8-K

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 8-K

CURRENT REPORT

PURSUANT TO SECTION 13 OR 15(d) OF

THE SECURITIES EXCHANGE ACT OF 1934

Date of Report (Date of earliest event reported): February 4, 2015

PennyMac Mortgage Investment Trust

(Exact name of registrant as specified in its charter)

Maryland	001-34416	27-0186273
(State or other jurisdiction	(Commission	(IRS Employer
of incorporation)	File Number)	Identification No.)

6101 Condor Drive, Moorpark, California	93021
(Address of principal executive offices)	(Zip Code)

(818) 224-7442

(Registrant’s telephone number, including area code)

Not Applicable

(Former name or former address, if changed since last report)

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:

o Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)

o Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)

o Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))

o Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

Item 2.02 Results of Operations and Financial Condition.

On February 4, 2015, PennyMac Mortgage Investment Trust (the “Company”) issued a press release announcing its financial results for the fiscal quarter and year ended December 31, 2014. A copy of the press release and the slide presentation used in connection with the Company’s recorded presentation of financial results were made available on February 4, 2015 and are furnished as Exhibit 99.1 and Exhibit 99.2, respectively.

The information in Item 2.02 of this report, including the exhibits hereto, shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liabilities of Section 18, nor shall it be deemed incorporated by reference into any disclosure document relating to the Company, except to the extent, if any, expressly set forth by specific reference in such filing.

Item 9.01 Financial Statements and Exhibits.

(d) Exhibits.

Exhibit No.	Description
99.1	Press Release, dated February 4, 2015, issued by PennyMac Mortgage Investment Trust pertaining to its financial results for the fiscal quarter and year ended December 31, 2014.
99.2	Slide Presentation for use beginning on February 4, 2015 in connection with a recorded presentation of financial results for the fiscal quarter and year ended December 31, 2014.

2

SIGNATURE

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.

	PENNYMAC MORTGAGE INVESTMENT TRUST
Dated: February 5, 2015	By:	/s/ Anne D. McCallion
		Anne D. McCallion Chief Financial Officer

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EXHIBIT INDEX

Exhibit No.	Description
99.1	Press Release, dated February 4, 2015, issued by PennyMac Mortgage Investment Trust pertaining to its financial results for the fiscal quarter and year ended December 31, 2014.
99.2	Slide Presentation for use beginning on February 4, 2015 in connection with a recorded presentation of financial results for the fiscal quarter and year ended December 31, 2014.

4

EX-99.1

Exhibit 99.1

 

Investors and Media

Christopher Oltmann

(818) 224-7028

PennyMac Mortgage Investment Trust Reports

Fourth Quarter 2014 Results

Moorpark, CA, February 4, 2015 – PennyMac Mortgage Investment Trust (NYSE: PMT) today reported net income of $26.5 million, or $0.34 per diluted share, for the fourth quarter of 2014, on net investment income of $53.1 million. PMT previously announced a cash dividend for the fourth quarter of 2014 of $0.61 per common share of beneficial interest, which was declared on December 10, 2014 and paid on January 16, 2015.

Fourth Quarter 2014 Highlights

Financial results:

· Diluted earnings per common share of $0.34, down 51 percent from the prior quarter

· Net income of $26.5 million, down 52 percent from the prior quarter

· Net investment income of $53.1 million, down 50 percent from the prior quarter

· Book value per share of $21.18, down from $21.42 at September 30, 2014

· Return on average equity of 7 percent, down from 14 percent for the prior quarter¹

_______________

¹ Return on average equity is calculated based on annualized quarterly net income as a percentage of monthly average shareholders’ equity during the period.

1

Investment activities and correspondent production results:

· Acquired a pool of nonperforming loans totaling $331 million in unpaid principal balance (UPB)

· Mortgage servicing rights (MSR) and excess servicing spread (ESS) investments, related to $63 billion in UPB, grew to $549 million at December 31, 2014

o Added $32 million in new MSR investments resulting from correspondent production activities

o Invested $17 million in ESS on mini-bulk and flow acquisitions of Agency MSRs acquired by PennyMac Financial Services, Inc. (PFSI) relating to $2.3 billion in UPB

Investment activity after the fourth quarter:

· Acquired a pool of nonperforming whole loans totaling $310 million in UPB

· Expected to enter into agreements with PFSI relating to the acquisition of approximately $175 million in ESS from Agency MSRs totaling $21 billion in UPB that PFSI is expected to acquire²

Full-Year 2014 Highlights

· Net income of $194.5 million, down 3 percent from the prior year

· Net investment income of $356.7 million, down 12 percent from the prior year

· Diluted earnings per common share of $2.47, down 17 percent from the prior year; weighted average shares outstanding increased18 percent from the prior year

· Return on average equity of 13 percent³, down from 17 percent from the prior year

· Total mortgage assets reached $4.4 billion, up 12 percent from December 31, 2013, with new investments in distressed whole loans, MSRs, and ESS

_______________

² The MSR acquisitions by PFSI and the Company’s purchase of excess servicing spread are subject to the negotiation and execution of definitive documentation, continuing due diligence and customary closing conditions, including required regulatory approvals. There can be no assurance that the committed amounts will ultimately be acquired or that the transactions will be completed at all.

³ Return on average equity is calculated based on annualized quarterly net income as a percentage of monthly average shareholders’ equity during the period.

2

“During the fourth quarter and in recent weeks we have entered into significant new investments in nonperforming loans and excess servicing spread that we expect will deliver strong contributions to PMT's returns going forward,” said Stanford L. Kurland, PMT’s Chairman and Chief Executive Officer. “PMT's diversified investment portfolio continues to generate strong cash flows which are consistent with our current dividend level, despite fourth quarter earnings that were adversely affected by reduced gains in our distressed loan portfolio largely resulting from home prices lower than previously forecast.”

PMT earned $11.9 million in pretax income for the quarter ended December 31, 2014, a 79 percent decline from the third quarter.

The following table presents the contribution of PMT’s Investment Activities and Correspondent Production segments to pretax income:

	Quarter ended December 31, 2014
	Investment			Correspondent
	Activities			Lending		Total
				(in thousands)
Net investment income:
Net gain on mortgage loans acquired for sale	$	–		$	5,945	$	5,945
Net gain on investments		15,700			–		15,700
Net interest income
Interest income		36,174			7,074		43,248
Interest expense		18,226			3,703		21,929
		17,948			3,371		21,319
Net loan servicing fees		11,181			–		11,181
Other investment (loss) income		(6,011	)		4,925		(1,086	)
		38,818			14,241		53,059
Expenses:
Loan Fulfillment, Servicing and Management fees payable to PennyMac Financial Services, Inc.		19,554			12,185		31,739
Other		8,270			1,110		9,380
		27,824			13,295		41,119
Pretax income	$	10,994		$	946	$	11,940

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Investment Activities Segment

The Investment Activities segment generated $11.0 million in pretax income on revenues of $38.8 million in the fourth quarter, compared to $55.1 million and $86.4 million, respectively, in the third quarter. Net gain on investments totaled $15.7 million in the fourth quarter, a 78 percent decline from the third quarter. Net gain on investments includes valuation gains on distressed loans of $20.7 million and gains on MBS of $3.4 million, partially offset by valuation losses on mortgage loans held by variable interest entity of $5.4 million and losses on ESS of $3.0 million. Losses on ESS largely resulted from the reduction in mortgage rates during the quarter and expectations of increased prepayment speeds in the future. In future periods as prepayments related to the ESS occur, PMT should benefit from recapture income.Therecapture benefit payable to PMT for activity during the quarter was $1.3 million.

Net interest income earned on PMT’s investments in distressed loans, ESS, MBS and mortgage loans held by variable interest entity increased by $2.8 million to $17.9 million, driven by $14.1 million of capitalized interest from loan modification activity during the quarter. Capitalized interest from loan modifications during a period increases interest income and tends to reduce the loan valuation. Net loan servicing fees were $11.2 million, up from $10.5 million in the third quarter,driven by higher servicing fee revenue from a growing investment in MSRs in addition to hedge gains which partially offset the MSR valuation loss and impairment resulting from lower mortgage rates.Other investment losses were $6.0 million, versus losses of $9.6 million in the third quarter due to a reduction in costs related to real estate acquired in the settlement of loans.Segment expenses were $27.8 million in the fourth quarter, down 11 percent from the prior quarter driven by lower expenses associated with the administration and sale of distressed loans and a decline in incentive fees paid to PFSI resulting from PMT’s reduced financial performance for the fourth quarter.

Distressed Mortgage Investments

PMT’s distressed mortgage loan portfolio generated realized and unrealized gains totaling $20.7 million in the fourth quarter, compared to $81.3 million in the third quarter. Of the gains in the fourth quarter, $3.2 million was realized through payoffs in which collections on the loan balances were at levels higher than their recorded fair values.

4

The following schedule details the realized and unrealized gains on mortgage loans:

	Quarters ended
	December 31, 2014		September 30, 2014
	(in thousands)
Valuation changes:
Performing loans	$	4,831	$	23,255
Nonperforming loans		12,653		51,913
		17,484		75,168
Payoffs		3,191		5,866
Sales		–		262
	$	20,675	$	81,296

In the fourth quarter, the portfolios of performing and nonperforming loans increased in value by $4.8 million and $12.7 million, respectively.During the quarter, valuation gains were adversely impacted by a decrease in current home price levels versus prior forecasts and lowered expectation for future price appreciation.Furthermore, seasonally lower reperformance and other resolution activities also contributed to the decline in valuation gains compared to the prior quarter.

Mortgage Servicing Rights

PMT’s MSR portfolio, which is subserviced by PFSI, grew to$34.3billion in UPB compared to $32.3 billion in the third quarter. Servicing fee revenue of $23.0 million was reduced by amortization, impairment and fair value losses totaling $19.8 million, partially offset by $8.0 million of hedge gains, resulting in net loan servicing revenue of $11.2 million, up from $10.5 million in the third quarter.

5

The following schedule details the net loan servicing fees:

	Quarter ended
	December 31, 2014			September 30, 2014
	(in thousands)
Net loan servicing fees
Servicing fees (1)	$	23,020		$	20,300
MSR recapture fee receivable from PFSI		–			–
Effect of MSRs:
Carried at lower of amortized cost or fair value
Amortization.		(8,741	)		(8,109	)
(Provision for) reversal of impairment		(2,890	)		602
Carried at fair value - change in fair value		(8,204	)		(1,606	)
Gains (losses) on hedging derivatives		7,996			(654	)
		(11,839	)		(9,767	)
Net loan servicing fees	$	11,181		$	10,533
(1) Includes contractually specified servicing revenue

Correspondent Production Segment

PMT acquires newly originated mortgage loans from third-party correspondent sellers and typically sells or securitizes the loans, resulting in current-period income and an ongoing investment in MSRs. For the quarter ended December 31, 2014, PMT’s Correspondent Production segment generated pretax income of $0.9 million, versus pretax income of $2.8 million in the third quarter. Revenues totaled $14.2 million, down 29 percent from the third quarter, driven by a decrease in conventional conforming and jumbo interest rate lock commitments (IRLCs) during the quarter.

In its correspondent activities in the fourth quarter, PMT acquired $7.3 billion in UPB of loans and issued IRLCs totaling $7.5 billion, compared to $8.1 billion and $8.4 billion, respectively, in the third quarter.Of the correspondent acquisitions, conventional conforming and jumbo volumes totaled $2.9 billion, and government insured or guaranteed volumes totaled $4.4 billion compared to $3.7 billion and $4.4 billion, respectively, in the third quarter. The decrease in conventional acquisitions was driven by a competitive environment and a seasonal decline in the purchase money market which represents a significant portion of PMT’s volumes.

Net gain on mortgage loans acquired for sale totaled $5.9 million in the fourth quarter compared to $9.5 million last quarter. Segment revenues in the fourth quarter also included $4.9 million of loan origination fees and net interest income of $3.4 million.

6

The following schedule details the net gain on mortgage loans acquired for sale:

	Quarter ended
	December 31, 2014			September 30, 2014
	(in thousands)
Net gain on mortgage loans acquired for sale
Receipt of MSRs in loan sale transactions	$	32,104		$	39,613
Provision for representation and warranties		(1,130	)		(1,359	)
Cash investment (1)		(21,606	)		(28,178	)
Fair value changes of pipeline, inventory and hedges.		(3,423	)		(567	)
	$	5,945		$	9,509
(1) Net of cash hedge expense

Segment expenses decreased 23 percent quarter-over-quarter to $13.3 million, primarily due to lower loan fulfillment fee expense resulting from the decrease in loan acquisition volumes and a lower weighted average fulfillment fee rate during the quarter. The weighted average fulfillment fee rate in the fourth quarter was 41 basis points, compared to 42 basis points in the prior quarter.

Management Fees and Taxes

Management fees decreased by 12 percent from the third quarter to $8.4 million, driven by the lower incentive feesresulting from PMT’s reduced financial performance in the fourth quarter.

PMT recognized an income tax benefit of $14.6 million in the fourth quarter, versus income taxes of $3.0 million in the third quarter. The tax benefit primarily resulted from a loss in the taxable REIT subsidiary and an improvement in that entity’s estimated tax rate.

Mr. Kurland concluded,“PMT continues to grow and diversify its investments.  We continued to make new investments and prudently increased our use of leverage, which enhances returns to shareholders.  PMT is investing in assets such as MSRs and ESS, which are well positioned in today’s low interest rate environment, and we see considerable opportunity for PMT to continue making attractive investments in mortgage-related assets as the U.S. economy strengthens.”

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Management’s slide presentation will be available in the Investor Relations section of the Company’s website at www.pennymac-REIT.com beginning at 1:30 p.m. (Pacific Standard Time) on Wednesday, February 4, 2015.

About PennyMac Mortgage Investment Trust

PennyMac Mortgage Investment Trust is a mortgage real estate investment trust (REIT) that invests primarily in residential mortgage loans and mortgage-related assets. PennyMac Mortgage Investment Trust trades on the New York Stock Exchange under the symbol “PMT” and is externally managed by PNMAC Capital Management, LLC, an indirect subsidiary of PennyMac Financial Services, Inc. Additional information about PennyMac Mortgage Investment Trust is available at www.PennyMac-REIT.com.

This press release 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. Factors which could cause actual results to differ materially from historical results or those anticipated include, but are not limited to: changes in our investment objectives or investment or operational strategies; volatility in our industry, the debt or equity markets, the general economy or the residential finance and real estate markets; changes in general business, economic, market, employment and political conditions or in consumer confidence; declines in residential real estate or significant changes in U.S. housing prices or activity in the U.S. housing market; availability of, and level of competition for, attractive risk-adjusted investment opportunities in residential mortgage loans and mortgage-related assets that satisfy our investment objectives; concentration of credit risks to which we are exposed; the degree and nature of our competition; our dependence on our manager and servicer, potential conflicts of interest with such entities, and the performance of such entities; availability, terms and deployment of short-term and long-term capital; unanticipated increases or volatility in financing and other costs; the performance, financial condition and liquidity of borrowers; incomplete or inaccurate information or documentation provided by customers or counterparties, or adverse changes in the financial condition of our customers and counterparties; the quality and enforceability of the collateral documentation evidencing our ownership and rights in the assets in which we invest; increased rates of delinquency, default and/or decreased recovery rates on our investments; increased prepayments of the mortgages and other loans underlying our mortgage-backed securities and other investments; the degree to which our hedging strategies may protect us from interest rate volatility; our failure to maintain appropriate internal controls over financial reporting; our ability to comply with various federal, state and local laws and regulations that govern our business; changes in legislation or regulations or the occurrence of other events that impact the business, operations or prospects of government agencies, mortgage lenders and/or publicly-traded companies; the creation of the Consumer Financial Protection Bureau, or CFPB, and enforcement of its rules; changes in government support of homeownership; changes in government or government-sponsored home affordability programs; changes in governmental regulations, accounting treatment, tax rates and similar matters (including changes to laws governing the taxation of real estate investment trusts, or REITs; limitations imposed on our business and our ability to satisfy complex rules for us 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 our subsidiaries to qualify as REITs or as taxable REIT subsidiaries for U.S. federal income tax purposes and our ability and the ability of our subsidiaries to operate effectively within the limitations imposed by these rules; and the effect of public opinion on our reputation. 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 press release are current as of the date of this release only.

8

PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED BALANCE SHEETS

	December 31, 2014		September 30, 2014		December 31, 2013
	(in thousands except share data)
ASSETS
Cash	$	76,386	$	46,487	$	27,411
Short-term investments		139,900		37,452		92,398
Mortgage-backed securities at fair value pledged to secure securities sold under agreements to repurchase		307,363		267,885		197,401
Mortgage loans acquired for sale at fair value		637,722		688,850		458,137
Mortgage loans at fair value		2,726,952		2,561,911		2,600,317
Mortgage loans under forward purchase agreements at fair value		–		–		218,128
Excess servicing spread purchased from PennyMac Financial Services, Inc.		191,166		187,368		138,723
Derivative assets		11,107		10,344		7,976
Real estate acquired in settlement of loans		303,228		275,185		138,942
Real estate acquired in settlement of loans under forward purchase agreements.		–		–		9,138
Mortgage servicing rights		357,780		345,848		290,572
Servicing advances..		79,878		59,325		59,573
Due from PennyMac Financial Services, Inc.		6,621		4,311		6,009
Other assets		66,193		119,847		66,192
Total assets	$	4,904,296	$	4,604,813	$	4,310,917
LIABILITIES
Assets sold under agreements to repurchase	$	2,750,366	$	2,416,686	$	2,039,605
Borrowings under forward purchase agreements		–		–		226,580
Asset-backed secured financing of the variable interest entity at fair value		165,920		166,841		165,415
Exchangeable senior notes.		250,000		250,000		250,000
Derivative liabilities		2,430		1,889		1,961
Accounts payable and accrued liabilities		67,806		80,493		71,561
Due to PennyMac Financial Services, Inc.		23,943		21,420		18,636
Income taxes payable		51,417		66,208		59,935
Liability for losses under representations and warrants		14,242		13,235		10,110
Total liabilities		3,326,124		3,016,772		2,843,803
SHAREHOLDERS' EQUITY
Common shares of beneficial interest—authorized, 500,000,000 common shares of $0.01 par value; issued and outstanding 74,510,159, 74,139,570, and 70,458,082 common shares.		745		741		705
Additional paid-in capital		1,479,699		1,470,189		1,384,468
Retained earnings		97,728		117,111		81,941
Total shareholders' equity		1,578,172		1,588,041		1,467,114
Total liabilities and shareholders' equity.	$	4,904,296	$	4,604,813	$	4,310,917

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PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF INCOME

	Quarter Ended
	December 31, 2014			September 30, 2014			December 31, 2013
	(in thousands, except per share data)
Investment Income
Net gain on mortgage loans acquired for sale	$	5,945		$	9,509		$	13,921
Loan origination fees		4,897			6,447			2,981
Net interest income:
Interest income		43,248			41,236			43,912
Interest expense		21,929			22,020			20,345
		21,319			19,216			23,567
Net gain on investments		15,700			70,390			47,858
Net loan servicing fees		11,181			10,533			12,229
Results of real estate acquired in settlement of loans		(8,552	)		(11,926	)		(6,014	)
Other		2,569			2,361			1,545
Net investment income		53,059			106,530			96,087
Expenses
Expenses payable to PennyMac Financial Services, Inc.:
Loan fulfillment fees		11,887			15,497			11,087
Loan servicing fees (1)		11,426			12,325			12,162
Management fees		8,426			9,623			8,924
Professional services		2,031			1,927			2,501
Compensation.		1,660			1,843			2,095
Other.		5,689			7,384			4,589
Total expenses		41,119			48,599			41,358
Income before provision for income taxes		11,940			57,931			54,729
(Benefit from) provision for income taxes		(14,571	)		2,982			2,033
Net income	$	26,511		$	54,949		$	52,696
Earnings per share
Basic	$	0.35		$	0.74		$	0.74
Diluted	$	0.34		$	0.69		$	0.69
Weighted-average shares outstanding
Basic		74,211			74,140			70,456
Diluted		82,996			82,832			79,214

(1) Servicing expenses include both special servicing for PMT’s distressed portfolio and subservicing for its mortgage servicing rights.

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PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF INCOME

	Year Ended
	December 31, 2014			December 31, 2013			December 31, 2012
	(in thousands, except per share data)
Investment Income
Net gain on mortgage loans acquired for sale	$	35,647		$	98,669		$	147,675
Loan origination fees		18,184			17,765			10,545
Net interest income:
Interest income		172,348			122,862			72,441
Interest expense		85,589			65,222			31,642
		86,759			57,640			40,799
Net gain on investments		201,809			207,758			103,649
Net loan servicing fees		37,893			32,791			(754	)
Results of real estate acquired in settlement of loans		(32,451	)		(13,491	)		1,368
Other		8,900			4,386			244
Net investment income		356,741			405,518			303,526
Expenses
Expenses payable to PennyMac Financial Services, Inc.:
Loan fulfillment fees		48,719			79,712			62,906
Loan servicing fees (1)		52,522			39,413			18,608
Management fees		35,035			32,410			12,436
Professional services		8,380			8,373			6,053
Compensation		8,328			7,914			7,144
Other		24,293			23,061			9,557
Total expenses		177,277			190,883			116,704
Income before provision for income taxes		179,464			214,635			186,822
(Benefit from) provision for income taxes		(15,080	)		14,445			48,573
Net income	$	194,544		$	200,190		$	138,249
Earnings per share
Basic	$	262		$	313		$	314
Diluted	$	247		$	296		$	314
Weighted-average shares outstanding
Basic		73,495			63,426			43,553
Diluted		82,211			69,448			43,876

(1) Servicing expenses include both special servicing for PMT’s distressed portfolio and subservicing for its mortgage servicing rights.

###

11

EX-99.2

Exhibit 99.2

PennyMac Mortgage Investment Trust February 4, 2015 Fourth Quarter 2014 Earnings Report

4Q14 Earnings Report 2 This presentation contains forward - looking statements within the meaning of Section 21 E 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, from past results discussed herein, or illustrative examples provided herein . Factors which could cause actual results to differ materially from historical results or those anticipated include, but are not limited to : changes in our investment objectives or investment or operational strategies ; volatility in our industry, the debt or equity markets, the general economy or the residential finance and real estate markets ; changes in general business, economic, market, employment and political conditions or in consumer confidence ; declines in residential real estate or significant changes in U . S . housing prices or activity in the U . S . housing market ; availability of, and level of competition for, attractive risk - adjusted investment opportunities in residential mortgage loans and mortgage - related assets that satisfy our investment objectives ; concentration of credit risks to which we are exposed ; the degree and nature of our competition ; our dependence on our manager and servicer, potential conflicts of interest with such entities, and the performance of such entities ; availability, terms and deployment of short - term and long - term capital ; unanticipated increases or volatility in financing and other costs ; the performance, financial condition and liquidity of borrowers ; incomplete or inaccurate information or documentation provided by customers or counterparties, or adverse changes in the financial condition of our customers and counterparties ; the quality and enforceability of the collateral documentation evidencing our ownership and rights in the assets in which we invest ; increased rates of delinquency, default and/or decreased recovery rates on our investments ; increased prepayments of the mortgages and other loans underlying our mortgage - backed securities and other investments ; the degree to which our hedging strategies may protect us from interest rate volatility ; our failure to maintain appropriate internal controls over financial reporting ; our ability to comply with various federal, state and local laws and regulations that govern our business ; changes in legislation or regulations or the occurrence of other events that impact the business, operations or prospects of government agencies, mortgage lenders and/or publicly - traded companies ; the creation of the Consumer Financial Protection Bureau, or CFPB, and enforcement of its rules ; changes in government support of homeownership ; changes in government or government - sponsored home affordability programs ; changes in governmental regulations, accounting treatment, tax rates and similar matters (including changes to laws governing the taxation of real estate investment trusts, or REITs ; limitations imposed on our business and our ability to satisfy complex rules for us 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 our subsidiaries to qualify as REITs or as taxable REIT subsidiaries for U . S . federal income tax purposes and our ability and the ability of our subsidiaries to operate effectively within the limitations imposed by these rules ; and the effect of public opinion on our reputation . 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 . Forward - Looking Statements

3 Fourth Quarter Highlights • Net income of $26.5 million on net investment income of $53.1 million – Diluted earnings per share of $0.34; return on equity of 7% – Dividend of $ 0.61 per share declared on December 10, 2014 – Book value per share declined to $21.18 at December 31, 2014 • Segment pretax income: Investment Activities: $11.0 million; Correspondent Production: $0.9 million • New investments in distressed whole loans, mortgage servicing rights (MSRs), and excess servicing spread (ESS) during the quarter: – Acquired a pool of nonperforming loans totaling $331 million in unpaid principal balance (UPB) – MSR and ESS investments, related to $63 billion in UPB, grew to $549 million at December 31 o Added $32 million in new MSR investments resulting from correspondent production activities o Invested $17 million in ESS on mini - bulk and flow acquisitions of Agency MSRs by PennyMac Financial Services, Inc. (PFSI) related to $2.3 billion in UPB • Generated $103.8 million of cash proceeds from the liquidation of mortgage loans and REO Notable activity after quarter end: • Acquired a pool of nonperforming whole loans totaling $ 310 million in unpaid principal balance (UPB) • Expected to enter into agreements with PFSI relating to the acquisition of approximately $175 million in ESS from Agency MSRs totaling $21 billion in UPB that PFSI is expected to acquire (1) 4 Q14 Earnings Report (1) The MSR acquisitions by PFSI and the Company’s purchase of excess servicing spread are subject to the negotiation and execution of definitive docu men tation, continuing due diligence and customary closing conditions, including required regulatory approvals. There can be no assurance that the committed amounts will ultimately be acquired or that the transactions will be completed at all.

4 Current Market Environment and Outlook 4 Q14 Earnings Report 3.66% 3.0% 3.5% 4.0% 4.5% 5.0% Average 30 - year fixed rate mortgage (1) • Interest rates have continued to fall, to the lowest levels in 18 months, driven by global economic weakness • Policymakers continue to promote housing stimulus, as demonstrated by the reduction in FHA annual premiums (from 1.35% to 0.85%) announced in January • Rate environment and policy moves create a significant market opportunity in mortgage originations – Industry forecasts for 2015 volumes have been raised by as much as 10% • Home price appreciation has moderated – 2015 HPA forecast of 4.9% closer to 30 - year average of 4.1% (3) – Housing values expected to increase in 2015, driven by US macroeconomic improvement • Regulatory scrutiny of mortgage companies continues, highlighting the importance of operational excellence and governance and compliance systems (1) Freddie Mac Primary Mortgage Market Survey. 3.66% as of 01/29/15 (2) Mortgage Bankers Association analysis of FHA data (3) 2015 HPA forecast by Moody’s; 30 - year average change of Case - Shiller national home price index 0.40% 0.60% 0.80% 1.00% 1.20% 1.40% 2009 2010 2011 2012 2013 2014 2015 FHA annual mortgage insurance premium (2) Level not seen since 2011

PMT Aims to Deliver Superior Long - Term Returns to Shareholders 5 MSRs and ESS Prime Non - Agency Loans Agency and Non - Agency MBS Distressed Residential Whole Loans Correspondent Loan Aggregation • Strategies enabled by our relationship with PFSI, e.g.: – Loan fulfillment for correspondent aggregation – Loan servicing, including MSRs and ESS – Sourcing and management of investments, including commercial mortgage loans • Multiple strategies together expected to deliver attractive long - term return on equity even with shifts in the market environment (e.g., fluctuations in interest rates) • Returns to shareholders enhanced through financing, including securitization structures • Quarterly dividend based on performance outlook and expected taxable income for the year 4 Q14 Earnings Report GSE Risk Transfers on PMT’s Production Newer strategies Commercial Real Estate Loans Mortgage - related investments that require specialized operational capabilities

$3,886 $3,827 $4,402 $4,160 $4,358 $0 $500 $1,000 $1,500 $2,000 $2,500 $3,000 $3,500 $4,000 $4,500 $5,000 4Q13 1Q14 2Q14 3Q14 4Q14 6 PMT's Investment Portfolio Continues to Grow and Diversify • More than half of PMT’s investments are distressed whole loans and REO – expected to continue delivering attractive returns • Growing MSRs and ESS and pursuing other new investments • Prudent expansion of debt financing Leverage ratio (1) 1.8x 1.6x 2.0x 1.8x 2.0x (1) All borrowings, including exchangeable senior notes and asset - backed secured financing of the variable interest entity, divided by shareholders’ equity at period end Mortgage Assets ($ in millions) PMT’s L ong - Term Investments Ŷ Retained interests from private - label securitizations Ŷ MSRs and ESS Ŷ Agency and non - Agency RMBS Ŷ Distressed whole loans and REO 4 Q14 Earnings Report Correspondent loan inventory

4Q14 Earnings Report 7 Expansion Into Commercial Real Estate Finance Opportunities New Commercial Loan Originations Legacy Commercial Whole Loan Acquisitions ▪ Market opportunity for a non - bank specialist focused on lending within the nation’s 50 largest MSAs ▪ Nonperforming and sub - performing loans – include classified assets from banks and smaller pools sold by financial institutions and other investors ▪ Maximize returns by actively managing and restructuring loans (e.g., borrowers facing imminent maturity) Highly Fragmented Market (1) 100% = $160bn • PFSI recently launched a new division focused on loans with balances of $1mm - $10mm that finance multifamily and smaller office, retail and mixed - use properties • Complements PFSI and PMT’s existing businesses in residential mortgages and has the potential for attractive returns • PMT is expected to aggregate newly originated loans for eventual securitization and invest in legacy whole loans, leveraging PFSI’s operating platform (e.g., for special servicing) (2) • Current focus of highly experienced management team is building the platform at PFSI (1) Source : SmallBalance.com National Overview – 3rd Quarter, 2013 (2) Agreements between PFSI and PMT remain subject to negotiation 5% 4% 2% 2% 1% 1% <1% <1% <1% <1% <1% <1% <1% <1% <1% All others 79% JP Morgan Wells Fargo Bank of America New York Community Bank BB&T US Bank Signature Bank First Republic Bank TD Bank PNC Bank M&T Bank Bank of the West First Citizens Bank & Trust Regions Bank Astoria Bank FSB All Others

Mortgage Investment Activities

• Two NPL pools; first significant NPL acquisitions by PMT since 1Q14 • Both pools acquired from large banks • Generally have attractive characteristics for PMT’s portfolio strategy, including: – High average property value – Properties located in or close to major cities – Large percentage of borrowers that have equity in the property – Significant modification / reperformance opportunities • Supply of distressed whole loan opportunities remains strong; we remain disciplined in pursuing new investments Opportunistic Distressed Whole Loan Investments 4Q14 Earnings Report 9 (1) Estimated based on broker price opinions in general using “quick sale” values Pool 1 Pool 2 Pool UPB..................................$331mm $310 mm Seller........................................ Large bank Large bank Acquired in................................4Q14 1Q15 Average loan balance............... $459,000 $288,000 Average current LTV .............. 105% 110% % of pool with positive equity .. 53% 49% % that made payment(s) in the last year................................ 32% 36% % of pool previously modified... 29% 60% Top Four States: California................................ 35% 24% New York................................ 14% 15% New Jersey............................ 10% 12% Florida.................................... 6% 14% Selected Pool Attributes (1) (1)

$2.4 $1.9 $2.9 $3.5 $2.8 $3.3 $2.9 $4.0 $4.4 $4.4 $6.0 $5.5 $8.1 $8.4 $7.5 $0 $2 $4 $6 $8 $10 4Q13 1Q14 2Q14 3Q14 4Q14 Govt Jumbo Conventional Conforming Total Locks Correspondent Production Volume and Mix 10 Correspondent Business Reflects Competition and Seasonally Lower Volumes (1) For Government loans, PMT earns a sourcing fee and interest income for its holding period and does not pay a fulfillment fee (2) Debt - to - income ratio; excludes streamlined loans ($ in billions) UPB • Correspondent acquisitions totaled $7.3 billion, down 10% Q/Q – Conventional conforming and jumbo acquisitions were $2.9 billion; locks were $3.0 billion – Total lock volume of $7.5 billion, down 11% Q/Q • Percentage of PMT’s volume decline exceeded that of the total origination market • January correspondent acquisitions totaled $2.3 billion; locks totaled $2.4 billion • Continue to add seller relationships – Target 480 by year end • Grow market share from newer sellers and under - represented states • Significant opportunity to grow prime non - Agency (jumbo ) product share (1) (1) 4 Q14 Earnings Report 4Q14 3Q14 Correspondent seller relationships 344 342 Purchase money loans, as a % of total 76% 79% acquisitions WA FICO WA DTI (2) Conventional conforming 742 36% 41 Jumbo 768 32% Selected Operational Metrics Selected Credit Metrics for 4Q14

($ in thousands) Quarter Ended Dec 31, 2014 As % of Interest Rate Lock Commitments (1) Revenues: Net gain on mortgage loans acquired for sale 5,945$ 0.20% Net interest income 3,371 0.11% Other income 4,925 0.16% 14,241$ 0.47% Expenses: Loan fulfillment, servicing, and management fees payable to PennyMac Financial Services, Inc. Other 1,110 0.04% 13,295$ 0.44% Pretax income 946$ 0.03% 12,185$ 0.40% Correspondent Production Segment Correspondent Results Reflect Continued Tight Margins 11 • Pretax income continues to reflect strong competition in the correspondent market for conventional conforming loans – Revenues declined from 0.54% of interest rate lock commitments in 3Q14 • Short inventory holding periods and low - cost debt financing produce solid returns on equity and an ongoing MSR investment for PMT • Fulfillment fee expense fell $3.6 million Q/Q due to a 21% decline in conventional funding volume; average fulfillment fee paid for the quarter was 41bp, down from 42bp in 3Q14 (2) (1) Conventional conforming and jumbo interest rate lock commitments (2) Fulfillment fees are based on funding volumes. Contractual fulfillment fee is in general 0.50% of the funding of conventional and jumbo loans, subject to reductions at specified volumes and discretionary reductions by PFSI . Note: Figures may not sum exactly due to rounding 4 Q14 Earnings Report (2)

$429 $452 $506 $533 $549 $0 $10,000 $20,000 $30,000 $40,000 $50,000 $60,000 $70,000 $0 $100 $200 $300 $400 $500 $600 4Q13 1Q14 2Q14 3Q14 4Q14 MSR and ESS Investments Continue to Grow 12 ($ in millions) • Continued portfolio growth as investments in MSR and ESS reached $549 million, related to underlying loans with a UPB of $63 billion, at December 31, 2014 – Organic growth in MSR investments resulting from correspondent production activity – New investments in ESS totaling $17 million resulting from mini - bulk and flow MSR acquisitions by PFSI MSR and ESS Assets at Period End Fair value on balance sheet Related UPB Ŷ MSRs Ŷ Excess servicing spread (ESS) Ŷ UPB (right axis) 4 Q14 Earnings Report See slides 22 and 23 in the appendix for additional information.

13 Expected Investments in ESS Related to $21bn of Agency MSR Acquisitions 4 Q14 Earnings Report See slides 22 and 23 in the appendix for additional information. ▪ Seasoned, high - quality Agency loans ▪ Low mortgage rate environment results in refinance recapture opportunities ▪ Co - investment by PMT in the excess servicing spread cash flows ▪ Pending acquisitions reflect PFSI’s track record in successfully transferring bulk MSR portfolios and best - in - class operational platform that is well - positioned for further growth opportunities Summary of Pending Acquisitions (1) Unpaid Principal Balance $20.8 billion Weighted Avg. Note Rate 3.86% Delinquent Loans 4.25% Weighted Avg. Time Since Origination 20 months Total Servicing Fee 33.4 bp Excess Servicing Fee 17.5 bp Expected Investment $175 million (1) The MSR acquisitions by PFSI and the Company’s purchase of excess servicing spread are subject to the negotiation and execution of definitive docu men tation, continuing due diligence and customary closing conditions, including required regulatory approvals. There can be no assurance that the committed amounts will ultimately be acquired or that the transactions will be completed at all.

Financial Results

Investment Correspondent Total Pretax ($ in millions) Activities Lending Income 4Q13 48.4$ 6.3$ 54.7$ 1Q14 33.1$ 3.1$ 36.3$ 2Q14 70.9$ 2.4$ 73.3$ 3Q14 55.1$ 2.8$ 57.9$ 4Q14 11.0$ 0.9$ 11.9$ 15 Pretax Income by Operating Segment Note: Figures may not sum exactly due to rounding 4 Q14 Earnings Report ▪ Fourth quarter net income included a tax benefit of $14.6 million – Benefit related to a loss in the taxable REIT subsidiary and an improvement in that entity’s estimated tax rate

16 4 Q14 Investment Activities Segment Results • Segment revenue decreased 55% Q/Q: – Net gain on investments decreased 78% Q/Q, driven by: o Lower valuation gains on distressed loans coupled with losses on ESS and retained interests from jumbo securitization – Net interest income increased 18% Q/Q, driven by: o Increased capitalized interest from loan modifications which totaled $14.1 million versus $10.5 million in 3Q14 (2) – Net servicing fee revenue increased 6% Q/Q driven by: o Higher servicing fee revenue from a growing MSR portfolio o Partially offset by MSR impairment and fair value changes due to higher future prepayment expectations • Expenses fell 11% Q/Q: – Loan servicing fees declined 7 % due to a smaller distressed loan portfolio and seasonally lower resolution activity – Incentive fees fell 12% related to PMT’s 4Q14 reduced performance (1) Servicing fees include both special servicing for PMT’s distressed portfolio and subservicing for PMT’s mortgage servicing rights (2) Capitalized interest from loan modifications increases interest income and generally reduces gains from loan valuations 4 Q14 Earnings Report Quarter Ended ($ in thousands) December 31, 2014 September 30, 2014 Revenues: Net gain on investments: Mortgage loans at fair value 20,676$ 81,296$ Mortgage loans held by variable interest entity net of asset-backed secured financing (5,370) (1,554) Mortgage-backed securities 3,394 (1,957) Excess spread investment (3,000) (7,395) 15,700 70,390 Net interest income Interest income 36,174 33,509 Interest expense 18,226 18,360 17,948 15,149 Net loan servicing fees 11,181 10,533 Other (6,011) (9,642) Total revenues 38,818 86,430 Expenses: Servicing and Management fees payable to PennyMac Financial Services, Inc. (1) Other 8,270 9,744 Total expenses 27,824 31,289 Pretax income 10,994$ 55,141$ 19,554 21,545

($ in thousands) Quarter ended December 31, 2014 Gain on Proceeds liquidation (2) Mortgage loans 44,130$ 6,349$ 3,191$ REO 59,673 3,732 4,013 103,803$ 10,081$ 7,204$ Accumulated gains (1) ($ in thousands) December 31, 2014 September 30, 2014 Valuation Changes: Performing loans 4,831$ 23,255$ Nonperfoming loans 12,653 51,913 17,484 75,168 Payoffs 3,191 5,866 Sales - 262 20,675$ 81,296$ Quarter ended 17 Investment Gains and Cash Flows from the Distressed Loan Portfolio • Net gains on distressed loans totaled $20.7 million, a decrease from $81.3 million in 3Q14 – During the quarter, valuation gains were adversely impacted by a decrease in current home price levels versus prior forecasts and lowered expectation for future price appreciation – Seasonally lower reperformance and other resolution activities also contributed to the decline in valuation gains compared to the prior quarter – Investor demand for performing and nonperforming loans remained strong during the quarter • Cash proceeds from liquidation activity on loans and REO totaled $103.8 million – Accumulated gains on assets liquidated during the quarter were $10.1 million, and gains on liquidation were $7.2 million Net Gains on Mortgage Loans Cash Proceeds and Gain on Liquidation (1) Represents valuation gains and losses recognized during the period we held the respective asset, but excludes the gain or los s r ecorded upon sale or repayment of the respective asset (2) Represents the gain or loss recognized as of the date of sale or repayment of the respective asset 4 Q14 Earnings Report

At 12/31/14 Under lower of amortized cost or fair value Under fair value Fair value UPB $28,007 $6,279 $28,227 Weighted average coupon 3.80% 4.78% 4.19% Prepayment speed assumption (CPR) 8.8% 11.4% 11.1% Weighted average servicing fee/spread 0.26% 0.25% 0.16% Fair value $322.2 $57.4 $191.2 As multiple of servicing fee 4.49 3.62 4.23 Carrying (accounting) value $300.4 $57.4 $191.2 ($ in millions) Mortgage Servicing Rights Excess Servicing Spread 18 Valuation of MSRs and Excess Servicing Spread (ESS) • PMT carries most of its MSRs at the lower of amortized cost or fair value (LOCOM) – MSRs where the note rate on the underlying loan is less than or equal to 4.5% • The fair value of MSRs carried at LOCOM was $ 21.8 million in excess of the carrying value at December 31, 2014, compared to $ 24.2 million at September 30 , 2014 4 Q14 Earnings Report

19 4Q14 Correspondent Production Segment Results • Segment revenue totaled $14.2 million, a 29% decline from 3 Q14 – Net gain on mortgage loans declined 37% Q/Q due to: o Conventional conforming loan market remained highly competitive o Seasonal decline in volume • Expenses declined 23% from 3Q14 : – Fulfillment fee expense decreased due to lower volume of conventional conforming and jumbo loan acquisitions, in addition to a lower average fulfillment fee o Average fulfillment fee decreased to 41bp in 4Q14 from 42bp in 3Q14 Quarter Ended ($ in thousands) December 31, 2014 September 30, 2014 Revenues: Net gain on mortgage loans acquired for sale 5,945$ 9,509$ Net interest income Interest income 7,074 7,727 Interest expense 3,703 3,660 3,371 4,067 Other income 4,925 6,524 Total revenues 14,241 20,100 Expenses: Loan fulfillment fees and management fees payable to PennyMac Financial Services, Inc Other 1,110 1,410 Total expenses 13,295 17,310 Pretax income 946$ 2,790$ 12,185 15,900 4 Q14 Earnings Report

Appendix

$0.81 $0.83 $0.90 $0.86 $0.57 $0.69 $0.50 $0.93 $0.69 $0.34 $0.57 $0.57 $0.57 $0.57 $0.57 $0.59 $0.59 $0.59 $0.61 $0.61 $21.18 $18.00 $19.00 $20.00 $21.00 $22.00 $0.00 $0.25 $0.50 $0.75 $1.00 3Q12 4Q12 1Q13 2Q13 3Q13 4Q13 1Q14 2Q14 3Q14 4Q14 Diluted EPS (left axis) Dividend (left axis) Book value per share (right axis) 21 PMT Dividends and Book Value Over Time 17% 18% 18% 11% 14% 10% 19% 7 % Return on Equity (2) (1) At period end. Book value per share in 4Q13 was reduced by two dividends declared in that quarter. ( 2) Return on average equity during the respective quarter; return on average equity is calculated based on annualized quarterly net income as a percentage of monthly average shareholders’ equity during the period. 14% 16% Book value per share (1) EPS & Dividend 4 Q14 Earnings Report

Opportunity for PFSI and PMT in MSR Acquisitions 22 Why Are MSR Sales Occurring? How Do MSRs Come to Market? • Large servicers are selling MSRs due to continuing operational pressures, higher regulatory capital requirements for banks (treatment under Basel III) and a re - focus on core customers/businesses • Independent mortgage banks are selling MSRs due to reduced origination volumes, operational losses, and a need for capital • Intermittent large bulk portfolio sales ($10+ billion in UPB) – Require considerable coordination with selling institutions and Agencies • Mini - bulk sales (typically $500 million to $5 billion in UPB) – Increased activity as originators sell MSRs retained in 2012 and 2013 • Flow/co - issue MSR transactions (monthly commitments, typically $ 20 - 100 million in UPB) – Alternative delivery method typically from larger independent originators Which MSR Transactions Are Attractive? • GSE and Ginnie Mae servicing in which PFSI has distinctive expertise • MSRs sold and operational servicing transferred to PFSI (not subserviced by a third party) • Measurable rep and warranty liability for PFSI PFSI is uniquely positioned be a successful acquirer of MSRs • Proven track record of complex MSR and distressed loan transfers • Operational platform that addresses the demands of the Agencies, regulators, and financing partners • Physical capacity in place to service $200 billion in UPB • Co - investment opportunity for PMT in the excess servicing spread 4 Q14 Earnings Report

PMT's Excess Servicing Spread Investments in Partnership with PFSI 23 4 Q14 Earnings Report (1) The contractual servicer and MSR owner is PennyMac Loan Services, LLC, an indirect subsidiary of PennyMac Financial Services, Inc. (2) Subject and subordinate to Agency rights (under the related servicer guide); does not change the contractual servicing fee pa id by the Agency to the servicer. Excess Servicing Spread (e.g., 12.5bp) MSR Asset (e.g., 25bp servicing fee) Acquired by PFSI from Third - Party Seller (1) ▪ PMT co - invests in Agency MSR acquired from third - party sellers by PFSI ▪ PMT acquires the right to receive the excess servicing spread cash flows over the life of the underlying loans ▪ PFSI owns the MSR and services the loans Excess Servicing Spread (2) ▪ Interest income from a portion of the contractual servicing fee – Realized yield dependent on prepayment speeds and recapture Base MSR ▪ Income from a portion of the contractual servicing fee ▪ Also entitled to ancillary income ▪ Bears expenses of performing loan servicing activities ▪ Required to advance certain payments largely for delinquent loans Base MSR (e.g., 12.5bp) Acquired by PMT from PFSI (1) Example transaction: actual transaction details may vary materially

- 3.0% - 2.0% - 1.0% 0.0% 1.0% 2.0% 3.0% 4.0% - 100 - 75 - 50 - 25 0 25 50 75 100 "Long" Assets MSRs/ESS and Hedges Net Exposure (2) • PMT’s interest rate risk exposure is managed on a “global” basis – Disciplined hedging – Multiple mortgage - related investment strategies with complementary interest rate sensitivities • In a hypothetical 100 bps drop in interest rates, the estimated fair value loss would be less than 1% of shareholders’ equity (1) Management of PMT’s Interest Rate Risk (1) 24 Estimated Sensitivity to Changes in Interest Rates % change in PMT shareholders’ equity At 12/31/14 (1) Analysis does not include PMT assets for which interest rates are not a key driver of values, i.e ., distressed whole loans and REO. The sensitivity analyses on the slide and the associated commentary are limited in that they are estimates as of December 31, 2014; only reflect movements in interest rates and do not contemplate other variables; do not incorporate changes in the variables in relation to other variables; are subject to the accuracy of various models and assumptions used; and do not inc orporate other factors that would affect the Company’s overall financial performance in such scenarios, including operational adjustments made by management to account for changing circums tan ces. For these reasons, the preceding estimates should not be viewed as an earnings forecast . ( 2) Includes loans acquired for sale and IRLCs, net of associated hedges, Agency and Non - Agency MBS assets ( 3) Includes MSRs, ESS, and hedges which include put and call options on MBS, Eurodollar futures and Treasury futures (4) Net exposure represents the net position of the “Long” Assets Position and the MSR/ESS Investments and Hedges (3) (4) 4 Q14 Earnings Report Instantaneous parallel shock in interest rates (in bps)

($ in millions) 4Q13 1Q14 2Q14 3Q14 4Q14 Fundings Conventional 2,419$ 1,907$ 2,911$ 3,509$ 2,772$ Government 3,340 2,913 3,991 4,378 4,389 Jumbo 14 13 81 169 116 Total 5,773$ 4,833$ 6,983$ 8,056$ 7,276$ Locks Conventional 2,532$ 2,163$ 3,393$ 3,554$ 2,844$ Government 3,455 3,282 4,398 4,621 4,473 Jumbo 20 66 314 199 172 Total 6,008$ 5,512$ 8,105$ 8,373$ 7,489$ Fundings and Locks by Product 25 Note: Figures may not sum exactly due to rounding 4 Q14 Earnings Report

Distressed Portfolio by Acquisition Period 26 (1) Ratio of unpaid principal balance remaining to unpaid principal balance at acquisition 4 Q14 Earnings Report Purchase 4Q14 Purchase 4Q14 Purchase 4Q14 Purchase 4Q14 Balance ($mm) 182.7$ 39.8 Balance ($mm) 195.5$ 32.5 Balance ($mm) 146.2$ 23.6 Balance ($mm) 277.8$ 59.8 Pool Factor (1) 1.00 0.22 Pool Factor (1) 1.00 0.17 Pool Factor (1) 1.00 0.16 Pool Factor (1) 1.00 0.22 Current 6.2% 26.8% Current 5.1% 25.4% Current 1.2% 18.1% Current 5.0% 27.4% 30 1.6% 6.7% 30 2.0% 7.7% 30 0.4% 6.8% 30 4.0% 9.9% 60 5.8% 3.8% 60 4.1% 5.0% 60 1.3% 6.8% 60 5.1% 5.2% 90+ 37.8% 12.8% 90+ 42.8% 18.7% 90+ 38.2% 23.0% 90+ 26.8% 16.9% FC 46.4% 36.9% FC 45.9% 30.2% FC 58.9% 27.7% FC 59.1% 25.4% REO 2.3% 13.0% REO 0.0% 13.0% REO 0.0% 17.5% REO 0.0% 15.1% Purchase 4Q14 Purchase 4Q14 Purchase 4Q14 Purchase 4Q14 Balance ($mm) 515.1$ 159.6 Balance ($mm) 259.8$ 89.7 Balance ($mm) 542.6$ 158.2 Balance ($mm) 49.0$ 25.7 Pool Factor (1) 1.00 0.31 Pool Factor (1) 1.00 0.35 Pool Factor (1) 1.00 0.29 Pool Factor (1) 1.00 0.53 Current 2.0% 22.8% Current 11.5% 26.2% Current 0.6% 22.4% Current 0.2% 27.0% 30 1.9% 5.0% 30 6.5% 9.0% 30 1.3% 5.5% 30 0.1% 3.9% 60 3.9% 2.9% 60 5.2% 5.0% 60 2.0% 3.3% 60 0.2% 8.2% 90+ 25.9% 19.2% 90+ 31.2% 25.6% 90+ 22.6% 22.4% 90+ 70.4% 27.9% FC 66.3% 37.6% FC 43.9% 20.2% FC 73.0% 30.8% FC 29.0% 24.2% REO 0.0% 12.6% REO 1.7% 14.0% REO 0.4% 15.5% REO 0.0% 8.7% Purchase 4Q14 Purchase 4Q14 Purchase 4Q14 Balance ($mm) 402.5$ 149.1 Balance ($mm) 357.2$ 191.6 Balance ($mm) 290.3$ 174.9 Pool Factor (1) 1.00 0.37 Pool Factor (1) 1.00 0.54 Pool Factor (1) 1.00 0.60 Current 45.0% 30.9% Current 0.0% 20.8% Current 3.1% 27.9% 30 4.0% 11.9% 30 0.0% 3.1% 30 1.3% 8.1% 60 4.3% 6.7% 60 0.1% 1.7% 60 5.4% 4.6% 90+ 31.3% 22.8% 90+ 49.1% 17.8% 90+ 57.8% 18.1% FC 15.3% 20.4% FC 50.8% 37.0% FC 32.4% 24.2% REO 0.1% 7.3% REO 0.0% 19.5% REO 0.0% 17.1% No Pools Purchased in this Quarter. 1Q12 2Q12 3Q12 4Q12 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11

Purchase 4Q14 Purchase 4Q14 Purchase 4Q14 Purchase 4Q14 Balance ($mm) 366.2$ 231.2 Balance ($mm) 397.3$ 312.5 Balance ($mm) 929.5$ 761.5 Balance ($mm) 507.3$ 458.5 Pool Factor (1) 1.00 0.63 Pool Factor (1) 1.00 0.79 Pool Factor (1) 1.00 0.82 Pool Factor (1) 1.00 0.90 Current 1.6% 37.4% Current 4.8% 21.3% Current 0.8% 16.7% Current 1.4% 10.6% 30 1.5% 9.6% 30 7.4% 6.3% 30 0.3% 1.9% 30 0.2% 1.5% 60 3.5% 4.4% 60 7.6% 4.5% 60 0.7% 1.1% 60 0.0% 0.5% 90+ 82.2% 19.0% 90+ 45.3% 25.3% 90+ 58.6% 23.7% 90+ 38.3% 20.7% FC 11.2% 19.2% FC 34.9% 28.6% FC 39.6% 39.7% FC 60.0% 53.6% REO 0.0% 10.5% REO 0.0% 14.0% REO 0.0% 16.9% REO 0.0% 13.2% Purchase 4Q14 Purchase 4Q14 Balance ($mm) 439.0$ 399.8 Balance ($mm) 37.9$ 35.9 Pool Factor (1) 1.00 0.91 Pool Factor (1) 1.00 0.95 Current 6.2% 13.1% Current 0.7% 6.4% 30 0.7% 1.5% 30 0.6% 2.1% 60 0.7% 1.7% 60 1.4% 5.0% 90+ 37.5% 16.4% 90+ 59.0% 37.9% FC 53.8% 56.9% FC 38.2% 42.7% REO 1.1% 10.3% REO 0.0% 5.8% 1Q14 2Q14 3Q14 1Q13 2Q13 3Q13 4Q13 No Pools Purchased in this Quarter. Distressed Portfolio by Acquisition Period (cont.) 27 (1) Ratio of unpaid principal balance remaining to unpaid principal balance at acquisition 4 Q14 Earnings Report

$664 $939 $935 $0 $500 $1,000 $1,500 $2,000 $2,500 Fair Value on Balance Sheet Collateral Value Unpaid Principal Balance $1,535 $2,140 $2,247 $0 $500 $1,000 $1,500 $2,000 $2,500 Fair Value on Balance Sheet Collateral Value Unpaid Principal Balance 28 Nonperforming Loans ( at December 31, 2014) Performing Loans (at December 31, 2014) • Nonperforming loans are held on the balance sheet at fair value which is less than both the UPB and collateral value – Returns realized over time through property resolution strategies, including short sales and deeds - in - lieu of foreclosure • Performing loans are held on the balance sheet at fair value which is less than both the UPB and collateral value – Returns realized over time through interest income, restructure / refinance disposition strategies, and bulk loan sales Carrying Values for PMT’s Distressed Whole Loans (in millions) (in millions) 4 Q14 Earnings Report