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 June 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 othe ...

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 ...

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, 2020 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 Performance - Net income attributable to common shareholders was $76.6 million, with diluted earnings per common share of $0.78[4] - The company declared a dividend of $0.47 per common share, returning to pre-COVID levels[4] - Book value per common share increased to $20.30 from $19.95 at September 30, 2020[4] Segment Results - Credit Sensitive Strategies segment pretax results were $134.5 million[4] - Interest Rate Sensitive Strategies segment pretax results were $(100.1) million[4] - Correspondent Production segment pretax results were $52.7 million[4] - Corporate segment pretax results were $(13.3) million[4] Investment Activity - Conventional correspondent loan production volumes reached a record $38.0 billion in UPB, up 39% from the prior quarter and 85% from 4Q19[4] - The company added $441 million in new MSRs[4] - PMT settled its sixth CRT transaction with Fannie Mae and placed $500 million of 2-year term-notes[4] - The company repurchased approximately 927,000 common shares at a weighted average price of $16.88, for a total cost of $15.6 million[4] CRT Investments - Approximately $59 billion in UPB of loans underlying PMT's CRT investments as of December 31, 2020[6]

PennyMac Mortgage Investment Trust (NYSE:PMT) Q4 2020 Earnings Conference Call February 4, 2021 5:00 PM ET Company Participants Isaac Garden - VP, IR David Spector - President 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 Conference Call Participants Isaac Garden Good afternoon, and welcome to the fourth quarter and full-year 2020 earnings discussion for PennyMac Mortgage Investment Tr ...

PennyMac Mortgage Investment Trust (NYSE:PMT) Q2 2020 Earnings Conference Call August 5, 2020 8:00 PM ET Company Participants Isaac Garden - Vice President, Investor Relations David Spector - President & Chief Executive Officer Vandy Fartaj - Chief Investment Officer Andy Chang - Chief Financial Officer Conference Call Participants Isaac Garden Good afternoon, and welcome to the Second Quarter Earnings Discussion for PennyMac Mortgage Investment Trust. The slides that accompany this discussion are available ...

PennyMac Mortgage Investment Trust Second Quarter 2020 Earnings Report August 6, 2020 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 a ...