EX-99.2
Exhibit 99.2 PennyMac Mortgage Investment Trust First Quarter 2021
Earnings Report May 6, 2021Exhibit 99.2 PennyMac Mortgage Investment Trust First Quarter 2021 Earnings Report May 6, 2021
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 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 the future impact of COVID-19, future loan delinquencies, forbearances and servicing advances and 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: our exposure to risks of loss and disruptions in operations resulting from adverse weather conditions, man-made or natural disasters, climate change and pandemics such as COVID-19; the impact to
our CRT agreements of increased borrower requests for forbearance under the CARES Act; changes in the Company’s investment objectives or investment or operational strategies, including any new lines of business or new products and services
that may subject it to additional risks; volatility in the Company’s industry, the debt or equity markets, the general economy or the real estate finance and real estate markets specifically, whether the result of market events or otherwise;
events or circumstances which undermine confidence in the financial and housing markets or otherwise have a broad impact on financial and housing markets, such as the sudden instability or collapse of large depository institutions or other
significant corporations, terrorist attacks, natural or manmade disasters, or threatened or actual armed conflicts; changes in general business, economic, market, employment and domestic and international political conditions, or in consumer
confidence and spending habits from those expected; declines in real estate or significant changes in U.S. housing prices or activity in the U.S. housing market; 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 inherent difficulty in winning bids to acquire mortgage loans, and the Company’s success in doing so; the concentration of
credit risks to which the Company is exposed; the degree and nature of the Company’s competition; the Company’s dependence on its manager and servicer, potential conflicts of interest with such entities and their affiliates, and the
performance of such entities; changes in personnel and lack of availability of qualified personnel at its manager, servicer or their affiliates; 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; unanticipated increases or volatility in financing and other costs, including changes in interest rates; our substantial amount of indebtedness; the performance, financial condition and liquidity of borrowers; 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, default and/or decreased recovery
rates on the Company’s investments; the performance of mortgage loans underlying mortgage-backed securities 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 degree to which the Company’s hedging
strategies may or may not protect it from interest rate volatility; the effect of the accuracy of or changes in the estimates the Company makes about uncertainties, contingencies and asset and liability valuations when measuring and reporting upon
the Company’s financial condition and results of operations; the Company’s ability to maintain appropriate internal control over financial reporting; technologies for loans and the Company’s ability to mitigate security risks and
cyber intrusions; the Company’s ability to obtain and/or maintain licenses and other approvals in those jurisdictions where required to conduct its business; the Company’s ability to detect misconduct and fraud; the Company’s
ability to comply with various federal, state and local laws and regulations that govern its business; 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; changes in regulations or the occurrence of other events that impact the business, operations or prospects of government agencies such as the Government National Mortgage Association, the Federal Housing
Administration or the Veterans Administration, the U.S. Department of Agriculture, or government-sponsored entities such as the Federal National Mortgage Association or the Federal Home Loan Mortgage Corporation, or such changes that increase the
cost of doing business with such entities; the Dodd-Frank Wall Street Reform and Consumer Protection Act and its implementing regulations and regulatory agencies, and any other legislative and regulatory changes that impact the business, operations
or governance of mortgage lenders and/or publicly-traded companies; the Consumer Financial Protection Bureau and its issued and future rules and the enforcement thereof; changes in government support of homeownership; changes in government or
government- sponsored home affordability programs; 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, as applicable, and the Company’s ability and the ability of
its subsidiaries to operate effectively within the limitations imposed by these rules; changes in governmental regulations, accounting treatment, tax rates and similar matters (including changes to laws governing the taxation of REITs, or the
exclusions from registration as an investment company); the Company’s ability to make distributions to its shareholders in the future; 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 1Q21 Earnings Report 2Forward-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 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 the future impact of COVID-19, future loan delinquencies, forbearances and servicing advances and 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: our exposure to risks of loss and disruptions in operations resulting from adverse weather conditions, man-made or natural disasters, climate change and pandemics such as COVID-19; the impact to our CRT
agreements of increased borrower requests for forbearance under the CARES Act; changes in the Company’s investment objectives or investment or operational strategies, including any new lines of business or new products and services that may
subject it to additional risks; volatility in the Company’s industry, the debt or equity markets, the general economy or the real estate finance and real estate markets specifically, whether the result of market events or otherwise; events or
circumstances which undermine confidence in the financial and housing markets or otherwise have a broad impact on financial and housing markets, such as the sudden instability or collapse of large depository institutions or other significant
corporations, terrorist attacks, natural or manmade disasters, or threatened or actual armed conflicts; changes in general business, economic, market, employment and domestic and international political conditions, or in consumer confidence and
spending habits from those expected; declines in real estate or significant changes in U.S. housing prices or activity in the U.S. housing market; 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 inherent difficulty in winning bids to acquire mortgage loans, and the Company’s success in doing so; the concentration of credit risks
to which the Company is exposed; the degree and nature of the Company’s competition; the Company’s dependence on its manager and servicer, potential conflicts of interest with such entities and their affiliates, and the performance of
such entities; changes in personnel and lack of availability of qualified personnel at its manager, servicer or their affiliates; 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; unanticipated increases or volatility in financing and other costs, including changes in interest rates; our substantial amount of indebtedness; the performance, financial condition and liquidity of borrowers; 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, default and/or decreased recovery rates on the
Company’s investments; the performance of mortgage loans underlying mortgage-backed securities 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 degree to which the Company’s hedging strategies may
or may not protect it from interest rate volatility; the effect of the accuracy of or changes in the estimates the Company makes about uncertainties, contingencies and asset and liability valuations when measuring and reporting upon the
Company’s financial condition and results of operations; the Company’s ability to maintain appropriate internal control over financial reporting; technologies for loans and the Company’s ability to mitigate security risks and cyber
intrusions; the Company’s ability to obtain and/or maintain licenses and other approvals in those jurisdictions where required to conduct its business; the Company’s ability to detect misconduct and fraud; the Company’s ability to
comply with various federal, state and local laws and regulations that govern its business; 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; changes in regulations or the occurrence of other events that impact the business, operations or prospects of government agencies such as the Government National Mortgage Association, the Federal Housing Administration or
the Veterans Administration, the U.S. Department of Agriculture, or government-sponsored entities such as the Federal National Mortgage Association or the Federal Home Loan Mortgage Corporation, or such changes that increase the cost of doing
business with such entities; the Dodd-Frank Wall Street Reform and Consumer Protection Act and its implementing regulations and regulatory agencies, and any other legislative and regulatory changes that impact the business, operations or governance
of mortgage lenders and/or publicly-traded companies; the Consumer Financial Protection Bureau and its issued and future rules and the enforcement thereof; changes in government support of homeownership; changes in government or government-
sponsored home affordability programs; 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, as applicable, and the Company’s ability and the ability of its
subsidiaries to operate effectively within the limitations imposed by these rules; changes in governmental regulations, accounting treatment, tax rates and similar matters (including changes to laws governing the taxation of REITs, or the exclusions
from registration as an investment company); the Company’s ability to make distributions to its shareholders in the future; 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 1Q21 Earnings Report 2
First Quarter Highlights • Net income attributable to common
shareholders of $65.4 million; diluted earnings per common share of $0.67 • Segment pretax results: Credit Sensitive Strategies: $134.3 million; Interest Rate Sensitive Strategies: $(64.6) million; Correspondent Production: $35.6 million;
Corporate: $(14.2) million – Strong correspondent segment results and continued improvement in the fair value of government- sponsored enterprise (GSE) credit risk transfer (CRT) investments due to credit spread tightening – Mortgage
servicing rights (MSR) fair value gains more than offset by fair value declines on Agency mortgage-backed securities (MBS) and interest rate hedges due to significant prepayment activity and elevated hedge costs driven by market volatility •
Dividend of $0.47 per common share, declared on March 24, 2021 and paid on April 29, 2021 • Book value per common share increased to $20.90 from $20.30 at December 31, 2020 • Investment activity driven by strong correspondent production
volumes – Conventional correspondent loan production volumes of $33.8 billion in unpaid principal balance (UPB), down 11% from the prior quarter and up 109% from 1Q20 – Added $408 million in new MSRs – Sold remaining ESS investment
to PennyMac Financial Services, Inc. (NYSE: PFSI) at fair value • Issued $1.4 billion in term debt, further strengthening PMT’s capital structure – $659 million of 3-year term notes issued to replace short-term securities
repurchase agreements associated with PMT’s sixth CRT transaction – $350 million of 5-year Fannie Mae MSR term notes issued to replace short-term financing – Raised $345 million of new 5-year senior exchangeable notes 3 1Q21
Earnings ReportFirst Quarter Highlights • Net income attributable to common shareholders of $65.4 million; diluted earnings per common share of $0.67 • Segment pretax results: Credit Sensitive Strategies: $134.3 million; Interest Rate
Sensitive Strategies: $(64.6) million; Correspondent Production: $35.6 million; Corporate: $(14.2) million – Strong correspondent segment results and continued improvement in the fair value of government- sponsored enterprise (GSE) credit risk
transfer (CRT) investments due to credit spread tightening – Mortgage servicing rights (MSR) fair value gains more than offset by fair value declines on Agency mortgage-backed securities (MBS) and interest rate hedges due to significant
prepayment activity and elevated hedge costs driven by market volatility • Dividend of $0.47 per common share, declared on March 24, 2021 and paid on April 29, 2021 • Book value per common share increased to $20.90 from $20.30 at
December 31, 2020 • Investment activity driven by strong correspondent production volumes – Conventional correspondent loan production volumes of $33.8 billion in unpaid principal balance (UPB), down 11% from the prior quarter and up
109% from 1Q20 – Added $408 million in new MSRs – Sold remaining ESS investment to PennyMac Financial Services, Inc. (NYSE: PFSI) at fair value • Issued $1.4 billion in term debt, further strengthening PMT’s capital structure
– $659 million of 3-year term notes issued to replace short-term securities repurchase agreements associated with PMT’s sixth CRT transaction – $350 million of 5-year Fannie Mae MSR term notes issued to replace short-term financing
– Raised $345 million of new 5-year senior exchangeable notes 3 1Q21 Earnings Report
PMT Is Focused on Unique Investment Strategies in Three Segments •
Leading producer of conventional conforming mortgage loans Correspondent • Consistent gains in market share over PMT’s more than 10-year Production history driven by operational excellence and high service levels • Significant
opportunity in the current environment • MSR investments created through the securitization of conventional Interest Rate correspondent loan production Sensitive • Hedged with Agency MBS and other interest rate hedges Strategies •
Strong track record and discipline in hedging interest rate risk • Investments in credit risk on PMT’s high-quality loan production • In 2015, PMT began organically investing in innovative front-end Credit Sensitive GSE CRT
investments and ceased new investments in 4Q20 Strategies • Approximately $48 billion in UPB of loans underlying PMT’s CRT investments at March 31, 2021 4 1Q21 Earnings ReportPMT Is Focused on Unique Investment Strategies in Three
Segments • Leading producer of conventional conforming mortgage loans Correspondent • Consistent gains in market share over PMT’s more than 10-year Production history driven by operational excellence and high service levels •
Significant opportunity in the current environment • MSR investments created through the securitization of conventional Interest Rate correspondent loan production Sensitive • Hedged with Agency MBS and other interest rate hedges
Strategies • Strong track record and discipline in hedging interest rate risk • Investments in credit risk on PMT’s high-quality loan production • In 2015, PMT began organically investing in innovative front-end Credit
Sensitive GSE CRT investments and ceased new investments in 4Q20 Strategies • Approximately $48 billion in UPB of loans underlying PMT’s CRT investments at March 31, 2021 4 1Q21 Earnings Report
Origination Market Remains Historically Strong (1) U.S. Mortgage
Origination Market Rates Remain Low and Margins Remain Wide (UPB in trillions) (UPB in trillions) 5.0% $4.0 $3.6 4.0% 3.0% $2.6 $2.5 $1.9 $2.3 $0.8 2.0% $1.1 1.0% $1.7 $1.7 $1.5 $1.3 0.0% 2019 2020 2021E 2022E Purchase Refinance (2) (3) Average
30-year fixed rate mortgage Primary / Secondary Spread • Economic forecasts for 2021 total originations range from $3.3 trillion to $4.0 trillion, a large origination market by historical standards despite the recent increases in interest
rates ‒ Purchase originations in each of 2021 and 2022 are expected to total $1.7 trillion, almost 40% higher than 2019 levels • Economic forecasts for 2022 total originations average $2.6 trillion, supported by a strong purchase market
forecasted to total $1.7 trillion (1) Actual originations: Inside Mortgage Finance. Total originations forecast: Average of Mortgage Bankers Association (4/22/21), Fannie Mae (4/12/21), and Freddie Mac (4/14/21) forecasts. (2) Freddie Mac Primary
Mortgage Market Survey. 2.98% as of 4/29/21 (3) Bloomberg: Difference between Freddie Mac US Mortgage Market Survey 30 Year Homeowner Commitment Rate (NMCMFUS) Index and the 30-Year Fannie Mae or Freddie Mac Par Coupon (MTGEFNCL) Index 5 1Q21
Earnings ReportOrigination Market Remains Historically Strong (1) U.S. Mortgage Origination Market Rates Remain Low and Margins Remain Wide (UPB in trillions) (UPB in trillions) 5.0% $4.0 $3.6 4.0% 3.0% $2.6 $2.5 $1.9 $2.3 $0.8 2.0% $1.1 1.0% $1.7
$1.7 $1.5 $1.3 0.0% 2019 2020 2021E 2022E Purchase Refinance (2) (3) Average 30-year fixed rate mortgage Primary / Secondary Spread • Economic forecasts for 2021 total originations range from $3.3 trillion to $4.0 trillion, a large origination
market by historical standards despite the recent increases in interest rates ‒ Purchase originations in each of 2021 and 2022 are expected to total $1.7 trillion, almost 40% higher than 2019 levels • Economic forecasts for 2022 total
originations average $2.6 trillion, supported by a strong purchase market forecasted to total $1.7 trillion (1) Actual originations: Inside Mortgage Finance. Total originations forecast: Average of Mortgage Bankers Association (4/22/21), Fannie Mae
(4/12/21), and Freddie Mac (4/14/21) forecasts. (2) Freddie Mac Primary Mortgage Market Survey. 2.98% as of 4/29/21 (3) Bloomberg: Difference between Freddie Mac US Mortgage Market Survey 30 Year Homeowner Commitment Rate (NMCMFUS) Index and the
30-Year Fannie Mae or Freddie Mac Par Coupon (MTGEFNCL) Index 5 1Q21 Earnings Report
PMT Is Well-Positioned for a Changing Mortgage Market PMT is uniquely
positioned to capitalize on current and evolving investment environments given its scale and importance in the home ownership ecosystem Correspondent Production Favorable Competitive Drives Organic MSR Evolving GSE Landscape Dynamics Creation
• Opportunity in conventional • Large banks continue to • Changing GSE policies favor mortgages remains robust retreat from the mortgage scaled and well-capitalized market market participants • Even after recent increases,
• Role of correspondent mortgage rates remain – Bank origination market share aggregators will be increasingly historically low has declined from 75% in important (2) 2006 to 28% in 2020 • Strong demographic and – $1.5
billion annual limit per secular trends driving growth in • Rising rates and declining client on GSE cash window home purchase activity margins are expected to deliveries expected to drive increase sales from more volume to aggregators –
Correspondent channel has a independent mortgage banks • Reduced GSE footprint will strong orientation towards the to correspondent aggregators create heightened need for purchase market as IMBs seek to reduce their private capital –
PMT, through its cash-intensive retention of – Limits on loans secured by correspondent channel, has MSRs investment properties or typically overindexed the second homes – PennyMac is the largest overall purchase market – PMT
private label securitization correspondent aggregator / capital markets expertise a competitive advantage (1) Based on industry average purchase volume from 2017-2019 (2) Inside Mortgage Finance. Represents top 100 bank origination market share for
2020. 6 1Q21 Earnings ReportPMT Is Well-Positioned for a Changing Mortgage Market PMT is uniquely positioned to capitalize on current and evolving investment environments given its scale and importance in the home ownership ecosystem Correspondent
Production Favorable Competitive Drives Organic MSR Evolving GSE Landscape Dynamics Creation • Opportunity in conventional • Large banks continue to • Changing GSE policies favor mortgages remains robust retreat from the mortgage
scaled and well-capitalized market market participants • Even after recent increases, • Role of correspondent mortgage rates remain – Bank origination market share aggregators will be increasingly historically low has declined from
75% in important (2) 2006 to 28% in 2020 • Strong demographic and – $1.5 billion annual limit per secular trends driving growth in • Rising rates and declining client on GSE cash window home purchase activity margins are expected
to deliveries expected to drive increase sales from more volume to aggregators – Correspondent channel has a independent mortgage banks • Reduced GSE footprint will strong orientation towards the to correspondent aggregators create
heightened need for purchase market as IMBs seek to reduce their private capital – PMT, through its cash-intensive retention of – Limits on loans secured by correspondent channel, has MSRs investment properties or typically overindexed
the second homes – PennyMac is the largest overall purchase market – PMT private label securitization correspondent aggregator / capital markets expertise a competitive advantage (1) Based on industry average purchase volume from
2017-2019 (2) Inside Mortgage Finance. Represents top 100 bank origination market share for 2020. 6 1Q21 Earnings Report
Successful Capital Deployment Into Attractive MSR Investments Net runoff
of CRT assets (in millions) $344 $318 Runoff from prepayments on CRT $135 assets… 3Q20 4Q20 1Q21 Net new investments in MSR & ESS (in millions) $380 …is offset by net new $216 MSR investments… $207 3Q20 4Q20 1Q21 Conventional
correspondent production (billions in UPB) $38.0 $33.8 …resulting from strong $27.4 conventional production volumes in PMT’s leading correspondent production business 3Q20 4Q20 1Q21 7 1Q21 Earnings ReportSuccessful Capital Deployment
Into Attractive MSR Investments Net runoff of CRT assets (in millions) $344 $318 Runoff from prepayments on CRT $135 assets… 3Q20 4Q20 1Q21 Net new investments in MSR & ESS (in millions) $380 …is offset by net new $216 MSR
investments… $207 3Q20 4Q20 1Q21 Conventional correspondent production (billions in UPB) $38.0 $33.8 …resulting from strong $27.4 conventional production volumes in PMT’s leading correspondent production business 3Q20 4Q20 1Q21 7
1Q21 Earnings Report
Recent Developments Related to PMT’s Capital Structure (1) CRT
Financing • Issued $659 million of 3-year term notes associated ($ in millions) with PMT’s sixth CRT transaction $2,006 ‒ The entirety of PMT’s CRT investments is now financed (2) $657 mm due 2024 with term notes that do not
contain margin call (2) $564 mm due 2023 provisions, providing stable financing throughout much (2) of the expected life of the asset $785 mm due 2022 Financing (1) MSR Financing • Issued $350 million in 5-year Fannie Mae MSR term ($ in
millions) notes associated with PMT’s growing MSR portfolio $900 $100 mm in short-term financing ‒ Term financing more closely aligned to the expected life $350 mm due 2026 of the asset ‒ Short-term financing supports growth until
additional $450 mm due 2022 term notes are issued Available Financing Unsecured Debt • Enhanced the capital structure with the private ($ in millions) placement of $345 million of senior exchangeable $555 (3) notes, at a rate of 5.5% per year
$345 mm due 2026‒ Strong support from institutional investors, with an <365 day financing <365 day financing Term notes due 2026 upsize from $200 million initially offered Term notes due 2023 $210 mm due 2024 Term notes due 2023 ‒
Initial conversion price of $21.69 represents attractive premium to book value per share of $20.30 at Senior Exchangeable Notes December 31, 2020 (1) As of March 31, 2021 (2) All CRT term notes contain additional two-year extension options at
PMT’s discretion, with the exception of $497 million due 2022 (3) Includes $45 million from the full exercise of the option by the initial purchasers 8 1Q21 Earnings ReportRecent Developments Related to PMT’s Capital Structure (1) CRT
Financing • Issued $659 million of 3-year term notes associated ($ in millions) with PMT’s sixth CRT transaction $2,006 ‒ The entirety of PMT’s CRT investments is now financed (2) $657 mm due 2024 with term notes that do not
contain margin call (2) $564 mm due 2023 provisions, providing stable financing throughout much (2) of the expected life of the asset $785 mm due 2022 Financing (1) MSR Financing • Issued $350 million in 5-year Fannie Mae MSR term ($ in
millions) notes associated with PMT’s growing MSR portfolio $900 $100 mm in short-term financing ‒ Term financing more closely aligned to the expected life $350 mm due 2026 of the asset ‒ Short-term financing supports growth until
additional $450 mm due 2022 term notes are issued Available Financing Unsecured Debt • Enhanced the capital structure with the private ($ in millions) placement of $345 million of senior exchangeable $555 (3) notes, at a rate of 5.5% per year
$345 mm due 2026‒ Strong support from institutional investors, with an <365 day financing <365 day financing Term notes due 2026 upsize from $200 million initially offered Term notes due 2023 $210 mm due 2024 Term notes due 2023 ‒
Initial conversion price of $21.69 represents attractive premium to book value per share of $20.30 at Senior Exchangeable Notes December 31, 2020 (1) As of March 31, 2021 (2) All CRT term notes contain additional two-year extension options at
PMT’s discretion, with the exception of $497 million due 2022 (3) Includes $45 million from the full exercise of the option by the initial purchasers 8 1Q21 Earnings Report
Run-Rate Return Potential from PMT’s Investment Strategies WA
Equity • Represents the average annualized Annualized Return (1) on Equity (ROE) ($ in millions, except EPS) Allocated (%) return and quarterly earnings potential PMT expects from its strategies over Credit sensitive strategies: the next four
quarters GSE credit risk transfer 18.8% 21% Other credit sensitive strategies -8.4% 1% Net credit sensitive strategies 17.4% 22% • Slightly lower CRT return potential reflects credit spreads that have Interest rate sensitive strategies:
tightened MSRs (incl. recapture) 16.8% 42% Agency MBS 26.4% 6% Non-Agency senior MBS (incl. jumbo) 20.0% 0% • Return potential from the interest rate (2) Interest rate hedges -4.7% 0% sensitive strategies improved modestly, Net interest rate
sensitive strategies 13.3% 48% driven by expectations for higher carry Correspondent production 26.0% 10% on Agency MBS. Cash, short term investments, and other 1.4% 20% • Lower overall expected return driven by Management fees & corporate
expenses -2.8% (3) Net Corporate -2.6% 20% shift of equity allocation to interest rate sensitive strategies from correspondent Provision for income tax expense -0.9% production as a result of expectations for lower market volumes over the next Net
income 9.4% 100% year Dividends on preferred stock 8.3% 13% Net income attributable to common shareholders 9.5% 87% Average Diluted EPS per Quarter $ 0.50 (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 Note: This slide presents estimates for illustrative purposes only, using
PMT’s base case assumptions (e.g., for liquidity to support the investment. credit performance, prepayment speeds, financing economics, and loss treatment for CRT transactions as (2) ROE calculated as a percentage of segment equity described
on slide 15), and does not contemplate significant changes or shocks to current market conditions. (3) ROE calculated as a percentage of total equity Actual results may differ materially. 9 1Q21 Earnings ReportRun-Rate Return Potential from
PMT’s Investment Strategies WA Equity • Represents the average annualized Annualized Return (1) on Equity (ROE) ($ in millions, except EPS) Allocated (%) return and quarterly earnings potential PMT expects from its strategies over Credit
sensitive strategies: the next four quarters GSE credit risk transfer 18.8% 21% Other credit sensitive strategies -8.4% 1% Net credit sensitive strategies 17.4% 22% • Slightly lower CRT return potential reflects credit spreads that have
Interest rate sensitive strategies: tightened MSRs (incl. recapture) 16.8% 42% Agency MBS 26.4% 6% Non-Agency senior MBS (incl. jumbo) 20.0% 0% • Return potential from the interest rate (2) Interest rate hedges -4.7% 0% sensitive strategies
improved modestly, Net interest rate sensitive strategies 13.3% 48% driven by expectations for higher carry Correspondent production 26.0% 10% on Agency MBS. Cash, short term investments, and other 1.4% 20% • Lower overall expected return
driven by Management fees & corporate expenses -2.8% (3) Net Corporate -2.6% 20% shift of equity allocation to interest rate sensitive strategies from correspondent Provision for income tax expense -0.9% production as a result of expectations
for lower market volumes over the next Net income 9.4% 100% year Dividends on preferred stock 8.3% 13% Net income attributable to common shareholders 9.5% 87% Average Diluted EPS per Quarter $ 0.50 (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 Note: This slide presents estimates for
illustrative purposes only, using PMT’s base case assumptions (e.g., for liquidity to support the investment. credit performance, prepayment speeds, financing economics, and loss treatment for CRT transactions as (2) ROE calculated as a
percentage of segment equity described on slide 15), and does not contemplate significant changes or shocks to current market conditions. (3) ROE calculated as a percentage of total equity Actual results may differ materially. 9 1Q21 Earnings
Report
Mortgage Investment ActivitiesMortgage Investment Activities
Correspondent Production Highlights Correspondent Production Volume and
Mix • Correspondent acquisitions in 1Q21 totaled (UPB in billions) $51.2 billion in UPB, down 10% from the prior $59.2 quarter and up 72% Y/Y $56.9 $51.1 $51.2 –66% conventional loans; 34% government loans $18.9 $34.0 $17.4 $29.8 –
Conventional conforming acquisitions of $33.8 billion in UPB, down 11% Q/Q and up 109% Y/Y $13.6 $38.0 $33.8 – Government acquisitions of $17.4 billion in UPB, $16.2 (1) down 8% Q/Q and up 28% Y/Y 1Q20 4Q20 1Q21 (1) • Conventional lock
volume was $34.0 billion in Conventional loans Government loans Total locks (2) UPB, down 14% Q/Q and up 78% Y/Y Key Financial Metrics 4Q20 1Q21 • Leadership in the conventional correspondent Pretax income as a percentage of interest market as
a result of PennyMac’s operational 0.13% 0.10% (2) rate lock commitments consistency in the channel Fulfillment fee as a percentage of • April correspondent acquisitions totaled $18.5 0.19% 0.18% (3) acquisitions funded billion in UPB;
locks were $15.6 billion in UPB Selected Operational Metrics 4Q20 1Q21 Correspondent seller relationships 714 727 Purchase money loans, as a % of total 43% 41% acquisitions (1) For government loans, PMT earns a sourcing fee and interest income for
its holding period and does not pay a fulfillment fee (2) Conventional conforming interest rate lock commitments (3) Based on funded loans subject to fulfillment fees 11 1Q21 Earnings ReportCorrespondent Production Highlights Correspondent
Production Volume and Mix • Correspondent acquisitions in 1Q21 totaled (UPB in billions) $51.2 billion in UPB, down 10% from the prior $59.2 quarter and up 72% Y/Y $56.9 $51.1 $51.2 –66% conventional loans; 34% government loans $18.9
$34.0 $17.4 $29.8 – Conventional conforming acquisitions of $33.8 billion in UPB, down 11% Q/Q and up 109% Y/Y $13.6 $38.0 $33.8 – Government acquisitions of $17.4 billion in UPB, $16.2 (1) down 8% Q/Q and up 28% Y/Y 1Q20 4Q20 1Q21 (1)
• Conventional lock volume was $34.0 billion in Conventional loans Government loans Total locks (2) UPB, down 14% Q/Q and up 78% Y/Y Key Financial Metrics 4Q20 1Q21 • Leadership in the conventional correspondent Pretax income as a
percentage of interest market as a result of PennyMac’s operational 0.13% 0.10% (2) rate lock commitments consistency in the channel Fulfillment fee as a percentage of • April correspondent acquisitions totaled $18.5 0.19% 0.18% (3)
acquisitions funded billion in UPB; locks were $15.6 billion in UPB Selected Operational Metrics 4Q20 1Q21 Correspondent seller relationships 714 727 Purchase money loans, as a % of total 43% 41% acquisitions (1) For government loans, PMT earns a
sourcing fee and interest income for its holding period and does not pay a fulfillment fee (2) Conventional conforming interest rate lock commitments (3) Based on funded loans subject to fulfillment fees 11 1Q21 Earnings Report
Trends in MSR Investments MSR and ESS Investments ($ in millions)
Carrying value on Related UPB balance sheet $200,000 $2,400 $1,887 $2,000 $160,000 $132 $1,531 $1,600 $120,000 $1,341 $1,314 $143 $151 $157 $2,441 $1,200 $80,000 $1,755 $800 $1,388 $1,190 $1,157 $40,000 $400 $0 $0 3/31/2020 6/30/2020 9/30/2020
12/31/2020 3/31/2021 MSRs ESS UPB (right axis) • MSR assets increased to $2.4 billion from $1.8 billion, driven by new investments resulting from strong conventional production volumes and fair value gains – $408 million in new MSR
investments – UPB associated with MSR investments increased to $183.5 billion from $170.7 billion at December 31, 2020 • In 1Q21, PMT sold its remaining investment in ESS back to PFSI at its estimated fair value – Capital is
expected to be redeployed into attractive MSR investments 12 1Q21 Earnings ReportTrends in MSR Investments MSR and ESS Investments ($ in millions) Carrying value on Related UPB balance sheet $200,000 $2,400 $1,887 $2,000 $160,000 $132 $1,531 $1,600
$120,000 $1,341 $1,314 $143 $151 $157 $2,441 $1,200 $80,000 $1,755 $800 $1,388 $1,190 $1,157 $40,000 $400 $0 $0 3/31/2020 6/30/2020 9/30/2020 12/31/2020 3/31/2021 MSRs ESS UPB (right axis) • MSR assets increased to $2.4 billion from $1.8
billion, driven by new investments resulting from strong conventional production volumes and fair value gains – $408 million in new MSR investments – UPB associated with MSR investments increased to $183.5 billion from $170.7 billion at
December 31, 2020 • In 1Q21, PMT sold its remaining investment in ESS back to PFSI at its estimated fair value – Capital is expected to be redeployed into attractive MSR investments 12 1Q21 Earnings Report
Hedging Approach Central to PMT’s Interest Rate Sensitive
Investments • PMT seeks to manage interest rate risk MSR and ESS Valuation Changes and Offsets exposure on a “global” basis, recognizing ($ in millions) interest rate sensitivities across its investment strategies MSR and ESS fair
value change before realization of cash flows • In 1Q21, MSR fair value increased $338 Change in fair value of Agency MBS and Interest rate hedges million $871.1 ‒ $380 million in fair value gains as a result of lower expectations for
prepayment activity in the future driven by higher mortgage rates ‒ Offset by $42 million in other valuation losses, $338.7 primarily driven by elevated levels of prepayment activity • Fair value declines on Agency MBS and ($24.8)
interest rate hedges totaled $448 million ($129.9) ‒ Hedge costs were $29 million in 1Q21 as a result of market volatility that also impacted ($448.0) hedge effectiveness ($577.8) • Over time, our results have demonstrated 1Q20 4Q20 1Q21
successful hedging of mortgage servicing rights in volatile markets 13 1Q21 Earnings ReportHedging Approach Central to PMT’s Interest Rate Sensitive Investments • PMT seeks to manage interest rate risk MSR and ESS Valuation Changes and
Offsets exposure on a “global” basis, recognizing ($ in millions) interest rate sensitivities across its investment strategies MSR and ESS fair value change before realization of cash flows • In 1Q21, MSR fair value increased $338
Change in fair value of Agency MBS and Interest rate hedges million $871.1 ‒ $380 million in fair value gains as a result of lower expectations for prepayment activity in the future driven by higher mortgage rates ‒ Offset by $42 million
in other valuation losses, $338.7 primarily driven by elevated levels of prepayment activity • Fair value declines on Agency MBS and ($24.8) interest rate hedges totaled $448 million ($129.9) ‒ Hedge costs were $29 million in 1Q21 as a
result of market volatility that also impacted ($448.0) hedge effectiveness ($577.8) • Over time, our results have demonstrated 1Q20 4Q20 1Q21 successful hedging of mortgage servicing rights in volatile markets 13 1Q21 Earnings
Report
Trends in PMT's Investments in GSE Credit Risk Transfer (CRT) (1) CRT
Investments • The UPB of CRT investments declined ($ in millions) significantly Q/Q as a result of elevated Funded investments prepayments Unfunded commitments ‒ Fair value gains largely offset the decline in asset value from prepayments
$3,128 $3,130 $2,821 • 60+ day delinquency rate essentially unchanged $2,618 $2,581 Q/Q as the overall number of delinquent loans declined roughly in proportion with prepayments • Cumulative lifetime losses decreased due to losses
reversed related to L Street Securities 2017-PM1 – see slide 15 (2) Selected metrics for quarter ended : 3/31/2020 6/30/2020 9/30/2020 12/31/2020 3/31/2021 Underlying UPB of loans ($ in billions) $89.6 $80.5 $70.4 $58.7 $48.4 WA FICO 752 752
752 751 749 WA LTV 82.9% 82.8% 82.8% 82.9% 82.9% 60+ Days Delinquent as a % of outstanding UPB 0.33% 7.30% 6.02% 5.48% 5.46% Net Realized losses (Losses reversed) ($ in millions) $1.5 $2.7 $2.9 $108.4 ($13.3) Cumulative lifetime losses ($ in
millions) $10.3 $13.0 $15.9 $124.3 $110.9 Note: See slides 7-9, 15, 17-18, 21 and 25-29 for financial performance and additional details regarding CRT investments (1) The fair value of CRT investments is reflected on PMT’s balance sheet as
deposits securing CRT arrangements, and derivative and credit risk transfer strip assets or liabilities, net of the interest-only security payable. Presented here on a pro forma basis that also includes the face amount of firm commitment to purchase
CRT securities for each period shown. (2) FICO and LTV metrics at origination for the population of loans remaining as of the date presented. Delinquent loans includes delinquent loans on forbearance plans. 14 1Q21 Earnings ReportTrends in PMT's
Investments in GSE Credit Risk Transfer (CRT) (1) CRT Investments • The UPB of CRT investments declined ($ in millions) significantly Q/Q as a result of elevated Funded investments prepayments Unfunded commitments ‒ Fair value gains
largely offset the decline in asset value from prepayments $3,128 $3,130 $2,821 • 60+ day delinquency rate essentially unchanged $2,618 $2,581 Q/Q as the overall number of delinquent loans declined roughly in proportion with prepayments
• Cumulative lifetime losses decreased due to losses reversed related to L Street Securities 2017-PM1 – see slide 15 (2) Selected metrics for quarter ended : 3/31/2020 6/30/2020 9/30/2020 12/31/2020 3/31/2021 Underlying UPB of loans ($
in billions) $89.6 $80.5 $70.4 $58.7 $48.4 WA FICO 752 752 752 751 749 WA LTV 82.9% 82.8% 82.8% 82.9% 82.9% 60+ Days Delinquent as a % of outstanding UPB 0.33% 7.30% 6.02% 5.48% 5.46% Net Realized losses (Losses reversed) ($ in millions) $1.5 $2.7
$2.9 $108.4 ($13.3) Cumulative lifetime losses ($ in millions) $10.3 $13.0 $15.9 $124.3 $110.9 Note: See slides 7-9, 15, 17-18, 21 and 25-29 for financial performance and additional details regarding CRT investments (1) The fair value of CRT
investments is reflected on PMT’s balance sheet as deposits securing CRT arrangements, and derivative and credit risk transfer strip assets or liabilities, net of the interest-only security payable. Presented here on a pro forma basis that
also includes the face amount of firm commitment to purchase CRT securities for each period shown. (2) FICO and LTV metrics at origination for the population of loans remaining as of the date presented. Delinquent loans includes delinquent loans on
forbearance plans. 14 1Q21 Earnings Report
Performance Update and Loss Mitigation Activity Related to PMT’s
CRT Investments Face Fair (Discount) Losses- As of March 31, % of Total PMTT1-3: Amount Value / Premium to-date 2021 Fair Value If all presently delinquent loans proceeded unmitigated to 180 (in millions) (in millions) (in millions) (in millions)
days or more delinquent, additional losses incurred would be (1) approximately $34 million PMTT1, PMTT2 & $177 $156 6% ($20) $7 PMTT3 L Street Securities 2017-PM1: $14 million in net losses reversed in 1Q21; $43 million of losses reversed more
than offset $29 million in additional L Street realized losses $415 $461 18% $46 $103 Securities 2017-PM1‒ The majority of the remaining losses have the potential to reverse if the payment status of the related loan is reported as current
after the conclusion of a CARES Act L Street forbearance; as a result, the fair value exceeds the face Securities $383 $356 14% ($27) $1 amount Trust 2019- PMT1‒ We estimate an additional $32 million of these losses were st eligible for
reversal as of March 31 subject to review by Fannie Mae; we expect this amount to increase as L Street additional borrowers exit forbearance and reperform Securities $1,690 $1,605 62% ($85) $0 Trust 2020- ‒ We estimate that only $6 million of
the losses outstanding PMT1 st at March 31 had no potential for reversal • A variety of loss mitigation strategies are utilized to assist delinquent borrowers and because our scheduled loss transactions trigger a loss if a borrower becomes 180
days or more delinquent, we have deployed additional loss mitigation resources and provided assistance to borrowers at risk of breaching that threshold (2) • A COVID-19 payment deferral has been the most common method of exiting forbearance to
date ‒ Under this program, a borrower defers the amount owed to the end of the loan term and is deemed to be current, and agrees to resume making regular monthly mortgage payments • Faster prepayment speeds benefit PMT’s CRT
investments as payoffs of the associated loans reduce potential for realized losses and return principal at par for investments currently held at a discount (1) As of March 31, 2021 (2) See
https://www.fanniemae.com/here-help-homeowners/introducing-covid-19-payment-deferral 15 1Q21 Earnings Report Actual loss Scheduled lossPerformance Update and Loss Mitigation Activity Related to PMT’s CRT Investments Face Fair (Discount)
Losses- As of March 31, % of Total PMTT1-3: Amount Value / Premium to-date 2021 Fair Value If all presently delinquent loans proceeded unmitigated to 180 (in millions) (in millions) (in millions) (in millions) days or more delinquent, additional
losses incurred would be (1) approximately $34 million PMTT1, PMTT2 & $177 $156 6% ($20) $7 PMTT3 L Street Securities 2017-PM1: $14 million in net losses reversed in 1Q21; $43 million of losses reversed more than offset $29 million in additional
L Street realized losses $415 $461 18% $46 $103 Securities 2017-PM1‒ The majority of the remaining losses have the potential to reverse if the payment status of the related loan is reported as current after the conclusion of a CARES Act L
Street forbearance; as a result, the fair value exceeds the face Securities $383 $356 14% ($27) $1 amount Trust 2019- PMT1‒ We estimate an additional $32 million of these losses were st eligible for reversal as of March 31 subject to review by
Fannie Mae; we expect this amount to increase as L Street additional borrowers exit forbearance and reperform Securities $1,690 $1,605 62% ($85) $0 Trust 2020- ‒ We estimate that only $6 million of the losses outstanding PMT1 st at March 31
had no potential for reversal • A variety of loss mitigation strategies are utilized to assist delinquent borrowers and because our scheduled loss transactions trigger a loss if a borrower becomes 180 days or more delinquent, we have deployed
additional loss mitigation resources and provided assistance to borrowers at risk of breaching that threshold (2) • A COVID-19 payment deferral has been the most common method of exiting forbearance to date ‒ Under this program, a
borrower defers the amount owed to the end of the loan term and is deemed to be current, and agrees to resume making regular monthly mortgage payments • Faster prepayment speeds benefit PMT’s CRT investments as payoffs of the associated
loans reduce potential for realized losses and return principal at par for investments currently held at a discount (1) As of March 31, 2021 (2) See https://www.fanniemae.com/here-help-homeowners/introducing-covid-19-payment-deferral 15 1Q21
Earnings Report Actual loss Scheduled loss
Financial ResultsFinancial Results
First Quarter Results and Return Contributions by Strategy Income
Excluding Total Income Market-Driven WA Equity Annualized Return Market-Driven Value ($ in millions) (1) (2) (3) (1) Contribution Value Changes Allocated on Equity (ROE) (1)(2) Changes Credit sensitive strategies: GSE credit risk transfer $ 135.7 $
98.1 $ 37.7 $ 632 86% Other credit sensitive strategies (1.5) 0.1 (1.6) 19 -31% Net credit sensitive strategies $ 134.3 $ 98.2 $ 36.0 $ 651 83% Interest rate sensitive strategies: MSRs (incl. recapture) $ 371.2 $ 337.7 $ 33.6 ESS (incl. recapture)
2.6 1.0 1.5 Agency MBS (64.0) (73.6) 9.7 Non-Agency senior MBS (incl. jumbo) 0.0 - 0.0 Interest rate hedges (374.4) (374.4) - Net interest rate sensitive strategies $ (64.6) $ (109.3) $ 44.7 $ 912 -28% Correspondent production $ 35.6 $ 35.6 $ 475
30% Cash, short term investments, and other $ 0.6 $ 0.6 $ 300 1% Management fees & corporate expenses (14.8) n/a (14.8) ‐3% (4) Corporate $ (14.2) n/a $ (14.2) $ 300 -2% Benefit / (Provision) for income tax expense $ (19.4) $ - $ (19.4)
Net income $ 71.6 $ (11.1) $ 82.7 $ 2,339 12% Dividends on preferred stock $ 6.2 $ 300 8% Net income attributable to common shareholders $ 65.4 $ 2,039 13% Diluted EPS $ 0.67 Note: Amounts may not sum exactly due to rounding (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 income as market-driven value changes based on management assessment. Income excluding market-driven value changes does not represent REIT taxable income. (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) ROE
calculated as a percentage of total equity 17 1Q21 Earnings ReportFirst Quarter Results and Return Contributions by Strategy Income Excluding Total Income Market-Driven WA Equity Annualized Return Market-Driven Value ($ in millions) (1) (2) (3) (1)
Contribution Value Changes Allocated on Equity (ROE) (1)(2) Changes Credit sensitive strategies: GSE credit risk transfer $ 135.7 $ 98.1 $ 37.7 $ 632 86% Other credit sensitive strategies (1.5) 0.1 (1.6) 19 -31% Net credit sensitive strategies $
134.3 $ 98.2 $ 36.0 $ 651 83% Interest rate sensitive strategies: MSRs (incl. recapture) $ 371.2 $ 337.7 $ 33.6 ESS (incl. recapture) 2.6 1.0 1.5 Agency MBS (64.0) (73.6) 9.7 Non-Agency senior MBS (incl. jumbo) 0.0 - 0.0 Interest rate hedges (374.4)
(374.4) - Net interest rate sensitive strategies $ (64.6) $ (109.3) $ 44.7 $ 912 -28% Correspondent production $ 35.6 $ 35.6 $ 475 30% Cash, short term investments, and other $ 0.6 $ 0.6 $ 300 1% Management fees & corporate expenses (14.8) n/a
(14.8) ‐3% (4) Corporate $ (14.2) n/a $ (14.2) $ 300 -2% Benefit / (Provision) for income tax expense $ (19.4) $ - $ (19.4) Net income $ 71.6 $ (11.1) $ 82.7 $ 2,339 12% Dividends on preferred stock $ 6.2 $ 300 8% Net income attributable to
common shareholders $ 65.4 $ 2,039 13% Diluted EPS $ 0.67 Note: Amounts may not sum exactly due to rounding (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 income as market-driven value changes based on management assessment.
Income excluding market-driven value changes does not represent REIT taxable income. (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) ROE calculated as a percentage of total equity 17 1Q21 Earnings Report
Performance of the GSE Credit Risk Transfer Investments in 1Q21 (Loss)
Income ($ in millions) Comments Contribution Market-driven value changes: Valuation-related changes included • Reflects impact of credit spread tightening and elevated prepayment speeds $ 98.1 in Net gain (loss) on investment Income excluding
market-driven value changes: Realized gains and carry included in 42.7 • Spread income earned on CRT investments Net gain (loss) on investment For L Street Securities 2017-PM1, $42.8 million in losses reversed were partially offset • Net
losses reversed 13.3 by $28.9 million in losses Interest income 0.2 • Interest income on cash deposits securing CRT investments Interest expense (15.9) • Financing expense related to CRT investments Expenses to assist certain borrowers
in mitigating loan delinquencies they incurred as • Other expense (2.5) a result of dislocations arisin g from the COVID-19 pandemic 37.7 Total income contribution $ 135.7 18 1Q21 Earnings ReportPerformance of the GSE Credit Risk Transfer
Investments in 1Q21 (Loss) Income ($ in millions) Comments Contribution Market-driven value changes: Valuation-related changes included • Reflects impact of credit spread tightening and elevated prepayment speeds $ 98.1 in Net gain (loss) on
investment Income excluding market-driven value changes: Realized gains and carry included in 42.7 • Spread income earned on CRT investments Net gain (loss) on investment For L Street Securities 2017-PM1, $42.8 million in losses reversed were
partially offset • Net losses reversed 13.3 by $28.9 million in losses Interest income 0.2 • Interest income on cash deposits securing CRT investments Interest expense (15.9) • Financing expense related to CRT investments Expenses
to assist certain borrowers in mitigating loan delinquencies they incurred as • Other expense (2.5) a result of dislocations arisin g from the COVID-19 pandemic 37.7 Total income contribution $ 135.7 18 1Q21 Earnings Report
AppendixAppendix
Historical Earnings, Dividends and Book Value Per Share $20.90 $20.72
$1.50 $4.51 $20.00 $0.94 $1.00 $0.78 $0.71 $0.68 $0.67 $15.16 $0.55 $0.47 $0.50 $0.47 $0.47 $0.47 $0.47 $0.47 $0.40 $0.40 $15.00 $0.50 $0.25 $0.00 $10.00 1Q19 2Q19 3Q19 4Q19 1Q20 2Q20 3Q20 4Q20 1Q21 -$0.50 $5.00 -$1.00 -$5.99 -$1.50 $0.00 (1)
Diluted EPS Common Dividend Book value per share (2) ROE 14% 10% 14% 10% -119% 103% 19% 15% 13% • Repurchased 17.5 million common shares from 3Q15 through 4Q20 • Issued 39.2 million common shares through underwritten common equity
offerings and our ATM program in 2019 and 2020 (1) At period end (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 during
the period 20 1Q21 Earnings ReportHistorical Earnings, Dividends and Book Value Per Share $20.90 $20.72 $1.50 $4.51 $20.00 $0.94 $1.00 $0.78 $0.71 $0.68 $0.67 $15.16 $0.55 $0.47 $0.50 $0.47 $0.47 $0.47 $0.47 $0.47 $0.40 $0.40 $15.00 $0.50 $0.25
$0.00 $10.00 1Q19 2Q19 3Q19 4Q19 1Q20 2Q20 3Q20 4Q20 1Q21 -$0.50 $5.00 -$1.00 -$5.99 -$1.50 $0.00 (1) Diluted EPS Common Dividend Book value per share (2) ROE 14% 10% 14% 10% -119% 103% 19% 15% 13% • Repurchased 17.5 million common shares from
3Q15 through 4Q20 • Issued 39.2 million common shares through underwritten common equity offerings and our ATM program in 2019 and 2020 (1) At period end (2) Return on average common equity is calculated based on annualized quarterly net
income attributable to common shareholders as a percentage of monthly average common equity during the period 20 1Q21 Earnings Report
PMT’s Investment Activity by Strategy During the Quarter Net new
Long-term Asset carrying Fair value Asset carrying (5) ($ in millions) mortgage asset value at 12/31/20 changes value at 3/31/21 investments Credit Risk $ 2,618 $ 98 $ 2,581 $ (135) (1) Credit Transfer Sensitive Distressed Strategies $ 37 $ (11) $ 0
$ 26 (2) Loans & REO Interest (3) $ 1,887 $ 216 $ 339 $ 2,441 MSR & ESS Rate Sensitive (4) Strategies $ 2,214 $ (224) $ (74) $ 1,916 Agency MBS Total $ 6,755 $ (155) $ 363 $ 6,964 Overall, PMT’s invested equity increased as the equity
for new MSR investments (7) offset decreases related to other assets (1) The fair value of CRT investments is reflected on PMT’s balance sheet as deposits securing CRT arrangements, and derivative and credit risk transfer strip assets or
liabilities, net of the interest- only security payable. (2) REO = Real estate acquired in settlement of loans. Net new investments reflect sales in performing and non-performing loans as a part of PMT’s strategy to exit the investments.
Includes $17.7 million in carrying value of REO at 3/31/21. (3) ESS = Excess servicing spread (4) MBS = Mortgage-backed securities. Net new investments represents rebalancing of the MBS portfolio (considered along with TBA hedges in managing
PMT’s interest rate risk) and runoff. (5) Net new investments represents new investments net of sales, liquidations, and runoff (7) Calculation is based on change in net new investments in funded assets and estimated funding haircuts 21 1Q21
Earnings ReportPMT’s Investment Activity by Strategy During the Quarter Net new Long-term Asset carrying Fair value Asset carrying (5) ($ in millions) mortgage asset value at 12/31/20 changes value at 3/31/21 investments Credit Risk $ 2,618 $
98 $ 2,581 $ (135) (1) Credit Transfer Sensitive Distressed Strategies $ 37 $ (11) $ 0 $ 26 (2) Loans & REO Interest (3) $ 1,887 $ 216 $ 339 $ 2,441 MSR & ESS Rate Sensitive (4) Strategies $ 2,214 $ (224) $ (74) $ 1,916 Agency MBS Total $
6,755 $ (155) $ 363 $ 6,964 Overall, PMT’s invested equity increased as the equity for new MSR investments (7) offset decreases related to other assets (1) The fair value of CRT investments is reflected on PMT’s balance sheet as deposits
securing CRT arrangements, and derivative and credit risk transfer strip assets or liabilities, net of the interest- only security payable. (2) REO = Real estate acquired in settlement of loans. Net new investments reflect sales in performing and
non-performing loans as a part of PMT’s strategy to exit the investments. Includes $17.7 million in carrying value of REO at 3/31/21. (3) ESS = Excess servicing spread (4) MBS = Mortgage-backed securities. Net new investments represents
rebalancing of the MBS portfolio (considered along with TBA hedges in managing PMT’s interest rate risk) and runoff. (5) Net new investments represents new investments net of sales, liquidations, and runoff (7) Calculation is based on change
in net new investments in funded assets and estimated funding haircuts 21 1Q21 Earnings Report
Interest Rate Sensitive Strategies Designed to Mitigate Interest Rate
Volatility Gain in value with Gain in value with Estimated Sensitivity to Changes in Interest Rates At 3/31/21 increasing rates decreasing rates % change in PMT’s shareholders’ equity 8% Instantaneous parallel shock in interest rates (in
bps) 6% MSRs Agency MBS 4% 2% 0% -75 -50 -25 0 25 50 75 -2% Interest Rate Hedges -4% -6% (2) (3) (1) Long Assets MSRs and Hedges Net Exposure • PMT’s interest rate risk exposure is managed on a “global” basis – Multiple
mortgage-related investment strategies with complementary interest rate sensitivities – Utilization of financial hedge instruments – Contributes to stability of book value (1) Includes loans acquired for sale and IRLCs, net of associated
hedges, Agency and Non-Agency MBS assets (2) Includes MSRs, CRT, and Hedges which include put and call options on MBS, Eurodollar futures, Treasury futures, and Exchange-traded swaps (3) Net Exposure represents the net position of the
“Long” Assets and the MSRs/CRT and Hedges 22 1Q21 Earnings ReportInterest Rate Sensitive Strategies Designed to Mitigate Interest Rate Volatility Gain in value with Gain in value with Estimated Sensitivity to Changes in Interest Rates At
3/31/21 increasing rates decreasing rates % change in PMT’s shareholders’ equity 8% Instantaneous parallel shock in interest rates (in bps) 6% MSRs Agency MBS 4% 2% 0% -75 -50 -25 0 25 50 75 -2% Interest Rate Hedges -4% -6% (2) (3) (1)
Long Assets MSRs and Hedges Net Exposure • PMT’s interest rate risk exposure is managed on a “global” basis – Multiple mortgage-related investment strategies with complementary interest rate sensitivities –
Utilization of financial hedge instruments – Contributes to stability of book value (1) Includes loans acquired for sale and IRLCs, net of associated hedges, Agency and Non-Agency MBS assets (2) Includes MSRs, CRT, and Hedges which include put
and call options on MBS, Eurodollar futures, Treasury futures, and Exchange-traded swaps (3) Net Exposure represents the net position of the “Long” Assets and the MSRs/CRT and Hedges 22 1Q21 Earnings Report
Servicing Trends – Delinquencies & Advances for PMT’s
MSR Portfolio (1) • In PMT’s conventional MSR portfolio, 30+ Day Delinquency Rate and Forbearance Trend approximately 57,000 borrowers have been enrolled in a forbearance plan related to COVID- 19 6.3% 6.1% ‒ Through March 31st,
approximately 30,000 1.1% 4.7% 3.9% borrowers have exited or are in the process of 3.5% 3.2% 0.6% 2.5% 2.6% exiting their forbearance plan 1.9% 5.0% 0.2% 3.2% 0.1% 3.4% 2.3% • Servicing advances decreased to approximately 1.8% 1.1% 0.3% $101
million at March 31, 2021, from $115 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 million at December 31, consistent with Delinquent in Forbearance Current in Forbearance 30+ Day Delinquency Rate seasonal trends in the first quarter (2) Forbearance Outcomes
‒ No P&I advances are outstanding as prepayment activity remains sufficient to cover 0.4% the GSEs’ remittance obligations 0.2% 0.1% 0.1% 0.2% • Of the 0.4% reduction in forbearance related to 2.6% re-performing loans: 1.9%
1.8% ‒ 0.3% were Payment Deferral Options ‒ 0.1% were or became current 12/31/20 Re- Active Paid- 30+ DQ Extended New 3/31/21 performing Loss in-full not in forbearances Mitigation forbearance Beginning Period Forbearance Ending Period
Forbearance Note: Figures may not sum due to rounding (1) Delinquency and forbearance data based on loan count (i.e. not UPB). As of 3/31/21, 30+ day delinquency units amounted 17,825, forbearance units amounted to 13,625, total portfolio units were
712,781, and portfolio UPB was $188 billion. (2) Forbearance outcomes based on loan count as a percentage of beginning period loans in forbearance. 23 1Q21 Earnings ReportServicing Trends – Delinquencies & Advances for PMT’s MSR
Portfolio (1) • In PMT’s conventional MSR portfolio, 30+ Day Delinquency Rate and Forbearance Trend approximately 57,000 borrowers have been enrolled in a forbearance plan related to COVID- 19 6.3% 6.1% ‒ Through March 31st,
approximately 30,000 1.1% 4.7% 3.9% borrowers have exited or are in the process of 3.5% 3.2% 0.6% 2.5% 2.6% exiting their forbearance plan 1.9% 5.0% 0.2% 3.2% 0.1% 3.4% 2.3% • Servicing advances decreased to approximately 1.8% 1.1% 0.3% $101
million at March 31, 2021, from $115 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 million at December 31, consistent with Delinquent in Forbearance Current in Forbearance 30+ Day Delinquency Rate seasonal trends in the first quarter (2) Forbearance Outcomes
‒ No P&I advances are outstanding as prepayment activity remains sufficient to cover 0.4% the GSEs’ remittance obligations 0.2% 0.1% 0.1% 0.2% • Of the 0.4% reduction in forbearance related to 2.6% re-performing loans: 1.9%
1.8% ‒ 0.3% were Payment Deferral Options ‒ 0.1% were or became current 12/31/20 Re- Active Paid- 30+ DQ Extended New 3/31/21 performing Loss in-full not in forbearances Mitigation forbearance Beginning Period Forbearance Ending Period
Forbearance Note: Figures may not sum due to rounding (1) Delinquency and forbearance data based on loan count (i.e. not UPB). As of 3/31/21, 30+ day delinquency units amounted 17,825, forbearance units amounted to 13,625, total portfolio units were
712,781, and portfolio UPB was $188 billion. (2) Forbearance outcomes based on loan count as a percentage of beginning period loans in forbearance. 23 1Q21 Earnings Report
MSRs Asset Valuation Mortgage Servicing Unaudited Rights ($ in
millions) At 3/31/21 Pool UPB $183,464 Pool weighted average coupon 3.43% Weighted-average pool prepayment speed 8.8% assumption (CPR) Weighted average servicing fee/spread 0.27% Fair value $2,441 As a multiple of servicing fee 4.89 24 1Q21 Earnings
ReportMSRs Asset Valuation Mortgage Servicing Unaudited Rights ($ in millions) At 3/31/21 Pool UPB $183,464 Pool weighted average coupon 3.43% Weighted-average pool prepayment speed 8.8% assumption (CPR) Weighted average servicing fee/spread 0.27%
Fair value $2,441 As a multiple of servicing fee 4.89 24 1Q21 Earnings Report
Return on Equity Contribution Return on Equity Contribution of the GSE
of the GSE Credit Risk T Credit Risk Tr ransfer ansfer Investments Investments Annualized Return Annualized Return on on A Average verage CRT CRT Equity Equity 294.8% 89.3% 85.9% 54.5% 38.6% 38.5% 34.3% 31.5% 29.4% 28.9% 19.6% 2Q18 3Q18 4Q18 1Q19
2Q19 3Q19 4Q19 1Q20 2Q20 3Q20 4Q20 1Q21 -477.4% Average CRT (1) equity $452 $490 $446 $452 $476 $574 $586 $800 $621 $710 $635 $632 ($ in millions) (1) Equity allocated represents management’s internal allocation across segments and investment
strategies 1Q21 Earnings Report 25Return on Equity Contribution Return on Equity Contribution of the GSE of the GSE Credit Risk T Credit Risk Tr ransfer ansfer Investments Investments Annualized Return Annualized Return on on A Average verage CRT
CRT Equity Equity 294.8% 89.3% 85.9% 54.5% 38.6% 38.5% 34.3% 31.5% 29.4% 28.9% 19.6% 2Q18 3Q18 4Q18 1Q19 2Q19 3Q19 4Q19 1Q20 2Q20 3Q20 4Q20 1Q21 -477.4% Average CRT (1) equity $452 $490 $446 $452 $476 $574 $586 $800 $621 $710 $635 $632 ($ in
millions) (1) Equity allocated represents management’s internal allocation across segments and investment strategies 1Q21 Earnings Report 25
Credit Risk Transfer – Balance Sheet Treatment At March 31, ($ in
thousands) 2021 Current outstanding UPB of loans delivered to the CRT SPVs and sold to Fannie Mae or delivered subject to UPB of loans subject to guarantee obligation............................................... $ 48,403,684 agreements to purchase
REMIC CRT securities Carrying value of CRT arrangements: Current cash collateralizing guarantee included in Deposits securing CRT arrangements............................................................. $ 2,664,420 “Deposits securing credit
risk transfer arrangements” Represents the fair value of expected future cash inflows related to assumption of credit risk net of expected future Derivative and credit risk transfer strip
liabilities............................................... $ (64,894) losses Fair value of non-recourse liability issued by CRT trusts; represents value of interest-only payment after the Interest-only stripped security payable at fair
value.......................................... $ (18,922) maturity of PMT’s investments Fair value of CRT investments ………………............................................... $ 2,580,604 1Q21 Earnings Report
26Credit Risk Transfer – Balance Sheet Treatment At March 31, ($ in thousands) 2021 Current outstanding UPB of loans delivered to the CRT SPVs and sold to Fannie Mae or delivered subject to UPB of loans subject to guarantee
obligation............................................... $ 48,403,684 agreements to purchase REMIC CRT securities Carrying value of CRT arrangements: Current cash collateralizing guarantee included in Deposits securing CRT
arrangements............................................................. $ 2,664,420 “Deposits securing credit risk transfer arrangements” Represents the fair value of expected future cash inflows related to assumption of credit risk
net of expected future Derivative and credit risk transfer strip liabilities............................................... $ (64,894) losses Fair value of non-recourse liability issued by CRT trusts; represents value of interest-only payment after
the Interest-only stripped security payable at fair value.......................................... $ (18,922) maturity of PMT’s investments Fair value of CRT investments
………………............................................... $ 2,580,604 1Q21 Earnings Report 26
CRT Financing Summary L Street Securities L Street Securities L Street
Securities Transaction PMTT1, PMTT2 & PMTT3 2017-PM1 Trust 2019-PMT1 Trust 2020-PMT1 Status Funded Funded Funded Funded (1) UPB $3.5 $8.1 $6.6 $30.3 ($ in billions) (1) $176.6 $414.5 $383.2 $1,690.1 Face Amount ($ in millions) • $152
million of 3-year term • $497 million of 2-year term • $139 million of 3-year term • $408 million of 4-year term notes due October 2022 notes due December 2022 (1) Financing notes due March 2022 notes due May 2023 • $156
million of 3-year term • $657 million of 3-year term notes due February 2023 notes due February 2024 • Term notes do not contain mark-to-market provisions • Increased losses on CRT investments are not expected to accelerate
amortization of the term notes • Earliest maturity is March 2022; all notes contain optional two-year extensions, except $497 million of 2-year term notes due December 2022 (1) As of March 31, 2021 27 1Q21 Earnings ReportCRT Financing Summary
L Street Securities L Street Securities L Street Securities Transaction PMTT1, PMTT2 & PMTT3 2017-PM1 Trust 2019-PMT1 Trust 2020-PMT1 Status Funded Funded Funded Funded (1) UPB $3.5 $8.1 $6.6 $30.3 ($ in billions) (1) $176.6 $414.5 $383.2
$1,690.1 Face Amount ($ in millions) • $152 million of 3-year term • $497 million of 2-year term • $139 million of 3-year term • $408 million of 4-year term notes due October 2022 notes due December 2022 (1) Financing notes
due March 2022 notes due May 2023 • $156 million of 3-year term • $657 million of 3-year term notes due February 2023 notes due February 2024 • Term notes do not contain mark-to-market provisions • Increased losses on CRT
investments are not expected to accelerate amortization of the term notes • Earliest maturity is March 2022; all notes contain optional two-year extensions, except $497 million of 2-year term notes due December 2022 (1) As of March 31, 2021 27
1Q21 Earnings Report
Assessment of Loss Varies by Transaction for PMT’s CRT
Investments PMT CRT Transactions Recourse Event / Loss Calculation Loans in Forbearance PMTT1, Mortgage Obligations become credit events at 180 days or more PMTT2 & delinquent regardless of any grant of forbearance PMTT3 Losses assesed pursuant
to a scheduled-severity grid when loan becomes 180 days or more delinquent. Mortgage Obligations become credit events at 180 days or more delinquent. However, such losses will become reversed credit L Street Securities events if the payment status
is reported as current at the conclusion 2017-PM1 of a forbearance period due to a casualty event (such as natural (1) disaster, fire or theft) or up to 3 months thereafter if necessary L Street Securities Trust 2019-PMT1 Based on actual losses
incurred for loans that default, including principal and interest loss, and other liquidation costs. Modifications Loans in forbearance only impacted if there is an actual loss. that reduce payments also result in losses. L Street Securities Trust
2020-PMT1 (1) Fannie Mae has published clarification that the COVID-19 pandemic is a casualty event. Source: https://www.fanniemae.com/portal/funding-the-market/credit-risk/news/covid19- casualty-event-050120.html 28 1Q21 Earnings ReportAssessment
of Loss Varies by Transaction for PMT’s CRT Investments PMT CRT Transactions Recourse Event / Loss Calculation Loans in Forbearance PMTT1, Mortgage Obligations become credit events at 180 days or more PMTT2 & delinquent regardless of any
grant of forbearance PMTT3 Losses assesed pursuant to a scheduled-severity grid when loan becomes 180 days or more delinquent. Mortgage Obligations become credit events at 180 days or more delinquent. However, such losses will become reversed credit
L Street Securities events if the payment status is reported as current at the conclusion 2017-PM1 of a forbearance period due to a casualty event (such as natural (1) disaster, fire or theft) or up to 3 months thereafter if necessary L Street
Securities Trust 2019-PMT1 Based on actual losses incurred for loans that default, including principal and interest loss, and other liquidation costs. Modifications Loans in forbearance only impacted if there is an actual loss. that reduce payments
also result in losses. L Street Securities Trust 2020-PMT1 (1) Fannie Mae has published clarification that the COVID-19 pandemic is a casualty event. Source: https://www.fanniemae.com/portal/funding-the-market/credit-risk/news/covid19-
casualty-event-050120.html 28 1Q21 Earnings Report
PMT’s Investments in GSE Credit Risk Transfer (UPB in billions)
PMTT1 (May 2015 - July 2015) PMTT2 (August 2015 - February 2016) PMTT3 (February 2016 - August 2016) At inception 3/31/2021 At inception 3/31/2021 At inception 3/31/2021 UPB $ 1.2 $ 0.3 UPB $ 4.2 $ 1.1 UPB $ 6.5 $ 2.1 Loan Count 4,113 1,333 Loan
Count 15,146 4,958 Loan Count 21,467 8,487 67.6% 69.3% 71.4% 73.1% 68.6% 71.8% % Purchase % Purchase % Purchase (1) (1) (1) WA FICO 742 742 WA FICO 742 741 WA FICO 749 749 (1) (1) (1) WA LTV 81.3% 81.2% WA LTV 81.8% 81.4% WA LTV 81.4% 81.4% 60+ Days
Delinquent Loan Count 50 60+ Days Delinquent Loan Count 167 60+ Days Delinquent Loan Count 321 60+ Days Delinquent % o/s UPB 4.250% 60+ Days Delinquent % o/s UPB 4.115% 60+ Days Delinquent % o/s UPB 4.396% 4 6 - 180+ Days Delinquent Loan Count 180+
Days Delinquent Loan Count 180+ Days Delinquent Loan Count Realized Losses ($k) $ 842 Realized Losses ($k) $ 3, 019 Realized Losses ($k) $ 3,434 L Street Securities 2017-PM1 (August 2016 - May 2018) L Street Securities Trust 2019-PMT1 (June 2018 -
March 2019) L Street Securities 2020-PMT1 (April 2019 - September 2020) At inception 3/31/2021 At inception 3/31/2021 At inception 3/31/2021 (4) UPB $ 22.8 $ 8.1 UPB $ 23.6 $ 6.6 UPB $ 58.3 $ 30.3 (4) Loan Count 82,086 34,552 Loan Count 84,521
28,178 Loan Count 193,310 113,129 % Purchase 73.6% 73.1% % Purchase 81.7% 79.7% % Purchase 61.6% 61.4% (1) (1) (1) WA FICO WA FICO WA FICO 746 744 746 737 758 754 (1) (1) (1) WA LTV 82.5% 82.4% WA LTV 83.8% 84.1% WA LTV 82.5% 82.9% 60+ Days
Delinquent Loan Count 1,741 60+ Days Delinquent Loan Count 2,300 60+ Days Delinquent Loan Count 4,383 60+ Days Delinquent % o/s UPB 6.034% 60+ Days Delinquent % o/s UPB 9.832% 60+ Days Delinquent % o/s UPB 4.486% 180+ Days Delinquent Loan Count
1,356 180+ Days Delinquent Loan Count 1,842 180+ Days Delinquent Loan Count 3,442 (2) (2) Principal Losses ($k) Principal Losses ($k) Realized Losses ($k)(5) $ 103,465 $ 142 $ 14 (3) (3) Interest Reduction ($k) Interest Reduction ($k) $ 44 2 $ 20
Total At inception 3/31/2021 UPB $ 116.5 $ 48.4 Loan Count 400,643 190,637 69.1% 66.6% % Purchase (1) WA FICO 752 749 (1) WA LTV 82.7% 82.9% 60+ Days Delinquent Loan Count 8,962 60+ Days Delinquent % o/s UPB 5.458% 6,650 180+ Days Delinquent Loan
Count (2) Principal Losses ($k) $ 110,916 (3) Interest Reduction ($k) $ 461 (1) FICO and LTV metrics at origination (2) Losses due to liquidation of reference pool collateral (3) Interest reduction due to modification of reference pool collateral
(4) Loans eligible for loss reversal are included as of 3/31/21 (5) Losses included for loans eligible for reversal as of 3/31/21 1Q21 Earnings Report 29PMT’s Investments in GSE Credit Risk Transfer (UPB in billions) PMTT1 (May 2015 - July
2015) PMTT2 (August 2015 - February 2016) PMTT3 (February 2016 - August 2016) At inception 3/31/2021 At inception 3/31/2021 At inception 3/31/2021 UPB $ 1.2 $ 0.3 UPB $ 4.2 $ 1.1 UPB $ 6.5 $ 2.1 Loan Count 4,113 1,333 Loan Count 15,146 4,958 Loan
Count 21,467 8,487 67.6% 69.3% 71.4% 73.1% 68.6% 71.8% % Purchase % Purchase % Purchase (1) (1) (1) WA FICO 742 742 WA FICO 742 741 WA FICO 749 749 (1) (1) (1) WA LTV 81.3% 81.2% WA LTV 81.8% 81.4% WA LTV 81.4% 81.4% 60+ Days Delinquent Loan Count
50 60+ Days Delinquent Loan Count 167 60+ Days Delinquent Loan Count 321 60+ Days Delinquent % o/s UPB 4.250% 60+ Days Delinquent % o/s UPB 4.115% 60+ Days Delinquent % o/s UPB 4.396% 4 6 - 180+ Days Delinquent Loan Count 180+ Days Delinquent Loan
Count 180+ Days Delinquent Loan Count Realized Losses ($k) $ 842 Realized Losses ($k) $ 3, 019 Realized Losses ($k) $ 3,434 L Street Securities 2017-PM1 (August 2016 - May 2018) L Street Securities Trust 2019-PMT1 (June 2018 - March 2019) L Street
Securities 2020-PMT1 (April 2019 - September 2020) At inception 3/31/2021 At inception 3/31/2021 At inception 3/31/2021 (4) UPB $ 22.8 $ 8.1 UPB $ 23.6 $ 6.6 UPB $ 58.3 $ 30.3 (4) Loan Count 82,086 34,552 Loan Count 84,521 28,178 Loan Count 193,310
113,129 % Purchase 73.6% 73.1% % Purchase 81.7% 79.7% % Purchase 61.6% 61.4% (1) (1) (1) WA FICO WA FICO WA FICO 746 744 746 737 758 754 (1) (1) (1) WA LTV 82.5% 82.4% WA LTV 83.8% 84.1% WA LTV 82.5% 82.9% 60+ Days Delinquent Loan Count 1,741 60+
Days Delinquent Loan Count 2,300 60+ Days Delinquent Loan Count 4,383 60+ Days Delinquent % o/s UPB 6.034% 60+ Days Delinquent % o/s UPB 9.832% 60+ Days Delinquent % o/s UPB 4.486% 180+ Days Delinquent Loan Count 1,356 180+ Days Delinquent Loan
Count 1,842 180+ Days Delinquent Loan Count 3,442 (2) (2) Principal Losses ($k) Principal Losses ($k) Realized Losses ($k)(5) $ 103,465 $ 142 $ 14 (3) (3) Interest Reduction ($k) Interest Reduction ($k) $ 44 2 $ 20 Total At inception 3/31/2021 UPB $
116.5 $ 48.4 Loan Count 400,643 190,637 69.1% 66.6% % Purchase (1) WA FICO 752 749 (1) WA LTV 82.7% 82.9% 60+ Days Delinquent Loan Count 8,962 60+ Days Delinquent % o/s UPB 5.458% 6,650 180+ Days Delinquent Loan Count (2) Principal Losses ($k) $
110,916 (3) Interest Reduction ($k) $ 461 (1) FICO and LTV metrics at origination (2) Losses due to liquidation of reference pool collateral (3) Interest reduction due to modification of reference pool collateral (4) Loans eligible for loss reversal
are included as of 3/31/21 (5) Losses included for loans eligible for reversal as of 3/31/21 1Q21 Earnings Report 29
Correspondent Production Acquisitions and Locks by Product (UPB in
millions) 1Q20 2Q20 3Q20 4Q20 1Q21 Acquisitions Conventional Conforming $ 16,153 $ 18,900 $ 27,351 $ 37,986 $ 33,762 Government 13,616 10,991 16,977 18,923 17,440 Total Correspondent Acquisitions $ 29,768 $ 29,890 $ 44,328 $ 56,908 $ 51,202 PFSI's
Direct Lending Loans Acquired by PMT $ 1,881 $ - $ - $ - $ - Total Acquisitions $ 31,649 $ 29,890 $ 44,328 $ 56,908 $ 51,202 Locks Conventional Conforming $ 19,109 $ 24,804 $ 34,363 $ 39,451 $ 33,998 Government 14,871 12,920 20,167 19,728 17,064
Total Locks $ 33,980 $ 37,725 $ 54,531 $ 59,179 $ 51,062 Note: Conventional Conforming, Government, and Non-Agency acquisitions exclude PennyMac Financial’s Direct Lending Loans Acquired by PMT. 30 1Q21 Earnings ReportCorrespondent Production
Acquisitions and Locks by Product (UPB in millions) 1Q20 2Q20 3Q20 4Q20 1Q21 Acquisitions Conventional Conforming $ 16,153 $ 18,900 $ 27,351 $ 37,986 $ 33,762 Government 13,616 10,991 16,977 18,923 17,440 Total Correspondent Acquisitions $ 29,768 $
29,890 $ 44,328 $ 56,908 $ 51,202 PFSI's Direct Lending Loans Acquired by PMT $ 1,881 $ - $ - $ - $ - Total Acquisitions $ 31,649 $ 29,890 $ 44,328 $ 56,908 $ 51,202 Locks Conventional Conforming $ 19,109 $ 24,804 $ 34,363 $ 39,451 $ 33,998
Government 14,871 12,920 20,167 19,728 17,064 Total Locks $ 33,980 $ 37,725 $ 54,531 $ 59,179 $ 51,062 Note: Conventional Conforming, Government, and Non-Agency acquisitions exclude PennyMac Financial’s Direct Lending Loans Acquired by PMT. 30
1Q21 Earnings Report
