as of September 30, 2025 down slightly from June 30, 2025 ‒ Fair value declines and runoff from prepayments partially offset by new MSR investments ‒ UPB underlying PMT’s MSR investments decreased slightly 21
Slide 22: MSR Asset Valuation
MSR ASSET VALUATION September 30, 2025 Mortgage Unaudited ($ in millions) Servicing Rights Pool UPB(1) $218,799 Weighted average coupon 3.9% Weighted average servicing fee 0.28% Weighted average prepayment speed assumption (CPR) 8.5% Fair value $3,669 As a multiple of servicing fee 6.1 22 (1) Owned
Slide 23: Delinquency Trends and Servicing Advances Outstanding
DELINQUENCY TRENDS AND SERVICING ADVANCES OUTSTANDING Historical Trends in Delinquency and Foreclosure Rates(1) 30-60 Day 60-90 Day 90+ Day In foreclosure ● Overall mortgage delinquency rates decreased slightly from the prior quarter and remained steady from the prior year ● Servicing advances outst
Slide 24: PMT's Owned MSR Portfolio Characteristics
PMT’S OWNED MSR PORTFOLIO CHARACTERISTICS As of September 30, 2025 Loan Remaining Loan size FICO credit 60+ UPB % of Note Seasoning Original Current Segment count maturity ($ in score at Delinquency ($ in billions)(2) Total UPB rate (months) LTV LTV(3) (in thousands) (months) thousands) origination
Slide 25: 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 June 30th, 2025 due to runoff ($ in millions) • The 60+ day delinquency rate increased from June 30, 2025 • Consistent wit
Slide 26: Reconciliation of Leverage Ratios
RECONCILIATION OF LEVERAGE RATIOS September 30, 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 C
Slide 27: Acquisitions and Locks by Product
ACQUISITIONS AND LOCKS BY PRODUCT Unaudited ($ in millions) 3Q24 4Q24 1Q25 2Q25 3Q25 Correspondent Acquisitions Conventional Conforming $ 5,851 $ 3,241 $ 2,437 $ 2,740 $ 2,786 Jumbo 97 256 344 346 557 Total $ 5,948 $ 3,497 $ 2,782 $ 3,086 $ 3,343 Correspondent Locks Conventional Conforming $ 7,373 $
Slide 28: PennyMac Mortgage Investment Trust
PS PENNYMAC’ MORTGAGE INVESTMENT TRUST 28
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