4Q21 EARNINGS REPORT PennyMacMortgage Investment Trust February 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) Q4 2021 Earnings Conference Call February 3, 2022 5:00 PM ET Company Participants 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 Operator Good afternoon and welcome to the Fourth Quarter and Full Year 2021 Earnings Discussion for PennyMac Mortgage Investment Trust. The slides that accompany thi ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION 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, 2021 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 (State or ...

PennyMac Mortgage Investment Trust (NYSE:PMT) Q3 2021 Results Conference Call November 4, 2021 5:00 PM ET Company Participants David Spector - Chairman and CEO Andy Chang - Senior Managing Director and COO Vandy Fartaj - Senior Managing Director and Chief Investment Officer Dan Perotti - Senior Managing Director and CFO Operator 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 ...

PennyMac Mortgage Investment Trust (NYSE:PMT) Q2 2021 Earnings Conference Call August 5, 2021 5:00 PM ET Company Participants David Spector - Chairman and Chief Executive Officer Andrew Chang - Senior Managing Director and Chief Operating Officer Vandad Fartaj - Senior Managing Director and Chief Investment Officer Daniel Perotti - Senior Managing Director and Chief Financial Officer Operator Good afternoon, and welcome to the Second Quarter 2021 Earnings Discussion for PennyMac Mortgage Investment Trust. T ...

[Form 10-Q Filing Information](index=1&type=section&id=Form%2010-Q%20Filing%20Information) This section provides basic identification details for PennyMac Mortgage Investment Trust (PMT) as the registrant for the Form 10-Q filing [Registrant Details](index=1&type=section&id=Registrant%20Details) This section identifies PennyMac Mortgage Investment Trust (PMT) as the registrant for the Form 10-Q, detailing its filing type and period - Registrant: PennyMac Mortgage Investment Trust (PMT)[2](index=2&type=chunk) - Filing Type: Quarterly Report (Form 10-Q)[2](index=2&type=chunk) - Period Ended: June 30, 2021[2](index=2&type=chunk) [Securities and Filer Status](index=1&type=section&id=Securities%20and%20Filer%20Status) This section lists PMT's registered securities on the New York Stock Exchange and confirms its compliance as a 'Large accelerated filer' Title of Each Class | Title of Each Class | Trading Symbol (s) | Name of Each Exchange on Which Registered | | :------------------------------------------------ | :----------------- | :---------------------------------------- | | 8.125% Series A Cumulative Redeemable Preferred | PMT/PA | New York Stock Exchange | | 8.00% Series B Cumulative Redeemable Preferred | PMT/PB | New York Stock Exchange | | Common Shares of Beneficial Interest, $0.01 Par Value | PMT | New York Stock Exchange | - Registrant has filed all required reports and been subject to filing requirements for the past 90 days: Yes[3](index=3&type=chunk) - Registrant has submitted electronically every Interactive Data File: Yes[3](index=3&type=chunk) Large accelerated filer | Large accelerated filer | ☒ | | :---------------------- | :- | - Registrant is not a shell company: No[4](index=4&type=chunk) Common Shares of Beneficial Interest, $0.01 par value | Class | Outstanding at August 5, 2021 | | :---------------------------------------- | :---------------------------- | | Common Shares of Beneficial Interest, $0.01 par value | 97,872,349 | [Table of Contents](index=2&type=section&id=TABLE%20OF%20CONTENTS) [Special Note Regarding Forward-Looking Statements](index=3&type=section&id=Special%20Note%20Regarding%20Forward-Looking%20Statements) This section provides important disclaimers regarding forward-looking statements and associated risks [Nature of Forward-Looking Statements](index=3&type=section&id=Nature%20of%20Forward-Looking%20Statements) This section clarifies that the report contains forward-looking statements, identifiable by specific terminology, based on assumptions about future expectations - Forward-looking statements are identified by terms like 'may,' 'will,' 'should,' 'potential,' 'intend,' 'expect,' 'seek,' 'anticipate,' 'estimate,' 'approximately,' 'believe,' 'could,' 'project,' 'predict,' 'continue,' 'plan'[9](index=9&type=chunk) - Examples include projections of revenues, income, EPS, capital structure, descriptions of future operations, products, services, and forecasts of economic performance, interest rates, profit margins, and market share[12](index=12&type=chunk) - Actual results and performance could differ materially from expectations due to various factors, many beyond the company's control[10](index=10&type=chunk) [Risk Factors](index=3&type=section&id=Risk%20Factors) This section outlines numerous factors that could cause actual results to differ materially from anticipated outcomes, including market volatility and regulatory changes - Exposure to risks of loss and disruptions from adverse weather, disasters, climate change, and pandemics (e.g., COVID-19)[13](index=13&type=chunk)[14](index=14&type=chunk)[17](index=17&type=chunk) - Impact on CRT arrangements from increased borrower forbearance requests under the CARES Act[13](index=13&type=chunk)[14](index=14&type=chunk)[17](index=17&type=chunk) - Changes in investment objectives, strategies, new lines of business, or new products/services[13](index=13&type=chunk)[14](index=14&type=chunk)[17](index=17&type=chunk) - Volatility in the industry, debt/equity markets, general economy, or real estate finance/markets[13](index=13&type=chunk)[14](index=14&type=chunk)[17](index=17&type=chunk) - Events undermining confidence in financial and housing markets (e.g., instability of large institutions, terrorist attacks, conflicts)[13](index=13&type=chunk)[14](index=14&type=chunk)[17](index=17&type=chunk) - Changes in general business, economic, market, employment, and political conditions, or consumer confidence/spending[13](index=13&type=chunk)[14](index=14&type=chunk)[17](index=17&type=chunk) - Declines in real estate or significant changes in U.S. housing prices/activity[13](index=13&type=chunk)[14](index=14&type=chunk][17](index=17&type=chunk) - Availability of and competition for attractive risk-adjusted investment opportunities[13](index=13&type=chunk)[14](index=14&type=chunk)[17](index=17&type=chunk) - Dependence on manager and servicer, potential conflicts of interest[13](index=13&type=chunk)[14](index=14&type=chunk)[17](index=17&type=chunk) - Availability, terms, and deployment of short-term and long-term capital; adequacy of cash reserves and working capital[13](index=13&type=chunk)[14](index=14&type=chunk)[17](index=17&type=chunk) - Substantial amount of debt and ability to maintain desired financing-to-asset relationship[13](index=13&type=chunk)[14](index=14&type=chunk)[17](index=17&type=chunk) - Increased prepayments of mortgages and loans underlying MBS, MSRs, ESS, and other investments[13](index=13&type=chunk)[14](index=14&type=chunk)[17](index=17&type=chunk) - Degree to which hedging strategies protect from interest rate volatility[13](index=13&type=chunk)[14](index=14&type=chunk)[17](index=17&type=chunk) - Ability to maintain appropriate internal control over financial reporting, technology failures, cybersecurity risks[13](index=13&type=chunk)[14](index=14&type=chunk)[17](index=17&type=chunk] - Ability to comply with various federal, state, and local laws and regulations, including REIT qualification rules and Investment Company Act exclusions[13](index=13&type=chunk)[14](index=14&type=chunk)[17](index=17&type=chunk) - Forward-looking statements are made as of their date, and the company undertakes no obligation to update them[16](index=16&type=chunk) [PART I. FINANCIAL INFORMATION](index=6&type=section&id=PART%20I.%20FINANCIAL%20INFORMATION) This section presents the unaudited consolidated financial statements and related notes for PennyMac Mortgage Investment Trust [Item 1. Financial Statements (Unaudited):](index=6&type=section&id=Item%201.%20Financial%20Statements%20(Unaudited)%3A) This section presents the unaudited consolidated financial statements of PennyMac Mortgage Investment Trust and its subsidiaries, along with comprehensive notes detailing accounting policies and segment information [Consolidated Balance Sheets](index=6&type=section&id=Consolidated%20Balance%20Sheets) The consolidated balance sheets provide a snapshot of the company's financial position at June 30, 2021, and December 31, 2020, showing increases in total assets and liabilities Metric (in thousands) | Metric (in thousands) | June 30, 2021 | December 31, 2020 | | :-------------------- | :------------ | :---------------- | | Total Assets | $13,598,112 | $11,492,011 | | Total Liabilities | $11,254,722 | $9,195,152 | | Total Shareholders' Equity | $2,343,390 | $2,296,859 | - Cash increased from **$57,704 thousand** (Dec 31, 2020) to **$68,616 thousand** (June 30, 2021)[20](index=20&type=chunk) - Mortgage-backed securities at fair value pledged to creditors increased from **$2,213,922 thousand** to **$2,309,864 thousand**[20](index=20&type=chunk) - Loans acquired for sale at fair value significantly increased from **$3,551,890 thousand** to **$5,535,300 thousand**[20](index=20&type=chunk) - Mortgage servicing rights at fair value increased from **$1,755,236 thousand** to **$2,551,373 thousand**[20](index=20&type=chunk) - Assets sold under agreements to repurchase increased from **$6,309,418 thousand** to **$7,193,671 thousand**[20](index=20&type=chunk) - Notes payable secured by credit risk transfer and mortgage servicing assets increased from **$1,924,999 thousand** to **$2,829,177 thousand**[20](index=20&type=chunk) Assets and Liabilities of Consolidated VIEs (in thousands) | Metric | June 30, 2021 | December 31, 2020 | | :------------------------------------------ | :------------ | :---------------- | | Total VIE Assets | $2,644,424 | $3,002,061 | | Total VIE Liabilities | $412,859 | $375,571 | [Consolidated Statements of Operations](index=8&type=section&id=Consolidated%20Statements%20of%20Operations) The consolidated statements of operations

PENNYMAC MORTGAGE INVESTMENT TRUST 2Q21 EARNINGS REPORT August 2021 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 chan ...

PennyMac Mortgage Investment Trust First Quarter 2021 Earnings Report May 6, 2021 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 s ...

PART I. FINANCIAL INFORMATION [Item 1. Financial Statements (Unaudited)](index=6&type=section&id=Item%201.%20Financial%20Statements%20(Unaudited)) This section presents PennyMac Mortgage Investment Trust's unaudited consolidated financial statements for Q1 2021, including balance sheets, statements of operations, and cash flows [Consolidated Balance Sheets](index=6&type=section&id=Consolidated%20Balance%20Sheets) Total assets increased to **$12.52 billion** from **$11.49 billion**, primarily due to growth in loans and mortgage servicing rights, with liabilities also rising Consolidated Balance Sheet Summary (in thousands) | Account | March 31, 2021 | December 31, 2020 | | :--- | :--- | :--- | | **Total Assets** | **$12,522,254** | **$11,492,011** | | Cash | $92,842 | $57,704 | | Loans acquired for sale at fair value | $4,646,761 | $3,551,890 | | Mortgage servicing rights at fair value | $2,441,214 | $1,755,236 | | **Total Liabilities** | **$10,165,111** | **$9,195,152** | | Assets sold under agreements to repurchase | $6,091,973 | $6,309,418 | | Notes payable secured by credit risk transfer and mortgage servicing assets | $2,897,794 | $1,924,999 | | **Total Shareholders' Equity** | **$2,357,143** | **$2,296,859** | [Consolidated Statements of Operations](index=8&type=section&id=Consolidated%20Statements%20of%20Operations) The company reported a **net income of $71.6 million** in Q1 2021, a significant turnaround from a **$594.7 million net loss** in Q1 2020, driven by strong investment gains Consolidated Statements of Operations Summary (in thousands, except per share data) | Metric | Q1 2021 | Q1 2020 | | :--- | :--- | :--- | | Net Investment Income (Loss) | $201,397 | $(506,517) | | Total Expenses | $110,369 | $77,908 | | **Net Income (Loss)** | **$71,603** | **$(594,673)** | | Net Income (Loss) Attributable to Common Shareholders | $65,369 | $(600,907) | | **Diluted Earnings (Loss) Per Common Share** | **$0.67** | **$(5.99)** | | Dividends Declared Per Common Share | $0.47 | $0.25 | [Consolidated Statements of Cash Flows](index=10&type=section&id=Consolidated%20Statements%20of%20Cash%20Flows) Net cash used in operating activities was **$1.87 billion** in Q1 2021, a shift from cash provided in Q1 2020, with overall cash increasing by **$35.1 million** Consolidated Cash Flow Summary (in thousands) | Activity | Q1 2021 | Q1 2020 | | :--- | :--- | :--- | | Net Cash (Used in) Provided by Operating Activities | $(1,869,255) | $1,705,250 | | Net Cash Provided by (Used in) Investing Activities | $930,882 | $(603,960) | | Net Cash Provided by (Used in) Financing Activities | $973,511 | $(105,966) | | **Net Increase in Cash** | **$35,138** | **$995,324** | [Notes to Consolidated Financial Statements](index=12&type=section&id=Notes%20to%20Consolidated%20Financial%20Statements) The notes detail the company's segment operations, related party transactions, variable interest entities, and fair value measurements - The company operates through four main segments: **credit sensitive strategies** (CRT, distressed loans), **interest rate sensitive strategies** (MSRs, MBS), **correspondent production**, and **corporate**[35](index=35&type=chunk)[40](index=40&type=chunk) - Significant related party transactions exist with PennyMac Financial Services, Inc. (PFSI) and its subsidiaries for loan fulfillment, servicing, and management, with fees detailed in the notes. For Q1 2021, loan fulfillment fees to PLS were **$60.8 million** and loan servicing fees were **$19.1 million**[53](index=53&type=chunk)[63](index=63&type=chunk)[71](index=71&type=chunk) - The company has extensive Credit Risk Transfer (CRT) arrangements, which are accounted for as VIEs. As of March 31, 2021, the carrying value of net CRT derivative and strip liabilities was **$(64.9) million**, secured by **$2.66 billion** in deposits[88](index=88&type=chunk)[95](index=95&type=chunk) - In March 2021, the company's subsidiary PMC issued **$345 million** of **5.50% exchangeable senior notes** due 2026[198](index=198&type=chunk) [Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations](index=60&type=section&id=Item%202.%20Management's%20Discussion%20and%20Analysis%20of%20Financial%20Condition%20and%20Results%20of%20Operations) Management discusses the company's financial performance, highlighting a significant turnaround in Q1 2021 driven by credit sensitive strategies and balance sheet changes [Our Company](index=60&type=section&id=Our%20Company) PennyMac Mortgage Investment Trust is a specialty finance company focused on mortgage-related assets, primarily MSRs and CRT arrangements - The company's investment focus is on mortgage-related assets created through its correspondent production activities, primarily **MSRs** and **CRT arrangements**[244](index=244&type=chunk) - The Federal Housing Finance Agency (FHFA) instructed Fannie Mae and Freddie Mac to wind down new front-end CRT investments as of the end of 2020, so the company is no longer creating new CRT investments[246](index=246&type=chunk) [Results of Operations](index=63&type=section&id=Results%20of%20Operations) Company results improved by **$666.3 million** in Q1 2021, driven by a **$1.1 billion** increase in CRT gains, partially offset by MSR hedging losses Key Performance Metrics (in thousands, except per share data and percentages) | Metric | Q1 2021 | Q1 2020 | | :--- | :--- | :--- | | Net Income (Loss) Attributable to Common Shareholders | $65,369 thousand | $(600,907) thousand | | Diluted EPS | $0.67 | $(5.99) | | Annualized Return on Average Common Equity | 12.8% | (118.9)% | | Book Value Per Common Share (at period end) | $20.90 | N/A (Dec 31, 2020 was $20.30) | - The significant improvement in Q1 2021 results was primarily driven by a **$1.1 billion increase** in net gains on CRT arrangements compared to Q1 2020, when the market was severely impacted by the onset of the COVID-19 pandemic[259](index=259&type=chunk)[261](index=261&type=chunk) [Net Investment Income](index=64&type=section&id=Net%20Investment%20Income) Net investment income recovered to **$201.4 million** in Q1 2021 from a **$506.5 million loss** in Q1 2020, primarily due to CRT asset valuation recovery - Net gains on loans acquired for sale rose to **$53.0 million** in Q1 2021 from **$48.8 million** in Q1 2020, reflecting higher loan sales volume, though with compressed margins[262](index=262&type=chunk) - Net gains on investments showed a massive positive swing to **$83.2 million** in Q1 2021 from a loss of **$815.1 million** in Q1 2020, primarily due to a **$154.0 million gain** on CRT arrangements as credit markets recovered[275](index=275&type=chunk)[276](index=276&type=chunk) - Net loan servicing fees decreased significantly to **$50.0 million** from **$244.6 million**, as a **$278.3 million positive change** in MSR fair value was more than offset by **$374.4 million in hedging losses**[286](index=286&type=chunk)[287](index=287&type=chunk) - Net interest expense increased to **$38.7 million** from **$8.9 million**, driven by higher interest shortfall on loan prepayments and lower interest income from custodial funds and CRT deposits[289](index=289&type=chunk)[290](index=290&type=chunk) [Expenses](index=73&type=section&id=Expenses) Total expenses increased by **42%** to **$110.4 million** in Q1 2021, primarily due to higher loan fulfillment and origination fees tied to increased volumes Expense Summary (in thousands) | Expense Category | Q1 2021 | Q1 2020 | | :--- | :--- | :--- | | Loan fulfillment fees | $60,835 | $41,940 | | Loan servicing fees | $19,093 | $14,521 | | Management fees | $8,449 | $9,055 | | Loan origination | $9,308 | $4,249 | | **Total Expenses** | **$110,369** | **$77,908** | [Balance Sheet Analysis](index=76&type=section&id=Balance%20Sheet%20Analysis) Total assets grew by **$1.0 billion** to **$12.5 billion** at March 31, 2021, driven by increases in loans acquired for sale and MSRs, funded by higher debt - Correspondent loan purchases increased significantly to **$53.2 billion** in Q1 2021 from **$33.2 billion** in Q1 2020, driven by a favorable interest rate environment and an expanded seller network[307](index=307&type=chunk)[308](index=308&type=chunk) - The company received **$407.7 million** in MSRs from loan sales in Q1 2021, a substantial increase from **$248.8 million** in Q1 2020[309](index=309&type=chunk) [Liquidity and Capital Resources](index=81&type=section&id=Liquidity%20and%20Capital%20Resources) The company's leverage ratio increased to **4.10x** at March 31, 2021, from **3.78x** at year-end 2020, while maintaining compliance with financial covenants - The company's leverage ratio (total borrowings divided by shareholders' equity) increased to **4.10** at March 31, 2021, from **3.78** at December 31, 2020[324](index=324&type=chunk) - The company is subject to various financial covenants, including minimum tangible net worth (**$1.25 billion** for the Company), minimum unrestricted cash (**$40 million**), and a maximum leverage ratio (**7:1** for the Company)[327](index=327&type=chunk) - The company must also meet FHFA and Ginnie Mae eligibility requirements for sellers/servicers, including specific net worth and liquidity calculations[328](index=328&type=chunk) [Item 3. Quantitative and Qualitative Disclosures About Market Risk](index=84&type=section&id=Item%203.%20Quantitative%20and%20Qualitative%20Disclosures%20About%20Market%20Risk) The company is exposed to real estate, credit, interest rate, and prepayment risks, with sensitivity analyses provided for key assets MBS Fair Value Sensitivity to Interest Rate Changes (in thousands) | Interest Rate Shift (bps) | -200 | -75 | +75 | +200 | | :--- | :--- | :--- | :--- | :--- | | **Change in Fair Value** | **$94,475** | **$72,615** | **$(89,852)** | **$(236,629)** | MSR Fair Value Sensitivity to Key Inputs (in thousands) | Change in Fair Value Attributable to a +10% Adverse Shift in: | Estimated Impact | | :--- | :--- | | Pricing Spread | $(75,820) | | Prepayment Speed | $(95,920) | | Annual Per-Loan Cost of Servicing | $(31,419) | CRT Arrangements Fair Value Sensitivity (in thousands) | Scenario | Estimated Impact | | :--- | :--- | | +50 bps shift in Pricing Spread | $(41,143) | | -10% shift in Property Value | $(51,991) | [Item 4. Controls and Procedures](index=85&type=section&id=Item%204.%20Controls%20and%20Procedures) Management concluded the company's disclosure controls and procedures were effective as of March 31, 2021, with no material changes to internal controls - The CEO and CFO concluded that the company's disclosure controls and procedures were effective as of the end of the period covered by the report[344](index=344&type=chunk) - No changes in internal control over financial reporting occurred during the quarter that have materially affected, or are reasonably likely to materially affect, internal controls[345](index=345&type=chunk) PART II. OTHER INFORMATION [Item 1. Legal Proceedings](index=86&type=section&id=Item%201.%20Legal%20Proceedings) As of March 31, 2021, the company was not involved in any material legal actions, claims, or proceedings - As of March 31, 2021, the company was not involved in any material legal proceedings[348](index=348&type=chunk) [Item 2. Unregistered Sales of Equity Securities and Use of Proceeds](index=86&type=section&id=Item%202.%20Unregistered%20Sales%20of%20Equity%20Securities%20and%20Use%20of%20Proceeds) There were no sales of unregistered equity securities during the quarter ended March 31, 2021 - The company reported no sales of unregistered equity securities for the quarter[349](index=349&type=chunk) [Item 3. Defaults Upon Senior Securities](index=86&type=section&id=Item%203.%20Defaults%20Upon%20Senior%20Securities) The company reported no defaults upon senior securities during the period - None[350](index=350&type=chunk) [Item 6. Exhibits](index=87&type=section&id=Item%206.%20Exhibits) This section lists the exhibits filed with the Form 10-Q, including corporate governance documents, debt indentures, and certifications

PennyMac Mortgage Investment Trust (NYSE:PMT) Q1 2021 Earnings Conference Call May 6, 2021 5:00 PM ET Company Participants Isaac Garden - Investor Relations David Spector - Chairman and Chief Executive Officer Andy Chang - Senior Managing Director and Chief Operating 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 First Quarter 2021 Earn ...