Financial Performance & Strategies - PMT's net income attributable to common shareholders was $14 million in 2Q23, with diluted EPS of $016[10] - The company's return on common equity was 4%, and the book value per share was $1581[10] - PMT is actively managing its equity allocation, decreasing the allocation to interest rate sensitive strategies to 55% in 2Q23 from 58% in 1Q23, and increasing the allocation to credit sensitive strategies to 25% in 2Q23 from 24% in 1Q23[17] - The company repurchased 16 million shares during the quarter[10] Credit Sensitive Strategies - Pretax income from credit sensitive strategies was $71 million[10] - Excluding market-driven value changes, pretax income from these strategies was $18 million[10] - PMT invested $52 million in GSE CRT in 2Q23[10, 19] - The fair value of organically-created CRT investments is $12 billion[10] - The 60+ day delinquency rate in PMT's CRT investments was 112% as of June 30, 2023[13] Interest Rate Sensitive Strategies - Pretax income from interest rate sensitive strategies was $(13) million[10] - Excluding market-driven value changes, pretax income from these strategies was $22 million[10] - PMT invested $133 million in MSR and non-Agency bonds[10] - The fair value of MSR investments is $40 billion[10] - Custodial funds managed for PMT's portfolio totaled $27 billion at June 30, 2023[14] Correspondent Production - Correspondent production pretax income was $1 million[10] - PMT's conventional correspondent production volume was $3 billion in UPB[10] - Correspondent acquisitions in 2Q23 totaled $212 billion in UPB, up 5% Q/Q and 1% Y/Y[28] - PMT's acquisitions were 93% purchase loans in 2Q23[15]

PennyMac Mortgage Investment Trust (NYSE:PMT) Q2 2023 Earnings Conference Call July 27, 2023 5:45 PM ET Company Participants David Spector – Chairman and Chief Executive Officer Dan Perotti – Senior Managing Director & Chief Financial Officer Conference Call Participants Kevin Barker – Piper Jaffray Bose George – KBW Matthew Howlett – B. Riley Securities Doug Harter – Credit Suisse Eric Hagen – BTIG Operator Good afternoon, and welcome to the Second Quarter Discussion for PennyMac Mortgage Investment Trust. ...

Financial Performance - The company reported net gains on loans acquired for sale of $130.2 million in Q1 2023, compared to $104.3 million in Q1 2022, indicating an increase of approximately 24.9%[241] - The company’s net investment income for Q1 2023 was $90.4 million, compared to $81.8 million in Q1 2022, representing an increase of approximately 10.5%[241] - Net investment income for Q1 2023 was $90,366,000, an increase of 10.3% from $81,839,000 in Q1 2022[249] - Net income attributable to common shareholders was $50,242,000 in Q1 2023, a significant recovery from a loss of $29,584,000 in Q1 2022[249] - The annualized return on average common shareholder's equity improved to 13.9% in Q1 2023, compared to a negative 6.8% in Q1 2022[249] - The credit sensitive strategies segment reported a $57,322,000 pretax income, a substantial increase from a loss of $55,961,000 in the same quarter last year[249] - Net gains on mortgage-backed securities (MBS) were $78,218,000 in Q1 2023, a recovery from losses of $186,525,000 in Q1 2022[251] Loan and Investment Activity - During Q1 2023, the company purchased newly originated prime credit quality residential loans with fair values totaling $20.4 billion, down from $23.3 billion in Q1 2022, reflecting a decrease of approximately 12.4%[229] - The company sold $4.1 billion in UPB of conventional loans to PennyMac Loan Services (PLS) during Q1 2023, optimizing capital allocation[229] - The company intends to continue selling conventional loans to PLS in Q2 2023 to further optimize capital allocation[247] - The company held net CRT-related investments totaling approximately $1.1 billion as of March 31, 2023, reflecting its focus on credit-sensitive strategies[234] - The company purchased approximately $142.7 million in Agency fixed-rate pass-through securities and non-Agency senior MBS during Q1 2023, with a total fair value of approximately $4.4 billion held at the end of the quarter[236] - Interest rate lock commitments issued on loans acquired for sale totaled $11.37 billion in Q1 2023, an increase from $10.19 billion in Q1 2022[268] Asset and Liability Management - Total assets increased to $15,357,229,000 as of March 31, 2023, compared to $13,921,564,000 at December 31, 2022, reflecting a growth of 10.3%[249] - The total liabilities increased to $13.4 billion as of March 31, 2023, from $12.0 billion on December 31, 2022[297] - The company’s short-term debt rose to $8.1 billion as of March 31, 2023, compared to $6.6 billion at the end of 2022[297] - The company managed custodial funds of $2.35 billion as of March 31, 2023, compared to $1.78 billion at the end of 2022, reflecting growth in managed assets[266] - Total secured borrowings amounted to $12.3 billion, with a debt-to-equity ratio of 6.5:1 as of March 31, 2023[316] Market Conditions and Risks - The projected mortgage origination market is expected to decrease from an estimated $2.2 trillion in 2022 to a range of $1.6 trillion to $1.8 trillion for 2023 due to rising interest rates and economic slowdown[243] - The company is exposed to various market risks including real estate risk, credit risk, interest rate risk, prepayment risk, inflation risk, and market value risk[329] - The company’s primary trading asset is its inventory of loans acquired for sale, which is sensitive to changes in market interest rates[330] - The fair values of MSRs and mortgage-backed securities are primarily influenced by changes in market interest rates for comparable loans[330] Tax and Regulatory Compliance - The company's effective tax rate was (56.4)% with consolidated pretax income of $38.8 million for the quarter ended March 31, 2023[293] - The TRS recognized a tax benefit of $21.8 million on a pretax loss of $90.1 million for the quarter ended March 31, 2023[293] - The valuation allowance for deferred tax assets remains zero as of March 31, 2023, due to cumulative GAAP income at the TRS for the three-year period ended March 31, 2022[294] - The company is compliant with the revised capital and liquidity requirements established by the FHFA and Ginnie Mae as of March 31, 2023[323] Operational Efficiency - Total expenses decreased by $12.2 million, or 19%, during the quarter ended March 31, 2023, compared to the same period in 2022[286] - Loan servicing fees decreased by $639 thousand to $20,449 thousand for the quarter ended March 31, 2023, from $21,088 thousand in the same period in 2022[287] - Loan fulfillment fees decreased by $4.8 million during the quarter ended March 31, 2023, due to a decrease in loan commitment volume[288] - Management fees decreased by $860 thousand to $7,257 thousand for the quarter ended March 31, 2023, compared to $8,117 thousand in the same period in 2022[289] - Loan origination expenses decreased by $664 thousand, or 23%, during the quarter ended March 31, 2023, compared to the same period in 2022[290] Delinquency and Collection Status - The company experienced a decrease in delinquent loans, with current loans at $24,277,884,000 as of March 31, 2023, compared to $24,673,719,000 at December 31, 2022[255] - Delinquent loans (30-89 days) decreased to $1.56 billion in Q1 2023 from $1.90 billion in Q1 2022, indicating improved collection status[266] - The collection status reveals that 90-179 days delinquency amounts to $107 million, while 180+ days delinquency totals $92 million[307] Changes in Fair Value - The estimated change in fair value of mortgage-backed securities due to a -200 basis points interest rate shift is $246,425,000, while a +200 basis points shift results in a decrease of $376,732,000[332] - The change in fair value of Mortgage Servicing Rights (MSRs) due to a -20% shift in pricing spread is $223,452,000, and a +20% shift results in a decrease of $201,628,000[333] - The fair value of CRT arrangements changes by $43,419,000 with a -100 basis points pricing spread shift, while a +100 basis points shift results in a decrease of $40,589,000[334]

Interest Rate Sensitive Strategies Share Repurchases Organically-created investments in GSE CRT 20.0% 15% MSRs (incl. recapture) 17.1% 53% RUN-RATE RETURN POTENTIAL FROM PMT'S INVESTMENT STRATEGIES | --- | --- | --- | |---------------------------------------------------------------------|-----------------|-------| | Interest rate hedges (3) \nNet interest rate sensitive strategies | -4.0% \n12.9% | 62% | | Correspondent production | 22.3% | | | Cash, short term investments, and other | 3.7% | | | Management ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, DC 20549 Form 10-K (Mark One) ☒ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the fiscal year ended December 31, 2022 Or ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to Commission file number: 001-34416 PennyMac Mortgage Investment Trust (Exact name of registrant as specified in its charter) | Maryland | 27-0186273 | | --- | --- ...

This presentation 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 w ...

PennyMac Mortgage Investment Trust (NYSE:PMT) Q4 2022 Earnings Conference Call February 2, 2023 5:30 PM ET Company Participants Isaac Garden - Investor Relations David Spector - Chairman & Chief Executive Officer Vandy Fartaj - Senior Managing Director & Chief Investment Officer Dan Perotti - Senior Managing Director & Chief Financial Officer Conference Call Participants Isaac Garden Good afternoon, and welcome to the Fourth Quarter and Full Year 2022 Earnings Discussion for PennyMac Mortgage Investment Tru ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Or ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to Commission file number: 001-34416 Washington, DC 20549 Form 10-Q (Mark One) ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended September 30, 2022 PennyMac Mortgage Investment Trust (Exact name of registrant as specified in its charter) Maryland 27-0186273 (State or ...

3Q22 EARNINGS REPORT PennyMac Mortgage Investment Trust October 2022 FORWARD LOOKING STATEMENTS This presentation 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 cha ...

PennyMac Mortgage Investment Trust (NYSE:PMT) Q3 2022 Results Conference Call October 27, 2022 5:00 PM ET Company Participants Isaac Garden - Investor Relations David Spector - Chairman and Chief Executive Officer Vandy Fartaj - Senior Managing Director and Chief Investment Officer Dan Perotti - Senior Managing Director and Chief Financial Officer Conference Call Participants Isaac Garden Good afternoon and welcome to the Third Quarter Earnings Discussion for PennyMac Mortgage Investment Trust. The slides t ...