PMTU

• In 2025, PMT completed 19 securitizations totaling $6.7 billion in UPB, with retained investments growing to $528 million from $54 million in 2024, establishing it as a top 3 issuer of prime non-Agency MBS. - Leveraged PFSI's platform for a consistent loan pipeline, efficiently deploying capital into mortgage assets. - Fourth quarter saw 8 securitizations totaling $2.8 billion in UPB and retained $184 million, with post-quarter end adding 3 more securitizations totaling $1.1 billion in UPB. - Raised $150 million of new unsecured financing via exchangeable senior notes and expect to retire $345 million in exchangeable senior notes due in 2026 using existing financing lines. - Total debt-to-equity ratio increased to approximately 10:1 from 9:1, but core debt-to-equity (excluding nonrecourse) remained at 6:1.

• Expect to complete approximately 30 securitizations in 2026 with targeted returns on equity for retained investments in the low to mid-teens. - Interest rate strategy returns: MSR runoff offset by recapture and decreased hedge costs, but correspondent production margins declined. - Non-agency securitization equity allocation expected to trend higher, pressing above to probably 11% to 12% by year-end.

In the fourth quarter, net income to common shareholders was $42 million or $0.48 per diluted common share. Credit-sensitive strategies contributed $24 million to pretax income, generating an annualized return on equity of 27%. Interest rate sensitive strategies contributed pretax income of $28 million, with an annualized ROE of 10%. The Correspondent Production segment reported a pretax loss of $1 million. Approximately 60% of PMT's shareholders' equity is deployed to seasoned investments in MSRs (46% of shareholders' equity) and unique GSE credit risk transfer investments (13% of shareholders' equity). Mortgage servicing rights have a weighted average coupon of 3.9%, and GSE credit risk transfer investments have a weighted average current LTV of 46%.

• Aggregation risk in non-agency securitizations, particularly when holding loans until securitization. - Market conditions affecting financing costs and returns on certain investments, such as the trade-off between cost and risk in financing structures.

Q: Just hoping you could talk about the return expectations for the interest rate strategy. I would expect that prepayments probably stay elevated, kind of how do you offset the decline in that profitability to kind of get back to the target range?

A: Dan Perotti discusses that there's a limited portion of MSRs responsive to higher interest rates, with a combination of additional recapture from PFSI and the impact of prepayments diluting through the year, noting the interest rate sensitive strategy's overall run rate remains at 12.5% annualized ROE.

Q: Can you talk about competition in the non-agency space on the production side?

A: David Spector mentions Rocket Mortgage on the retail side, EWM on the broker side, and notes Redwood Trust as active in the jumbo market at times, but sees PMT outperforming in originations percentage-wise.

Q: As it pertains to the securitization opportunity, can you comment on financing costs you've seen for investor jumbo and [HC] eligible deals as of late. And also, is there any possible deals that -- legacy deals that you might look at to call and resecuritize near term?

A: David Spector says it's a robust competitive market for financing, implemented a facility without mark-to-market feature for risk management, and mentions IR team can provide absolute financing levels but notes a trade-off between cost and risk, and no mention of immediate resecuritization of legacy deals.

Q: As it pertains to the origination capacity of the correspondent chattel, which is PFSI inclusive and it's bill to expand under what could be greater demand going forward?

A: David Spector states there's good capacity in the system for GSE programs, but beyond a $2.4-$2.5 trillion market, more capacity would be needed, noting excess capacity in the sector currently due to rate talk.

Q: I think I just have one. I can't recall if PMT has ever sold any MSRs, but would you ever consider that as an option either opportunistically or for risk management purposes to delever the balance sheet?

A: David Spector says they would consider selling MSRs, noting they've been agile in portfolio management and would look at it if higher returning assets are available, referencing past MSR trades.

Q: Can you guys talk about what you've seen in terms of spread behavior in the non-agency market in January, given the significant amount of tightening that's happened within the agency space? And if that's flowed through to any meaningful change in securitization execution?

A: Daniel Perotti says spreads in the non-agency space have been stable to tightening in sympathy with agency spreads, and there's been robust demand for securitizations in January, with supportive market conditions for securitization activity.

Q: Can you guys talk about what you've seen in terms of spread behavior in the non-agency market in January, given the significant amount of tightening that's happened within the agency space? And if that's flowed through to any meaningful change in securitization execution?

A: Daniel Perotti says spreads in the non-agency space have been stable to tightening in sympathy with agency spreads, and there's been robust demand for securitizations in January, with supportive market conditions for securitization activity.

Q: Looking at the prospective return slide, the returns on the CRT position look like they're pretty competitive with what you guys are expecting on the new subordinate retention. Would you expect to find more opportunities to opportunistically sell within the CRT book? Or do you think that's kind of -- and more of a stable runoff mode at this point?

A: Daniel Perotti says they sold entirely out of third-party CRT opportunistic positions as returns fell below threshold, but retain CRTs based on PMT's production with high-quality underlying loans, expecting to maintain that position as they mature with low expected credit losses.