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): November 5, 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:

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

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

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

¨ 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 November 4, 2015, PennyMac Mortgage Investment Trust (the “Company”) issued a press release announcing its financial results for the fiscal quarter ended September 30, 2015. 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 November 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 November 4, 2015, issued by PennyMac Mortgage Investment Trust pertaining to its financial results for the fiscal quarter ended September 30, 2015.
99.2	Slide Presentation for use beginning on November 4, 2015 in connection with a recorded presentation of financial results for the fiscal quarter ended September 30, 2015.

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: November 5, 2015	/s/ Anne D. McCallion
	Anne D. McCallion
	Chief Financial Officer

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EXHIBIT INDEX

Exhibit No.	Description
99.1	Press Release, dated November 4, 2015, issued by PennyMac Mortgage Investment Trust pertaining to its financial results for the fiscal quarter ended September 30, 2015.
99.2	Slide Presentation for use beginning on November 4, 2015 in connection with a recorded presentation of financial results for the fiscal quarter ended September 30, 2015.

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EX-99.1

Exhibit 99.1

Investors and Media

Christopher Oltmann

(818) 224-7028

PennyMac Mortgage Investment Trust Reports

Third Quarter 2015 Results

Moorpark, CA, November 4, 2015 – PennyMac Mortgage Investment Trust (NYSE: PMT) today reported net income of $38.8 million, or $0.49 per diluted share, for the third quarter of 2015, on net investment income of $90.8 million. PMT previously announced a cash dividend for the third quarter of 2015 of $0.47 per common share of beneficial interest, which was declared on September 21, 2015 and paid on October 29, 2015.

Third Quarter 2015 Highlights

Financial results:

· Diluted earnings per common share of $0.49, up 36 percent from the prior quarter

· Net income of $38.8 million, up 38 percent from the prior quarter

· Net investment income of $90.8 million, up 30 percent from the prior quarter

· Book value per share of $20.52, up from $20.39 at June 30, 2015

· Return on average equity of 10 percent, up from 7 percent for the prior quarter¹

· Purchased $16 million in PMT common shares, or 11% of the $150 million authorized under the previously announced share repurchase program

___________________________

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:

· Mortgage servicing rights (MSR) and excess servicing spread (ESS) investments, related to $94.1 billion in unpaid principal balance (UPB), grew to $842 million at September 30, 2015

o Added $53 million in new MSR investments resulting from correspondent production activities

o Invested $84 million in ESS on mini-bulk and flow acquisitions of Agency MSRs acquired by PennyMac Financial Services, Inc. (NYSE: PFSI) relating to $10.0 billion in UPB

· Completed $40 million investment from initial credit risk transfer transaction with Fannie Mae on $1.2 billion of PMT’s production and launched a second transaction expected to total $4.0 billion of PMT’s production²

“PMT’s third quarter earnings were consistent with our expectations from the present investment portfolio and benefited from improved performance in our distressed loan investments, correspondent production, and our interest rate sensitive strategies,” said Stanford L. Kurland, PMT's Chairman and Chief Executive Officer. “We completed our first investment in a GSE credit risk transfer on PMT’s loan production and launched a second transaction with Fannie Mae which we expect to complete in early 2016. PMT’s access to these types of unique and organically sourced mortgage-related investments further distinguishes it from other mortgage REITs. We also deployed capital in repurchasing our common shares at prices that we believe represent an attractive investment opportunity for PMT.”

PMT reported pretax income of $45.1 million for the quarter ended September 30, 2015, compared to pretax income of $25.1 million in the second quarter of 2015.

_____________________________

² Although definitive documentation has been executed, this credit risk transfer transaction is subject to continuing due diligence and customary closing conditions, including required regulatory approvals. There can be no assurance regarding the size of the transaction or that the transaction will be completed at all.

2

The following table presents the components of net investment income by asset:

	Quarter ended September 30, 2015
	Net gain
	(loss) on			Interest		Total
	investments			income		revenue
Assets:	(in thousands)
Short-term investments	$	–		$	115	$	115
Mortgage-backed securities		3,224			2,614		5,838
Mortgage loans:
At fair value		31,909			24,364		56,273
Held by variable interest entity		1,609			5,598		7,207
Asset-backed secured financing		(3,940	)		–		(3,940	)
		(2,331	)		5,598		3,267
Acquired for sale at fair value		13,884			20,704		34,588
Total mortgage loans		43,462			50,666		94,128
Excess spread investment		(7,844	)		8,026		182
Other		–			17		17
	$	38,842		$	61,438	$	100,280

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

	Quarter ended September 30, 2015
	Investment			Correspondent
	Activities			Production		Consolidated
	(in thousands)
Net investment income:
Net interest income
Interest income	$	47,690		$	13,748	$	61,438
Interest expense		31,390			6,370		37,760
		16,300			7,378		23,678
Net loan servicing fees		20,791			–		20,791
Net gain on mortgage loans acquired for sale		–			13,884		13,884
Net gain on investments		24,958			–		24,958
Other investment income		(1,691	)		9,154		7,463
		60,358			30,416		90,774
Expenses:
Loan Fulfillment, Servicing and Management fees payable to PennyMac Financial Services, Inc.		16,664			18,367		35,031
Other		8,760			1,876		10,636
		25,424			20,243		45,667
Pretax income	$	34,934		$	10,173	$	45,107

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Investment Activities Segment

The Investment Activities segment generated pretax income of $34.9 million on revenues of $60.4 million in the third quarter, compared to $19.9 million on revenues of $47.0 million in the second quarter. Net gain on investments totaled $25.0 million in the third quarter, compared to $22.6 million in the second quarter. Net gain on investments for the third quarter included valuation gains on distressed loans and mortgage-backed securities (MBS) totaling $35.1 million, partially offset by losses of $10.2 million related to ESS and mortgage loans held by a variable interest entity, net of valuation gains on the related asset-backed secured financing.

Net interest income earned on PMT’s investments in distressed loans, ESS, MBS and mortgage loans held by a variable interest entity increased to $40.6 million, a 16 percent increase from the second quarter. Interest income from distressed loans includes capitalized interest from loan modifications, which increases interest income and tends to reduce loan valuation gains, totaling $14.8 million. Other components of interest income include $8.0 million from ESS and $7.0 million on loans delivered into PMT’s initialcredit risk transfer transaction before sale to Fannie Mae.

Net loan servicing fees were $20.8 million in the third quarter, up from $13.0 million in the second quarter. The higher income was driven bystrong hedge results which offset fair value losses and provisioning for impairment on MSRs; these hedging activities are intended to manage PMT’s net exposure across all interest rate strategies.

A decline in mortgage rates during the quarter resulted in valuation losses on ESS and MSRs and impairment provisioning due to higher projected prepayment activity. ESS and MSR valuation losses were partially offset by recapture income payable to PMT for prepayment activity during the quarter totaling$2.4 million and $0.7 million, respectively. When prepayments result in a refinancing by PFSI, PMT generally benefits from recapture income.

Other investment losses were $1.7 million, compared to a $13 thousand gain in the second quarter, driven byhigher property preservation expenses and servicing advances related to PMT’s growing inventory of real estate owned (REO) properties.

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During the third quarter, PMT completed the acquisition of a $40.0 million security from its initial credit risk transfer transaction with Fannie Mae. The security represents an investment in the credit risk related to $1.2 billion of conventional conforming loans from PMT’s correspondent production business. PMT also entered into a second credit risk transfer transaction with Fannie Mae related to $4.0 billion of loans that is expected to be completed in early 2016.

Segment expenses were $25.4 million in the third quarter, down from $27.1 million in the second quarter due to declines in activity-based special servicing fees and management fees.

Distressed Mortgage Investments

PMT’s distressed mortgage loan portfolio generated realized and unrealized gains totaling $31.9 million in the third quarter, compared to $30.1 million in the second quarter. Of the gains in the third quarter, $2.9 million was realized through payoffs in which collections on the loan balances were at levels higher than their recorded fair values.

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

	Quarter ended
	September 30, 2015			June 30, 2015
	(in thousands)
Valuation changes:
Performing loans	$	6,007		$	3,308
Nonperforming loans		23,051			23,867
		29,058			27,175
Gain on payoffs		2,911			2,628
Gain (loss) on sales		(60	)		265
	$	31,909		$	30,068

In the third quarter, the portfolios of performing and nonperforming loans increased in fair value by $6.0 million and $23.1 million, respectively.Valuation gains benefited from higher actual home prices versus prior forecasts, partially offset by a reduction in the outlook for future home price appreciation. Additionally, improving home prices increased the expected realization value of certain properties transitioning from foreclosure to REO status during the third quarter. Expectations for home price appreciation in PMT’s distressed loan portfolio over the next twelve months are 3.9%, unchanged from June 30, 2015³.

_________________________

³ Weighted average twelve-month projected housing price index change.

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The distressed loan portfolio also experienced valuation gains resulting from improvement in observed market prices for reperforming loans during the quarter as well as improved payment history of the reperforming loans owned by PMT.

Mortgage Servicing Rights

PMT’s MSR portfolio, which is subserviced by PFSI, grew to $39.9 billion in UPB compared to $37.1 billion at June 30, 2015. Servicing fee revenue of $25.5 million was reduced by $11.3 million for amortization. Impairment and fair value changes totaled $13.1 million for the third quarter, which were offset by $19.1 million of gains on hedging derivatives. These impacts resulted in net loan servicing revenue of $20.8 million, up from $13.0 million in the second quarter.

The following schedule details the net loan servicing fees:

	Quarter ended
	September 30, 2015			June 30, 2015
	(in thousands)
Net loan servicing fees
Servicing fees (1)	$	25,500		$	25,887
MSR recapture fee receivable from PFSI		670			–
Effect of MSRs:
Carried at lower of amortized cost or fair value
Amortization		(11,334	)		(9,987	)
Provision for impairment		(7,845	)		7,082
Gain on sale		4			–
Carried at fair value - change in fair value		(5,267	)		6,307
Gains on hedging derivatives		19,063			(16,272	)
		(5,379	)		(12,870	)
Net loan servicing fees	$	20,791		$	13,017

(1) Includes contractually specified servicing revenue.

6

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 September 30, 2015, PMT’s Correspondent Production segment generated pretax income of $10.2 million, versus $5.2 million in the second quarter. Revenues totaled $30.4 million, up 34 percent from the second quarter, driven by higher net gains on loans acquired for sale and an increase in loan acquisition volumes which resulted in higher loan origination fee revenue and net interest income.

Through its correspondent production activities in the third quarter, PMT acquired $14.4 billion in UPB of loans and issued IRLCs totaling $13.6 billion, compared to $11.9 billion and $14.4 billion, respectively, in the second quarter. Of the correspondent acquisitions, conventional conforming and jumbo volumes totaled $4.1 billion, and government insured or guaranteed volumes totaled $10.3 billion compared to $3.6 billion and $8.3 billion, respectively, in the second quarter.

Net gain on mortgage loans acquired for sale totaled $13.9 million in the third quarter compared to $11.2 million last quarter. Segment revenues in the third quarter also included$9.1 million of loan origination fees and net interest income of $7.4 million. The third quarter results reflect a robust mortgage origination market primarily driven by continued low mortgage rates, in addition to increased market share for PMT’s correspondent production business resulting from successful execution of its growth initiatives.

7

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

	Quarter ended
	September 30, 2015			June 30, 2015
	(in thousands)
Net gain on mortgage loans acquired for sale
Receipt of MSRs in loan sale transactions	$	52,814		$	32,176
Provision for representation and warranties		(1,833	)		(1,419	)
Cash investment (1)		(28,689	)		(32,505	)
Fair value changes of pipeline, inventory and hedges		(8,408	)		12,923
	$	13,884		$	11,175

(1) Includes cash hedge expense

Segment expenses increased 15 percent quarter-over-quarter to $20.2 million, primarily due to higher loan fulfillment fee expense resulting from the 14 percent increase in conventional loan acquisition volumes. The weighted average fulfillment fee rate in the third quarter was 43 basis points, unchanged from the prior quarter.

Management Fees and Taxes

Management fees decreased by one percent from the second quarter to $5.7 million. There were no incentive fees for the third quarter as a result of PMT’s financial performance over the four-quarter period for which incentive fees are calculated.

PMT recorded a provision for income tax of $6.3 million in the third quarter, versus an income tax benefit of $3.0 million in the second quarter.

Mr. Kurland concluded, “PMT’s improved financial performance in the third quarter reflects our focus on maximizing returns from existing investments and deploying capital in unique mortgage-related strategies. We are allocating capital to investments in mortgage servicing rights, GSE credit risk transfers and other mortgage-related securities as opportunities for investing in distressed mortgage loans are diminished. We believe that these strategies will also improve the predictability of PMT’s earnings and drive increased shareholder value over time.”

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, November 4, 2015.

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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, including any new lines of business or new products and services that may subject us to additional risks; volatility in our industry, the debt or equity markets, the general economy or the real estate finance and real estate markets specifically; events or circumstances which undermine confidence in the financial markets or otherwise have a broad impact on financial markets; changes in general business, economic, market, employment and 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 our investment objectives; the inherent difficulty in winning bids to acquire distressed loans or correspondent loans, and our success in doing so; the concentration of credit risks to which we are exposed; the degree and nature of our competition; the availability, terms and deployment of short-term and long-term capital; the adequacy of our cash reserves and working capital; our ability to maintain the desired relationship between our financing and the interest rates and maturities of our assets; the timing and amount of cash flows, if any, from our investments; unanticipated increases or volatility in financing and other costs, including a rise in interest rates; 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; changes in the number of investor repurchases or indemnifications and our ability to obtain indemnification or demand repurchase from our correspondent sellers; 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 or relating to our mortgage servicing rights, excess servicing spread and other investments; the degree to which our hedging strategies may or may not protect us from interest rate volatility; the effect of the accuracy of or changes in the estimates we make about uncertainties, contingencies and asset and liability valuations when measuring and reporting upon our financial condition and results of operations; changes in regulations or the occurrence of other events that impact the business, operation or prospects of government sponsored enterprises; changes in government support of homeownership; changes in governmental regulations, accounting treatment, tax rates and similar matters; our ability to satisfy complex rules in order to qualify as a REIT for U.S. federal income tax purposes; and our ability to make distributions to our shareholders in the future. 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.

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PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED BALANCE SHEETS

.	September 30, 2015		June 30, 2015		September 30, 2014
	(in thousands except share data)
ASSETS
Cash	$	89,303	$	114,698	$	46,487
Short-term investments		31,518		32,417		37,452
Mortgage-backed securities at fair value pledged to secure securities sold under agreements to repurchase and Federal Home Loan Bank advances		315,599		287,626		267,885
Mortgage loans acquired for sale at fair value		1,050,296		2,213,874		688,850
Mortgage loans at fair value		2,637,730		2,730,820		2,561,911
Excess servicing spread purchased from PennyMac Financial Services, Inc.		418,573		359,102		187,368
Derivative assets		16,806		13,950		10,344
Real estate acquired in settlement of loans		353,563		324,278		275,185
Real estate held for investment		4,448		1,544		–
Mortgage servicing rights		423,095		394,737		345,848
Servicing advances		79,528		78,347		59,325
Due from PennyMac Financial Services, Inc.		9,050		9,342		4,311
Other assets		162,722		116,639		119,847
Total assets	$	5,592,231	$	6,677,374	$	4,604,813
LIABILITIES
Assets sold under agreements to repurchase	$	2,864,032	$	3,500,569	$	2,416,686
Federal Home Loan Bank advances		183,000		138,400		–
Mortgage loan participation and sale agreement		61,078		70,612		–
Credit risk transfer financing at fair value		–		649,120		–
Notes payable		192,332		192,352		–
Note payable to PennyMac Financial Services, Inc.		150,000		52,526		–
Asset-backed secured financing of the variable interest entity at fair value		234,287		151,489		166,841
Exchangeable senior notes		244,805		244,559		250,000
Derivative liabilities		2,786		6,818		1,889
Accounts payable and accrued liabilities		67,086		75,967		80,493
Due to PennyMac Financial Services, Inc.		17,220		16,245		21,420
Income taxes payable		42,702		36,706		66,208
Liability for losses under representations and warranties		18,473		16,714		13,235
Total liabilities		4,077,801		5,152,077		3,016,772
SHAREHOLDERS' EQUITY
Common shares of beneficial interest—authorized, 500,000,000 common shares of $0.01 par value; issued and outstanding 73,792,435, 74,811,922 and 74,139,570 common shares		738		748		741
Additional paid-in capital		1,468,739		1,483,389		1,470,189
Retained earnings		44,953		41,160		117,111
Total shareholders' equity		1,514,430		1,525,297		1,588,041
Total liabilities and shareholders' equity	$	5,592,231	$	6,677,374	$	4,604,813

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PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF INCOME

	Quarter Ended
.	September 30, 2015			June 30, 2015			September 30, 2014
	(in thousands, except earnings per share)
Investment Income
Net interest income:
Interest income	$	61,438		$	45,333		$	41,236
Interest expense		37,760			29,739			22,020
		23,678			15,594			19,216
Net loan servicing fees		20,791			13,017			10,533
Net gain on mortgage loans acquired for sale		13,884			11,175			9,509
Loan origination fees		9,135			7,279			6,447
Net gain on investments		24,958			22,614			70,390
Results of real estate acquired in settlement of loans		(4,221	)		(1,806	)		(11,926	)
Other		2,549			1,892			2,361
Net investment income		90,774			69,765			106,530
Expenses
Expenses payable to PennyMac Financial Services, Inc.:
Loan fulfillment fees		17,553			15,333			15,497
Loan servicing fees (1)		11,736			12,136			12,325
Management fees		5,742			5,779			9,623
Professional services		1,759			1,662			1,927
Compensation		1,550			1,389			1,843
Other		7,327			8,378			7,384
Total expenses		45,667			44,677			48,599
Income before provision (benefit) from income taxes		45,107			25,088			57,931
Provision (benefit) from income taxes		6,295			(2,983	)		2,982
Net income		38,812			28,071			54,949
Earnings per share
Basic	$	0.51		$	0.37		$	0.74
Diluted	$	0.49		$	0.36		$	0.69
Weighted-average shares outstanding
Basic		74,681			74,683			74,140
Diluted		83,411			83,480			82,832

(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 November 4, 2015 Third Quarter 2015 Earnings Report

3Q15 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 Third Quarter Highlights • Net income of $38.8 million on net investment income of $90.8 million – Diluted earnings per share of $0.49; return on equity of 10% – Dividend of $ 0.47 per share declared on September 21, 2015 – Book value per share increased to $20.52 at September 30, 2015 • Segment pretax results: Investment Activities: $34.9 million; Correspondent Production: $10.2 million • New investments in mortgage servicing rights (MSRs ), excess servicing spread (ESS ) and GSE credit risk transfer on PMT’s correspondent production – Added $53 million in new MSR investments resulting from PMT’s correspondent production activities – Invested $84 million in ESS on bulk and flow acquisitions of Agency MSRs by PennyMac Financial Services, Inc. (NYSE: PFSI) related to $10.0 billion in unpaid principal balance (UPB) – MSR and ESS investments, related to $94.1 billion in UPB, grew to $842 million at September 30 – Completed $40 million investment from initial credit risk transfer (CRT) transaction with Fannie Mae on $1.2 billion of PMT’s production and launched a second transaction expected to total $4.0 billion of PMT’s production (1) • Purchased $16 million in PMT common shares, or 11% of the $150 million authorized under the previously announced share repurchase program 3Q15 Earnings Report (1) Although definitive documentation has been executed, this credit risk transfer transaction is subject to continuing due dilig enc e and customary closing conditions, including required regulatory approvals. There can be no assurance regarding the size of the transaction or that the transaction will be complet ed at all.

4 PMT's Portfolio Is Transitioning to Newer Mortgage - Related Investments 1Q 2014 100% = $1.560 billion 3Q15 Earnings Report • Portfolio transitioning to investments such as MSRs, ESS and GSE Credit Risk Transfer as opportunities to invest in distressed loans are diminished 3Q 2015 100% = $1.535 billion Distressed loans , 52% Other , 13% Correspondent , 9% MBS , 3% MSRs and ESS , 22% Distressed loans , 79% Other , 4% Correspondent , 2% MBS , 4% MSRs and ESS , 11% Equity Allocation (1) ( 1 ) Management’s internal allocation of equity. Amounts represent weighted averages during the period

($ in millions) Income Contribution (2)(3) Equity Allocated (4) Annualized Return on Equity (ROE) Distressed loan investments 28.9$ 798$ 14.5% Interest rate sensitive strategies (1) : Correspondent production 11.8$ MSRs (incl. recapture) 12.1$ ESS (incl. recapture) (2.2)$ Agency MBS 3.0$ Non-Agency senior MBS (incl. jumbo) 1.9$ Net interest rate sensitive strategies 26.5$ 531$ 20.0% Credit sensitive strategies: GSE credit risk transfer 0.7$ Non-Agency subordinate bonds 0.8$ Commercial real estate finance < 0.1 Net credit sensitive strategies 1.5$ 56$ 10.8% Cash & short term investments 0.2$ 150$ 0.6% Management fees & corporate expenses (12.1)$ Provision for income tax expense (6.3)$ Net income 38.8$ 1,535$ 10.1% 5 Third Quarter Income and Return Contributions by Strategy 3Q15 Earnings Report • Distressed loan performance improved versus recent quarters – see page 19 for details • Interest rate sensitive strategies performed well due to correspondent production and MSRs/ESS net of hedges • Credit risk transfer initial period returns do not reflect expected returns due to underdeployed leverage and partial period cash flows • Initial investment in commercial real estate loans (1) Includes income offset by any associated hedges (2) Income contribution is net of any direct expenses associated with investments (e.g., loan fulfillment fees, loan servicing fe es) (3) MSR, ESS and distressed loan strategies include an allocation of exchangeable senior notes and associated expenses (4) Management’s internal allocation of equity. Amounts represent weighted averages during the period $

New MBS Issuance by Agency (2) ($ in billions) 6 Current Market Environment and Outlook 3Q15 Earnings Report • Volatility in global markets has led to U.S. interest rates and mortgage rates remaining low • Home price appreciation has moderated, but housing fundamentals appear stable • Agency loans continue to dominate the mortgage market, including government loan programs – Ginnie Mae share of new MBS issuance reached an all - time high and exceeded both Fannie Mae and Freddie Mac in 3Q15 – FHA and VA streamlined refinance programs allow consumers to benefit from lower interest rates – Government loans and new Fannie Mae and Freddie Mac initiatives are designed to meet the needs of new homebuyers, e.g., smaller down payments • Regulatory changes continue to underscore the importance of effective governance, compliance, and operating systems – TILA - RESPA Integrated Disclosure (TRID) rule went into effect in early October, changing the new loan origination process – FHA and the GSEs are making efforts to clarify lender liability (1) Freddie Mac Primary Mortgage Market Survey. 3.76% as of 10/29/2015 (2) Inside Mortgage Finance Ŷ Non - Agency (Jumbo) Ŷ Freddie Mac Ŷ Fannie Mae Ŷ Ginnie Mae 3.0% 3.5% 4.0% 4.5% 5.0% Hundreds Average 30 - year fixed rate mortgage (1) 4.08% 3.86% $0 $20 $40 $60 $80 $100 $120 $140 1Q14 2Q14 3Q14 4Q14 1Q15 2Q15 3Q15

GSE Risk Transfers & Subordinate Bonds (2) Objective of Superior Returns Over the Long Term Through Multiple Strategies 3Q15 Earnings Report 7 Correspondent Loan Aggregation MSRs & ESS Prime Non - Agency Loans (1) Commercial Real Estate Loans Distressed Residential Whole Loans • PMT’s focus is mortgage - related investments that require specialized operational capabilities enabled by our relationship with PFSI • Opportunistic investment in distressed whole loans • Recent capital deployment has favored interest rate and credit sensitive strategies: – Correspondent loan aggregation which also creates long - term investments in MSRs and credit risk transfers – ESS resulting from the co - investment in bulk, mini - bulk and flow MSR acquisitions by PFSI – Development of small balance - focused Commercial Real Estate Finance investments • Increasing emphasis on repeatable, organically created investments designed to produce improved earnings predictability and reduced volatility Agency & Senior Non - Agency MBS Interest rate s ensitive strategies Credit sensitive strategies (1) Includes retained senior MBS from private - label securitizations (2) Includes subordinate bonds from private - label securitizations

Targeted Returns of PMT’s Strategies 8 MSRs & ESS Prime Non - Agency Loans (2) Agency & Senior Non - Agency MBS Distressed Residential Whole Loans Correspondent Loan Aggregation GSE Risk Transfers & Subordinate Bonds (3) Commercial Real Estate Loans 3Q15 Earnings Report Targeted Unlevered Yield Targeted Gross Pretax Return on Equity (1) 6% - 8% 10 bps - 15 bps of production 4% - 6% 2% - 6% 7.5% - 12% (incl. expected recapture contribution) 6% - 7.5% 4.5% - 7% Note: This slide presents examples for illustrative purposes only, using PMT’s base case assumptions (e.g., for credit perfor man ce, prepayment speeds, financing economics). Actual results may differ materially. Please refer to the disclaimers on slide 2. (1) Gross return contribution net of estimated direct expenses associated with each strategy (e.g., loan servicing fees, loan ful fi llment fees). Targeted returns on equity do not reflect intra - month variability, e.g., in correspondent loan aggregation, and any excess cash required. Gross return contribution does not include an allocation of management fees, corporate operating and other administrative expenses. PMT may employ hedge strategies that reduce gross return of certain strategies. Certain strategies are subject to tax expense associated with the taxable REIT subsidiary. (2) Includes retained senior MBS from private - label securitizations (3) Includes subordinate bonds from private - label securitizations 12% - 16% 26% - 36% 8% - 13% 6% - 12% 9% - 16% 11% - 14% 11% - 18% Credit sensitive strategies Interest rate sensitive strategies – i ncludes investments with offsetting exposures

9 Continuing to Develop PMT's Investment in GSE Credit Risk Transfer • PMT is investing in the credit risk of its correspondent loan production delivered to the GSEs – Partnered with Fannie Mae on a second credit risk transfer transaction (1) – Expected to total $4 billion in UPB with loan deliveries to be completed in 1Q16 – Will result in a ~$135 million credit risk bond owned by PMT and a net equity investment of $50 million • Transaction aligns with Fannie Mae’s desire to attract additional capital to GSE credit risk transfers • PMT is positioned to enter into these transactions with the GSEs due to its correspondent aggregation business and production volumes of GSE - eligible conventional conforming loans 3Q15 Earnings Report Summary of PMT’s Credit Risk Transfer Transactions $3.5 $2.8 $2.8 $3.6 $4.1 $1 $2 $3 $4 $5 3Q14 4Q14 1Q15 2Q15 3Q15 UPB ($ in billions) PMT’s Total Conventional Conforming Production 2015 - 2 2015 - 1 Deal Size (UPB in billions) 4.0$ 1.2$ Class M1 Bond (in millions) 135.0$ 40.4$ Initial Net Capital Investment (2) (in millions) 50.0$ 15.0$ CRT (2) Net of financing Italics represent estimates (1) Although definitive documentation has been executed, this credit risk transfer transaction is subject to continuing due diligence and customary closing conditions, including required regulatory approvals. There can be no assurance regarding the size of the transaction or that the transaction will be completed at all.

Mortgage Investment Activities

$801 $1,160 $1,050 $0 $500 $1,000 $1,500 $2,000 $2,500 Fair Value on Balance Sheet Collateral Value Unpaid Principal Balance $1,359 $1,947 $1,889 $0 $500 $1,000 $1,500 $2,000 $2,500 Fair Value on Balance Sheet Collateral Value Unpaid Principal Balance 11 Nonperforming Loans (at September 30, 2015) Performing Loans (at September 30, 2015) • Nonperforming loans are held on average at a 30% discount to current property value – earned over expected liquidation timeline net of expected costs, plus additional value from property appreciation and reperformance of rehabilitated loans • Performing loans provide ongoing cash interest income and, as they season, the opportunity to monetize gains through payoffs, refinances, or loan sales PMT’s Distressed Whole Loan Investments Deliver Earnings Over Time (in millions) (in millions) 3Q15 Earnings Report

3Q15 Earnings Report 12 Distressed Loan Performance Driven by Resolution Activity • UPB of total liquidation activities, which are comprised of payoffs, foreclosure sales to third parties, short sales and real estate owned (REO) sales, decreased 25% from 2Q15 – Increased loans re - performing through modification instead of going through short sale and foreclosure – REO sales down 31% Q/Q due to longer eviction periods resulting in a growing sale pipeline • Modification activity increased 23% Q/Q; pipeline of modifications in process up 7% from 2Q15 • Loans transitioning to REO from foreclosure increased 15% from 2Q15 • REO rental portfolio totaled $4.4 million at September 30 , 2015 Payoffs Foreclosure sales Short sales REO sales Modifications Foreclosure t o REO ($ in millions) Resolution Activity (UPB) Total Liquidation Activities $19 $16 $10 $10 $39 $31 $108 $74 $175 $131 $64 $79 $91 $105 2Q15 3Q15 2Q15 3Q15 2Q15 3Q15 2Q15 3Q15 2Q15 3Q15 2Q15 3Q15 2Q15 3Q15

Correspondent production sellers Selected Operational Metrics 3Q15 400 2Q15 377 Purchase money loans, as % of total acquisitions 64% 77% • Correspondent acquisitions totaled $14.4 billion, up 21% Q/Q – Conventional conforming and jumbo acquisitions were $4.1 billion; locks were $4.1 billion – Total lock volume of $13.6 billion, down 5% Q/Q • Government loan acquisitions have increased significantly in recent quarters – Government origination market has grown and large bank competitors have retreated • October correspondent acquisitions totaled $3.8 billion ; locks totaled $3.9 billion • PFSI’s technology - enabled platform allowed the business to scale up and process significantly higher volumes • Lock volumes from small to medium sized lenders increased 14% Q/Q to $2.5 billion • Increasing market share in underrepresented geographies – Midwest acquisition volumes grew 23% Q/Q Correspondent Production Volume and Mix Strong Market and Share Gains Drive Higher Correspondent Volume (1) For Government loans, PMT earns a sourcing fee and interest income for its holding period and does not pay a fulfillment fee ($ in billions) UPB (1) (1) 3Q15 Earnings Report 13 $3.5 $2.8 $2.8 $3.6 $4.1 $4.4 $4.4 $5.1 $8.3 $10.3 $8.4 $7.5 $9.5 $14.4 $13.6 $0 $4 $8 $12 $16 3Q14 4Q14 1Q15 2Q15 3Q15 Govt Jumbo Conventional Conforming Total Locks

Significant Growth in MSR and ESS Investments During the Quarter 14 ($ in millions) • Continued portfolio growth as investments in MSR and ESS reached $842 million, related to underlying loans with a UPB of $94.1 billion, at September 30, 2015 – Organic MSR investments resulting from correspondent production activity reached $423 million, up from $395 million at June 30, 2015 – ESS investments resulting from bulk, mini - bulk and flow MSR acquisitions by PFSI reached $419 million, up from $359 million at June 30, 2015 MSR and ESS Assets at Period End Carrying value on balance sheet Related UPB Ŷ MSRs Ŷ ESS Ŷ UPB (right axis) 3Q15 Earnings Report $533 $549 $581 $754 $842 $50,000 $60,000 $70,000 $80,000 $90,000 $100,000 $0 $200 $400 $600 $800 $1,000 3Q14 4Q14 1Q15 2Q15 3Q15

Financial Results

16 Pretax Income (Loss) by Operating Segment Note: Figures may not sum exactly due to rounding 3Q15 Earnings Report Investment Correspondent Total Pretax ($ in millions) Activities Production Income 3Q14 55.1$ 2.8$ 57.9$ 4Q14 11.0$ 0.9$ 11.9$ 1Q15 (8.2)$ 4.4$ (3.8)$ 2Q15 19.9$ 5.2$ 25.1$ 3Q15 34.9$ 10.2$ 45.1$

17 Investment Activities Segment Results • Segment revenue increased 28% Q/Q: – Net gain on investments increased 10% Q/Q, driven by: o Continued improvement in valuation gains on distressed loans o Valuation loss on ESS due to higher projected prepayments, partially offset by $2.4 million in recapture income o Negligible net valuation impact on MBS portfolios in 3Q15 – Net interest income increased 43% Q/Q (see slide 18) – Net servicing fee revenue increased 60% Q/Q driven by hedge gains in excess of MSR impairment and fair value losses • Expenses were down 6 % Q/Q – Loan servicing expense declined 3% Q/Q due to a decline in distressed loan servicing expenses (1) Servicing fees include both special servicing for PMT’s distressed portfolio and subservicing for PMT’s mortgage servicing rights 3Q15 Earnings Report Quarter Ended ($ in thousands) September 30, 2015 June 30, 2015 Revenues: Net gain on investments: Mortgage loans at fair value 31,909$ 30,068$ Mortgage loans held by variable interest entity net of asset-backed secured financing (2,331) (6,955) Mortgage-backed securities 3,224 (9,089) Excess spread investment (7,844) 8,590 24,958 22,614 Net interest income Interest income 47,690 36,336 Interest expense 31,390 24,976 16,300 11,360 Net loan servicing fees 20,791 13,017 Other (1,691) 13 Total revenues 60,358 47,004 Expenses: Servicing and Management fees payable to PennyMac Financial Services, Inc. (1) Other 8,760 9,675 Total expenses 25,424 27,138 Pretax income 34,934$ 19,866$ 16,664 17,463

($ in thousands) Net gain (loss) on investments Interest income Net gain (loss) on investments Interest income Net gain (loss) on investments Interest income Short-term investments -$ 115$ -$ -$ -$ 115$ Mortgage-backed securities 3,224 2,614 - - 3,224 2,614 Mortgage loans: At fair value 31,909 24,364 - - 31,909 24,364 Held by variable interest entity 1,609 5,598 - - 1,609 5,598 Asset-backed secured financing (3,940) - - - (3,940) - (2,331) 5,598 - - (2,331) 5,598 Acquired for sale at fair value - 6,956 13,884 13,748 13,884 20,704 Total mortgage loans 29,578 36,918 13,884 13,748 43,462 50,666 Excess spread investment (7,844) 8,026 - - (7,844) 8,026 Other - 17 - - - 17 24,958$ 47,690$ 13,884$ 13,748$ 38,842$ 61,438$ Investment Activities Correspondent Production Consolidated Quarter ended September 30, 2015 18 Interest Income Grows as a Component of PMT's Returns • Total interest income was $61.4 million, a 36% Q/Q increase • Distressed loan interest income has increased significantl y – Capitalized interest on loan modifications of $14.8 million, up 50% Q/Q (1) – Interest income from reperforming loans has more than doubled since 3Q14 • ESS interest income was $8.0 million, up 38% Q/Q • Higher interest income in correspondent production driven by growth in acquisition volume and longer inventory holding periods 3Q15 Earnings Report ( 1 ) Capitalized interest from loan modifications increases interest income and generally reduces gains from loan valuations

19 Investment Gains and Cash Flows from the Distressed Loan Portfolio • Net gains on distressed loans totaled $31.9 million, an increase from $30.1 million in 2Q15 – Higher actual home prices versus prior forecasts partially offset by a reduction in future home price appreciation expectations o Home price appreciation expectation over the next 12 months is 3.9%, unchanged from June 30 (3) – Loan modification activity increased from 2Q15 – Market prices for performing loans remained strong • Cash proceeds from liquidation activity on loans and REO totaled $ 103.7 million – Accumulated gains on assets liquidated during the quarter were $6.9 million, and gains on liquidation were $7.4 million Net Gains on Mortgage Loans Cash Proceeds and Gain on Liquidation (1) Represents valuation gains and losses recognized during the period the Company held the respective asset, but excludes the gain or loss recorded upon sale or repayment of the respective asset (2) Represents the gain or loss recognized as of the date of sale or repayment of the respective asset (3) Weighted average twelve - month projected housing price index change 3Q15 Earnings Report ($ in thousands) Sept. 30, 2015 June 30, 2015 Valuation Changes: Performing loans 6,007$ 3,308$ Nonperfoming loans 23,051 23,867 29,058 27,175 Payoffs 2,911 2,628 Sales (60) 265 31,909$ 30,068$ Quarter ended ($ in thousands) Quarter ended September 30, 2015 Gain on Proceeds liquidation (2) Mortgage loans 57,022$ 6,122$ 2,852$ REO 46,686 734 4,512 103,708$ 6,856$ 7,364$ Accumulated gains (1)

At 9/30/15 Under lower of amortized cost or fair value Under fair value Fair value Pool UPB $33,834 $6,062 $54,189 Pool weighted average coupon 3.84% 4.77% 4.11% Pool prepayment speed assumption (CPR) 10.5% 14.8% 10.3% Weighted average servicing fee/spread 0.26% 0.25% 0.17% Fair value $386.5 $57.8 $418.6 As multiple of servicing fee 4.47 3.77 4.48 Carrying (accounting) value $365.3 $57.8 $418.6 ($ in millions) Mortgage Servicing Rights Excess Servicing Spread 20 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 $21.2 million in excess of the carrying value at September 30, 2015, compared to $25.5 million at June 30, 2015 3Q15 Earnings Report

($ in thousands) Quarter Ended Sept. 30, 2015 As % of Interest Rate Lock Commitments (1) Quarter Ended June 30, 2015 As % of Interest Rate Lock Commitments (1) Revenues: Net gain on mortgage loans acquired for sale 13,884$ 0.34% 11,175$ 0.25% Net interest income 7,378 0.18% 4,234 0.10% Other income 9,154 0.22% 7,352 0.17% 30,416$ 0.74% 22,761$ 0.51% Expenses: Loan fulfillment, servicing, and management fees payable to PennyMac Financial Services, Inc. Other 1,876 0.05% 1,754 0.04% 20,243$ 0.49% 17,539$ 0.39% Pretax income 10,173$ 0.25% 5,222$ 0.12% 15,785$ 0.36%18,367$ 0.45% Correspondent Production Segment Results 21 • Segment revenue totaled $30.4 million, a 34% increase from 2Q15 – Higher gain on mortgage loans driven by optimizing GSE deliveries and sale of specialized loans – Higher net interest income and loan origination fees from a 14% Q/Q increase in acquisition volumes during the quarter • Fulfillment fee expense increased $18.4 million Q/Q driven by higher production volumes; fulfillment fee paid for the quarter was 43bp , unchanged from 2Q15 (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 (2) 3Q15 Earnings Report (2)

Appendix

23 PMT Dividends and Book Value Over Time 18% 11% 14% 10% 19% 14% 7% 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. 2% Book value per share (1) EPS & Dividend 3Q15 Earnings Report $0.86 $0.57 $0.69 $0.50 $0.93 $0.69 $0.34 $0.09 $0.36 $0.49 $0.57 $0.57 $0.59 $0.59 $0.59 $0.61 $0.61 $0.61 $0.61 $0.47 $20.52 $17.00 $18.00 $19.00 $20.00 $21.00 $22.00 $0.00 $0.25 $0.50 $0.75 $1.00 2Q13 3Q13 4Q13 1Q14 2Q14 3Q14 4Q14 1Q15 2Q15 3Q15 Diluted EPS Dividend Book value per share (right axis) 10%

Opportunity for PFSI and PMT in MSR Acquisitions 24 Why Are MSR Sales Occurring? How Do MSRs Come to Market? • Large servicers may sell 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 sell MSRs from time to time due to 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 over $200 billion in UPB • Co - investment opportunity for PMT in the excess servicing spread 3Q15 Earnings Report

PMT's Excess Servicing Spread Investments in Partnership with PFSI 25 (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 MSRs 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 MSRs 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 3Q15 Earnings Report

-4% -3% -2% -1% 0% 1% 2% 3% 4% 5% -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) 26 Estimated Sensitivity to Changes in Interest Rates % change in PMT shareholders’ equity At 9 /30/15 (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 September 30, 2015; 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) Instantaneous parallel shock in interest rates (in bps) 3Q15 Earnings Report

($ in millions) 3Q14 4Q14 1Q15 2Q15 3Q15 Fundings Conventional 3,509$ 2,772$ 2,831$ 3,553$ 4,055$ Government 4,378 4,389 5,106 8,316 10,348 Jumbo 169 116 59 26 19 Total 8,056$ 7,276$ 7,996$ 11,895$ 14,422$ Locks Conventional 3,554$ 2,844$ 3,433$ 4,404$ 4,085$ Government 4,621 4,473 6,010 9,936 9,483 Jumbo 199 172 70 41 32 Total 8,373$ 7,489$ 9,512$ 14,381$ 13,599$ Fundings and Locks by Product 27 Note: Figures may not sum exactly due to rounding 3Q15 Earnings Report

Purchase 3Q15 Purchase 3Q15 Purchase 3Q15 Purchase 3Q15 Balance ($mm) 182.7$ 35.1 Balance ($mm) 195.5$ 29.7 Balance ($mm) 146.2$ 19.4 Balance ($mm) 277.8$ 51.3 Pool Factor (1) 1.00 0.19 Pool Factor (1) 1.00 0.15 Pool Factor (1) 1.00 0.13 Pool Factor (1) 1.00 0.18 Current 6.2% 31.2% Current 5.1% 30.3% Current 1.2% 27.6% Current 5.0% 38.4% 30 1.6% 11.9% 30 2.0% 10.9% 30 0.4% 10.0% 30 4.0% 7.0% 60 5.8% 4.9% 60 4.1% 6.7% 60 1.3% 1.9% 60 5.1% 3.9% 90+ 37.8% 11.6% 90+ 42.8% 13.3% 90+ 38.2% 25.1% 90+ 26.8% 17.9% FC 46.4% 20.8% FC 45.9% 28.2% FC 58.9% 23.8% FC 59.1% 19.2% REO 2.3% 19.8% REO 0.0% 10.5% REO 0.0% 11.6% REO 0.0% 13.7% Purchase 3Q15 Purchase 3Q15 Purchase 3Q15 Purchase 3Q15 Balance ($mm) 515.1$ 141.1 Balance ($mm) 259.8$ 79.3 Balance ($mm) 542.6$ 138.3 Balance ($mm) 49.0$ 23.6 Pool Factor (1) 1.00 0.27 Pool Factor (1) 1.00 0.31 Pool Factor (1) 1.00 0.25 Pool Factor (1) 1.00 0.48 Current 2.0% 25.1% Current 11.5% 26.8% Current 0.6% 31.2% Current 0.2% 37.2% 30 1.9% 5.9% 30 6.5% 10.5% 30 1.3% 6.7% 30 0.1% 3.9% 60 3.9% 2.7% 60 5.2% 5.1% 60 2.0% 1.6% 60 0.2% 0.9% 90+ 25.9% 20.9% 90+ 31.2% 20.5% 90+ 22.6% 19.1% 90+ 70.4% 24.0% FC 66.3% 31.3% FC 43.9% 23.7% FC 73.0% 23.4% FC 29.0% 22.9% REO 0.0% 14.1% REO 1.7% 13.5% REO 0.4% 18.0% REO 0.0% 11.0% Purchase 3Q15 Purchase 3Q15 Purchase 3Q15 Balance ($mm) 402.5$ 132.8 Balance ($mm) 357.2$ 162.3 Balance ($mm) 290.3$ 147.1 Pool Factor (1) 1.00 0.33 Pool Factor (1) 1.00 0.45 Pool Factor (1) 1.00 0.51 Current 45.0% 39.2% Current 0.0% 25.3% Current 3.1% 33.1% 30 4.0% 10.9% 30 0.0% 3.1% 30 1.3% 10.0% 60 4.3% 5.0% 60 0.1% 1.3% 60 5.4% 5.0% 90+ 31.3% 19.5% 90+ 49.1% 18.0% 90+ 57.8% 15.7% FC 15.3% 19.3% FC 50.8% 29.4% FC 32.4% 20.8% REO 0.1% 6.1% REO 0.0% 22.9% REO 0.0% 15.3% No Pools Purchased in this Quarter. 1Q12 2Q12 3Q12 4Q12 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11 Distressed Portfolio by Acquisition Period 28 (1) Ratio of unpaid principal balance remaining to unpaid principal balance at acquisition 3Q15 Earnings Report

Purchase 3Q15 Purchase 3Q15 Purchase 3Q15 Purchase 3Q15 Balance ($mm) 366.2$ 197.8 Balance ($mm) 397.3$ 273.1 Balance ($mm) 929.5$ 635.8 Balance ($mm) 507.3$ 404.6 Pool Factor (1) 1.00 0.54 Pool Factor (1) 1.00 0.69 Pool Factor (1) 1.00 0.68 Pool Factor (1) 1.00 0.80 Current 1.6% 46.2% Current 4.8% 30.1% Current 0.8% 21.1% Current 1.4% 13.0% 30 1.5% 8.7% 30 7.4% 6.0% 30 0.3% 3.3% 30 0.2% 2.2% 60 3.5% 5.8% 60 7.6% 4.8% 60 0.7% 1.9% 60 0.0% 0.2% 90+ 82.2% 15.2% 90+ 45.3% 19.2% 90+ 58.6% 21.6% 90+ 38.3% 18.3% FC 11.2% 13.6% FC 34.9% 26.3% FC 39.6% 31.1% FC 60.0% 47.5% REO 0.0% 10.4% REO 0.0% 13.6% REO 0.0% 21.0% REO 0.0% 18.6% Purchase 3Q15 Purchase 3Q15 Purchase 3Q15 Balance ($mm) 439.0$ 353.8 Balance ($mm) 37.9$ 31.8 Balance ($mm) 330.8$ 303.3 Pool Factor (1) 1.00 0.81 Pool Factor (1) 1.00 0.84 Pool Factor (1) 1.00 0.92 Current 6.2% 15.9% Current 0.7% 26.4% Current 1.6% 15.6% 30 0.7% 2.8% 30 0.6% 5.6% 30 1.6% 5.2% 60 0.7% 1.4% 60 1.4% 3.3% 60 7.1% 3.6% 90+ 37.5% 19.0% 90+ 59.0% 25.1% 90+ 52.7% 35.0% FC 53.8% 46.2% FC 38.2% 30.8% FC 36.9% 34.0% REO 1.1% 14.8% REO 0.0% 8.6% REO 0.0% 6.6% Purchase 3Q15 Balance ($mm) 310.2$ 284.8 Pool Factor (1) 1.00 0.92 Current 1.8% 7.5% 30 0.3% 0.6% 60 0.1% 0.3% 90+ 66.7% 29.7% FC 31.1% 52.1% REO 0.0% 9.8% No Pools Purchased in this Quarter. 1Q14 2Q14 3Q14 4Q14 1Q13 2Q13 3Q13 4Q13 No Pools Purchased in this Quarter. 1Q15 2Q15 Distressed Portfolio by Acquisition Period (cont.) 29 (1) Ratio of unpaid principal balance remaining to unpaid principal balance at acquisition 3Q15 Earnings Report

($ in thousands) Sept 30, 2015 June 30, 2015 March 31, 2015 Dec 31, 2014 Sept 30, 2014 Cash flows from investing activities (1) (22,526)$ 44,642$ (91,348)$ (280,305)$ 195,523$ Adjustments to remove items: Purchase of mortgage-backed securities at fair value 37,095 - 25,129 112,050 54,284 Purchase of mortgage loans at fair value - (1,653) 241,981 271,587 - Purchase of excess servicing spread 84,165 140,875 46,412 13,246 9,253 Purchase of real estate acquired in settlement of loans - - - - - Purchase of credit risk transfer securities 87,891 - - - - Settlements of derivative financial instruments (1,788) (2,912) 13,466 2,557 (1,906) Margin deposits and restricted cash (37,441) 20,211 15,792 (4,678) 5,803 Net decrease in short-term investments (899) (12,532) (94,951) 102,448 (67,001) Sale of mortgage-backed securities at fair value - - - (68,284) - Bulk sale of mortgage loans at fair value - (1,074) (939) - (65,688) 146,497$ 187,557$ 155,542$ 148,621$ 130,268$ Other adjustments: Debt repayment on investment liquidations/sales (2) (93,962)$ (126,254)$ (103,031)$ (95,462)$ (77,323)$ Servicing fees (3) 25,500$ 25,887$ 22,629$ 23,020$ 20,300$ Net interest income from Investment Activities (4) 16,300$ 11,360$ 11,647$ 17,948$ 15,149$ Less capitalized interest (14,849)$ (9,921)$ (10,209)$ (26,045)$ (10,452)$ Expenses (5) (28,114)$ (28,203)$ (26,067)$ (27,837)$ (31,704)$ Net cash flows from existing investments 51,372$ 60,426$ 50,511$ 40,245$ 46,238$ Quarter Ended Net Cash Flows from Existing Investments 30 (1) Quarterly cash flows from investing activities are derived from the Company’s year - to - date statements of cash flows (2) Debt repayment from liquidations calculated based on debt advance rates for each asset type (3) Revenue component of net loan servicing fees as reported quarterly (4) Investment Activities segment net interest income from the quarterly segment income statement (5) Q uarterly income statement items excluding noncash items and fulfillment fees 3Q15 Earnings Report Reconciliation of Non - GAAP Financial Measure

$4,160 $4,358 $5,279 $6,159 $4,965 $0 $1,000 $2,000 $3,000 $4,000 $5,000 $6,000 $7,000 3Q14 4Q14 1Q15 2Q15 3Q15 Correspondent loan inventory (2) PMT’s L ong - Term Investments Ŷ Retained interests from private - label securitizations Ŷ MSRs and ESS Ŷ Agency and non - Agency MBS Ŷ Distressed whole loans and REO 31 PMT's Mortgage Assets and Leverage Ratio Over Time Leverage ratio (1) 1.8x 2 .0x 2.6x 3.2x (1) All borrowings, including exchangeable senior notes and asset - backed secured financing of the variable interest entity, divided by shareholders’ equity at period end (2) 2Q15 amounts included $649 million of loans delivered into credit risk transfer transaction Mortgage Assets ($ in millions) 3Q15 Earnings Report 2.6x