\nPennyMac Mortgage Investment Trust (NYSE: PMT) today reported net income attributable to common shareholders of $50.2 million, or $0.50 per common share on a diluted basis for the first quarter of 2023, on net investment income of $90.4 million. PMT previously announced a cash dividend for the first quarter of 2023 of $0.40 per common share of beneficial interest, which was declared on March 15, 2023, and will be paid on April 28, 2023, to common shareholders of record as of April 14, 2023.<\/p>\n
First Quarter 2023 Highlights<\/b><\/p>\n
\nFinancial results:<\/p>\n
- \n
- \nNet income attributable to common shareholders of $50.2 million, compared to a net loss of $5.8 million in the prior quarter<\/p>\n
- \n
- \nStrong performance from PMT\u2019s credit sensitive strategies and income excluding the impact of market-driven fair value changes was partially offset by fair value declines in PMT\u2019s interest rate sensitive strategies<\/p>\n<\/li>\n<\/ul>\n<\/li>\n
- \nRepurchased 0.6 million common shares of PMT at an average price of $11.83 per share for a cost of $7.6 million; also repurchased an additional 0.7 million common shares through April 25 at an average price of $12.06 per share for a cost of $8.1 million<\/p>\n<\/li>\n
- \nBook value per common share increased to $15.96 at March 31, 2023, from $15.78 at December 31, 2023<\/p>\n<\/li>\n<\/ul>\n
\nOther investment highlights:<\/p>\n
- \n
- \nInvestment activity driven by correspondent production volumes<\/p>\n
- \n
- \nConventional correspondent loan production volumes for PMT\u2019s account totaled $6.6 billion in unpaid principal balance (UPB), down 2 percent from the prior quarter and 32 percent from the first quarter of 2022 as a result of the sale of certain conventional loans to PennyMac Financial Services, Inc. (NYSE: PFSI)<\/p>\n
- \n
- \nResulted in the creation of $101 million in new MSRs<\/p>\n<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<\/li>\n
- \nInvested $12 million in recently issued government-sponsored enterprise (GSE) credit risk transfer (CRT) bonds<\/p>\n<\/li>\n<\/ul>\n
Notable activity after quarter end<\/i><\/p>\n
- \n
- \nPMT exercised its option to extend the maturity for the Fannie Mae MSR term notes originally due in April 2023 for two years<\/p>\n<\/li>\n
- \nIssued $235 million of new, 2-year CRT term notes to finance CRT investments previously financed with securities repurchase agreements<\/p>\n<\/li>\n
- \nInvested $52 million in additional opportunistic investments<\/p>\n<\/li>\n<\/ul>\n
\n\u201cPMT\u2019s performance in the first quarter reflected strong earnings and growth in book value per share,\u201d said Chairman and CEO David Spector. \u201cSolid results in PMT\u2019s credit sensitive strategies due to credit spread tightening early in the quarter were partially offset by net fair value declines on MSRs and interest rate hedges, which drove a tax benefit. A key contributor to PMT\u2019s strong performance over the long term has been the sophisticated financing structures we have in place for its long-term assets. Recently, we further strengthened PMT\u2019s balance sheet, extending for two years the maturity of $450 million in Fannie Mae MSR term notes originally due in April; and issuing $235 million of 2-year CRT notes, providing us with term financing and reduced margin call exposure for certain CRT assets previously financed with securities repurchase agreements. We continue to see attractive opportunities to deploy capital into new investments as well as the repurchase of our shares well below book value. Given PMT\u2019s seasoned investment portfolio with solid underlying fundamentals and its strong balance sheet, I remain optimistic for continued strong financial performance in 2023.\u201d<\/p>\n
\nThe following table presents the contributions of PMT\u2019s segments, consisting of Credit Sensitive Strategies, Interest Rate Sensitive Strategies, Correspondent Production, and Corporate:<\/p>\n
\n
\n \n \n Quarter ended March 31, 2023<\/b><\/td>\n<\/tr>\n \n \n \n Credit sensitive
strategies<\/b><\/td>\n\n Interest rate sensitive
strategies<\/b><\/td>\n\n Correspondent
production<\/b><\/td>\n\n Corporate<\/b><\/td>\n \n Consolidated<\/b><\/td>\n<\/tr>\n \n \n \n (in thousands)<\/b><\/td>\n<\/tr>\n \n Net investment income:<\/b><\/td>\n \n \n \n \n \n \n \n \n \n <\/tr>\n \n Net gains on investments and financings<\/td>\n \n \n \n \n \n \n \n \n \n <\/tr>\n \n CRT investments<\/td>\n \n \n \n$<\/p>\n<\/td>\n
\n \n46,278<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n46,278<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Loans at fair value<\/td>\n \n \n \n \n \n \n \n \n \n <\/tr>\n \n Distressed<\/td>\n \n \n \n\u00a0<\/p>\n<\/td>\n
\n \n451<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n451<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Held by variable interest entity<\/td>\n \n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,315<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(458<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n857<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Mortgage-backed securities<\/td>\n \n \n \n\u00a0<\/p>\n<\/td>\n
\n \n6,344<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n71,874<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n78,218<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n \n \n \n \n\u00a0<\/p>\n<\/td>\n
\n \n54,388<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n71,416<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n125,804<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Net gains on loans acquired for sale<\/td>\n \n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n6,473<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n6,473<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Net loan servicing fees<\/td>\n \n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(23,693<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(23,693<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n<\/tr>\n
\n Net interest expense:<\/td>\n \n \n \n \n \n \n \n \n \n <\/tr>\n \n Interest income<\/td>\n \n \n \n\u00a0<\/p>\n<\/td>\n
\n \n21,394<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n92,083<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n36,927<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n2,615<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n153,019<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Interest expense<\/td>\n \n \n \n\u00a0<\/p>\n<\/td>\n
\n \n17,803<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n125,168<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n35,132<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,034<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n179,137<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n \n \n \n \n\u00a0<\/p>\n<\/td>\n
\n \n3,591<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(33,085<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,795<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,581<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(26,118<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n<\/tr>\n
\n Other<\/td>\n \n \n \n\u00a0<\/p>\n<\/td>\n
\n \n56<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n7,844<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n7,900<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n \n \n \n \n\u00a0<\/p>\n<\/td>\n
\n \n58,035<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n14,638<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n16,112<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,581<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n90,366<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Expenses:<\/b><\/td>\n \n \n \n \n \n \n \n \n \n <\/tr>\n \n Loan fulfillment and servicing fees payable to PennyMac Financial Services, Inc.<\/td>\n \n \n \n\u00a0<\/p>\n<\/td>\n
\n \n77<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n20,372<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n11,923<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n32,372<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Management fees payable to PennyMac Financial Services, Inc.<\/td>\n \n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n7,257<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n7,257<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Other<\/td>\n \n \n \n\u00a0<\/p>\n<\/td>\n
\n \n636<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,289<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n2,408<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n7,603<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n11,936<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n \n \n \n \n$<\/p>\n<\/td>\n
\n \n713<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n21,661<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n14,331<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n14,860<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n51,565<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Pretax income (loss)<\/b><\/td>\n \n \n \n$<\/p>\n<\/td>\n
\n \n57,322<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n(7,023<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n1,781<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n(13,279<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n38,801<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n \n \n \n \n \n \n \n \n \n \n \u00a0<\/td>\n<\/tr>\n<\/table>\n Credit Sensitive Strategies Segment<\/b><\/p>\n
\nThe Credit Sensitive Strategies segment primarily includes results from PMT\u2019s organically-created GSE CRT investments, investments in non-agency subordinate bonds from private-label securitizations of PMT\u2019s production, opportunistic investments in GSE CRT and legacy investments. Pretax income for the segment was $57.3 million on net investment income of $58.0 million, compared to pretax income of $10.8 million on net investment income of $11.2 million in the prior quarter.<\/p>\n
\nNet gains on investments in the segment were $54.4 million, compared to $11.2 million in the prior quarter. These net gains include $46.3 million on PMT\u2019s organically-created GSE CRT investments, $6.3 million on other acquired subordinate CRT mortgage-backed securities (MBS), $1.3 million on investments from non-agency subordinate bonds from PMT\u2019s production, and $0.5 million on distressed loans.<\/p>\n
\nNet gains on PMT\u2019s organically-created CRT investments for the quarter were $46.3 million, compared to $8.5 million in the prior quarter. These net gains include $30.9 million in valuation-related gains, which reflected the impact of credit spread tightening in the first quarter. The prior quarter included $8.1 million of losses related to credit spread widening. Net gains on PMT\u2019s organically-created CRT investments also included $16.6 million in realized gains and carry, compared to $17.8 million in the prior quarter. Realized losses during the quarter were $1.3 million, compared to $1.2 million in the prior quarter.<\/p>\n
\nNet interest income for the segment totaled $3.6 million, compared to $0.7 million in the prior quarter. Interest income totaled $21.4 million, up from $18.4 million in the prior quarter, primarily due to higher earnings rates on deposits securing CRT arrangements. Interest expense totaled $17.8 million, up slightly from the prior quarter.<\/p>\n
\nSegment expenses were $0.7 million, up from $0.4 million in the prior quarter.<\/p>\n
Interest Rate Sensitive Strategies Segment<\/b><\/p>\n
\nThe Interest Rate Sensitive Strategies segment includes results from investments in MSRs, Agency MBS, non-Agency senior MBS and interest rate hedges. Pretax loss for the segment was $7.0 million on net investment income of $14.6 million, compared to a pretax loss of $9.3 million on net investment income of $13.7 million in the prior quarter. The segment includes investments that typically have offsetting fair value exposures to changes in interest rates. For example, in a period with decreasing interest rates, MSRs are expected to decrease in fair value, whereas Agency pass-through and non-Agency senior MBS are expected to increase in fair value.<\/p>\n
\nThe results in the Interest Rate Sensitive Strategies segment consist of net gains and losses on investments, net interest income and net loan servicing fees, as well as associated expenses.<\/p>\n
\nNet gains on investments for the segment were $71.4 million, which primarily consisted of gains on MBS due to declining interest rates.<\/p>\n
\nNet loan servicing fees were $(23.7) million, compared to $(2.1) million in the prior quarter. Net loan servicing fees included contractually specified servicing fees of $164.2 million and $3.9 million in other fees, reduced by $91.7 million in realization of MSR cash flows. Net loan servicing fees also included $45.8 million in fair value decreases of MSRs, $54.9 million in hedging losses, and $0.5 million of MSR recapture income. PMT\u2019s hedging activities are intended to manage its net exposure across all interest rate sensitive strategies, which include MSRs, MBS and related tax impacts.<\/p>\n
\nThe following schedule details net loan servicing fees:<\/p>\n
\n
\n \n Quarter ended<\/b><\/td>\n<\/tr>\n \n \n March 31, 2023<\/b><\/td>\n \n December 31, 2022<\/b><\/td>\n \n March 31, 2022<\/b><\/td>\n<\/tr>\n \n \n (in thousands)<\/b><\/td>\n<\/tr>\n \n From non-affiliates:<\/td>\n \n \n \n \n <\/tr>\n \n Contractually specified<\/td>\n \n \n$<\/p>\n<\/td>\n
\n \n164,214<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n164,189<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n146,885<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Other fees<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n3,943<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n5,502<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n9,114<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Effect of MSRs:<\/td>\n \n \n \n \n <\/tr>\n \n Change in fair value<\/td>\n \n \n \n \n <\/tr>\n \n Realization of cashflows<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(91,673<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(98,974<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(88,919<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n<\/tr>\n
\n Due to changes in valuation inputs used in valuation model<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(45,771<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n43,935<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n392,640<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n \n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(137,444<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(55,039<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n303,721<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Hedging results<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(54,891<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(117,228<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(163,802<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n<\/tr>\n
\n \n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(192,335<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(172,267<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n139,919<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n \n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(24,178<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(2,576<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n295,918<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n From PFSI\u2014MSR recapture income<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n485<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n512<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n8,260<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Net loan servicing fees<\/td>\n \n \n$<\/p>\n<\/td>\n
\n \n(23,693<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n(2,064<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n304,178<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n \n \n \n \n \n \u00a0<\/td>\n<\/tr>\n<\/table>\n \nPMT\u2019s MSR fair value decreased by $45.8 million in the quarter primarily due to lower market interest rates.<\/p>\n
\nNet interest expense for the segment was $33.1 million versus $27.3 million in the prior quarter. Interest income totaled $92.1 million, up from $80.4 million in the prior quarter, primarily due to higher average MBS balances and increased placement fee income on custodial balances. Interest expense totaled $125.2 million, up from $107.7 million in the prior quarter, primarily due to higher financing costs on MBS balances driven by higher short-term interest rates.<\/p>\n
\nSegment expenses were $21.7 million, down slightly from $23.0 million in the prior quarter.<\/p>\n
Correspondent Production Segment<\/b><\/p>\n
\nPMT acquires newly originated loans from correspondent sellers and typically sells or securitizes the loans, resulting in current-period income and additions to its investments in MSRs related to a portion of its production. PMT\u2019s Correspondent Production segment generated pretax income of $1.8 million, down from $7.1 million in the prior quarter.<\/p>\n
\nThrough its correspondent production activities, PMT acquired a total of $20.2 billion in UPB of loans, down 3 percent from the prior quarter and 10 percent from the first quarter of 2022. Of total correspondent acquisitions, conventional conforming acquisitions totaled $10.7 billion, essentially unchanged from the prior quarter, and government-insured or guaranteed acquisitions totaled $9.5 billion, down 6 percent from the prior quarter. $6.6 billion of conventional correspondent production was for PMT\u2019s own account, and $4.1 billion was for PFSI\u2019s account. Interest rate lock commitments on conventional loans for PMT\u2019s account totaled $7.6 billion, up slightly from the prior quarter.<\/p>\n
\nSegment revenues were $16.1 million and included other income of $7.8 million, which primarily consists of volume-based origination fees, net gains on loans acquired for sale of $6.5 million, and net interest income of $1.8 million. Net gains on loans acquired for sale in the quarter decreased by $3.3 million from the prior quarter as a result of lower margins. Interest income was $36.9 million, up from $32.6 million in the prior quarter, and interest expense was $35.1 million, up from $28.6 million in the prior quarter, both due to higher short-term interest rates and average balances of loans acquired for sale at fair value.<\/p>\n
\nSegment expenses were $14.3 million, down from $16.5 million in the prior quarter. The weighted average fulfillment fee rate in the first quarter was 18 basis points, unchanged from the prior quarter.<\/p>\n
Corporate Segment<\/b><\/p>\n
\nThe Corporate segment includes interest income from cash and short-term investments, management fees, and corporate expenses.<\/p>\n
\nSegment revenues were $1.6 million, up from $0.8 million in the prior quarter. Management fees were $7.3 million, and other segment expenses were $7.6 million, both essentially unchanged from the prior quarter.<\/p>\n
Taxes<\/b><\/p>\n
\nPMT recorded a tax benefit of $21.9 million driven by fair value declines on MSRs and interest rate hedges held in PMT\u2019s taxable subsidiary.<\/p>\n
\nManagement\u2019s slide presentation will be available in the Investor Relations section of the Company\u2019s website at pmt.pennymac.com<\/a> beginning after the market closes on Thursday, April 27, 2023.<\/p>\n
About PennyMac Mortgage Investment Trust<\/b><\/p>\n
\n
\n \u00a0<\/td>\n<\/tr>\n \n \n PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES<\/b><\/p>\n
CONSOLIDATED BALANCE SHEETS (UNAUDITED)<\/b><\/p>\n<\/td>\n<\/tr>\n
\n \n \n \n \n \n \u00a0<\/td>\n<\/tr>\n \n \n March 31, 2023<\/b><\/td>\n \n December 31, 2022<\/b><\/td>\n \n March 31, 2022<\/b><\/td>\n<\/tr>\n \n \n (in thousands except share amounts)<\/b><\/td>\n<\/tr>\n \n ASSETS<\/b><\/td>\n \n \n \n \n <\/tr>\n \n Cash<\/td>\n \n \n$<\/p>\n<\/td>\n
\n \n118,672<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n111,866<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n187,880<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Short-term investments at fair value<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n292,153<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n252,271<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n236,468<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Mortgage-backed securities at fair value<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n4,629,004<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n4,462,601<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n3,070,330<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Loans acquired for sale at fair value<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n3,143,518<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,821,933<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,708,745<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Loans at fair value<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,502,471<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,513,399<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,826,482<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Derivative assets<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n89,285<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n84,940<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n77,823<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Deposits securing credit risk transfer arrangements<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,297,917<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,325,294<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,536,862<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Mortgage servicing rights at fair value<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n3,975,076<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n4,012,737<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n3,391,172<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Servicing advances<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n138,716<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n197,972<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n134,002<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Due from PennyMac Financial Services, Inc.<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n3,560<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n20,562<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Other<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n170,417<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n134,991<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n197,189<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Total assets<\/td>\n \n \n$<\/p>\n<\/td>\n
\n \n15,357,229<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n13,921,564<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n12,387,515<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n LIABILITIES<\/b><\/td>\n \n \n \n \n <\/tr>\n \n Assets sold under agreements to repurchase<\/td>\n \n \n$<\/p>\n<\/td>\n
\n \n8,114,108<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n6,616,528<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n5,092,700<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Mortgage loan participation and sale agreements<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n65,699<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Notes payable secured by credit risk transfer and mortgage servicing assets<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n2,790,958<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n2,804,028<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n2,372,279<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Exchangeable senior notes<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n547,003<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n546,254<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n544,100<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Asset-backed financing of variable interest entities at fair value<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,403,080<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,414,955<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,712,650<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Interest-only security payable at fair value<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n23,205<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n21,925<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n16,373<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Derivative and credit risk transfer strip liabilities at fair value<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n138,469<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n167,226<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n129,350<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Unsettled securities trades<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n12,424<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n–<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Accounts payable and accrued liabilities<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n152,793<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n160,212<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n117,682<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Due to PennyMac Financial Services, Inc.<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n35,166<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n36,372<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n27,722<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Income taxes payable<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n129,882<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n151,778<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n46,797<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Liability for losses under representations and warranties<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n39,407<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n39,471<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n40,225<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Total liabilities<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n13,386,495<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n11,958,749<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n10,165,577<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n SHAREHOLDERS’ EQUITY<\/b><\/td>\n \n \n \n \n <\/tr>\n \n Preferred shares of beneficial interest<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n541,482<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n541,482<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n541,482<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Common shares of beneficial interest\u2014authorized, 500,000,000 common shares of $0.01 par value; issued and outstanding 88,385,614, 88,888,889, and 93,007,076 common shares, respectively<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n884<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n889<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n930<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Additional paid-in capital<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,940,297<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,947,266<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n2,000,107<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Accumulated deficit<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(511,929<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(526,822<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(320,581<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n<\/tr>\n
\n Total shareholders’ equity<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,970,734<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,962,815<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n2,221,938<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Total liabilities and shareholders’ equity<\/td>\n \n \n$<\/p>\n<\/td>\n
\n \n15,357,229<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n13,921,564<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n12,387,515<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n \n \n \n \n \n \u00a0<\/td>\n<\/tr>\n<\/table>\n \n
\n \n PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES<\/b><\/p>\n
CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED)<\/b><\/p>\n<\/td>\n<\/tr>\n
\n \n \u00a0<\/td>\n<\/tr>\n \n \n For the Quarterly Periods Ended<\/b><\/td>\n<\/tr>\n \n \n March 31, 2023<\/b><\/td>\n \n December 31, 2022<\/b><\/td>\n \n March 31, 2022<\/b><\/td>\n<\/tr>\n \n \n (in thousands, except per share amounts)<\/b><\/td>\n<\/tr>\n \n Investment Income<\/b><\/td>\n \n \n \n \n <\/tr>\n \n Net gains (losses) on investments and financings<\/td>\n \n \n$<\/p>\n<\/td>\n
\n \n125,804<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n54,294<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n(229,095<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n<\/tr>\n
\n Net loan servicing fees:<\/td>\n \n \n \n \n <\/tr>\n \n From nonaffiliates<\/td>\n \n \n \n \n <\/tr>\n \n Servicing fees<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n168,157<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n169,691<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n155,999<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Change in fair value of mortgage servicing rights<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(137,444<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(55,039<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n303,721<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Hedging results<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(54,891<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(117,228<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(163,802<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n<\/tr>\n
\n \n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(24,178<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(2,576<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n295,918<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n From PennyMac Financial Services, Inc.<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n485<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n512<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n8,260<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n \n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(23,693<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(2,064<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n304,178<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Net gains on loans acquired for sale<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n6,473<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n9,755<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n3,953<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Loan origination fees<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n7,706<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n9,668<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n14,774<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Interest income<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n153,019<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n132,375<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n51,063<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Interest expense<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n179,137<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n154,676<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n63,514<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Net interest expense<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(26,118<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(22,301<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(12,451<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n<\/tr>\n
\n Other<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n194<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n15<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n480<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Net investment income<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n90,366<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n49,367<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n81,839<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Expenses<\/b><\/td>\n \n \n \n \n <\/tr>\n \n Earned by PennyMac Financial Services, Inc.:<\/td>\n \n \n \n \n <\/tr>\n \n Loan servicing fees<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n20,449<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n20,245<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n21,088<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Loan fulfillment fees<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n11,923<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n12,184<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n16,754<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Management fees<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n7,257<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n7,307<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n8,117<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Loan origination<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n2,178<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n3,982<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n2,842<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Professional services<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,523<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,898<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n4,025<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Compensation<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,539<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,587<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,437<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Safekeeping<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,116<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n1,799<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n2,395<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Loan collection and liquidation<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n579<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n278<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n3,177<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Other<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n5,001<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n5,569<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n3,946<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Total expenses<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n51,565<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n54,849<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n63,781<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Income (loss) before (benefit from) provision for income taxes<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n38,801<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(5,482<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n18,058<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n (Benefit from) provision for income taxes<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(21,896<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(10,145<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n37,187<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Net income (loss)<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n60,697<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n4,663<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n(19,129<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n<\/tr>\n
\n Dividends on preferred shares<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n10,455<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n10,456<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n10,455<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Net income (loss) attributable to common shareholders<\/td>\n \n \n$<\/p>\n<\/td>\n
\n \n50,242<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n(5,793<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n(29,584<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n<\/tr>\n
\n Earnings (losses) per common share<\/b><\/td>\n \n \n \n \n <\/tr>\n \n Basic<\/td>\n \n \n$<\/p>\n<\/td>\n
\n \n0.56<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n(0.07<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n(0.32<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n<\/tr>\n
\n Diluted<\/td>\n \n \n$<\/p>\n<\/td>\n
\n \n0.50<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n(0.07<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n
\n \n \n$<\/p>\n<\/td>\n
\n \n(0.32<\/p>\n<\/td>\n
\n \n)<\/p>\n<\/td>\n<\/tr>\n
\n Weighted average shares outstanding<\/b><\/td>\n \n \n \n \n <\/tr>\n \n Basic<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n88,831<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n89,096<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n94,146<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n
\n Diluted<\/td>\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n113,388<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n89,096<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n
\n \n \n\u00a0<\/p>\n<\/td>\n
\n \n94,146<\/p>\n<\/td>\n
\n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n<\/table>\n
\n\u00a0<\/p>\n
<\/p>\n
View source version on businesswire.com: <\/span>https:\/\/www.businesswire.com\/news\/home\/20230427005826\/en\/<\/a><\/span><\/p>\n
Media
\n<\/b>
Kristyn Clark
\n
kristyn.clark@pennymac.com
\n<\/a>
805.395.9943<\/p>\nInvestors
\n<\/b>
Kevin Chamberlain
\n
Isaac Garden
\n
investorrelations@pennymac.com
\n<\/a>
818.224.7028<\/p>\nKEYWORDS:<\/b> California United States North America<\/p>\n
INDUSTRY KEYWORDS:<\/b> REIT Finance Banking Professional Services Construction & Property<\/p>\n
- \nConventional correspondent loan production volumes for PMT\u2019s account totaled $6.6 billion in unpaid principal balance (UPB), down 2 percent from the prior quarter and 32 percent from the first quarter of 2022 as a result of the sale of certain conventional loans to PennyMac Financial Services, Inc. (NYSE: PFSI)<\/p>\n
- \nInvestment activity driven by correspondent production volumes<\/p>\n
![\"Logo\"](\"https:\/\/mms.businesswire.com\/media\/20230427005826\/en\/1679583\/3\/pnmc-PMT-logo-R-horz-CMYK-pos-color.jpg\"){kind=logo}
<\/td>\n<\/tr>\n