Financial Performance - Net income attributable to common shareholders for Q1 2024 was $37.2 million, or $0.39 per diluted share, on net investment income of $74.2 million[2] - Net income for the quarter ended March 31, 2024, was $47.6 million, compared to $52.9 million for the previous quarter and $60.7 million for the same quarter last year[37] - Earnings per common share for the quarter were $0.43 (basic) and $0.39 (diluted), down from $0.49 (basic) and $0.44 (diluted) in the previous quarter[37] - The company reported net gains on investments and financings of $39.8 million for the quarter, compared to $164.3 million in the previous quarter[37] - Interest income for the quarter was $143.6 million, down from $165.3 million in the previous quarter[37] Asset and Liability Management - Total assets decreased to $12,293.7 million as of March 31, 2024, down from $13,113.9 million at December 31, 2023, and $15,357.2 million at March 31, 2023[35] - Total liabilities decreased to $10,334.8 million as of March 31, 2024, from $11,156.8 million at December 31, 2023[35] - The company’s accumulated deficit improved slightly to $(506.4) million from $(508.7) million at December 31, 2023[35] - The company’s cash reserves decreased to $126.6 million from $281.1 million at December 31, 2023[35] Investment and Production Activities - Conventional correspondent loan production volumes totaled $1.8 billion in unpaid principal balance (UPB), down 29% from the prior quarter and 73% from Q1 2023[4] - PMT's total correspondent acquisitions amounted to $18.1 billion in UPB, down 23% from the prior quarter[21] - PMT issued $247 million of new, 3-year CRT term notes, refinancing $213 million of notes due to mature in 2025[5] - PMT acquired two bulk MSR portfolios totaling $2.3 billion in UPB for $29 million[6] Segment Performance - The Credit Sensitive Strategies segment generated pretax income of $60.8 million on net investment income of $60.9 million[8] - The Interest Rate Sensitive Strategies segment reported a pretax loss of $27.2 million on net investment losses of $4.8 million[13] - Correspondent Production segment generated pretax income of $11.7 million, up from $11.3 million in the prior quarter[20] Market and Fair Value Adjustments - Book value per common share decreased slightly to $16.11 at March 31, 2024, from $16.13 at December 31, 2023[4] - Mortgage-backed securities at fair value decreased to $3,949.7 million from $4,836.3 million at December 31, 2023[35] - Net loan servicing fees from nonaffiliates were $163.4 million for the quarter, slightly down from $165.4 million in the previous quarter[37] - PMT recorded a tax benefit of $15.2 million, primarily due to fair value declines on assets held in PMT's taxable subsidiary[26]

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, 2023 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 | | --- | --- ...

Financial Data and Key Metrics Changes - The net income attributable to common shareholders for 2023 was $158 million, translating to diluted earnings per share of $1.63, with a return on common equity of 11% [1][25] - The book value per share increased by 2% to $16.13 at December 31, up from $16.01 at the end of the prior quarter [25] - The company returned approximately $170 million to shareholders through cash dividends and share repurchases [2] Business Line Data and Key Metrics Changes - MSR investments accounted for more than half of the deployed equity, with stable cash flows expected despite a decline in rates [3] - Credit-sensitive strategies contributed $61 million in pre-tax income, with $42 million from organically created CRT investments in Q4 [5][27] - Income from opportunistic investments in CAS and STACR bonds totaled $12.8 million in the quarter [27] Market Data and Key Metrics Changes - The origination market is expected to drop in 2023, with estimates for industry originations in 2024 at approximately $2 trillion due to anticipated interest rate cuts [2] - Conventional loans acquired totaled $2.5 billion, down 10% from the prior quarter due to seasonal impacts [12] - Delinquency rates for borrowers underlying the MSR portfolio remained low, with a 60-day delinquency rate of 1.23% as of December 31 [18] Company Strategy and Development Direction - The company plans to remain disciplined in capital deployment and continue seeking opportunistic investments across the residential mortgage landscape [1] - More than two-thirds of shareholders' equity is invested in seasoned MSRs and GSE lender risk share transactions, expected to perform well due to low prepayment rates [24][26] - The management team is focused on balancing credit-sensitive and interest rate-sensitive strategies [35] Management's Comments on Operating Environment and Future Outlook - Management expressed enthusiasm about the potential performance of the investment portfolio, particularly in light of the low delinquency rates and strong consumer strength [15][24] - The expected returns on investments may improve if short-term rates decline, which could enhance the overall run rate [10][29] - The company remains cautious about the current interest rate environment and its impact on asset yields [10][28] Other Important Information - The fair value of the MSR asset decreased to $3.9 billion from $4.1 billion, primarily due to fair value declines and runoff from prepayments [19] - The company issued $659 million in new long-term debt while redeeming $450 million in debt with upcoming maturities [2] Q&A Session Summary Question: Can you discuss the returns expected this quarter versus last quarter? - Management noted that the run rate declined due to interest rate strategies, with the curve becoming more inverted, impacting financing [22] Question: How long do you expect the interplay with PMT selling loans to PFSI to continue? - Management indicated that this is a capital allocation issue and will depend on the need to raise capital for MSRs [34][35] Question: What is the outlook for the dividend? - Management stated that if the run rate does not return to $0.40 per share, they would reevaluate the dividend, but they see a path for it to potentially improve [38][58] Question: Can you provide an update on the credit side and potential securitization programs? - Management is monitoring the market for opportunities but does not see a lender credit risk program returning until the mortgage market size increases [45] Question: How has liquidity fluctuated during periods of volatility? - Management confirmed that liquidity has remained stable, with a buffer significantly above requirements [66]

PMT'S OWNED MSR PORTFOLIO CHARACTERISITICS | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | |-------------------|-------------------------|-----------------|----------------------------|------------|---------------------|-------------------------------|----------------------------|------------------------------------|---------------|------------------|----------------------------| | Segment | UPB ($ in billions) (2) | % of Total UPB | Loan count (in thousands) | Note rate | Seasonin ...

[Financial Information](index=6&type=section&id=PART%20I.%20FINANCIAL%20INFORMATION) [Unaudited Financial Statements](index=6&type=section&id=Item%201.%20Financial%20Statements%20(Unaudited)) The unaudited consolidated financial statements show a significant improvement in net income for Q3 2023 and the nine-month period, with total assets at **$13.22 billion** as of September 30, 2023 [Consolidated Balance Sheets](index=6&type=section&id=Consolidated%20Balance%20Sheets) Total assets decreased to **$13.22 billion** as of September 30, 2023, primarily due to reduced loans acquired for sale, while total liabilities also decreased to **$11.27 billion** Consolidated Balance Sheet Summary (in thousands) | Account | September 30, 2023 | December 31, 2022 | | :--- | :--- | :--- | | **Total Assets** | **$13,223,336** | **$13,921,564** | | Mortgage servicing rights at fair value | $4,108,661 | $4,012,737 | | Mortgage-backed securities at fair value | $4,665,970 | $4,462,601 | | Loans acquired for sale at fair value | $1,025,730 | $1,821,933 | | **Total Liabilities** | **$11,274,258** | **$11,958,749** | | Assets sold under agreements to repurchase | $6,020,716 | $6,616,528 | | Notes payable secured by CRT and MSR assets | $2,825,591 | $2,804,028 | | **Total Shareholders' Equity** | **$1,949,078** | **$1,962,815** | - Assets of consolidated Variable Interest Entities (VIEs) totaled **$2.62 billion** as of September 30, 2023, decreasing from **$2.84 billion** at year-end 2022[25](index=25&type=chunk) [Consolidated Statements of Operations](index=8&type=section&id=Consolidated%20Statements%20of%20Operations) Net income attributable to common shareholders significantly increased to **$51.0 million** for Q3 2023 and **$115.4 million** for the nine-month period, driven by reduced investment losses Statement of Operations Summary (in thousands, except per share data) | Metric | Q3 2023 | Q3 2022 | Nine Months 2023 | Nine Months 2022 | | :--- | :--- | :--- | :--- | :--- | | Net Investment Income | $163,429 | $151,065 | $344,247 | $254,404 | | Net (Losses) Gains on Investments | ($109,544) | ($253,336) | $13,761 | ($713,081) | | Net Income (Loss) | $61,422 | $11,913 | $146,743 | ($77,950) | | Net Income (Loss) to Common Shareholders | $50,967 | $1,458 | $115,379 | ($109,314) | | Diluted EPS | $0.51 | $0.01 | $1.20 | ($1.19) | [Consolidated Statements of Cash Flows](index=11&type=section&id=Consolidated%20Statements%20of%20Cash%20Flows) Net cash from operating activities was **$807.2 million** for the nine months ended September 30, 2023, with a net increase in cash of **$124.5 million** overall Cash Flow Summary (Nine months ended Sep 30, in thousands) | Activity | 2023 | 2022 | | :--- | :--- | :--- | | Net Cash from Operating Activities | $807,162 | $1,275,504 | | Net Cash from Investing Activities | $60,482 | ($1,342,701) | | Net Cash from Financing Activities | ($743,114) | $67,145 | | **Net Increase (Decrease) in Cash** | **$124,530** | **($52)** | [Notes to Consolidated Financial Statements](index=13&type=section&id=Notes%20to%20Consolidated%20Financial%20Statements) Notes detail accounting policies, four operating segments, extensive related-party transactions, and the use of Variable Interest Entities (VIEs) for Credit Risk Transfer (CRT) arrangements - The company operates in four segments: credit sensitive strategies, interest rate sensitive strategies, correspondent production, and corporate[40](index=40&type=chunk) - The company has extensive related-party transactions with PennyMac Financial Services, Inc. (PFSI) and its subsidiaries, with loan servicing fees of **$20.3 million** and management fees of **$7.2 million** paid in Q3 2023[53](index=53&type=chunk)[59](index=59&type=chunk)[63](index=63&type=chunk) - The company utilizes Variable Interest Entities (VIEs) for Credit Risk Transfer (CRT) arrangements and subordinate mortgage-backed securities investments, consolidating CRT-related VIEs as primary beneficiary[77](index=77&type=chunk)[78](index=78&type=chunk)[81](index=81&type=chunk) Fair Value of Financial Instruments (in thousands) | Category | Level 1 | Level 2 | Level 3 | Total (Sep 30, 2023) | | :--- | :--- | :--- | :--- | :--- | | **Assets** | | | | | | Mortgage-backed securities | $0 | $4,562,437 | $103,533 | $4,665,970 | | Mortgage servicing rights | $0 | $0 | $4,108,661 | $4,108,661 | | **Liabilities** | | | | | | Derivative and CRT strip liabilities | $1,688 | $11,458 | $76,178 | $140,494 | [Management's Discussion and Analysis (MD&A)](index=64&type=section&id=Item%202.%20Management's%20Discussion%20and%20Analysis%20of%20Financial%20Condition%20and%20Results%20of%20Operations) Management discusses the impact of rising interest rates on business segments, noting increased net income in Q3 2023 driven by credit-sensitive strategies and reduced MBS losses, while maintaining strong liquidity [Company Overview and Business Trends](index=64&type=section&id=Our%20Company) PMT, a specialty finance REIT, navigates a challenging market with rising interest rates impacting mortgage origination but benefiting MSRs, while seeing growth opportunities in correspondent business - The company's investment portfolio, including MSRs, subordinate MBS, and CRT arrangements, is primarily generated through correspondent production activities[249](index=249&type=chunk) - The U.S. mortgage origination market is projected to shrink to **$1.6-$1.8 trillion** in 2023 from **$2.3 trillion** in 2022 due to higher interest rates[263](index=263&type=chunk) - Higher interest rates increased floating-rate borrowing costs but also generated more interest income from custodial placement fees, leading to increased sales of conventional loans to affiliate PLS[264](index=264&type=chunk) [Results of Operations Analysis](index=67&type=section&id=Results%20of%20Operations) Pretax income increased to **$118.4 million** in Q3 2023, driven by improvements in Credit Sensitive Strategies and Correspondent Production, despite a decline in Interest Rate Sensitive Strategies Pretax Income (Loss) by Segment (in thousands) | Segment | Q3 2023 | Q3 2022 | Nine Months 2023 | Nine Months 2022 | | :--- | :--- | :--- | :--- | :--- | | Credit sensitive strategies | $40,996 | ($3,699) | $169,420 | ($123,375) | | Interest rate sensitive strategies | $81,563 | $103,510 | $61,366 | $217,088 | | Correspondent production | $8,846 | $6,065 | $12,029 | $20,426 | | Corporate | ($12,985) | ($15,497) | ($38,741) | ($45,570) | | **Total Pretax Income** | **$118,420** | **$90,379** | **$204,074** | **$68,569** | - Net loan servicing fees decreased to **$281.3 million** in Q3 2023, primarily due to smaller MSR valuation gains (net of hedging) of **$110.7 million**[270](index=270&type=chunk) - Net losses on investments and financings significantly improved to **$109.5 million** in Q3 2023, primarily due to smaller valuation losses on MBS and gains on CRT arrangements[294](index=294&type=chunk) - Total expenses decreased **26%** to **$45.0 million** in Q3 2023, driven by a **$12.9 million** reduction in loan fulfillment fees[304](index=304&type=chunk)[306](index=306&type=chunk) [Balance Sheet Analysis](index=81&type=section&id=Balance%20Sheet%20Analysis) Total assets decreased **5%** to **$13.2 billion** as of September 30, 2023, primarily due to reduced loans acquired for sale, partially offset by increases in MBS and MSRs - Total assets decreased by **$698.2 million**, or **5%**, from December 31, 2022, to September 30, 2023, primarily due to a decrease in Loans acquired for sale at fair value[316](index=316&type=chunk) Correspondent Loan Purchases (Fair Value, in thousands) | Period | 2023 | 2022 | | :--- | :--- | :--- | | Quarter ended Sep 30 | $21,755,784 | $22,785,467 | | Nine months ended Sep 30 | $63,699,477 | $67,387,436 | Investment Portfolio Composition (Fair Value, in thousands) | Asset Class | Sep 30, 2023 | Dec 31, 2022 | | :--- | :--- | :--- | | Mortgage-Backed Securities | $4,665,970 | $4,462,601 | | CRT Arrangements (Carrying Value) | $1,145,156 | $1,144,078 | | MSRs | $4,108,661 | $4,012,737 | [Liquidity and Capital Resources](index=86&type=section&id=Liquidity%20and%20Capital%20Resources) The company's liquidity is supported by diverse sources, with total debt at **$10.8 billion** and a debt-to-equity ratio of **5.5:1** as of September 30, 2023, while remaining compliant with financial covenants Financing Summary (as of Sep 30, 2023, in thousands) | Financing Type | Amount | Debt-to-Equity Ratio | | :--- | :--- | :--- | | Total Secured Borrowings | $10,177,645 | - | | Unsecured Senior Notes | $599,754 | - | | **Total Borrowings** | **$10,777,399** | **5.5:1** | | Shareholders' Equity | $1,949,078 | - | | **Total Financing** | **$12,726,477** | - | - The company is subject to financial covenants, including a minimum tangible net worth of **$1.25 billion** and minimum unrestricted cash of **$75 million**[343](index=343&type=chunk) - In September 2023, the company issued **$53.5 million** of **8.50%** unsecured senior notes due 2028[339](index=339&type=chunk) - The company and its servicer, PLS, believe they are in compliance with revised capital and liquidity requirements from the FHFA and Ginnie Mae, effective September 30, 2023[347](index=347&type=chunk)[348](index=348&type=chunk) [Market Risk Disclosures](index=90&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 showing potential fair value decreases for MBS, MSRs, and CRT arrangements under adverse market changes MBS Fair Value Sensitivity to Interest Rate Changes (in thousands) | Interest Rate Shift (bps) | -75 | -50 | +50 | +75 | | :--- | :--- | :--- | :--- | :--- | | Change in Fair Value | $154,495 | $106,221 | ($113,878) | ($172,339) | MSR Fair Value Sensitivity to Key Inputs (in thousands) | Change in Fair Value from Adverse Change in: | +5% | +10% | +20% | | :--- | :--- | :--- | :--- | | Pricing Spread | ($52,357) | ($103,437) | ($201,939) | | Prepayment Speed | ($47,226) | ($93,108) | ($181,071) | CRT Arrangement Fair Value Sensitivity (in thousands) | Scenario | Change in Fair Value | | :--- | :--- | | Pricing Spread +50 bps | ($20,526) | | Property Value -10% | ($15,231) | [Controls and Procedures](index=91&type=section&id=Item%204.%20Controls%20and%20Procedures) Management concluded that disclosure controls and procedures were effective as of September 30, 2023, with no material changes to internal control over financial reporting during the quarter - The CEO and CFO concluded that disclosure controls and procedures were effective as of the end of the reporting period[360](index=360&type=chunk) - No material changes to internal control over financial reporting occurred during the quarter ended September 30, 2023[361](index=361&type=chunk) [Other Information](index=92&type=section&id=PART%20II.%20OTHER%20INFORMATION) [Legal Proceedings, Risk Factors, and Share Repurchases](index=92&type=section&id=Item%201.%20Legal%20Proceedings) The company reports no material legal proceedings or changes to risk factors, and no common share repurchases were made in Q3 2023, with **$74.8 million** remaining in authorization - As of September 30, 2023, the company was not involved in any material legal actions, claims, or proceedings[364](index=364&type=chunk) - There were no material changes from the risk factors set forth in the company's Annual Report on Form 10-K for the year ended December 31, 2022[365](index=365&type=chunk) Common Share Repurchase Activity (Q3 2023) | Period | Total Shares Purchased | Average Price Paid | Amount Available for Future Repurchase | | :--- | :--- | :--- | :--- | | July 2023 | 0 | $0.00 | $74,828,000 | | August 2023 | 0 | $0.00 | $74,828,000 | | September 2023 | 0 | $0.00 | $74,828,000 |

PennyMac Mortgage Investment Trust (NYSE:PMT) Q3 2023 Earnings Conference Call October 26, 2023 6:00 PM ET Company Participants David Spector - Chairman and Chief Executive Officer Daniel Perotti - Senior Managing Director and Chief Financial Officer Conference Call Participants Bose George - Keefe, Bruyette, & Woods, Inc. Kevin Barker - Piper Sandler & Co. Eric Hagen - BTIG Matthew Erdner - JonesTrading Institutional Services, LLC Operator Good afternoon, and welcome to PennyMac Mortgage Investment Trust T ...

PennyMac Mortgage Investment Trust FORWARD LOOKING STATEMENTS 2 THIRD QUARTER HIGHLIGHTS | --- | --- | --- | --- | --- | --- | --- | |--------------------------------------------------|------------------------------------|--------------------------------------|---------------------|-----------------------------------------------------------------|----------------------------------------------------------------|---------------------------------------| | 3Q23 Results Net income attributable to common | Dilute ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, DC 20549 ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended June 30, 2023 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) Form 10-Q (Mark One) Maryland 27-0186273 (State or othe ...

2Q23 EARNINGS REPORT PennyMac Mortgage Investment Trust July 2023 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 change ...

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. ...