PENNYMAC MORTGAGE INVESTMENT

CUSIP: 70931T10 Class: COM

State of New Jersey Common Pension Fund A's Holding History (CIK: 0001483262)

Note: Option positions (PUT/CALL) are excluded.

Q3 2013
Shares 40,000 Value ($000) $907 Avg Close — Range —
Q2 2013
Shares 40,000 Value ($000) $842 Avg Close — Range —