Slides
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PennyMac Mortgage Investment Trust 3Q26 EARNINGS REPORT October 2026
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FORWARD LOOKING STATEMENTS 2 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 results, future operations, business plans and investment strategies, as well as industry and market conditions, all of which are subject to change. Words like “believe,” “expect,” “anticipate,” “promise,” “plan,” and other expressions or words of similar meanings, as well as future or conditional verbs such as “will,” “would,” “should,” “could,” or “may” are generally intended to identify forward-looking statements. Actual results and operations for any future period may vary materially from those projected herein and from past results discussed herein. These forward-looking statements include, but are not limited to, statements regarding future changes in interest rates, housing, and prepayment rates; future loan originations and production; future loan delinquencies, defaults and forbearances; future investment and hedge expenses; future investment strategies, future mortgage servicing rights sales; future private label securitization activity; run-rate return potential and targeted returns on equity; future dividends; future earnings and return on equity as well as other business and financial expectations. Factors which could cause actual results to differ materially from historical results or those anticipated include, but are not limited to: interest rate changes; changes in mortgage and credit spreads; changes in macroeconomic, consumer and real estate market conditions; changes in housing prices, housing sales and real estate values; rising homeownership costs negatively impacting housing affordability; compliance with changing federal, state and local laws and regulations that govern its business; the general economy or the real estate finance and real estate markets; events or circumstances which undermine confidence in the financial and housing markets or otherwise have a broad impact on financial and housing markets; the degree and nature of the Company’s competition; the availability of, and level of competition for, attractive risk adjusted investment opportunities in mortgage loans and mortgage related assets that satisfy the Company’s investment objectives; the concentration of credit risks to which the Company is exposed; the Company’s dependence on and potential conflicts with its manager, servicer and their affiliates; the Company’s ability to mitigate cybersecurity risks, cyber incidents and technology disruptions; the development of artificial intelligence; the availability, terms and deployment of short term and long term capital; the adequacy of the Company’s cash reserves and working capital; the Company’s ability to maintain the desired relationship between its financing and the interest rates and maturities of its assets; the timing and amount of cash flows, if any, from the Company’s investments; the Company’s engagement in private loan securitizations; the Company’s ability to complete private label securitizations on anticipated terms and timelines, including securitizations of non-qualified mortgage loans and other new loan products; the performance of the investments the Company retains from its private label securitizations; the Company’s substantial amount of indebtedness; the performance, financial condition and liquidity of borrowers; the Company’s exposure to risks of loss and disruptions in operations from severe weather events, man-made or other natural conditions, including climate change and pandemics; the ability of the Company’s servicer, which also provides the Company with fulfillment services, to approve and monitor correspondent sellers and underwrite loans to investor standards; incomplete or inaccurate information or documentation provided by customers or counterparties, or adverse changes in the financial condition of the Company’s customers and counterparties; the Company’s indemnification and repurchase obligations in connection with mortgage loans it purchases and later sells or securitizes; the quality and enforceability of the collateral documentation evidencing the Company’s ownership and rights in the assets in which it invests; increased rates of delinquency, defaults and forbearances and/or decreased recovery rates on the Company’s investments; the performance of mortgage loans underlying mortgage backed securities or other investments in which the Company retains credit risk; the Company’s ability to foreclose on its investments in a timely manner or at all; increased prepayments of the mortgages and other loans underlying the Company’s mortgage backed securities or relating to the Company’s mortgage servicing rights and other investments; the Company’s ability to complete pending and potential sales of mortgage servicing rights on anticipated terms and timelines, and to redeploy the resulting proceeds into investments that achieve the anticipated returns; risks associated with the discontinuation of LIBOR; the degree to which the Company’s hedging strategies may or may not protect it from interest rate volatility; the accuracy or changes in the estimates the Company makes about uncertainties, contingencies and asset and liability valuations, and the assumptions underlying its run-rate return potential and targeted returns on equity; the Company’s ability to maintain appropriate internal control over financial reporting; the Company’s ability to detect misconduct and fraud; developments in the secondary markets for the Company’s mortgage loan products; legislative and regulatory changes that impact the mortgage loan industry or housing market; regulatory or other changes that impact government agencies or government sponsored entities, or such changes that increase the cost of doing business with such agencies or entities; federal and state mortgage regulations and enforcement; changes in government support of homeownership and affordability programs; changes in the Company’s investment objectives or investment or operational strategies; limitations imposed on the Company’s business and its ability to satisfy complex rules for it to qualify as a REIT for U.S. federal income tax purposes and qualify for an exclusion from the Investment Company Act of 1940 and the ability of certain of the Company’s subsidiaries to qualify as REITs or as taxable REIT subsidiaries for U.S. federal income tax purposes; changes in governmental regulations, accounting treatment, tax rates and similar matters; the Company’s ability to make distributions to its shareholders in the future; changes in the Company’s dividend policy, including any reduction in the amount of its common share dividend; the Company’s failure to deal appropriately with issues that may give rise to reputational risk; and the Company’s organizational structure and certain requirements in its charter documents. You should not place undue reliance on any forward-looking statement and should consider all of the uncertainties and risks described above, as well as those more fully discussed in reports and other documents filed by the Company with the Securities and Exchange Commission from time to time. The Company undertakes no obligation to publicly update or revise any forward-looking statements or any other information contained herein, and the statements made in this presentation are current as of the date of this presentation only. This presentation contains financial information calculated other than in accordance with U.S. generally accepted accounting principles (“GAAP”), such as adjusted net income, adjusted net income attributable to common shareholders, adjusted earnings per share, annualized adjusted return on equity, income excluding market driven value changes and leverage ratios excluding non-recourse debt that provide a meaningful perspective on the Company’s business results since the Company utilizes this information to evaluate and manage the business. Non-GAAP disclosures have limitations as an analytical tool and should not be viewed as a substitute for financial information determined in accordance with GAAP .
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33 Note: All figures are for 3Q26 or are as of 9/30/26 (1) Net loss attributable to common shareholders includes a provision for income tax of $9 million (2) EPS = earnings per share; ROE = return on common equity; MSR = mortgage servicing rights; UPB = unpaid principal balance; PFSI = PennyMac Financial Services, Inc. (NYSE: PFSI) (3) See slide 24 for a reconciliation of net income (loss) to adjusted EPS and annualized adjusted ROE (4) Annualized return on average common shareholders’ equity is calculated based on annualized quarterly net income attributable to common shareholders as a percentage of monthly average common equity during the quarter (5) Excludes $54 million of market-driven value losses in the credit sensitive strategies and $1 million of market-driven value losses in the interest rate sensitive strategies - see slide 11 (6) Organically created credit investments include investments in lender credit risk transfer (CRT) investments and subordinate bonds from PMT private label securitizations 3 3Q26 Results Net loss attributable to common shareholders(1) Diluted EPS(2) Annualized ROE(2)(4) Book value per share Dividend per common share Adjusted EPS(3) Annualized adjusted ROE(3) $(36)mm $14.03 $(0.41) $0.35 (11)% 9% $0.40 CREDIT SENSITIVE STRATEGIES INTEREST RATE SENSITIVE STRATEGIES Pretax income Pretax income excluding market driven value changes(5) Net new investments in credit sub-bonds from PMT securitizations Fair value of organically-created credit(6) investments Pretax income Pretax income excluding market driven value changes(5) New investments in MSR(2) Fair value of MSR investments Pretax income UPB of loans acquired from correspondents through PFSI(2) UPB of loans acquired from PFSI production $(42)mm $12mm $135mm $1.8bn $36mm $37mm $17mm $3.5bn $2mm $1.2bn $2.1bn PMT’s Board of Trustees approved a $130 million increase to its share repurchase authorization, bringing total available capacity to over $200 million AGGREGATION AND SECURITIZATION THIRD QUARTER HIGHLIGHTS AND CAPITAL UPDATES
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44 CAPITAL ALLOCATION PRIORITIES Sales of MSR portfolios Common share dividend reduction Sold or agreed to sell approximately $35 billion in UPB of MSRs with plans to continue evaluating additional opportunities in order to redeploy proceeds into higher-returning investments Common share repurchases Reduction in common share dividend expected to be declared to maximize book value accretion with consideration given to taxable income required to be distributed Common shares trade at a substantial discount to book value per share; over $200 million in remaining repurchase authorization
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5 HIGHER INTEREST RATES AND SIGNIFICANT SPREAD WIDENING IN 3Q26 U.S. Government Bond Yields by Tenor(1) (1) Bloomberg (2) Bloomberg: difference between average secondary mortgage rate 30-Year FNCL Par Coupon Index (MTGEFNCL) and 10-year Treasury Yield Benchmark MBS to Treasury Yield Spread(2) ● Benchmark Treasury yields increased ~50 - 80 basis points across intermediate and long tenors during 3Q26 ● Sharp rise in yields and heightened interest rate volatility pressured residential mortgage asset valuations industry-wide ● Mortgage spreads expanded more than 20 basis points in 3Q26, with a sharp increase in September ● Wider mortgage basis drove asset price declines and sector-wide headwinds related to hedging and pipeline management
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Shifted away from conventional correspondent acquisition activities ● Recently shifted to acquiring conventional conforming loans from PFSI for private label securitization activities only ● Continue to purchase 100% of non-conforming correspondent loan volume through correspondent fulfillment arrangement with PFSI DIFFERENTIATED AND DIVERSIFIED MORTGAGE REIT 6 Diversified investments and declining MSR prepayment risk from portfolio sales and current interest rates ● MSR weighted average coupon of 3.9%, with the majority of loans significantly out of the money ● Offsetting interest rate exposures across MSRs, Agency MBS and credit sensitive investments, with the residual exposure hedged for interest rate risk Synergistic relationship with PennyMac Financial Services, Inc. (PFSI) ● Unique access to PFSI’s production allows PMT to organically create investments with well-managed pipeline risk ● Loans underlying PMT’s investments are subserviced by PFSI, enabling proactive delinquency management and loss mitigation to enhance long-term performance
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7 LESS SENSITIVE TO INTEREST RATE AND SPREAD CHANGES VERSUS PEERS (1) Modeled sensitivities as of 6/30/26. Peer group consists of four publicly traded mortgage REITs with Agency MBS-focused strategies; peer average is a simple average of modeled sensitivities derived from publicly available disclosures (peer range of 2.2% to 5.3% per +50bp parallel rate shock and 3.5% to 4.9% per +10bp of spread widening). PMT sensitivities are measured at the portfolio level and reflect the partially offsetting fair value exposure of PMT's MSR investments; excluding MSRs, PMT's modeled basis sensitivity is 3.7% per +10bp of spread widening. Estimates are presented for illustrative purposes only, use PMT's base case assumptions, and do not contemplate significant changes or shocks to current market conditions; actual results may differ materially Modeled Book Value Sensitivity vs. Peer Mortgage REITs(1) (% of book value lost under an instantaneous shock, as of 6/30/26) Lower sensitivity reflects diversification Portfolio offsets: Fair value changes on MSRs are offset with Agency MBS and credit investments; as a result, PMT’s mortgage spread and duration exposure is partially offset before hedging activities Spread widening impact: In 3Q26, mortgage spreads widened 20 - 30 basis points; PMT recorded $(66) million of net market-driven fair value changes, of which $(56) million, or 85% was attributable to spread widening Income generation: Credit sensitive and interest rate sensitive strategies generated $12 million and $37 million of pretax income excluding market-driven fair value changes, respectively PMT’s diversified portfolio carries less than one-third of the peer average book value sensitivity to both rate and spread movements
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8 ROTATING EQUITY TOWARD ACCRETIVE CREDIT INVESTMENTS Deploying capital into investments from PMT private label securitizations Driving higher expected returns on a go-forward basis Accelerating the reduction in MSR exposure through portfolio sales ● A leading issuer of prime non-Agency securitizations ● Completed 8 securitizations in 3Q26 across non-owner occupied, jumbo and owner occupied collateral ● Retained senior and subordinate investments with targeted returns on equity in the low-to-mid-teens ● Run-rate return potential has increased to $0.38 from $0.33 in the prior quarter ● Driven partially by lower equity allocated to MSR investments and continued investments from increased private label securitization activity $35bn Total UPB of closed and committed MSR sales in 2026 Exits certain lower-yielding run-rate ROE assets $167mm Retained investments from private label securitizations in 3Q26 $0.38 / common share Run-rate return potential expected from PMT’s investment strategies over the next 4 quarters(1) Up 15% from $0.33 in the prior quarter Targeting ROEs in the low-to-mid-teens ● In 3Q26 we sold or entered into commitments to sell MSR portfolios with a combined UPB of $23 billion ● After quarter end, entered into an agreement to sell another MSR portfolio with a UPB of $12 billion ● Continuing to evaluate additional sales opportunities as expected returns from certain MSR holdings remain below our return hurdles (1) See slide 9
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9 RUN-RATE RETURN POTENTIAL FROM PMT’S INVESTMENT STRATEGIES • Represents the average annualized return and quarterly earnings potential expected from our strategies over the next four quarters • Reflects performance expectations in the current mortgage market ‒ Increased capital deployment in accretive investments primarily through organic securitization activity ‒ Improved overall run rate versus the prior quarter driven by higher expected returns in all three strategies, and notably the improved performance of MSRs in a higher rate environment • Actively adjusting equity and asset allocation to improve the return profile Annualized Return on Equity (ROE) WA Equity Allocated (%)(1) Credit sensitive strategies: PMT GSE credit risk transfer 16.1% 7.8% Non-Agency Subordinate MBS 13.5% 11.5% Other credit sensitive strategies 5.3% 0.3% Net credit sensitive strategies 14.4% 19.6% Interest rate sensitive strategies: MSRs (inc. recapture) 12.8% 46.8% Agency MBS (and Agency structured products) 27.8% 13.7% Non-Agency Senior MBS 16.9% 1.7% Interest rate hedges(2) (2.5)% 0.0% Net interest rate sensitive strategies 13.8% 62.3% Aggregation and securitization 26.7% 9.2% Cash, short term investments, and other 3.8% 9.0% Management fees & corporate expenses(3) (3.2)% 0.0% Net Corporate(3) (2.9)% 9.0% Provision for income tax expense (1.3)% Net income 9.7% 100.0% Dividends on preferred stock 7.7% 30.3% Net income attributable to common shareholders 10.6% 69.7% Average Diluted EPS Per Quarter $ 0.38 PMT’s upcoming 4Q26 dividend is expected to be adjusted to maximize book value accretion with consideration given to projections of taxable income Note: This slide presents estimates for illustrative purposes only, using PMT’s base case assumptions (e.g., for credit performance, prepayment speeds, financing economics, and loss treatment for CRT transactions), and does not contemplate market-driven value changes other than realization of cash flows and hedge costs, or significant changes or shocks to current market conditions; actual results may differ materially (1) Equity allocated represents management’s internal allocation; certain financing balances and associated interest expenses are allocated between investments based on management’s assessment of target leverage ratios and required capital or liquidity to support the investment (2) ROE calculated as a percentage of segment equity (3) ROE calculated as a percentage of total equity
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KEY OPERATING METRICS & OTHER FINANCIAL SCHEDULES
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11 (1) Income contribution and the annualized return on equity calculated net of any direct expenses associated with investments (e.g., loan fulfillment fees and loan servicing fees), but before tax expenses; some of the income associated with the investment strategies may be subject to taxation (2) Categorization of market-driven value changes or non-recurring impacts are based on management assessment; income excluding market-driven value changes does not represent REIT taxable income and is a non-GAAP figure (3) Equity allocated represents management’s internal allocation; certain financing balances and associated interest expenses are allocated between investments based on management’s assessment of target leverage ratios and required capital or liquidity to support the investment (4) Primarily consists of legacy distressed loan portfolio; net new investments also reflect sales in performing and non-performing loans as a part of PMT’s strategy to exit the investments; includes $2.0 million in carrying value of real estate acquired in settlement of loans at 9/30/26 (5) ROE calculated as a percentage of total equity THIRD QUARTER RESULTS AND RETURN CONTRIBUTIONS BY STRATEGY ($ in millions, except EPS) Total income contribution(1) Market-driven value changes(2) Income excluding market-driven value changes(1)(2) Weighted average equity allocated(3) Annualized return on equity(1) Credit Sensitive Strategies: PMT GSE credit risk transfer $ 6.5 $ 0.4 $ 6.1 $ 237 11% PMT Non-Agency Subordinate MBS (48.2) (54.1) 6.0 167 (115)% Other credit sensitive strategies(4) (0.1) (0.1) (0.0) 5 (7)% Net credit sensitive strategies $ (41.8) $ (53.8) $ 12.0 $ 409 (41)% Interest Rate Sensitive Strategies: MSRs (incl. recapture) $ 245.9 $ 225.5 $ 20.4 Agency MBS (and Agency structured products) (169.6) (184.9) 15.3 Non-Agency Senior MBS (9.5) (10.3) 0.8 Interest rate hedges (30.8) (30.8) Net interest rate sensitive strategies $ 36.0 $ (0.5) $ 36.5 $ 1,197 12% Aggregation and securitization $ 2.1 $ - $ 2.1 $ 178 5% Cash, short term investments, and other $ 0.6 $ - $ 0.6 $ 55 4% Management fees & corporate expenses(5) (13.4) - (13.4) (3)% Corporate(5) $ (12.8) $ - $ (12.8) $ 55 (3)% Benefit / (provision) for income tax expense $ (8.9) $ (11.9) $ 3.0 Net income (loss) $ (25.4) $ (66.2) $ 40.9 $ 1,839 (6)% Dividends on preferred stock $ (10.5) $ 541 (8)% Net income attributable to common shareholders $ (35.8) $ 1,298 (11)% Diluted EPS $ (0.41)
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Non-conforming loans(1) 12 AGGREGATION AND SECURITIZATION SEGMENT HIGHLIGHTS Note: May not sum due to rounding (1) Consists of jumbo and non-QM loans (2) Conventional conforming and non-Agency eligible interest rate lock commitments for PMT’s own account Correspondent Production Volume (UPB in billions) Conventional conforming loans Total locks(2) Loans Acquired from PFSI Production (UPB in billions) Owner occupied loansNon-owner occupied loans ● In 3Q26, PMT purchased 100% of non-conforming correspondent loan volume through its correspondent fulfillment arrangement with PFSI ● Beginning in June, PMT elected to stop acquiring Agency-eligible conventional correspondent loans while retaining 100% of all non-Agency loan volume ● In 3Q26, PMT also acquired $2.1 billion in UPB of loans from PFSI’s production for inclusion in private label securitizations ● In total, these activities resulted in the creation of $167 million in new investments from securitization activities and $17 million in new MSR investments
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13 ORGANIC INVESTMENT CREATION UPB of Loans Sold or Securitized (in billions) Jumbo Loan Securitizations NOO Loan Securitizations Owner Occupied Loan Securitizations We remain on pace to complete approximately 30 securitizations in 2026, with targeted returns on equity for retained investments in the low-to-mid-teens MSRs After quarter end, we completed 2 additional securitizations and priced our inaugural non-QM securitization, for a total of $1.1 billion in UPB with $119 million of expected retained investments Note: May not sum due to rounding 3Q26 Loan Type Securitizations Completed UPB (billions) Retained credit sensitive investments (millions) Retained interest rate sensitive investments (millions) Non-Owner Occupied 2 $0.8 $50 $0 Jumbo 3 $1.0 $43 $0 Owner Occupied 3 $1.0 $41 $32 MSRs N/A $1.2 N/A $17 Total 8 $4.1 $135 $49
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14 SNAPSHOT - INVESTMENTS FROM PMT PRIVATE LABEL SECURITIZATIONS Retained Bonds from PMT Securitizations (fair value) Non-owner occupied, 58% Jumbo, 22% Note: Data presented is as of 9/30/26 (1) Excludes retained MSRs and interest-only bonds from private label securitizations held in the VIE (2) L TV = loan to value ratio; DQ = delinquency rate Owner occupied, 20% 100% = $1.0 billion(1) Select Portfolio Metrics(2): WA FICO at Origination: WA LTV at Origination: Current 60+ Day DQ: 775 73 0.08% High-quality portfolio of senior, mezzanine, and subordinate bonds characterized by exceptionally low delinquencies and strong underlying credit fundamentals
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15 HEDGING APPROACH CENTRAL TO PMT’S INTEREST RATE SENSITIVE INVESTMENTS MSR Valuation Changes and Offsets ($ in millions) Change in MSR fair value before realization of cash flows Change in fair value of MBS, interest rate hedges, and related tax impacts • PMT seeks to manage interest rate risk exposure on a “global” basis, recognizing interest rate sensitivities across its investment strategies • In 3Q26, fair value gains on MSRs were offset by declines on MBS, interest rate hedges and related tax impacts
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● The majority (88%) of our CRT financing is in the form of term notes, which do not contain margin call provisions ● $79 million of securities repurchase agreements outstanding for CRT investments ● Non mark-to-market bilateral facilities in place for certain of our investments in bonds from PMT private label securitizations 1616 FLEXIBLE FINANCING STRUCTURES MSR Term Notes and Loans Unsecured and Exchangeable Senior Notes CRT Term Notes Debt Schedule by Year of Maturity(1) (in millions) Unsecured and Exchangeable Senior Notes MSR Financing Financing for Credit Investments ● Maturity of MSR term notes and loans aligns more closely with the expected life of the MSR asset than short-term borrowings Note: All figures are as of September 30, 2026 (1) By principal amount. CRT term notes amortize with principal paydowns. Excludes securities repurchase agreements financing our investments in MBS and a portion of our investments in CRT. Financing capacity across multiple banks / flexibility to finance fluctuating MSR and advance balances ● Provides flexibility and complements asset-backed structures ● Only $50 million in maturities prior to 2029
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(1) See Appendix slide 25 for a reconciliation of leverage ratios including and excluding non-recourse debt 17 LEVERAGE EXCLUDING NON-RECOURSE DEBT Total debt-to-equity Debt-to-equity ex. non-recourse debt PMT Leverage Ratios(1) ● 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 resulting from private label securitizations is non-recourse debt, where the source of repayment for the debt is limited to the collateralized loans ● Debt-to-equity excluding non-recourse debt has remained within expectations in recent quarters
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APPENDIX
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19 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 organically through participation in Pennymac correspondent activity or direct purchases of PFSI’s production • More than 17-year history, with our success over time driven by PFSI’s operational excellence and high service levels • Investments in credit risk on PMT’s high-quality loan production with ability to influence performance through active servicing • Consistent issuance of private label securitizations of loans that we originate and service driving growth in retained investments • Approximately $16.9 billion in UPB of loans underlying PMT’s front-end GSE CRT investments and $14.8 billion in UPB of loans underlying PMT’s private label securitizations at September 30, 2026 • MSR investments created through the securitization of conventional correspondent loan production • Additional investments in Agency MBS, structured products and senior bonds from non-Agency securitizations • Investments have offsetting interest rate exposures; residual exposure hedged with interest rate derivatives • Strong track record and discipline in hedging interest rate risk Aggregation and Securitization Interest Rate Sensitive Strategies Credit Sensitive Strategies
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SYNERGISTIC RELATIONSHIP WITH PFSI IS A UNIQUE AND PROVEN COMPETITIVE ADVANTAGE MANAGEMENT AND SERVICES AGREEMENTS Tax-efficient investment vehicle ● Successful track record of more than 17 years ● Mortgage-related investments: ‒ MSRs ‒ Credit risk transfer ‒ Private label securitizations ● Infrastructure to invest in new loan products Best-in-class operating platform ● Deep and experienced management team ● Large and agile multi-channel origination business ● Scaled servicing business with expertise in different regulatory environments ● Best-in-class technology and processes Balance sheet to invest in long-term mortgage assets 20 Scaled and efficient cost structure Strategically well-positioned in a market characterized by consolidation and changes in the regulatory environment ● Leverages PFSI’s expertise in mortgage production, servicing, and investment management, thereby reducing operational risk ● Provides PMT with unique access to a consistent pipeline of loans for investments at attractive returns ● As the non-Agency mortgage markets grow, both entities can capitalize on the evolving landscape for secondary market execution, including increased levels of private label securitizations
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21 HISTORICAL EARNINGS, DIVIDENDS AND BOOK VALUE PER SHARE (1) At period end (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 equity during the period ROE(2) 9% 10% (0)% (1)% 14% 13% 4% 6% (11)% Diluted EPS Common Dividend Book value per share(1)
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22 CURRENT MARKET ENVIRONMENT AND MACROECONOMIC TRENDS Average 30-year fixed rate mortgage(1) Macroeconomic Metrics(4)U.S. Origination Market Forecast(3) (UPB in trillions) 10-year Treasury Bond Yield(2) Purchase Refinance 9/30/25 12/31/25 3/31/26 6/30/26 9/30/26 10-year Treasury bond yield 4.2% 4.2% 4.3% 4.5% 5.3% Secondary mortgage rate 5.2% 5.0% 5.4% 5.4% 6.4% 30-year fixed rate mortgage 6.3% 6.2% 6.4% 6.5% 7.4% Residential mortgage originations (in billions) $495 $570 $525 $580 $490 (1) Optimal Blue 30-Year Conforming Fixed Rate. (2) U.S. Department of the Treasury. (3) Actual originations: Inside Mortgage Finance; Forecast originations; Average of Mortgage Bankers Association (10/11/26) and Fannie Mae (10/12/26) forecasts (4) 10-year Treasury bond yield: Bloomberg. Secondary mortgage rate: 30-Year FNCL Par Coupon Index (MTGEFNCL), Bloomberg. 30-year fixed rate mortgage: Optimal Blue 30-Year Conforming Fixed Rate. Residential mortgage originations are for the quarterly period ended; source: Inside Mortgage Finance
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23 DELINQUENCY TRENDS AND SERVICING ADVANCES OUTSTANDING (1) Owned MSR portfolio and includes loans acquired for sale at fair value; delinquency and foreclosure rates based on UPB; as of 9/30/26, the UPB of mortgage servicing rights owned by PMT and loans held for sale totaled $210 billion Trends in Delinquency and Foreclosure Rates(1) ● Overall mortgage delinquency rates were up slightly from the prior quarter ● Servicing advances outstanding for PMT’s MSR portfolio were approximately $62 million at September 30, 2026, down slightly from $64 million at June 30, 2026 ‒ No principal and interest advances are outstanding
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24 RECONCILIATION OF GAAP ITEMS TO NON-GAAP ITEMS 3Q25 4Q25 1Q26 2Q26 3Q26 Net income (loss) $58.3 $52.4 $24.6 $30.9 $(25.4) Market-driven value changes(1): Net loan servicing fees (54.3) (18.7) 33.7 (13.9) 179.1 Net gain (loss) on investments 46.1 36.0 (33.6) 11.9 (173.2) Interest income 7.1 (4.2) (2.8) (8.8) (40.1) Interest expense 2.4 6.7 3.9 (0.8) (20.1) Total market-driven value changes 1.3 19.7 1.2 (11.6) (54.3) Tax-related impacts 14.6 11.2 (4.3) 10.7 (11.9) Adjusted net income 42.4 21.5 27.6 31.9 40.9 Dividends on preferred stock (10.5) (10.5) (10.5) (10.5) (10.5) Adjusted net income attributable to common shareholders $31.9 $11.0 $17.2 $21.4 $30.4 Diluted shares outstanding 87.0 87.0 87.1 87.2 87.2 Adjusted EPS $0.37 $0.13 $0.20 $0.25 $0.35 Weighted average common equity 1,337 1,341 1,347 1,330 1,298 Annualized adjusted ROE 10% 3% 5% 6% 9% Note: May not sum due to rounding (1) Categorization of market-driven value changes or non-recurring impacts is based on management assessment; income excluding market-driven value changes does not represent REIT taxable income and is a non-GAAP figure
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2525 RECONCILIATION OF LEVERAGE RATIOS (1) The balance sheet information depicted under the column captioned “Consolidated” represents information prepared in compliance with accounting principles generally accepted in the United States (“GAAP”). The subsequent columns reflect non-GAAP adjustments to deconsolidate the assets held in the trusts issuing beneficial interests in those assets and to provide investors with a more creditor-aligned view of how our debt relates to the assets we finance. After adjustment, the assets are shown in the securitized form in which they are financed which excludes non-recourse debt which we refer to as Asset-backed financings of variable interest entities at fair value on our consolidated balance sheet. The adjusted balance sheet information should not be considered in isolation or as a substitute for an analysis of our results as presented in compliance with GAAP . (2) Does not include adjustments for credit risk transfer strip liabilities of $5.2 million. (3) Excludes non-debt liabilities of $318.5 million included in total liabilities on our consolidated balance sheet. (4) Total debt reduced by asset-backed financings and interest-only security payable, divided by shareholders’ equity. (5) Total debt divided by shareholders’ equity. September 30, 2026 Assets(1) Financing Consolidated Adjustments for VIE Financing(2) Excluding VIE Financing Assets sold under agreements to repurchase Notes payable secured by CRT arrangements and MSRs Total (in thousands except for debt-to equity amounts) Assets Cash and short-term investments $ 310,089 $— $ 310,089 $— $— $— Mortgage-backed securities at fair value Agency-backed securities 4,184,529 — 4,184,529 4,135,136 — 4,135,136 Senior non-Agency securities 117,536 — 117,536 113,252 — 113,252 Non-Agency-backed securities 3,926 — 3,926 2,770 — 2,770 Credit risk transfer securities relating to consolidated variable interest entities — 878,044 878,044 78,853 567,849 646,702 Non-agency securities relating to consolidated variable interest entities — 1,046,439 1,046,439 966,227 — 966,227 4,305,991 1,924,483 6,230,474 5,296,238 567,849 5,864,087 Loans held for sale at fair value 2,870,751 — 2,870,751 2,684,910 — 2,684,910 Loans held for investment at fair value 14,401,385 (14,400,024) 1,361 — — — Derivative assets 58,669 (30,695) 27,974 — — — Deposits securing credit risk transfer arrangements 887,188 (887,188) — — — — Mortgage servicing rights and servicing advances 3,576,041 207,385 3,783,426 400,825 1,935,624 2,336,449 26,410,114 (13,186,039) 13,224,075 8,381,973 2,503,473 10,885,446 Other 443,749 — 443,749 — — — Total assets and secured financing $ 26,853,863 $ (13,186,039) $ 13,667,824 $ 8,381,973 $ 2,503,473 $ 10,885,446 Unsecured debt 686,065 Debt excluding non-recourse 11,571,511 Debt in consolidated variable interest entities(2) 13,180,808 Total debt(3) $ 24,752,319 Equity $ 1,783,082 Debt-to-equity ratio: Excluding non-recourse debt(4) 6.5:1 Total(5) 13.9:1
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