PennyMac Mortgage Investment Trust · NYSE:PMT
PennyMac Mortgage Investment Trust — Q3 2026 Earnings Presentation
26 slides from PennyMac Mortgage Investment Trust's earnings presentation, Oct 29, 2026
Slide 1: 3Q26 Earnings Report
3Q26 EARNINGS REPORT PennyMac Mortgage Investment Trust October 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: Third Quarter Highlights and Capital Updates
THIRD QUARTER HIGHLIGHTS AND CAPITAL UPDATES PMT’s Board of Trustees approved a $130 million increase to its share repurchase authorization, bringing total available capacity to over $200 million Net new 3Q26 Results Pretax income investments in CREDIT excluding market credit sub-bonds Fair value of
Slide 4: Capital Allocation Priorities
CAPITAL ALLOCATION PRIORITIES Sold or agreed to sell approximately $35 billion in UPB of MSRs with plans to continue Sales of MSR evaluating additional opportunities in order to redeploy proceeds into higher-returning portfolios investments Common share Reduction in common share dividend expected to
Slide 5: Higher Interest Rates and Significant Spread Widening in 3Q26
HIGHER INTEREST RATES AND SIGNIFICANT SPREAD WIDENING IN 3Q26 U.S. Government Bond Yields by Tenor(1) Benchmark MBS to Treasury Yield Spread(2) ● Benchmark Treasury yields increased ~50 - 80 basis points ● Mortgage spreads expanded more than 20 basis points in across intermediate and long tenors dur
Slide 6: Differentiated and Diversified Mortgage REIT
DIFFERENTIATED AND DIVERSIFIED MORTGAGE REIT Diversified investments and Shifted away from Synergistic relationship with declining MSR prepayment conventional correspondent PennyMac Financial Services, risk from portfolio sales and acquisition activities Inc. (PFSI) current interest rates ● Recently
Slide 7: Less Sensitive to Interest Rate and Spread Changes Versus Peers
LESS SENSITIVE TO INTEREST RATE AND SPREAD CHANGES VERSUS PEERS Modeled Book Value Sensitivity vs. Lower sensitivity reflects diversification Peer Mortgage REITs (1) (% of book value lost under an instantaneous shock, as of 6/30/26) Portfolio offsets: Fair value changes on MSRs are offset with Agency
Slide 8: Rotating Equity Toward Accretive Credit Investments
ROTATING EQUITY TOWARD ACCRETIVE CREDIT INVESTMENTS Accelerating the reduction in MSR Deploying capital into investments Driving higher expected returns on a exposure through portfolio sales from PMT private label securitizations go-forward basis ● In 3Q26 we sold or entered into commitments to ● A
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: Third Quarter Results and Return Contributions by Strategy
THIRD QUARTER RESULTS AND RETURN CONTRIBUTIONS BY STRATEGY Income excluding Total income Market-driven value Weighted average Annualized return ($ in millions, except EPS) market-driven value contribution(1) changes(2) equity allocated(3) on equity(1) changes(1)(2) Credit Sensitive Strategies: PMT G
Slide 12: 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 Owner occupied loans ● In 3Q26, PMT purchased 100% o
Slide 13: Organic Investment Creation
ORGANIC INVESTMENT CREATION UPB of Loans Sold or Securitized 3Q26 (in billions) Retained Retained credit NOO Loan Securitizations interest rate Securitizations UPB sensitive Jumbo Loan Securitizations Loan Type sensitive Completed (billions) investments Owner Occupied Loan Securitizations investment
Slide 14: Snapshot - Investments from PMT Private Label Securitizations
SNAPSHOT - INVESTMENTS FROM PMT PRIVATE LABEL SECURITIZATIONS Retained Bonds from PMT Securitizations Select Portfolio Metrics(2): (fair value) 100% = $1.0 billion(1) WA FICO at Origination: 775 Jumbo, 22% Owner occupied, Non-owner WA LTV at Origination: 73 20% occupied, 58% Current 60+ Day DQ: 0.08
Slide 15: Hedging Approach Central to PMT's Interest Rate Sensitive Investments
HEDGING APPROACH CENTRAL TO PMT’S INTEREST RATE SENSITIVE INVESTMENTS MSR Valuation Changes and Offsets • PMT seeks to manage interest rate risk exposure ($ in millions) on a “global” basis, recognizing interest rate Change in MSR fair value before realization of cash flows sensitivities across its i
Slide 16: Flexible Financing Structures
FLEXIBLE FINANCING STRUCTURES Debt Schedule by Year of Maturity(1) (in millions) Unsecured and Exchangeable Senior Notes MSR Term Notes and Loans CRT Term Notes Financing capacity across multiple banks / flexibility to finance fluctuating MSR and advance balances Unsecured and MSR Financing Financing f
Slide 17: 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 18: Appendix
NAPPENDIX
Slide 19: 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 20: 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 21: Historical Earnings, Dividends and Book Value per Share
HISTORICAL EARNINGS, DIVIDENDS AND BOOK VALUE PER SHARE Diluted EPS Common Dividend Book value per share(1) ROE(2) 9% 10% (0)% (1)% 14% 13% 4% 6% (11)% (1) At period end 21 (2) Return on average common equity (ROE) is calculated based on annualized quarterly net income attributable to common shareho
Slide 22: Current Market Environment and Macroeconomic Trends
CURRENT MARKET ENVIRONMENT AND MACROECONOMIC TRENDS Average 30-year fixed rate mortgage(1) 10-year Treasury Bond Yield(2) U.S. Origination Market Forecast(3) Macroeconomic Metrics(4) (UPB in trillions) 9/30/25 12/31/25 3/31/26 6/30/26 9/30/26 10-year Treasury bond 4.2% 4.2% 4.3% 4.5% 5.3% yield Secon
Slide 23: Delinquency Trends and Servicing Advances Outstanding
DELINQUENCY TRENDS AND SERVICING ADVANCES OUTSTANDING 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 slight
Slide 24: Reconciliation of GAAP Items to Non-GAAP Items
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) (1) Market-driven value changes : 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) (
Slide 25: Reconciliation of Leverage Ratios
RECONCILIATION OF LEVERAGE RATIOS September 30, 2026 Assets(1) Financing Notes payable Assets sold under Adjustments for VIE Excluding VIE secured by CRT Consolidated agreements to Total Financing(2) Financing arrangements and repurchase MSRs (in thousands except for debt-to equity amounts) Assets C
Slide 26: PennyMac Mortgage Investment Trust
PS PENNYMAC’ MORTGAGE INVESTMENT TRUST 26
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