PennyMac Mortgage Investment Trust (PMT) investor relations material

Executive summary

• Q3 2026 net loss attributable to common shareholders was $35.8M, or $0.41 per diluted share; adjusted net income attributable to common shareholders was $30.4M, or $0.35 per share, with 9% annualized adjusted ROE.

• Higher Treasury yields and wider mortgage spreads pressured portfolio values; $66.2M of market-driven declines included $56M attributed to spread widening.

• Capital rotation and lower MSR prepayment expectations lifted projected four-quarter return potential 15% to $0.38 per common share, implying 10.6% average annualized return on common equity.

Financial highlights

• GAAP net loss was $25.4M; adjusted net income was $40.9M, including $30.4M attributable to common shareholders.

• Net investment income was $36.2M; net servicing fees were $241.9M, driven by favorable MSR valuation changes, while net investment and financing results were a $162.3M loss.

• Book value per share was $14.03 at September 30, down 5% QoQ; the quarterly common dividend was $0.40 per share.

Outlook and guidance

• Projected run-rate return potential for the next four quarters rose from $0.33 to $0.38 per common share; MSR assets are projected to deliver 12.8% annualized ROE.

• A lower Q4 dividend is expected to support book value accretion; management indicated a sustainable $0.30 per-share rate, subject to board approval.

• Strategy calls for lower MSR exposure and increased organically created credit investments; retained private-label investments target low-to-mid-teens ROEs, with ~30 securitizations expected in 2026.

• Proceeds from pending Agency MSR sales are intended for redeployment into higher-returning credit investments and other opportunities.