The forward-looking statements are based on our beliefs, assumptions and expectations of our future performance, taking into account all information currently available to us. You should not place undue reliance on these forward-looking statements. These beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are known to us. Some of these factors are described under the caption ''Risk Factors'' in our Annual Report on Form 10-K. If a change occurs, ...

Financial Data and Key Metrics Changes - The book value at the end of Q4 was reported at $12.70 per share, with an economic return of 1% for the quarter and 7.4% for the year [13] - The common equity capital grew to over $1,000,000,000, reflecting a year-over-year growth of over 40% [10] - The leverage increased from 7.6% to 7.9% during Q4 as new pools and TBAs were added [21] Business Line Data and Key Metrics Changes - Interest income increased due to the addition of higher-yielding assets, while older lower-yielding assets continued to pay down [14] - The company raised $64,000,000 in new capital during Q4, maintaining ample liquidity to deploy into higher yield markets [15] Market Data and Key Metrics Changes - The investment environment remains favorable, with mortgage spreads in the range of 130 to 140 basis points over 7-year treasuries and 175 to 185 over swaps [26] - The company noted that bond fund flows have been positive at higher yields, which could accelerate given the sizable holdings in money market funds [26] Company Strategy and Development Direction - The company is focused on delivering value at the intersection of capital markets and housing finance, with a strong emphasis on agency-backed single-family residential MBS [5] - The management team is committed to proactive engagement with policymakers to navigate the evolving policy environment [32] Management's Comments on Operating Environment and Future Outlook - Management expressed confidence in the company's ability to deliver dividends driven by current and future returns, emphasizing the importance of scale and disciplined capital deployment [33] - The macroeconomic landscape is evolving, with expectations of a wider distribution of rates and potential volatility due to government policy changes [23] Other Important Information - The company has generated the leading total shareholder return among agency-focused mortgage REITs over 1, 3, and 5 years, even during challenging market conditions [11] - The management team has been actively engaged with Washington to monitor developments related to GSE reform and its implications for housing finance [20] Q&A Session Summary Question: Can you walk through the drivers of the shift from treasury futures to swaps this quarter and any impact that has on spreads? - The shift was driven by swap spreads reaching levels that compensate for potential fiscal issuance, with an expected addition of 200 to 300 basis points of marginal ROE from this change [37][38] Question: Can we get an update on book value quarter to date, any big changes? - The book value has remained essentially flat since the end of the quarter [39] Question: Can you talk about your strategy for continuing to grow the capital base in 2025? - The strategy is predicated on the investment environment, focusing on accretive capital deployment when ROEs exceed long-term dividend levels [43] Question: How do you think the MBS market is currently pricing in the potential for GSE reform? - The MBS market appears to be pricing in a small percentage risk of meaningful changes, with spreads currently reflecting a low probability of significant shifts [46] Question: If we see swap spreads stay around current levels, would you expect that shift to continue to move more into swaps? - The hedge portfolio is currently positioned as desired given the market environment, with no immediate plans for further shifts [53] Question: How do you still price in the risk to spreads related to short-term rallies and rates? - The company is preparing for segments of the market that are less refinanceable, focusing on security selection to mitigate risks [67] Question: With the new FHFA Director, where do you see the origination footprint of the GSEs moving? - It is difficult to predict, but a smaller footprint and increased private label issuance are logical expectations based on ideological biases [72]

8 Q4 2023 Earnings Supplemental Materials February 2, 2024 1 Disclaimers This presentation contains forward-looking statements and information. Statements that are not historical facts, including statements about our beliefs and expectations, are forward-looking statements. Forward-looking statements include statements preceded by, followed by or that include the words "may," "could," "would," "should," "believe," "expect," "anticipate," "plan," "estimate," "target," "project," "intend" and similar expressi ...

Financial Data and Key Metrics Changes - For Q4 2021, GAAP net income was $6.7 million or $0.13 per share, down from $18.6 million or $0.34 per share in Q3 2021 [37] - Distributable earnings for Q4 were $12.7 million or $0.24 per share, compared to $5.1 million or $0.09 per share in Q3 [38] - Book value decreased to $16.70 per share from $17.33 per share in Q3, primarily due to the settlement of warrants [39] - Full-year 2021 GAAP net income was $67.6 million or $1.24 per share, including a $20 million benefit from the release of CECL reserves [40] Business Line Data and Key Metrics Changes - The company funded over $820 million in loan balances during 2021, with $268 million in Q4 alone [26] - Q4 originations included seven new loans totaling about $250 million in commitments [27] - The portfolio grew by approximately $125 million quarter-over-quarter to about $3.8 billion [30] - The weighted average yield of newly originated loans was LIBOR + 3.60, with a weighted average stabilized LTV of approximately 67% [29] Market Data and Key Metrics Changes - Over 65% of Q4 originations were secured by multi-family assets, with the remainder in industrial, well-leased office, and mixed-use properties [28] - The portfolio's risk-rating remained stable at 2.6, indicating stable credit conditions [32] Company Strategy and Development Direction - The company aims to strengthen its balance sheet by reducing higher-cost corporate debt and expanding its permanent capital base [12] - Plans to remain an opportunistic issuer in the CLO market as a source of financing [14] - Focus on repositioning the balance sheet to improve profitability and leverage [24] Management's Comments on Operating Environment and Future Outlook - Management expressed confidence in the credit performance of the portfolio, attributing it to a strong credit culture and the ability to originate attractive senior loan investments [23] - Anticipated challenges from rising short-term interest rates, but management believes there are substantial opportunities to reduce debt costs and grow the portfolio [19][22] Other Important Information - The company ended Q4 with approximately $190 million in cash and $62 million in unencumbered whole loans [44] - The total debt-to-equity ratio declined to 2.7x from 3x in the prior quarter [45] Q&A Session Summary Question: Impact of CLO spreads on refinancing - Management acknowledged backup in CLO spreads but remains optimistic about the market's viability and the company's strategic financing options [48][49] Question: Outlook for retiring high-cost senior secured debt - Management confirmed intentions to repay the remaining $100 million of high-cost debt, balancing cash liquidity with new loan originations [51][53] Question: Surge in originations from non-bank lenders - Management noted the growing role of non-bank lenders in the market and expects this trend to continue [66] Question: Credit outlook and quality - Management reported stable risk rankings and expressed confidence in the overall credit profile of the portfolio, with strong fundamentals in targeted sectors [68][70]

Financial Data and Key Metrics Changes - The company reported a net income attributable to common shareholders of $65.4 million, translating to diluted earnings per share of $0.67, driven by strong correspondent production results and improved fair value of GSE credit risk transfer investments [4] - Book value per share increased by 3% to $20.90 from $20.30 at the end of the prior quarter, influenced by strong earnings and the issuance of senior exchangeable notes [5] - The company paid a common dividend of $0.47 per share [5] Business Line Data and Key Metrics Changes - Total correspondent acquisition volume was $51.2 billion in UPB, down 10% from the prior quarter but up 72% year-over-year [19] - The correspondent production segment contributed $35.6 million to pre-tax income, down from $52.7 million in the prior quarter as gain on sale margins normalized [35] - The fair value of MSR assets increased to $2.4 billion from $1.8 billion at the end of the prior quarter, reflecting new MSR investments and fair value gains from higher interest rates [22] Market Data and Key Metrics Changes - The origination market remains historically strong, with forecasts for 2021 originations ranging from $3.3 trillion to $4 trillion, and 2022 forecasts at $2.6 trillion [12] - Purchase originations are expected to total $1.7 trillion in both 2021 and 2022, nearly 40% higher than 2019 levels [12] - The company ended the quarter with 727 correspondent seller relationships, an increase from 714 at the end of the previous year [19] Company Strategy and Development Direction - The company is positioned as the largest correspondent lender in the U.S., focusing on organic investments in MSRs sourced from high-quality conventional loan production [6] - PMT's capital deployment is focused on opportunities in conventional correspondent production and high-quality mortgage servicing rights [14] - The company expects changes in GSE regulations to favor well-capitalized market participants like PMT, enhancing its role in the mortgage market [13] Management's Comments on Operating Environment and Future Outlook - Management believes PMT is well-positioned to capitalize on elevated production volumes and the evolving mortgage landscape [37] - The company anticipates that limitations on GSE guarantees will create a heightened need for private capital, providing opportunities for increased investment [14] - Management expressed confidence in PMT's ability to create attractive, high-quality organic investments in MSRs at low interest rates [15] Other Important Information - The company issued $659 million in 3-year term notes and $350 million in 5-year Fannie Mae MSR term notes to support its growing MSR portfolio [9][8] - PMT's interest rate sensitive strategies reported a loss of $64.6 million, while credit sensitive strategies contributed $134.3 million in pre-tax income [31] Q&A Session Summary Question: What are the expectations for future loss reversals in CRT investments? - Management indicated that significant future loss reversals are expected, particularly for loans that exit forbearance and re-perform, with an estimated $32 million eligible for reversal as of March 31 [29]