PennyMac Mortgage Investment Trust

Good afternoon and welcome to PennyMac Mortgage Investment Trust's fourth quarter 2021.

David Spector, PennyMac Mortgage Investment Trust's Chairman and Chief Executive Officer, and Dan Perotti, PennyMac Mortgage Investment Trust's Chief Financial Officer. Please go ahead.

Thank you, Operator. Good afternoon and thank you to everyone for participating in our fourth quarter and full year 2025 earnings call. Starting on slide three, PMT generated strong financial results in the fourth quarter. with net income to common shareholders of $42 million, or a 13% annualized return on common equity. Diluted earnings per share was $0.48, in excess of PMT's $0.40 per share quarterly dividend, increasing book value per share to $15.25 a year end from $15.16 on September 30th. Dan will talk about PMT's fourth quarter financial results in more detail later on in the presentation. Turning to slide four, I'd like to highlight the significant progress we made in 2025, accelerating our organic investment creation activities resulting from private label securitizations. As you can see, over the course of the year, we successfully completed 19 securitizations, totaling $6.7 billion in UPB. a substantial increase from just two securitizations in 2024. Retained investments from these securitizations grew to $528 million, up nearly tenfold from just $54 million in 2024. This consistent cadence of securitization activity firmly established PMT as a top three issuer prime non-agency MBS in 2025. At the same time, we rotated capital to better optimize PMT's return profile. This included the purchase of $876 million of agency floating rate MBS and the sale of $195 million of opportunistic GSE-issued CRT investments where we had realized significant gains. We decided to sell these GSE-issued CRT investments as their forward-looking expected returns fell below our targeted return requirements, and to free up capital for PMT to invest in newly created assets with higher expected returns from our ongoing private label securitization activity. Turning to slide six, our synergistic relationship with PFSI remains a unique and proven competitive advantage. First, PMT leverages PFSI's best-in-class operating platform. including its deep and experienced management team, scaled servicing operations, and its large and agile multi-channel origination business, which provides PMT with a consistent and high-quality pipeline of loans for investment. Second, PMT is able to efficiently deploy capital into long-term mortgage assets without the operational burdens associated with origination and servicing. And third, PFSI's deep access to the origination market, coupled with PMT's ability to execute private label securitizations, provides PMT with the unique opportunity to invest in organically created investments with attractive risk adjusted returns. And as PFSI further grows its overall share of loan production, PMT is expected to have even more opportunities to organically grow its portfolio. Turning to slide 7, approximately 60% of PMT shareholder's equity is deployed to seasoned investments in MSRs and our unique GSE credit risk transfer investments. Mortgage servicing rights account for 46% of shareholder's equity, providing stable cash flows as the loans underlying this investment have the weighted average coupon of 3.9%, far out of the money. Our GSE credit risk transfer investments represent 13% of shareholders' equity and consist of season loans originated from 2015 to 2020. With a weighted average current LTV of 46%, we continue to expect realized lifetime losses on this portfolio to be limited. Slide 8 highlights our robust securitization activity in the fourth quarter and our ability to rapidly grow this business. We completed eight securitizations, totaling $2.8 billion in UPB and retained $184 million of new investments. Our fourth quarter activity included three non-owner-occupied deals, three jumbo deals, and two agency-eligible owner-occupied deals. Our momentum has continued after quarter end, with three additional securitizations completed, totaling $1.1 billion in UPB. Looking ahead and at this pace, we currently expect to complete approximately 30 securitizations in 2026, with targeted returns on equity for these retained investments in the low to mid-teens. The pie charts on slide nine highlight our active management of the portfolio to maximize risk-adjusted returns. As strong managers of capital, we expect to optimize returns by recycling capital into assets that maximize risk-adjusted returns, transitioning from lower yielding assets in the high quality investments with superior return profiles. We remain focused on optimizing our allocation towards investments with targeted ROEs in the 13 to 15% range. And as we strategically redeploy capital into these higher returning assets, we are successfully driving the long-term return potential of our overall portfolio higher. Turning to slide 10, you can see the average quarterly run rate return potential expected from PMT's investment strategies over the next four quarters. PMT's current run rate reflects a quarterly average of $0.40 per share, down slightly from $0.42 per share in the prior quarter. As I noted earlier, we expect increased investments in accretive non-agency subordinate and senior bonds, primarily through organic securitization activities. Our expected returns from the interest rate sensitive strategies remains unchanged from the prior quarter as lower return potential from MSRs due to higher prepayment expectations was offset by a decrease in projected hedge costs. In correspondent production, margins have declined and our expectations for returns from the strategy are down from the prior quarter. Our legacy investments provide a stable foundation for continued strong performance. And we have succeeded in repositioning PMT as a leader in the private label securitization market, where we are organically creating new investments and driving our overall returns higher. As we look ahead, I am confident that this comprehensive and diversified investment platform will drive our ability to continue generating earnings that more than support our dividend and drive long-term value for our shareholders. Now I'll turn it over to Dan to review the fourth quarter financial performance.