PennyMac Financial Services, Inc.

Good afternoon, and welcome to the third quarter 2021 earnings discussion for PennyMac Mortgage Investment Trust. The slides that accompany this discussion are available on PennyMac Mortgage Investment Trust's website at www.pennymac-reit.com. Before we begin, let me remind you that our discussion contains forward-looking statements that are subject to the risks identified on slide 2 that could cause our actual results to differ materially. Thank you. Now I'd like to introduce David Spector, PMT's chairman and chief executive officer, who will discuss the company's third quarter 2021 results.

Thank you, Isaac. For the third quarter 2021, PMT reported a net loss attributable to common shareholders of $43.9 million, or 45 cents per common share, driven by fair value decline in PMT's interest rate-sensitive strategies. As noted in second quarter financial reports, FHFA's elimination of the adverse market refinance fee contributed to a significant decline in the fair value of PMT's MSRs in the third quarter, along with continued elevated prepayments. These impacts were partially offset by strong returns in our credit-sensitive strategies and correspondent production segments. PMT paid a common dividend of $0.47 per share. Book value per share decreased to $19.79 and We also successfully completed the issuance of $250 million in preferred shares in a public equity offering. Our high-quality loan production continues to organically generate assets for PMT, and this quarter, $28.6 billion in UPB of conventional correspondent production led to the creation of more than $425 million in new low-coupon mortgage servicing rights. From PMT's production volumes, we are also creating new credit assets, currently in the form of agency-eligible investor loan securitizations. During the quarter, we purchased subordinate securities from two securitizations of investor loans, totaling $548 million in UPB from PMT's correspondent production, and after the quarter, we retained mortgage securities from PMT's inaugural securitization of investor loans, totaling $414 million in UPB. In aggregate, at the end of October, the fair value of PMT's investment investor loans was approximately $60 million. With interest rates rising, the mortgage market is shifting, and we believe PMT is uniquely positioned to capitalize on current and evolving investment opportunities given its scale and leadership position in correspondent production. Leading economists forecast a smaller origination market in 2022 driven by a decline in refinance originations. As a result, we expect to see increased levels of competition and continued lower margins across the industry. However, strong demographic and secular trends are expected to drive growth in purchase activity in 2022, and we believe PMT is well positioned as a leader in the production of purchased money loans. Additionally, as the environment becomes more competitive, we expect PMT to benefit as correspondent sellers look to increase servicing released whole loan sales For more than 12 years, PMT has successfully navigated various regulatory, interest rate, and origination market environments while delivering strong returns. This can be attributed to the strong management team at PennyMac and the risk management disciplines we have focused on since our founding. Organic asset creation remains a competitive advantage for PMT relative to other mortgage REITs. Thank you, David. I will discuss the mortgage origination landscape, the impact of recently announced changes from FHFA on PMT,

and review the run rate return potential from PMT's strategies. While the origination market is in a period of transition, it continues to be large. Despite the increase in recent weeks, interest rates continue to be historically low and remain within the projections of leading economists. Current forecasts for 2022 originations remain strong at $3 trillion. It is worth noting that purchase originations are expected to grow to a record $2 trillion in 2022 and many more. which is expected to affect PMT's near-term results in correspondent production. Regulatory changes are also impacting the competitive landscape with a new administration and changing focus. First, FHFA issued a notice to proposed rulemaking to amend the regulatory capital framework for the GSEs, which would introduce more favorable GSE capital treatment for CRT and an incentive for the GSEs to resume CRT issuance. Notably, Fannie Mae recently completed a new CAS transaction, but the future of lender risk share is still uncertain. Next, FHFA suspended the GSE's previously imposed 7% limit on the acquisition of investment properties in second homes, resulting in greater liquidity and competition for these loans. However, PMT has the flexibility to determine the best execution for investor loans between private label securitization FHFA also suspended the $1.5 billion annual cash window limit for each of the GSEs, increasing competition for loans among correspondent aggregators like PMT. So while correspondents have more flexibility to deliver loans to the GSEs, we expect PMT to remain an attractive option to correspondent sellers looking to sell whole loans servicing released, particularly as the competitive environment drives tighter origination margins. Finally, FHFA suspended the limits on the acquisition of refinance and purchase loans with layered risk, which has a minimal impact to PMT. On slide nine, we illustrate the run rate return potential from PMT's investment strategies, which represents the average annualized return and quarterly earnings potential Thank you for joining us today. Lower CRT returns reflect credit spreads that have tightened. The return potential for our interest rate sensitive strategies has decreased, driven by the expectation that prepayment speeds remain elevated in the near term. In correspondent production, the expected returns reflect our view that heightened competition to acquire conventional loans is expected to result in a lower income contribution than we have experienced in recent quarters. This analysis excludes potential contributions from new products under exploration, such as new investments in CRT or the introduction of new products other than investor loans. It is also important to note our forecast for PMT's taxable income continues to support the common dividend at its current level of 47 cents per share. Now I'd like to turn the call over to Vandy Fartage, PMT's Senior Managing Director and Chief Investment Officer, who will discuss the drivers of PMT's third quarter investment performance.